/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250330.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 30, 2025, Vol. 29, No. 88 Headlines 1988 CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes 245 PARK AVENUE 2017-245P: Fitch Affirms BBsf Rating on 2 Tranches A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs AGL CLO 14: Moody's Assigns Ba3 Rating to $22.5MM Class E-R Notes AMERICAN AIRLINES 2013-1: Fitch Affirms BB Rating on Certs ANCHORAGE CAPITAL 13: Fitch Assigns BB-sf Rating on Cl. E-RR Notes APIDOS CLO LII: Fitch Assigns 'BB+sf' Rating on Class E Notes APIDOS CLO LII: Moody's Assigns B3 Rating to $500,000 Cl. F Notes APIDOS CLO XXIII: S&P Assigns BB- (sf) Rating on Class E-RR Notes ATLAS SENIOR XVIII: Moody's Assigns Ba3 Rating to $18MM E-R Notes AUDAX SENIOR 12: S&P Assigns BB- (sf) Rating on Class E Notes AVIS BUDGET 2023-2: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2023-3: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2023-5: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2024-2: Moody's Assigns (P)Ba1 Rating to Class D Notes BAIN CAPITAL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK 2017—BNK4: Fitch Lowers Rating on Two Tranches to 'B-sf' BANK 2025-BNK49: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs BANK5 2025-5YR14: Fitch Assigns 'B-(EXP)' Rating on Cl. J-RR Certs BATALLION CLO XXVIII: Fitch Assigns BB Final Rating on Cl. E Notes BATTALION CLO XXII: Moody's Lowers Rating on $5.25MM F Notes to B3 BBCCRE TRUST 2015-GTP: Fitch Lowers Rating on 2 Tranches to 'BB+sf' BBCMS MORTGAGE 2025-5C33: Fitch Assigns B-sf Rating on G-RR Certs BDS 2025-FL14: Fitch Assigns 'B-sf' Final Rating on Class G Notes BELLEMEADE RE 2022-2: Moody's Ups Rating on Cl. M-2 Certs to Ba3 BENCHMARK 2019-B12: Fitch Lowers Rating on Two Tranches to 'B-sf' BENCHMARK 2020-IG2: Fitch Lowers Rating on Class C Certs to 'BB-sf' BENCHMARK 2025-V14: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs BHG SECURITIZATION 2025-1CON: Fitch Assigns BBsf Rating on E Notes BIRCH GROVE 12: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes BLP COMMERCIAL 2025-IND: Moody's Gives Ba1 Rating to Cl. HRR Certs BMO 2025-5C9: Fitch Assigns 'B-(EXP)sf' Rating on Class GRR Certs BRAVO TRUST 2025-SR1: Fitch Assigns 'BB-sf' Rating on Cl. A2 Notes BWAY COMMERCIAL 2022-26BW: DBRS Confirms B Rating on E Certs BX TRUST 2025-VLT6: DBRS Finalizes B(high) Rating on HRR Certs BXHPP TRUST 2021-FILM: DBRS Cuts Class D Certs Rating to B BXMT 2025-FL5: Fitch Assigns 'B-sf' Rating on 3 Tranches CANYON CLO 2025-1: Fitch Assigns 'BB+sf' Rating on Class E Notes CARLYLE US 2021-7: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARMAX SELECT 2025-A: Fitch Assigns 'BBsf' Rating on Class E Notes CARMAX SELECT 2025-A: S&P Assigns BB (sf) Rating on Cl. E Notes CARVANA AUTO 2025-P1: Moody's Assigns Ba1 Rating to Class N Notes CHASE HOME 2025-3: DBRS Gives Prov. B(low) Rating on B-5 Certs CIFC FUNDING 2014-III: Fitch Rates Class E-R Notes 'BB+sf' CIFC FUNDING 2025-I: Fitch Assigns 'BB-sf' Rating on Class E Notes CIFC FUNDING 2025-II: Fitch Assigns 'BB-sf' Rating on Class E Notes CITIGROUP 2015-P1: Fitch Lowers Rating on 2 Classes to 'BB-sf' CITIGROUP 2025-RP1: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms C Rating on F Certs CITIGROUP MORTGAGE 2025-2: DBRS Gives Prov. B Rating on B5 Certs CITIGROUP MORTGAGE 2025-2: Moody's Assigns 'B3' Rating to B-5 Certs COLLEGIATE FUNDING 2005-A: Fitch Affirms BBsf Rating on 2 Classes COMM 2014-CCRE14: DBRS Cuts Class D Certs Rating to C COMM 2014-UBS4: DBRS Confirms C Rating on 5 Classes COMM 2015-CCRE24: Fitch Lowers Rating on Cl. F Certs to 'Csf' COMM 2015-CCRE26: Fitch Lowers Rating on Two Tranches to 'Bsf' COMM 2016-787S: DBRS Confirms B Rating on Class D Certs COMM 2019-521F: DBRS Cuts Rating on 2 Classes to CCC CONNECTICUT AVE 2025-R02: Moody's Assigns Ba1 Rating to 4 Tranches DC OFFICE 2019-MTC: DBRS Confirms BB(low) Rating on E Certs DIVERSIFIED ABS X: Fitch Gives 'BB-' Rating on 2025-1 Class B Notes DRYDEN 123: S&P Assigns Prelim BB- (sf) Rating on Class E Notes DRYDEN 47 SENIOR: Moody's Affirms Ba3 Rating on $32.2MM Cl. E Notes EFMT 2025-CES2: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs EFMT 2025-CES2: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ELEVATION CLO 2025-18: S&P Assigns Prelim 'BB-' Rating on E Notes ELMWOOD CLO 22: S&P Assigns Prelim B- (sf) Rating on F-R Notes ELMWOOD CLO IX: S&P Assigns B- (sf) Rating on Class F-R Notes EXETER AUTOMOBILE 2025-2: S&P Assigns BB- (sf) Rating on E Notes FIRST EAGLE 2019-1: Moody's Cuts Rating on $21.4MM D Notes to B2 FREDDIE MAC 2023-DNA1: DBRS Confirms BB(high) Rating on 2 Classes GALAXY 35: S&P Assigns Prelim BB- (sf) Rating on Class E Notes GOLDENTREE LOAN 24: Fitch Assigns 'B+(EXP)sf' Rating on Cl. F Notes GOLUB CAPITAL 79(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GS MORTGAGE 2018-GS10: S&P Lowers WLS-C Notes Rating to 'CCC (sf)' GS MORTGAGE 2021-GR1: Moody's Hikes Rating on Cl. B-5 Certs to Ba1 GS MORTGAGE 2024-PJ5: Moody's Hikes Rating on Cl. B-5 Certs to B1 GS MORTGAGE 2025-CES1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes GS MORTGAGE 2025-PJ3: DBRS Gives Prov. B(low) Rating on B5 Notes GS MORTGAGE 2025-SJ1: Fitch Gives Bsf Final Rating on Cl. B-2 Certs HARBOUR AIRCRAFT: S&P Raises Class C Notes Rating to CCC (sf) HAWAII HOTEL 2025-MAUI: DBRS Gives Prov. B Rating on 2 Classes HGI CRE CLO 2021-FL1: DBRS Confirms B(low) Rating on G Notes HGI CRE CLO 2021-FL2: DBRS Confirms B(low) Rating on G Notes HINNT 2025-A: Fitch Assigns 'BB-sf' Final Rating on Class D Notes HOMEWARD OPPORTUNITIES 2025-RRTL1: DBRS Gives (P) B(low) on M2 Note HPS LOAN 2025-23: Fitch Assigns 'BBsf' Rating on Class E Notes HUNTINGTON BANK 2025-1: Moody's Assigns B3 Rating to Class D Notes JP MORGAN 2018-MINN: Moody's Lowers Rating on Cl. C Certs to B3 JP MORGAN 2019-ICON UES: S&P Affirms B- (sf) Rating on F Certs JP MORGAN 2025-CES2: Fitch Assigns B-(EXP) Rating on B-2 Certs KRE COMMERCIAL 2025-AIP4: Moody's Assigns B2 Rating to Cl. F Certs LCM XIV LTD: Moody's Cuts Rating on $19.25MM Class E-R Notes to B1 LOBEL AUTOMOBILE 2025-1: DBRS Gives Prov. BB Rating on E Notes MADISON PARK LXXI: Fitch Assigns 'BB+sf' Rating on Class E Notes MADISON PARK XXIX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MADISON PARK XXVII: Fitch Assigns 'BB+sf' Final Rating on E-R Notes MADISON PARK XXVII: Moody's Assigns B3 Rating to $250,000 F-R Notes MFA 2025-NQM1: Fitch Gives 'B-sf' Rating on Class B2 Certificates MJX VENTURE II: Moody's Cuts Rating on Ser. D/Class E Notes to Ba3 MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 4 Tranches MORGAN STANLEY 2019-H6: Fitch Lowers Rating on H-RR Certs to 'B-sf' MORGAN STANLEY 2021-L6: Fitch Lowers Rating on Two Tranches to B-sf MORGAN STANLEY 2025-1: Fitch Assigns 'Bsf' Rating on Cl. B-5 Notes MORGAN STANLEY 2025-5C1: Fitch Assigns 'B-sf' Rating on G-RR Certs NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B Rating on 2 Tranches NAVIENT STUDENT 2014-1: Fitch Lowers Rating on A-4 Notes to 'BBsf' NEUBERGER BERMAN 33: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes NEUBERGER BERMAN XVI-S: Fitch Assigns 'BB-sf' Rating on E-R2 Notes NEW RESIDENTIAL 2025-NQM2: Fitch Gives B-(EXP) Rating on B-2 Notes NGC CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes NLT 2025-INV1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes NMEF FUNDING 2025-A: Moody's Assigns Ba2 Rating to Class D Notes NORTHWOODS CAPITAL XVII: Moody's Affirms Ba3 Rating on Cl. E Notes OCEAN TRAILS IX: Fitch Assigns BB-sf Final Rating on Cl. E-RR Notes OCEAN TRAILS IX: Moody's Assigns B3 Rating to $1MM Cl. F-RR Notes OCP CLO 2020-19: S&P Assigns BB- (sf) Rating on Class E-R2 Notes OCP CLO 2025-40: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON 74: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes OCTAGON 75: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable OHA CREDIT 20: S&P Assigns Prelim BB- (sf) Rating on CL. E Notes OZLM LTD XVIII: Moody's Cuts Rating on $10MM Class F Notes to Caa3 OZLM LTD XX: Moody's Cuts Rating on $6.975MM Class E Notes to Caa3 PALMER SQUARE 2021-1: Fitch Assigns 'B-sf' Rating on Cl. E-R Notes PALMER SQUARE 2021-4: Moody's Ups Rating on $10MM E Notes to Ba2 PALMER SQUARE 2022-2: Moody's Ups Rating on $28MM D Notes to Ba1 PAWNEE EQUIPMENT 2022-1: DBRS Cuts Class E Notes Rating to B PMT LOAN 2025-INV3: Moody's Assigns 'B3' Rating to Cl. B-5 Certs PREFERRED TERM XXII: Moody's Upgrades Rating on 2 Tranches to Ba2 PRESTIGE AUTO 2021-1: S&P Affirms BB (sf) Rating on Class E Notes PRET 2025-RPL2: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes PRKCM 2025-HOME1: S&P Assigns B (sf) Rating on Class B-2 Notes PROGRESS RESIDENTIAL 2025-SFR2: DBRS Gives (P)B(low) on G Certs PRPM 2025-RPL1: DBRS Finalizes BB(low) Rating on M-2 Notes RCKT MORTGAGE 2025-CES3: Fitch Assigns 'Bsf' Rating on 5 Tranches RCKT MORTGAGE 2025-CES3: Fitch Gives B(EXP)sf Rating on 5 Tranches REALT 2025-1: Fitch Assigns 'Bsf' Final Rating on Class G Certs REGATTA 31: Fitch Assigns 'BB-sf' Rating on Class D Notes ROC MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on M2 Notes ROCKFORD TOWER 2025-1: Fitch Assigns 'BB-sf' Rating on Cl. E Notes SCG COMMERCIAL 2025-DLFN: Fitch Gives B+sf Rating on Cl. HRR Certs SDART 2025-2: Fitch Rates Class E Notes 'BBsf' SEQUOIA MORTGAGE 2025-3: Fitch Assigns Bsf Rating on Class B5 Certs SFO COMMERCIAL 2021-555: DBRS Confirms CCC Rating on 2 Classes SIERRA TIMESHARE 2025-1: Fitch Assigns 'BBsf' Rating on Cl. D Notes SIXTH STREET XXII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes SLM STUDENT 2010-1: S&P Lowers Class A Notes Rating to 'D (sf)' SOUND POINT II: S&P Affirms CCC (sf) Rating on Class B3-R Notes SOUND POINT IV-R: Moody's Affirms B1 Rating on $30MM Class E Notes STACR REMIC 2021-HQA2: Moody's Hikes Rating on 2 Tranches to Ba1 STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes STRIKE ACCEPTANCE 2025-1: DBRS Finalizes BB(low) Rating on C Notes SWITCH ABS 2024-2: DBRS Confirms BB(low) Rating on Class C Notes SYMPHONY CLO 47: S&P Assigns Prelim BB- (sf) Rating on E Notes TCI-FLATIRON 2018-1: Moody's Ups Rating on $31MM E-R Notes to Ba2 TCI-FLATIRON CLO 2017-1: Moody's Ups Rating on $22MM E Notes to Ba1 TCW CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes TEXAS DEBT 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes THUNDERBOLT III: Fitch Hikes Rating on Class B Notes to 'BBsf' TOORAK MORTGAGE 2025-RRTL1: DBRS Finalizes B Rating on B-1 Notes TRIMARAN CAVU 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes UBS COMMERCIAL 2018-C10: Fitch Lowers Rating on E-RR Notes to B UNITED AUTO 2022-2: DBRS Confirms CCC Rating on Class E Notes UNITED AUTO 2025-1: DBRS Finalizes BB(high) Rating on E Notes VASA 2021-VASA: DBRS Confirms BB Rating on Class D Certs VENTURE XXIX: Moody's Cuts Rating on $26MM Class E Notes to B1 VIBRANT CLO IX-R: Fitch Assigns 'BB-sf' Rating on Class E Notes VOYA CLO 2017-3: S&P Assigns BB- (sf) Rating on Class D-RR Notes VOYA CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2016-C33: DBRS Cuts Class X-E Certs Rating to B WELLS FARGO 2018-C44: Fitch Lowers Rating on Class F Debt to CCCsf WELLS FARGO 2025-VTT: DBRS Gives Prov. B Rating on HRR Certs WFRBS COMMERCIAL 2014-LC14: DBRS Cuts Rating on 3 Tranches to CCC WHITNEY FUNDING: DBRS Confirms Provisional B(low) on Class E Loans WOODMONT 2023-11: S&P Assigns Prelim BB- (sf) Rating on E-R Notes [] DBRS Confirms Ratings on All 39 Classes Over 8 Transactions [] DBRS Hikes 10 Ratings From 10 Flagship Trust Transactions [] DBRS Hikes 8 Ratings From 8 Flagship Trust Transactions [] DBRS Reviews 214 Classes From 31 US RMBS Transactions [] DBRS Reviews 266 Classes From 33 US RMBS Transactions [] DBRS Reviews 71 Classes From 14 U.S. RMBS Transactions [] DBRS Takes Credit Rating Actions on 9 Real Estate Transactions [] Fitch Affirms 47 FFELP Student Loan ABS From 20 Transactions [] Moody's Takes Action on 11 Bonds From 4 US RMBS Deals [] Moody's Takes Action on 21 Bonds From 5 US RMBS Deals [] Moody's Takes Action on 23 Bonds from 7 US RMBS Deals [] Moody's Takes Action on 32 Bonds From 12 US RMBS Deals [] Moody's Takes Action on 34 Bonds From 13 US RMBS Deals [] Moody's Takes Action on 41 Bonds From 11 US RMBS Deals [] Moody's Takes Action on 94 Bonds From 15 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds From 4 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 4 Bonds From 2 US RMBS Deals [] Moody's Upgrades Ratings on 45 Bonds From 10 US RMBS Deals [] Moody's Ups Ratings on 7 Bonds From 6 Scratch & Dent US RMBS [] S&P Takes Various Action on 759 Classes From 33 US RMBS Deals ********* 1988 CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R loans and class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt from 1988 CLO 2 Ltd./1988 CLO 2 LLC, a CLO originally issued in March 2023 that is managed by 1988 Asset Management LLC. At the same time, S&P withdrew its ratings on the class A loans and the class A, B, C, D, and E debt following repayment in full on the March 24, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R loans and the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt were issued at a lower spread than the original debt. -- The replacement class D-1R and D-2R debt replaced the class D debt. The class D-1R debt has the same par subordination as the original class D debt, while the class D-2R debt has 1.00% less. -- The reinvestment period, non-call period, and weighted average life test date were extended two years. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were 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 1988 CLO 2 Ltd./1988 CLO 2 LLC Class A-1-R, $181.00 million: AAA (sf) Class A-R loans, $75.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R (deferrable), $36.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn 1988 CLO 2 Ltd./1988 CLO 2 LLC Class A loans to NR from 'AAA (sf)' 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 1988 CLO 2 Ltd./1988 CLO 2 LLC Subordinated notes, $49.00 million: NR NR--Not rated 245 PARK AVENUE 2017-245P: Fitch Affirms BBsf Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed seven classes of 245 Park Avenue Trust 2017-245P (245 Park Avenue Trust 2017-245P) Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Rating Outlooks for all classes have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- 245 Park Avenue 2017-245P A 90187LAA7 LT AAAsf Affirmed AAAsf B 90187LAG4 LT AA-sf Affirmed AA-sf C 90187LAJ8 LT A-sf Affirmed A-sf D 90187LAL3 LT BBB-sf Affirmed BBB-sf E 90187LAN9 LT BBsf Affirmed BBsf HRR 90187LAQ2 LT BBsf Affirmed BBsf X-A 90187LAC3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS The affirmations and the revision of all Outlooks to Stable reflect the improved occupancy and positive leasing momentum since Fitch's last rating action. In addition, the new ownership/property manager, SL Green Realty Corp. (SL Green), continues to execute on their business plan to enhance and stabilize the property, which includes incorporating additional amenities such as a fitness club and wellness center, restaurant, and rooftop bar and restaurant. Improving Occupancy: Property occupancy has improved to an estimated 89.2% from 83.3% at the prior review. Office occupancy has increased to 91.2% from 84.9% at the prior review, largely attributed to a new lease with Tradeweb Markets (4.3% of NRA) along with the expansion of Ares Management (11.9% to 16.1%) and Verition Group (2.1% to 4.1%). Fitch Net Cash Flow: Fitch's updated sustainable property NCF of $101.7 million is 11.2% above Fitch's NCF of $91.5 million at the last rating action and 1.7% below Fitch's issuance NCF of $103.5 million. Fitch's analysis incorporates leases in place per the YE 2024 rent roll, with credit for near-term contractual rent steps and tenants expected to take occupancy. Fitch's NCF also assumed a lease-up of the retail portion to an 85% occupancy from 32.4% at conservative below-market rents. The servicer-reported September 2024 NCF debt service coverage ratio (DSCR) was 1.41x compared with 1.58x in 2023, 2.09x in 2022 and 2.08x in 2021 for the interest-only loan. The decline in NCF in September 2024 and YE 2023 can be attributed to several tenants being in a free rent period and the significant drop in expense reimbursements from JPMorgan Chase Bank (previously 45% of NRA) not renewing its space at lease expiration in October 2022, and several tenants, including Societe Generale and Houlihan Lokey, executing direct leases which have reset base years for expenses. Experienced Sponsorship and Property Management: The sponsorship is a joint venture between SL Green (50.1%; BB+/Stable) and a U.S. affiliate of Mori Trust Co., Ltd. (49.9%). SL Green sold a minority interest of the property in June 2023 at a gross asset valuation of $2.0 billion. SL Green is also managing the property. The loan previously transferred to special servicing in November 2021 after the loan's borrower, which was controlled by HNA of China, filed for bankruptcy in October 2021. After litigation with the previous sponsor surrounding the bankruptcy, SL Green, which held a preferred equity position, assumed a controlling interest in the property. The loan returned to the master servicer in November 2022. High-Quality Tenancy: Creditworthy tenants account for a large portion of the property's tenancy, including Societe Generale (29.2% of NRA through October 2032; A-/F1/Stable), Ares (16.1% through June 2043; A-/Stable) and Rabobank (4.1% through September 2026; A+/F1/Stable). The property serves as the U.S. headquarters for Societe Generale and Rabobank. Other major tenants include Houlihan Lokey (10.2% through June 2034) and Angelo Gordon (8.4% through February 2031). Loan and Transaction Structure: The certificates follow a sequential-pay structure. The 245 Park Avenue Trust 2017-245P interests consist of a pari passu $380 million A-note (of an entire $1.08 billion A-note) and $120 million in subordinate B-notes. The trust loan has a debt of $673 per square foot (psf). The total debt package includes mezzanine financing in the amount of $568 million that is not included in the trust with a total debt of $991 psf. Full Term, Interest-Only Loan: The loan is interest only for the 10-year term, maturing June 2027, with a fixed-rate coupon of 3.67%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupon. Fitch Leverage: The $1.2 billion mortgage loan ($673 psf) has a Fitch DSCR and a LTV ratio of 1.00x and 88.4%, respectively, compared to the Fitch DSCR and LTV of 1.08x and 81.1%, respectively, at issuance and 0.90x and 98.3%, respectively, at the last rating action in 2024. Fitch maintained a cap rate of 7.5% from the last rating action, compared to 7.00% at issuance. High-Quality Asset; Prime Office and Retail Location: The loan is secured by a 44-story class A, LEED-Gold certified office building located on an entire block bound by Park Avenue, Lexington Avenue and 46th and 47th Streets in the Grand Central office submarket of Midtown Manhattan. Fitch Ratings assigned a property quality grade of 'A-' at issuance. The building holds a LEED-Gold designation, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur should property NCF, occupancy, and/or market conditions deteriorate beyond Fitch's view of sustainable performance. This could happen if SL Green is not able to continue to execute its business plan, evidenced by limited leasing progress and/or new leases that are signed at rates significantly below market rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the single-event risk and the current ratings reflecting Fitch's view of sustainable performance, but they are possible with significant and sustained leasing that contributes to improved Fitch sustainable NCF and if the prospects for refinancing/payoff are more certain. 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 245 Park Avenue 2017-245P has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-LRMR issued by A10 SACM 2021-LRMR as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' view that despite the delays in the business plan, the borrower continues to make meaningful progress and ultimately remains committed to achieving property stabilization. During 2024, the borrower increased its capital improvement budget by approximately $22.3 million, which is to be funded entirely out of pocket, and signed, modified, or renewed leases with 18 tenants, representing 32.3% of the property net rentable area (NRA), which were either signed at or above market rental rates and had a weighted-average lease term of nearly 8.5 years. In addition, the loan is structured with a $25.0 million limited guaranty by the sponsor, which may be terminated upon the loan meeting certain performance metrics including an average occupancy rate of 90.0% for a period of six months, a net operating income (NOI) debt yield of 9.0% for a period of three months, and a loan-to-value ratio (LTV) of 60.0% based on an updated appraisal. The loan is secured by the borrower's fee-simple and leasehold interests in Larimer Square, a 246,000-square-foot (sf) mixed-use property consisting of retail and office components in Denver. Larimer Square is a protected historic district and comprises 26 buildings, including a parking garage on 12 separate real estate tax parcels. Two of the buildings are subject to ground leases. The four-year loan paid interest-only (IO) through September 2024, at which point the loan began to amortize after failing to achieve certain performance thresholds. The loan has an initial maturity in July 2025, with two 12-month extension options available. The first extension option requires an occupancy rate of 75.0%, a NOI debt yield of 9.0% on trailing three-month basis, and an LTV requirement of 60.0% based on a new appraisal, while the second extension is based on the lender's sole discretion. As of September 2024, the property reported an occupancy of 61.7% and an NOI debt yield of 2.5% on a trailing-12 months basis, as leasing momentum has only recently gained meaningful traction. The collateral manager has indicated the borrower will not meet the extension requirements but is reportedly preparing a proposal to address the stipulations. Given the borrower's increased commitment and positive leasing momentum, Morningstar DBRS anticipates the loan extension will ultimately be approved. The fully funded loan amount of $88.7 million consisted of an initial loan balance of $61.0 million and $27.7 million of future funding, which, along with future sponsor equity totaling $30.9 million, was to be used to execute the sponsor's business plan, which includes capital improvements in order to develop the property into a 24-hour destination for the local population, while catering to office and retail demands. The renovations were initially budgeted at $30.9 million and were to be completed in three phases. Phase I consists of repairs to the roof and facades on the majority of the 26 buildings at a cost of $2.3 million. Phase II mainly consists of the redevelopment of several buildings to repurpose the space for large office tenant users at a total budgeted cost of $16.0 million. Phase III, which originally consisted of improvements to the streetscape and to the exteriors of the property, is no longer part of the scope of work. According to the collateral manager, Phase I has been completed, with work on Phase II currently in process. Through February 2025, $12.8 million (45.0%) of the future funding has been advanced to the borrower, with $14.9 million remaining for capital expenditure and tenant leasing costs. The borrower's budget for this project has increased to $53.2 million, due to increased scope of work associated with improving access to the buildings. The borrower anticipates receiving $4.4 million in historic tax credits, reducing the net budget amount to $48.8 million, with additional costs to be funded entirely out of pocket. While these additional improvements may further delay the borrower's business plan, Morningstar DBRS credits this development as a positive consideration in its analysis as it strengthens the sponsor's commitment to the property. While occupancy has remained depressed as the sponsor continues to implement its capital improvement program, leasing momentum has picked up during the last six months, with a number of long-term leases signed. According to the September 2024 rent rolls, the portfolio had an occupancy rate of 61.7%, an improvement from 50.3% in June 2023. Office tenants comprising 3.7% of NRA have signed recent leases at an average rental rate of $38.00 per square foot (psf) with tenant allowances of $150 psf. The most recent retail tenant, comprising 1.6% of NRA, signed a lease at a rental rate of $60.50 psf with tenant allowances of $60.00 psf. At issuance, Morningstar DBRS analyzed office space with a rental rate of $35.00 psf, with new and renewal leasing costs of $35.00 psf and $18.00 psf, respectively, and a rental rate of $50.00 psf for both retail and restaurant space with new and renewal leasing costs of $75.00 psf and $40.00 psf, respectively. During the next 12 months, tenants representing 9.2% of the NRA have lease expirations scheduled. According to Reis, retail properties in the Midtown/Central Business District submarket of Denver had average asking rental rates of $23.36 psf, with a vacancy rate of 6.4% and a projected five-year vacancy rate of 7.9%, while office properties had average asking rental rates of $34.85 psf with a vacancy rate of 28.9% and a projected five-year vacancy rate of 26.1%. Morningstar DBRS analyzed the loan with a stabilized vacancy rate of approximately 10.0% for the entire portfolio, which is in line with the appraiser's estimate. While net cash flow generated to date has yet to achieve a breakeven debt service coverage ratio, most recently reported at $1.7 million based on the trailing 12-month financials ended June 30, 2024, the recent leasing momentum is expected to continue as the borrower continues to execute the planned capital improvement program. As such, performance is expected to improve with updated reporting and as rental abatements burn off. For this review, Morningstar DBRS maintained its Stabilized Net Cash Flow (NCF) of $7.2 million, representing a variance of -21.1% from the sponsor's projected stabilized NCF of $9.2 million. Morningstar DBRS valued the collateral at a stabilized value of $96.4 million (fully funded LTV of 92.0%) based on the concluded NCF and a capitalization rate of 7.50%. Based on transitional nature of the property and the heavy lift required to stabilize it, Morningstar DBRS decreased its LTV thresholds by 7.5%. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 14: Moody's Assigns Ba3 Rating to $22.5MM Class E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by AGL CLO 14 Ltd. (the "Issuer"). Moody's rating action is as follows: US$310,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$51,000,000 Class B-1R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$26,250,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$31,250,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$22,500,000 Class E-R 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. AGL CLO Credit Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class 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 will be reinstated and extended. 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: $493,920,726 Defaulted par: $5,337,497 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3034 Weighted Average Spread (WAS): (before accounting for reference rate floors): 3.11% Weighted Average Recovery Rate (WARR): 46.15% Weighted Average Life (WAL): 5.52 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. AMERICAN AIRLINES 2013-1: Fitch Affirms BB Rating on Certs ---------------------------------------------------------- Fitch Ratings has affirmed American Airlines' (American) EETC transaction ratings. Loan-to-value (LTV) ratios across transactions remain adequate to pass the relevant stress scenarios, supporting the current senior certificates' ratings. Collateral coverage continues to be steady, aided by notes amortization and a secondary market that is supportive of aircraft values. Subordinate tranche ratings have been affirmed, reflecting no change to Fitch's assessment of the likelihood of affirmation for transaction since the prior rating review. Expected affirmation and liquidity features continue to support existing subordinated tranche notching from American's 'B+' Issuer Default Rating (IDR). Key Rating Drivers Class AA Affirmations: Fitch has affirmed American's 2017-2 and 2017-1 class AA certificates at 'AA' and 'AA-', respectively. The 2017-2 and 2017-1 class AA certificates pass Fitch's 'AA' level stress test with LTVs of 83% and 92%, respectively, providing sufficient headroom within their rating categories. Fitch considers the young age, high quality, and diversification of the collateral pool supportive of the ratings. Compared to 2017-2, the 2017-1 collateral is moderately weaker due to a higher proportion of Tier 2 and previous-generation Tier 1 aircraft. Class A Affirmations: Fitch has affirmed American's 2021-1, 2017-2, and former US Airways LCC 2013-1 class A certificates at 'A', and 2017-1 class A at 'A-'. All transactions remain well collateralized under Fitch's 'A' category stress scenario, with 2021-1, 2017-2 and LCC 2013-1 having better collateral coverage than 2017-1. The 2015-1 and 2014-1 class A have been affirmed at 'BBB' and 2013-1 class A at 'BB'. Significant exposure to 777-300ERs weigh on asset values for these transactions, leading to inadequate collateral coverage under Fitch's 'A' stress scenario. Fitch rates these transactions using a bottom-up approach, assigning notching uplifts for affirmation factors, the presence of a liquidity facility, and recovery prospects from American's IDR. Fitch assesses the affirmation factor for 2015-1 and 2014-1 as high, whereas, the affirmation factor for 2013-1 is considered low to moderate, reflecting 2013-1's concentration on the 777-300ERs, which Fitch considers Tier 2 aircraft. The 2015-1 and 2014-1 transactions receive a one-notch uplift from strong recovery prospects, while Fitch has not assigned recovery notching to 2013-1. LTV Summary: LTV ratios have been fairly steady across transactions, supported by notes' amortization and a supportive secondary market for aircraft values and partially offset by one-time value adjustments due to a change of an appraiser. AAL 2021-1 class A: Base Case - 58%, 'A' Stress Case - 84%; AAL 2017-2 class AA: Base Case - 40%, 'AA' Stress Case - 83%; AAL 2017-2 class A: Base Case - 58%, 'A' Stress Case - 86%; AAL 2017-1 class AA: Base Case - 42%, 'AA' Stress Case 92%; AAL 2017-1 class A: Base Case - 61%, 'A' Stress Case - 94%; AAL 2015-1: Base Case - 70%, 'BBB' Stress Case - 107%; AAL 2014-1: Base Case - 71%, 'BBB' Stress Case - 106%; AAL 2013-1: Base Case - 88%, 'BB' Stress Case - 130%; LCC 2013-1: Base Case - 41%, 'A' Stress Case - 70%. Subordinated tranche ratings: Fitch notches subordinated tranche EETC ratings from the airline IDR based on three primary variables: (1) the affirmation factor (0-3 notches); (2) the presence of a liquidity facility; (0-1 notch); and (3) recovery prospects (0-1 notch). Class B Affirmations: Fitch has affirmed American's 2024-1B(R) at 'BBB-'. The notching uplifts remain consistent with prior review, consisting of a high affirmation factor (+3) and the benefit of a paid-in-kind (PIK) feature that Fitch considers equivalent to a liquidity facility (+1). Due to the high LTV from the recent re-leveraging of class B in the 2016-1, 2015-2, and 2015-1 transactions, Fitch expects average recovery prospects for 2024-1B(R) and has not applied a recovery notching adjustment. Fitch has also affirmed 2021-1 and 2017-2 Class B certificates at 'BBB'. Both transactions receive five-notch uplifts from American's 'B+' IDR, consisting of high affirmation factors (+3), liquidity facility (+1) and strong recovery prospects (+1). Affirmation Assessments: AAL 2024-1, 2021-1, 2017-2, and 2017-1 transactions: High affirmation factor The 2024-1B(R) collateral represents an attractive and sizable portion of American's fleet, averaging nine years old. It comprises roughly 6% of the airline's narrowbody and 10% of widebody subfleet. Fitch considers a majority of its aircraft models, including 787, A321 and 737-800, as Tier 1 aircraft due to their large user base and high demand. A smaller portion, including the A319 and 777, is Tier 2. The 737-800 and A321 have a substantial presence the pool. Although newer models such as 737MAX and A321NEO could eventually replace them, Fitch believes they will continue to be workhorses in American's operations throughout the transaction's life in the next three to four years, particularly amid production delays of new technology aircraft. Collateral pools for the 2021-1, 2017-1 and 2017-2 transactions include relatively new narrowbody aircraft, including 737 MAX and A321 NEO, which are the most fuel-efficient narrowbody aircraft in American's fleet and are unlikely to be rejected in a bankruptcy. While American has a large order book of roughly 300 narrowbody aircraft over the next 10 years, the airline also operates over 300 narrowbody aircraft that are more than 15 years old and are more likely to be rejected in a restructuring scenario than the aircraft in these pools. The 2017-1 and 2017-2 also include 787s that are strategic to American's fleet strategy. AAL 2015-1 and 2014-1: High affirmation factor 2015-1 and 2014-1's collateral pools are weighted toward 777-300ERs delivered between 2012 and 2014, accounting for approximately 40% and 50% of their respective asset values. Fitch considers 777-300ER as a tier 2 aircraft due to their weak secondary market values. However, Fitch believes the aircraft will continue to have a key position in American's fleet, particularly once other widebodies such as 777-200LRs are being retired. American views 777-300ER as its premier wide-body aircraft and uses the planes on its key long-haul international routes. The high capacity and long-range capabilities of this plane make it ideal to serve slot-constrained airports such as London Heathrow, New York JFK, and Tokyo Narita. Importantly, the 300ER is the only 300+ seat aircraft in American's widebody line-up. AAL 2013-1: Low to Moderate affirmation factor Fitch views the affirmation factor for AAL 2013-1 as low-to-moderate given its small collateral size. The transaction consists of just four 777-300ERs, which Fitch views as a strategically important. However, the limited size of the pool could result in 2013-1 being easier to reject than other transactions in the event of a downturn. LCC 2013-1: Low affirmation factor Fitch views the A330s that American also placed in long-term storage as lower-quality assets. This significantly decreases the affirmation factor for LCC 2013-1, which contains a significant number of the aircraft type. Peer Analysis American Airlines' class AA ratings at 'AA' and 'AA-' are similar to British Airways' 2018-1 and Air Canada's 2017-1 class AA ratings and are generally stronger than those in United Airlines' (United) EETCs due to United's weaker LTVs, stemming from its higher exposure to 777-300ERs and aircraft that Fitch considers as Tier 2. The ratings in the 'A' and 'A-' levels compare well to transactions issued by British Airways and Air Canada and others that feature limited to sufficient levels of overcollateralization to pass Fitch's 'A' stress level. American's bottom up-rated transactions, including the class A certificates of AAL 2015-1, 2014-1 and 2013-1 and class B certificates, are generally rated lower than Air Canada's due to the differences in the airlines' IDRs. Compared to United, American's ratings are relatively in line, balanced by United's higher corporate rating and Fitch assessment of lower affirmation factors, as United's exceedingly large 2020-1 EETC reduces affirmation likelihood for its other EETCs. Key Assumptions - A harsh downside scenario in which American declares bankruptcy, chooses to reject the collateral aircraft, and where the aircraft are remarketed amid a severe slump in aircraft values. An American bankruptcy is hypothetical, and Fitch's expectation that a bankruptcy is unlikely is reflected in the company's 'B+' IDR. Fitch's models also incorporate a full draw on liquidity facilities and include assumptions for repossession and remarketing costs. - Fitch's recovery analyses for subordinated tranches use its 'BB' level stress tests and include a full draw on liquidity facilities and assumptions for repossessions and remarketing costs. - Fitch's analysis incorporates a 6% annual depreciation rate for Tier 1 aircraft, a 7% annual depreciation rate for Tier 2 aircraft, and 8% annual depreciation rate for Tier 3 aircraft. - The 'AA' stress level incorporates a 40% haircut for the B737 MAX8; a 45% haircut for the A321-200, 737-800 and 787-9; a 50% haircut for the 787-8; and a 55% haircut for the ERJ175. - The 'A' stress level incorporates a 20% haircut for the A321NEO and 737 MAX 8; a 25% haircut for the A320-200, A321-200, 737-800 and 787-9; a 30% haircut for the 787-8; a 35% haircut for the A319-100, ERJ175, 777-300ER; and a 50% haircut for the A330-200 aircraft. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Ratings for individual tranches in the 'AA', 'A' categories are primarily based on a top-down analysis of the value of the collateral. Therefore, negative rating actions could be driven by an unexpected decline in collateral values. Senior tranche ratings could also be affected by a perceived change in the affirmation factor or deterioration in the underlying airline credit. - Ratings for American Airlines' 2015-1, 2014-1 and 2013-1 class A certificates are achieved via Fitch's bottom-up approach, which serves as a rating floor. Negative rating actions could result from changes to Fitch's affirmation factor or a deterioration in American's IDR. - Subordinated tranche ratings are based on the bottom-up approach. Weakness in aircraft values may impact recovery prospects, leading to a downgrade. In addition, Fitch will downgrade subordinated tranche ratings in line with any downgrades of American's ratings and/or changes in Fitch's assessment of affirmation factor. Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The class AA and class A certificates may be upgraded if aircraft values improve, resulting in material LTV headroom within the 'AA' and 'A' level stress, respectively, and/or if American's IDR is upgraded. - Class B certificates and class A certificates rated via the bottom-up approach are unlikely to be upgraded if American's IDR is upgraded to 'BB-' as affirmation notching would decrease if the airline moved from the 'B' to 'BB' rating category. Liquidity and Debt Structure Liquidity Facilities: AAL 2024-1 The Class B certificates benefit from a payment-in-kind (PIK) feature that covers six quarterly interest payments. AAL 2021-1 The class A and B certificates feature a standard 18-month liquidity facility provided by Credit Agricole (A+/F1/Stable). AAL 2017-2 All three tranches of debt in this transaction feature 18-month dedicated liquidity facilities provided by National Australia Bank Ltd. (AA-/F1+/Stable). AAL 2017-1 The 'AA' and 'A' tranches feature 18-month dedicated liquidity facilities provided by NAB (AA-/F1+/Stable). AAL 2015-1 The 'A' tranche features an 18-month dedicated liquidity facility provided by Credit Agricole (A+/F1/Stable). AAL 2014-1 The 'A' and 'B' tranches feature an 18-month dedicated liquidity facility provided by Credit Agricole (A+/F1/Stable). AAL 2013-1 The A tranche features an 18-month dedicated liquidity facility provided by Natixis (A/F1/Stable). LCC 2013-1 The class A and class B certificates benefit from a dedicated 18-month liquidity facility. The liquidity facility provider is by Natixis(A/F1/Stable). Issuer Profile American Airlines is one of three large network air carriers in the U.S. and is one of the largest airlines in the world in terms of available seat miles. 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 Fitch does not provide separate ESG scores for American Airlines' EEETC transactions as ESG scores are derived from its parent. Entity/Debt Rating Prior ----------- ------ ----- American Airlines Pass Through Trust Certificates, Series 2013-1 senior secured LT BB Affirmed BB American Airlines Pass Through Trust Certificates Series 2017-1 senior secured LT A- Affirmed A- senior secured LT AA- Affirmed AA- American Airlines Pass Through Trust Certificates, Series 2021-1 senior secured LT A Affirmed A senior secured LT BBB Affirmed BBB American Airlines Pass Through Trust Certificates, Series 2014-1 senior secured LT BBB Affirmed BBB American Airlines Pass Through Trust Certificates Series 2017-2 senior secured LT AA Affirmed AA senior secured LT A Affirmed A senior secured LT BBB Affirmed BBB American Airlines Pass Through Certificates, Series 2024-1B(R) senior secured LT BBB- Affirmed BBB- American Airlines Pass Through Trust Series 2015-1 senior secured LT BBB Affirmed BBB US Airways 2013-1 Pass Through Trust senior secured LT A Affirmed A ANCHORAGE CAPITAL 13: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 13, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 13, Ltd. A-L-RR LT NRsf New Rating A-RR LT NRsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-RR LT BBB-sf New Rating E-RR LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Anchorage Capital CLO 13, Ltd. (the issuer), a reset transaction, is an arbitrage cash flow collateralized loan obligation (CLO) managed by Anchorage Collateral Management, L.L.C. The secured notes and subordinated notes will be refinanced on March 27, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.67, versus a maximum covenant, in accordance with the initial expected matrix point of 29. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.79% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.93% versus a minimum covenant, in accordance with the initial expected matrix point of 71.7%. 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'AAsf' for class B-RR, between 'Bsf' and A-sf' for class C-RR, and between less than 'B-sf' and 'BB+sf' for class D-RR and between less than 'B-sf' and 'B+sf' for class E-RR 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-RR, 'AAsf' for class C-RR, and 'Asf' for class D-RR and 'BBB-sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 13, 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. APIDOS CLO LII: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LII. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO LII A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO LII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, 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', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.91% first lien senior secured loans and has a weighted average recovery assumption of 73.36%. 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 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. References For Substantially Material Source Cited As Key Driver Of Rating: Date of Relevant Committee 13 March 2025 ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LII. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. APIDOS CLO LII: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to two classes of notes issued by Apidos CLO LII (the Issuer or Apidos CLO LII): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine 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. Apidos CLO LII is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bonds, high yield bonds or senior secured notes. Moody's expects the portfolio to be approximately 100% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's approximately five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2999 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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. APIDOS CLO XXIII: S&P Assigns BB- (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-1RR, C-RR, D-RR, and E-RR replacement debt from Apidos CLO XXIII/Apidos CLO XXIII LLC, a CLO managed by CVC Credit Partners U.S. CLO Management LLC that was originally issued in January 2016 and underwent a second refinancing in February 2020. At the same time, S&P withdrew its ratings on the class A-R, B-1-R, C-R, D-R, and E-R debt following payment in full on the March 26, 2025, refinancing date. S&P also affirmed its ratings on the class B-2-R and X-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Sept. 26, 2025. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-RR debt. Given the overall credit quality of the portfolio and the passing coverage tests, S&P assigned a 'BB- (sf)' rating on the class E-RR debt (the same rating as on the class E-R debt prior to withdrawal). Replacement And February 2020 Issuances Replacement debt -- Class A-RR, $320.00 million: Three-month CME term SOFR + 1.05% -- Class B-1RR, $35.00 million: Three-month CME term SOFR + 1.30% -- Class C-RR, $27.50 million: Three-month CME term SOFR + 1.75% -- Class D-RR, $27.50 million: Three-month CME term SOFR + 2.60% -- Class E-RR, $25.00 million: Three-month CME term SOFR + 5.20% February 2020 debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.48% -- Class B-1-R, $35.00 million: Three-month CME term SOFR + 1.86% -- Class C-R, $27.50 million: Three-month CME term SOFR + 2.26% -- Class D-R, $27.50 million: Three-month CME term SOFR + 3.21% -- Class E-R, $25.00 million: Three-month CME term SOFR + 6.46% 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 Apidos CLO XXIII/Apidos CLO XXIII LLC Class A-RR, $320.00 million: AAA (sf) Class B-1RR, $35.00 million: AA (sf) Class C-RR, $27.50 million: A (sf) Class D-RR, $27.50 million: BBB- (sf) Class E-RR, $25.00 million: BB- (sf) Ratings Withdrawn Apidos CLO XXIII/Apidos CLO XXIII LLC Class A-R to NR from 'AAA (sf)' Class B-1-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)' Ratings Affirmed Apidos CLO XXIII/Apidos CLO XXIII LLC Class B-2-R: 'AA (sf)' Class X-R: 'AAA (sf)' Other Debt Apidos CLO XXIII/Apidos CLO XXIII LLC Subordinated notes, $39.88 million: NR NR--Not rated. ATLAS SENIOR XVIII: Moody's Assigns Ba3 Rating to $18MM E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to four classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Atlas Senior Loan Fund XVIII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$1,066,667 Class X-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$248,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$12,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$18,000,000 Class E-R Senior 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. Crescent Capital Group LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. In addition to the issuance of the Refinancing Notes and two other classes of secured notes, the non-call period was also extended. The Issuer previously issued one other class of secured notes and one class of subordinated notes which will remain outstanding. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $395,754,871 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2869 Weighted Average Spread (WAS): 3.39% Weighted Average Coupon (WAC): 4.57% Weighted Average Recovery Rate (WARR): 46.71% Weighted Average Life (WAL): 5.22 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. AUDAX SENIOR 12: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Audax Senior Debt CLO 12 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Audax Management Co. (NY) 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 Audax Senior Debt CLO 12 LLC Class A, $211.00 million: AAA (sf) Class A-L-1(i), $25.00 million: AAA (sf) Class A-L-2(i), $25.00 million: AAA (sf) Class B, $45.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $27.00 million: BB- (sf) Subordinated notes, $59.35 million: NR (i)Both class A-L-1 and A-L-2 are loan classes that are convertible on any date into the class A notes. Such amount converted will increase the class A notes outstanding amount and decrease the class A-L-1 and/or A-L-2 loans outstanding amount. Therefore, class A notes could be increased up to a maximum of $261 million. No notes can be converted to loans. NR--Not rated. AVIS BUDGET 2023-2: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a rating of (P)Ba1 (sf) to the series 2023-2 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-2 Series 2023-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The rating assigned to the series 2023-2 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-2 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.65% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-2 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-2 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-3: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a rating of (P)Ba1 (sf) to the series 2023-3 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-3 Series 2023-3 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The rating assigned to the series 2023-3 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-3 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.75% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-3 note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-3 note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-5: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a rating of (P)Ba1 (sf) to the series 2023-5 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-5 Series 2023-5 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The rating assigned to the series 2023-5 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-5 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-5 note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-5 note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2024-2: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a rating of (P)Ba1 (sf) to the series 2024-2 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2024-2 Series 2024-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The rating assigned to the series 2024-2 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2024-2 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2024-2 note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2024-2 note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2025-1, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2025-1, Limited A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2025-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.01, versus a maximum covenant, in accordance with the initial expected matrix point of 24.25. 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 99.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.83% versus a minimum covenant, in accordance with the initial expected matrix point of 70.34%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Bain Capital Credit CLO 2025-1, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BANK 2017—BNK4: Fitch Lowers Rating on Two Tranches to 'B-sf' --------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed eight classes of BANK 2017-BNK4 commercial mortgage pass-through certificates. Classes D, E, X-D and X-E were assigned Negative Rating Outlooks following their downgrades. The Outlooks for affirmed classes A-S, B, C, and X-B were revised to Negative from Stable. Fitch has also downgraded one and affirmed 11 classes of BANK 2017-BNK5 commercial mortgage pass-through certificates series 2017-BNK5. The Outlooks for affirmed classes D, E, and X-D were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK4 A-3 06541FAZ2 LT AAAsf Affirmed AAAsf A-4 06541FBA6 LT AAAsf Affirmed AAAsf A-S 06541FBD0 LT AAAsf Affirmed AAAsf A-SB 06541FAY5 LT AAAsf Affirmed AAAsf B 06541FBE8 LT AA-sf Affirmed AA-sf C 06541FBF5 LT A-sf Affirmed A-sf D 06541FAJ8 LT BB-sf Downgrade BBB-sf E 06541FAL3 LT B-sf Downgrade BB-sf F 06541FAN9 LT CCCsf Downgrade B-sf X-A 06541FBB4 LT AAAsf Affirmed AAAsf X-B 06541FBC2 LT A-sf Affirmed A-sf X-D 06541FAA7 LT BB-sf Downgrade BBB-sf X-E 06541FAC3 LT B-sf Downgrade BB-sf X-F 06541FAE9 LT CCCsf Downgrade B-sf BANK 2017-BNK5 A-4 06541WAW2 LT AAAsf Affirmed AAAsf A-5 06541WAX0 LT AAAsf Affirmed AAAsf A-S 06541WBA9 LT AAAsf Affirmed AAAsf A-SB 06541WAU6 LT AAAsf Affirmed AAAsf B 06541WBB7 LT AA-sf Affirmed AA-sf C 06541WBC5 LT A-sf Affirmed A-sf D 06541WAC6 LT BBB-sf Affirmed BBB-sf E 06541WAE2 LT BB-sf Affirmed BB-sf F 06541WAG7 LT CCCsf Downgrade B-sf X-A 06541WAY8 LT AAAsf Affirmed AAAsf X-B 06541WAZ5 LT AA-sf Affirmed AA-sf X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.7% for BANK 2017-BNK4 which reflects an increase from 5.2% at Fitch's prior rating action, while BANK 2017-BNK5's losses are 4.5% compared with 2.7% at Fitch's prior rating action. The BANK 2017-BNK4 transaction includes nine loans (30.8% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including one specially serviced loan, Key Center Cleveland (4.1%). The BANK 2017-BNK5 transaction has six FLOCs (19.6%), including two specially serviced loans (7.7%). BANK 2017-BNK4: The downgrades on classes D, E, F, X-D, X-E and X-F reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by higher expected losses on three office loans in the pool: D.C. Office Portfolio (8.1%), One West 34th Street (7.1%) and 2200 Renaissance Boulevard (2.6%). The Negative Outlooks in BANK 2017-BNK4 reflect the potential for further downgrades should performance and submarket fundamentals for these loans not stabilize and/or with additional transfers to special servicing. Fitch performed an additional sensitivity scenario that applies a higher loss expectation on the Key Center Cleveland (4.1%) loan to reflect refinance concerns upon maturity. In addition, the pool has an elevated office concentration of 36.3%. BANK 2017-BNK5: The downgrade on class F reflects slightly higher pool loss expectations since Fitch's prior rating action with the highest contributor to loss from the specially serviced Starwood Capital Group Hotel Portfolio (7.3%). The Negative Outlooks on classes D, E, and X-D reflect the potential for future downgrades should performance of the FLOCs continue to deteriorate, particularly the specially serviced Starwood Capital Group Hotel Portfolio loan if expected losses increase due to continued value declines and/or increase in loan exposure due to higher expenses and fees. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2017-BNK4 is the D.C. Office Portfolio (8.1%) loan, which is secured by a by a portfolio comprised of three office buildings totaling 328,319-sf located within an area known as the Golden Triangle within the Washington, D.C. CBD. The tenancy is granular as the buildings are leased to approximately 100 tenants. The portfolio's major tenants include New Venture Fund (4.2% NRA; leased through January 2030), Mooney, Green, Saindon, Murphy & Welch PC (2.5% NRA; December 2030) and Hightower Holding, LLC (2.3% NRA; December 2030). Portfolio occupancy has steadily declined to 65.8% as June 2024, from 68.9% at YE 2023, and 73.7% at YE 2022 due to several smaller tenants vacating upon lease expiry. Occupancy previously declined between 2019 and 2020 due to the previous largest tenant, Liquidity Services, Inc. (previously 8.3% of NRA), vacating in March 2020. The servicer-reported portfolio NOI DSCR was 0.93x as of June 2024, compared with 1.07x at YE 2023, 1.04x at YE 2022 and 0.97x at YE 2021. The loan is currently being cash managed and reported $1.0 million or $3.1 psf in total reserves as of the February 2025 loan level reserve report. According to CoStar, the portfolio properties lie within the CBD Office Submarket of the Washington, DC market area. As of 4Q24, average rental rates were $54.43 psf and $39.93 psf for the submarket and market, respectively. Vacancy for the submarket and market was 18.0% and 16.8%, respectively. Fitch's 'Bsf' case loss of 36.9% (prior to a concentration adjustment) is based on a 9.50% cap rate and 10.0% stress to the annualized trailing-six-months ended June 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 18.2%. The second largest contributor to overall loss expectations in BANK 2017-BNK4 is the One West 34th Street (7.1%) loan, which is secured by a 215,205-sf office property located in Manhattan, New York City. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; leased through January 2034), International Inspiration (4.2%; November 2026) and Amazon (3.5%; October 2026). Property occupancy declined to 77.8% as of the December 2024 servicer-provided rent roll from 78.3% at YE 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy declined between 2023 and 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 0.94x as of the trailing-nine-months ended September 2024, compared with 1.05x at YE 2023, 0.87x at YE 2022 and 0.82x at YE 2021. The loan is currently being cash managed and reported $4.7 million or $22.4 psf in total reserves as of the February 2025 loan level reserve report. According to CoStar, the property lies within the Penn Plaza/Garment Office Submarket of the New York market area. As of 4Q24, average rental rates were $74.24 psf and $59.36 psf for the submarket and market, respectively. Vacancy for the submarket and market was 15.4% and 13.5%, respectively. Fitch's 'Bsf' case loss of 36.7% (prior to a concentration adjustment) is based on a 9.25% cap rate and 10.0% stress to the annualized trailing-nine-months ended September 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 19.3%. The third largest contributor to overall loss expectations in BANK 2017-BNK4 is the 2200 Renaissance Boulevard (2.6%) loan, which is secured by a 184,118-sf suburban office property in King of Prussia, PA. The property's major tenants include IKEA (21.4% of NRA; leased through April 2029), Ratner Prestia PC (13.0%; August 2027) and Genentech (5.5%; December 2027). Property occupancy was 69.8% as of the September 2024 servicer-provided rent roll, 64.7% at March 2024, 67.5% at September 2023, 55.6% at YE 2022 and 87.7% at YE 2022. The occupancy decline in 2022 was primarily due to previous major tenant, Liberty Mutual Insurance (previously 23.0% of NRA) and CMI Media LLC (previously 5.5% of NRA) vacating their spaces upon lease expiry, in addition to several other smaller tenants vacating the property. The vacant Liberty Mutual Insurance space was backfilled by IKEA and a lease has been executed to backfill the vacant CMI Media LLC space. The servicer-reported NOI DSCR was 1.10x as of September 2024, compared with 0.82x at YE 2023, 1.38x at YE 2022 and 1.86x at YE 2021. According to CoStar, the property lies within the King of Prussia/Wayne Office Submarket of the Philadelphia market area. As of 4Q24, average rental rates were $29.57 psf and $27.75 psf for the submarket and market, respectively. Vacancy for the submarket and market was 14.7% and 10.7%, respectively. Fitch's 'Bsf' case loss of 24.5% (prior to a concentration adjustment) is based on a 10.0% cap rate and 10.0% stress to the YE 2022 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 4.4%. The largest contributor to overall loss expectations in BANK 2017-BNK5 is the Starwood Capital Group Hotel Portfolio (7.3%) loan, which is secured by a portfolio comprised of 65 hotels totaling 6,370 keys and located across 21 states. The loan recently transferred to the special servicer in February 2025 due to imminent monetary default although the loan has remained current. According to the March 2025 servicer commentary, the servicer is negotiating modification terms with the borrower - Starwood Capital Group. Portfolio occupancy declined to 65.8% as of September 2024, from 67.2% at YE 2023, 72.7% at YE 2022 and 66.1% at YE 2021. The servicer-reported portfolio NOI DSCR was 1.61x as of September 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Fitch's 'Bsf' case loss of 28.5% (prior to a concentration adjustment) is based on a 11.50% cap rate to the YE 2023 NOI, and factors in an increased probability of default as the loan is in special servicing. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 4.6%. The second largest contributor to overall loss expectations in BANK 2017-BNK5 is the Capital Bank Plaza (2.1%) loan, which is secured by a 148,142-sf office property located in the Raleigh, NC CBD. The loan previously transferred to special servicing in February 2024 and returned to the master servicer in April 2024 as a modified loan, terms of the modification included a conversion of debt payments to interest-only for a period of 30 months, with the interest rate remaining at 4.68%. Property occupancy was 66.5% as of September 2024, compared to 49% at April 2024, from 32.7% at September 2023, and 42.4% at YE 2022. Occupancy improved as a result of the property's current largest tenant, State of North Carolina (17.8% of NRA) signing a lease which commenced in January 2024 at $29.15 psf through November 2026, the tenant also expanded its space in the property by 4.6% of NRA in May 2024. In addition, DNC Services Corporation, Inc (7.4% of NRA) signed a new lease in January 2024 at $25.14 through September 2025. The servicer-reported NOI DSCR was 0.68x as of September 2024, -0.03x in September 2023, 0.10x at YE 2022 and 0.73x at YE 2021. According to CoStar, the property lies within the Downtown Fayetteville Office Submarket of the Fayetteville NC market area. As of 4Q24, average rental rates were $20.84 psf and $21.16 psf for the submarket and market, respectively. Vacancy for the submarket and market was 3.9% and 2.8%, respectively. Fitch's 'Bsf' case loss of 30.0% (prior to a concentration adjustment) factors in an increased probability of default due to the loan's heightened maturity default risk. The third largest contributor to overall loss expectations in BANK 2017-BNK5 is the Del Amo Fashion Center (9.1%) loan, which is secured by 1.8 million-sf, anchored retail center located in Torrance, CA. Fitch's 'Bsf' case loss of 2.3% (prior to a concentration adjustment) is based on a 9.0% cap rate and 7.5% stress to the YE 2023 NOI. Increase in Credit Enhancement (CE): As of the March 2025 distribution date, the aggregate pool balances of the BANK 2017-BNK4 and BANK 2017-BNK5 transactions have been reduced by 15.9% and 19.4%, respectively, since issuance. The BANK 2017-BNK4 transaction includes ten loans (9.2% of the pool) that have fully defeased. Five loans (1.8%) are fully defeased in BANK 2017-BNK5. Interest Shortfalls: To date, the BANK 2017-BNK4 and BANK 2017-BNK5 transactions have not incurred any realized principal losses. Interest shortfalls totaling $479,773 are impacting the non-rated class G and risk retention class RRI in the BANK 2017-BNK4 transaction, and interest shortfalls totaling $42,474 are impacting the non-rated class H and risk retention class RRI in the BANK 2017-BNK5 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 the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur. A downgrade to the junior 'AAAsf' rated class with a Negative Outlook in BANK 2017-BNK4 is possible with continued performance deterioration of the FLOCs, most notably the D.C. Office Portfolio, One West 34th Street and 2200 Renaissance Boulevard (2.6%). increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible 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. BANK 2025-BNK49: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2025-BNK49 commercial mortgage pass-through certificates, series 2025-BNK49 as follows: - $13,995,000 class A-1 'AAAsf'; Outlook Stable; - $19,663,000 class A-SB 'AAAsf'; Outlook Stable; - $616,788,000a class A-5 'AAAsf'; Outlook Stable; - $0a class A-5-1 'AAAsf'; Outlook Stable; - $0ab class A-5-X1 'AAAsf'; Outlook Stable; - $0a class A-5-2 'AAAsf'; Outlook Stable; - $0ab class A-5-X2 'AAAsf'; Outlook Stable; - $650,446,000b class X-A 'AAAsf'; Outlook Stable; - $111,506,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $111,506,000b class X-B 'AAAsf'; Outlook Stable; - $45,299,000ac class B 'AA-sf'; Outlook Stable; - $0ac class B-1 'AA-sf'; Outlook Stable; - $0acb class B-X1 'AA-sf'; Outlook Stable; - $0ac class B-2 'AA-sf'; Outlook Stable; - $0abc class B-X2 'AA-sf'; Outlook Stable; - $32,754,000acd class C 'A-sf'; Outlook Stable; - $0ac class C-1 'A-sf'; Outlook Stable; - $0abc class C-X1 'A-sf'; Outlook Stable; - $0ac class C-2 'A-sf'; Outlook Stable; - $0abc class C-X2 'A-sf'; Outlook Stable; - $22,998,000cde class D-RR 'BBBsf'; Outlook Stable; - $9,292,000cd class E-RR 'BBB-sf'; Outlook Stable; - $16,261,000ce class F-RR 'BB-sf'; Outlook Stable; - $12,777,000ce class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $27,876,857ce class H-RR. (a) Exchangeable Certificates. The class class A-5, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanges for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1, A-5-X1, A-5-2 and A-5-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (b) Notional amount and interest only (c) Privately placed and pursuant to Rule 144A. (d) The approximate initial certificate balances of the class C and class D-RR certificates (and correspondingly, the initial notional amount of the class X-B certificates) are based in part on the estimated ranges of initial certificate balances and estimated fair values described in "Credit Risk Retention". The approximate initial certificate balances of the class C and class D-RR certificates are subject to change based on the final pricing of the certificates, with the ultimate initial certificate balances determined such that the aggregate fair value of the class D-RR, class E-RR, class F-RR, class G-RR and class H-RR certificates will equal at least 5% of the fair value of all of the classes of certificates issued by the issuing entity. (e) Horizontal Risk Retention Interest classes. Since Fitch published its expected ratings on March 10, 2025, the following changes have occurred. The balance for class A-5 was finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-5 class was expected to be in the range of $316,788,000 - $616,788,000, subject to a variance of plus or minus 5%. The final class balances for class A-5 is $616,788,000. At the time the expected ratings were published, class X-B was subordinate to classes A-S, B, and C. Class X-B is now subordinate to class A-S. The final ratings are based on information provided by the issuer as of March 26, 2025. Transaction Summary The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 37 fixed-rate, commercial mortgage loans with an aggregate principal balance of $929,209,857 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 65 commercial properties. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., and Wells Fargo Bank, National Association. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Rialto Capital Advisors, LLC. Computershare Trust Company, N.A. will act as trustee and certificate administrator. These certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on March 10, 2025, class A-4, along with its exchangeable certificates, was removed from the transaction structure by the issuer. At the time the expected ratings were published, the class A-4 and class A-5 initial certificate balances were unknown, and were expected to total $616,788,000 in the aggregate. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' from each of the class A-4, class A-4-1, class A-4-2, class A-4-X1, and class A-4-X2 because the class was removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 84.5% of the pool by balance, including the largest 19 loans and all of the pari passu loans in the pool. Fitch's resulting net cash flow (NCF) of approximately $107.1 million represents a 13.5% decline from the issuer's underwritten NCF of approximately $123.7 million. The NCF decline is below the 2025 YTD 10-Year average of 13.7% but above the 2024 10-Year averages of 13.2%. Investment-Grade Credit Opinion Loans: Seven loans representing 44.0% of the pool balance received an investment-grade credit opinion on a stand-alone basis. Discovery Business Center (9.7% of the pool) received a credit opinion of 'BBB-sf*', 660 Newport Center Drive (8.6% of the pool) received a credit opinion of 'BBB+sf*', Marriott World Headquarters (8.1% of the pool) received a credit opinion of 'BBB-sf*', VISA Global HQ (5.9% of the pool) received a credit opinion of 'Asf*', The Ludlow Hotel (5.0% of the pool) received a credit opinion of 'A-sf*', Soho Grand & The Roxy Hotel (3.6% of the pool) received a credit opinion of 'A-sf*', and 299 Park Avenue (3.1% of the pool) received a credit opinion of 'A-sf*'. The pool's total credit opinion percentage of 44.0% is significantly higher than the YTD 2025 and 2024 10-year averages of 5.3% and 21.4%, respectively. Office Concentration: Six loans (37.6% of pool), including five of the top ten loans (Discovery Business Center, 660 Newport Center Drive, Marriott World Headquarters, Visa Global HQ, 299 Park Avenue) are secured by office properties. This is significantly above the YTD 2025 and 2024 10-year averages for hotel concentration of 13.7% and 8.1% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline 'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2025-5YR14: Fitch Assigns 'B-(EXP)' Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch has assigned expected ratings and Rating Outlooks to BANK5 2025-5YR14 commercial mortgage pass-through certificates, series 2025-5YR14 as follows: - $5,730,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $150,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $463,376,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $619,106,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $88,444,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $44,222,000 class B 'AA-(EXP)sf'; Outlook Stable; - $33,166,000 class C 'A-(EXP)sf'; Outlook Stable; - $165,832,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $9,950,000d class D 'BBB+(EXP)sf'; Outlook Stable; - $13,488,000bd class E 'BBB-(EXP)sf'; Outlook Stable; - $23,438,000bcd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $14,151,000bde class F-RR 'BB+(EXP)sf'; Outlook Stable; - $11,055,000de class G-RR 'BB-(EXP)sf'; Outlook Stable; - $12,161,000de class J-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $38,694,752de class K-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown but expected to be $613,376,000 in aggregate subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0-$300,000,000, and the expected class A-3 balance range is $313,376,000-$613,376,000. Fitch Ratings' certificate balances for classes A-2 and A-3 reflect the midpoints of each range. In the event that the class A-3 certificates are issued at $613,376 000, the class A-2 certificates will not be issued. (b)The initial certificate balances of the class E, F-RR and class X-D certificates are unknown and will be determined based on the initial pricing of those classes of certificates. The expected class E balance range is $12,241,000-$14,744,000, the expected class F-RR balance range is $12,895,000-$15,398,000 and the expected class X-D balance range is $22,191,000-$24,694,000. (c)Notional amount and interest only. (d)Privately placed and pursuant to Rule 144a. (e) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 25 loans secured by 72 commercial properties having an aggregate principal balance of $884,437,753 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank, National Association and Bank of America, National Association. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be Torchlight Loan Services, LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 18 loans totaling 91.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $83.7 million represents a 13.5% decline from the issuer's aggregate underwritten NCF of $96.7 million. Fitch Leverage: The pool's Fitch leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.0% is lower than the 2025 YTD five-year multiborrower transaction average of 100.8% and higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.5% is higher than the 2025 YTD average of 9.6% and lower than the 2024 average of 10.2%. Higher Office Concentration: Loans secured by office properties (designated by Fitch) represent 31.5% of the pool, above the YTD 2025 and 2024 five-year multiborrower averages of 22.9% and 21.3%, respectively. Two of the five largest loans in the pool are secured by office properties. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 66.2% of the pool, which is worse than both the 2025 YTD five-year multiborrower average of 62.4% and the 2024 average of 60.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 19.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'B-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'B-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on 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. BATALLION CLO XXVIII: Fitch Assigns BB Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Battalion CLO XXVIII Ltd. Entity/Debt Rating Prior ----------- ------ ----- Battalion CLO XXVIII Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT A+sf New Rating A+(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Battalion CLO XXVIII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 74.5%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 25 February 2025 ESG Considerations Fitch does not provide ESG relevance scores for Battalion CLO XXVIII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BATTALION CLO XXII: Moody's Lowers Rating on $5.25MM F Notes to B3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Battalion CLO XXII Ltd.: US$5,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B3 (sf); previously on October 29, 2021 Assigned B2 (sf) Battalion CLO XXII Ltd., originally issued in October 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred par losses of approximately $11.6 million or 2.9% of the $400 million of initial portfolio par modeled. Additionally based on the trustee's February 2025 report [1], the weighted average rating factor (WARF) is reported at 2838 versus February 2024 level[2] of 2800. No actions were taken on the Class A notes, Class A-N notes, Class A-L Loans, Class B notes, Class C notes, Class D notes and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features, its actual over-collateralization and interest coverage levels, and the likely positive impact of a contemplated partial refinancing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations". The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $387,429,896 Defaulted par: $5,750,004 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2862 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.46% Weighted Average Coupon (WAC): 2.92% Weighted Average Recovery Rate (WARR): 45.48% Weighted Average Life (WAL): 5.6 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, lower recoveries on defaulted assets, and assuming that a contemplated partial refinancing of certain notes results in increased excess spread. Methodology Used for the Rating Action: The principal methodology used in this rating 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 Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BBCCRE TRUST 2015-GTP: Fitch Lowers Rating on 2 Tranches to 'BB+sf' ------------------------------------------------------------------- Fitch Ratings has downgraded five classes of BBCCRE Trust 2015-GTP, commercial mortgage pass-through certificates, series 2015-GTP (BBCCRE 2015-GTP) and places all five classes on Rating Watch Negative after downgrade. Entity/Debt Rating Prior ----------- ------ ----- BBCCRE 2015-GTP A 05490TAA0 LT AA-sf Downgrade AAAsf B 05490TAC6 LT BBBsf Downgrade AA-sf C 05490TAE2 LT BB+sf Downgrade A-sf X-A 05490TAN2 LT AA-sf Downgrade AAAsf X-B 05490TAQ5 LT BB+sf Downgrade A-sf KEY RATING DRIVERS Declining Portfolio Occupancy; Upcoming Loan Maturity: The downgrades reflect the anticipated decline in portfolio occupancy from confirmed lease terminations of the General Services Administration (GSA) at three of the underlying properties, contributing to a 9.5% lower Fitch sustainable net cash flow (NCF) compared to the last Fitch rating action. The loan faces significant refinance risk ahead of its maturity in August 2025 due to the ongoing and expected performance declines, a substantial outstanding debt of $660 million, GSA tenant concentration and the portfolio's vulnerability to early lease terminations. The sponsor's overall business plan is concentrated with exposure to the federal government, raising concerns about their commitment to the portfolio. The Rating Watch Negative placement reflects the heightened probability of downgrade due to the substantial downside risk linked to tenant volatility and potential further performance deterioration. If more GSA leases are terminated or if additional tenants depart without stabilization of vacant spaces, downgrades are expected. In addition, if the loan defaults prior to or at maturity, further downgrades are expected without a viable workout that preserves value and recoverability. A dramatic reduction in the U.S. government's real estate footprint would further weaken office demand and strain markets with already high vacancy rates, increasing availability and eroding rents. Lease Terminations and Upcoming Lease Expirations: Overall portfolio occupancy is projected to decline to 90.4% following the confirmed departures of three GSA tenants at the Austin, TX (5.8% of NRA; lease expired in September 2024); Miramar, FL (2.7%; June 2025); and Lawrence, MA (1.1%; June 2026) properties. There is an additional 6.9% of the portfolio NRA with leases expiring prior to YE 2026, which contribute 12.7% of rental income. Leases expirations across the portfolio include 2.8% in 2025, 4.1% in 2026, 3.4% in 2027 and 11.0% in 2028; the largest block of leases roll in 2044 (14.1%). Approximately 20.1% of the portfolio NRA comprises leases that are beyond their initial firm term, further exposing the portfolio to potential early lease terminations, as these leases can generally be terminated with 90-120 days' notice The updated Fitch NCF of $47.5 million, down 9.5% from $52.5 million at the last rating action and 12.9% below Fitch's issuance NCF of $54 million, reflects leases in place as of the most recently available December 2024 rent roll and excludes the three confirmed tenant departures, which contributes to 13.1% of the total portfolio rental income; this implies a higher Fitch vacancy assumption of 9.6% compared to 4.9% at the last rating action. The lower Fitch NCF is also attributed to increased leasing cost assumptions, reflecting softening office market conditions and continued downsize pressure on the overall GSA footprint. Fitch increased the cap rate to 9% from 8.5% at the last rating action and 8% at issuance to reflect the deteriorating office sector outlook, secondary markets of the majority of assets, and considers the amalgamation of high quality, modern, built-to-suit assets generally designed for the specific needs of the tenants. The weighted average year of construction for the portfolio is 2007, with the GSA's total investment in improvements across the portfolio at the time of issuance exceeding $157 million. GSA Tenant Concentration; Single Tenant Assets: The loan is secured entirely by a portfolio of 41 single-tenant properties, including 39 office and two industrial assets, spread across 19 states. The highest state concentrations are Florida (25.2% of the allocated loan amount), Texas (15.7%), Kentucky (6.2%) and Virginia (6.2%). The portfolio is occupied by 16 U.S. federal government (AA+/Stable) agencies via GSA leases. The leases are not subject to annual appropriations. Three agencies account for 54.7% of total portfolio rents: Federal Bureau of Investigation (FBI; 23.8%), Citizen and Immigration Services (CIS; 20.1%) and Drug Enforcement Agency (DEA; 10.9%). High Fitch Leverage: The loan has a Fitch-stressed debt service coverage ratio and loan-to-value (LTV) of 0.72x and 125.0%, respectively, compared with 0.88x and 100.6%, respectively, at the last rating action, and 0.92x and 96.8% at issuance. Sponsorship: The loan is sponsored by NGP V Fund, which is one of the nation's largest real estate investment programs focused on the acquisition and management of assets leased to U.S. governmental entities. Loan Structure: The mortgage loan is a 10-year fixed-rate, interest-only $660.0 million loan with an interest rate of 4.6%. In its analysis, Fitch applied an upward LTV hurdle adjustment due to the low coupon. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are expected without stabilization in occupancy, with additional lease terminations and/or further declines in collateral value which would increase challenges in securing financing. Weakened market fundamentals from a dramatic reduction in the U.S. federal government's real estate footprint would further weaken office demand and strain major markets with already high vacancy rates, increasing availability and eroding rents. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not likely due to the upcoming loan maturity and significant GSA tenant concentration and volatility, but may be possible with the stabilization and sustained improvement of portfolio occupancy and NCF, greater clarity around the tenant's leasing intentions and the prospect for loan refinance is certain. 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. BBCMS MORTGAGE 2025-5C33: Fitch Assigns B-sf Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C33 commercial mortgage pass-through certificates. - $3,680,000 class A-1 'AAAsf'; Outlook Stable; - $30,000,000 class A-2 'AAAsf'; Outlook Stable; - $590,967,000 class A-4 'AAAsf'; Outlook Stable; - $624,647,000 class X-A 'AAAsf'; Outlook Stable; - $98,159,000 class A-S 'AAAsf'; Outlook Stable; - $44,618,000 class B 'AA-sf'; Outlook Stable; - $32,348,000 class C 'A-sf'; Outlook Stable; - $175,125,000 class X-B 'A-sf'; Outlook Stable; - $12,269,000 class D 'BBBsf'; Outlook Stable; - $15,617,000 class E-RR 'BBB-sf'; Outlook Stable; - $15,616,000 class F-RR 'BB-sf'; Outlook Stable; - $11,154,000 class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $37,925,718 class J-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 44 loans secured by 100 commercial properties with an aggregate principal balance of $892,353,718 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., German American Capital Corporation, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, BSPRT CMBS Finance, LLC and KeyBank National Association. The master servicer is KeyBank National Association, and the special servicer is Greystone Servicing Company LLC. Computershare Trust Company, National Association is the trustee and certificate administrator. The certificates will follow a sequential paydown structure. Class A-3 and X-D were removed from the final structure by the issuer. As such, the expected rating of 'AAA(EXP)sf' for A-3 and 'BBB(EXP)sf' for X-D have been withdrawn. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 26 loans totaling 83.5% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $85.0 million represents a 14.2% decline from the issuer's underwritten aggregate pool NCF of $99.0 million. Higher Fitch Leverage: The pool has higher leverage compared to recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 101.1% is worse than the 2024 and 2023 averages of 95.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is lower than the 2024 and 2023 averages of 10.2% and 10.6%, respectively. Investment-Grade Credit Opinion Loans: One loan, representing 5.8% of the pool, received an investment-grade credit opinion. Project Midway (5.8%) received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is lower than both the 2024 average of 12.6% and the 2023 average of 14.6% for Fitch-rated five-year multiborrower transactions. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 103.1% and 9.5%, respectively, compared with the equivalent 2024 LTV and DY averages of 99.1% and 9.9%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 55.9% of the pool, which is lower than the 2024 level of 60.2% and 2023 level of 65.3%. The pool's effective loan count of 30.7 is higher than the 2024 and 2023 average effective loan count of 22.7 and 19.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BB+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-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BDS 2025-FL14: Fitch Assigns 'B-sf' Final Rating on Class G Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the BDS 2025-FL14 LLC notes as follows: Entity/Debt Rating Prior ----------- ------ ----- BDS 2025-FL14 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf B-E LT AA-sf New Rating AA-(EXP)sf B-X LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf C-E LT A-sf New Rating A-(EXP)sf C-X LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf D-E LT BBBsf New Rating BBB(EXP)sf D-X LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf E-E LT BBB-sf New Rating BBB-(EXP)sf E-X LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf Income Notes LT NRsf New Rating NR(EXP)sf - $460,000,000a class A 'AAAsf'; Outlook Stable; - $86,000,000a class A-S 'AAAsf'; Outlook Stable; - $57,000,000a class B 'AA-sf'; Outlook Stable; - $0ac class B-E 'AA-sf'; Outlook Stable; - $0ad class B-X 'AA-sf'; Outlook Stable; - $46,000,000ab class C 'A-sf'; Outlook Stable; - $0ac class C-E 'A-sf'; Outlook Stable; - $0ad class C-X 'A-sf'; Outlook Stable; - $30,000,000ab class D 'BBBsf'; Outlook Stable; - $0ac class D-E 'BBBsf'; Outlook Stable; - $0ad class D-X 'BBBsf'; Outlook Stable; - $14,000,000ab class E 'BBB-sf'; Outlook Stable; - $0ac class E-E 'BBB-sf'; Outlook Stable; - $0ad class E-X 'BBB-sf'; Outlook Stable; - $28,000,000e class F 'BB-sf'; Outlook Stable; - $20,000,000e class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $59,000,000ef Income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes: The class B, class C, class D and class E notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions; provided that at the time of the exchange, such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the exchangeable notes, received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT Interest-Only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 7.375% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $701,201,076 and does not include future funding. Transaction Summary The primary assets of the trust are 18 loans secured by 23 commercial properties with an aggregate principal balance of $701,021,076 as of the cut-off date, including one delayed-close loans totaling $49 million. The pool also includes ramp-up collateral interest of approximately $98,978,924. The pool does not include $6.1 million of future funding. The loans were contributed to the trust by BDS V Loan Seller LLC. Since this deal was published on Feb. 18, 2025, Fitch has been informed that Trimont LLC (Trimont) is expected to replace Wells Fargo Bank, National Association (Wells Fargo Bank) as the servicer and the special servicer, following Trimont's acquisition of the non-agency third party segment of Wells Fargo Bank's commercial mortgage servicing business (CMS). If the acquisition is delayed beyond the closing date, Wells Fargo Bank will continue to act as servicer and special servicer until the acquisition is completed or indefinitely, if the acquisition fails to close. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis on 10 loans totaling 65.0% of the pool by balance. Fitch's resulting NCF of $26.2 million represents a 7.7% decline from the issuer's underwritten NCF of$28.4 million, excluding loans for which Fitch conducted an alternate value analysis. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 144.1% is higher than the 2025 YTD CRE CLO average and 2024 CRE CLO average of 138.6% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.9% is lower than the 2025 YTD CRE CLO and 2024 CRE CLO average of 6.3% and 6.5%, respectively. Average Pool Concentration: The pool's concentration is comparable to that of recently rated Fitch CRE CLO transactions. The top 10 loans account for 69.5% of the pool, which is slightly lower than the 2024 CRE CLO average of 70.5%, but higher than the 2025 YTD average of 57.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.0 (given partial credit to the ramp cash-collateral interest). Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.0%, as 100.0% of the pool consists of interest‐only loans. The pool's percentage paydown of 0.0% is worse than the 2025 YTD CRE CLO average and the 2024 CRE CLO average of 0.3% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf' /'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf' /'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BELLEMEADE RE 2022-2: Moody's Ups Rating on Cl. M-2 Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds from three US mortgage insurance-linked note (MILN) transactions issued by Bellemeade Re. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bellemeade Re 2021-3 Ltd. Cl. M-1B, Upgraded to Aaa (sf); previously on Jun 12, 2024 Upgraded to Aa2 (sf) Cl. M-1C, Upgraded to Aa1 (sf); previously on Jun 12, 2024 Upgraded to A2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Jun 12, 2024 Upgraded to Baa3 (sf) Issuer: Bellemeade Re 2022-1 Ltd Cl. M-1B, Upgraded to Aa1 (sf); previously on Jun 12, 2024 Upgraded to A3 (sf) Cl. M-1C, Upgraded to A3 (sf); previously on Jun 12, 2024 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 12, 2024 Upgraded to Ba3 (sf) Issuer: Bellemeade Re 2022-2 Ltd. Cl. M-1A, Upgraded to A2 (sf); previously on Sep 30, 2022 Definitive Rating Assigned Baa3 (sf) Cl. M-1B, Upgraded to Ba1 (sf); previously on Sep 30, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Sep 30, 2022 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .04% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 41.9% for the tranches upgraded. No action was taken on the other rated class in these deals because the expected loss on the bond remains commensurate with the current rating, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BENCHMARK 2019-B12: Fitch Lowers Rating on Two Tranches to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded 12 and affirmed five classes of Benchmark 2019-B11 Mortgage Trust (BMARK 2019-B11). Negative Rating Outlooks were assigned to classes A-S, X-A, B, C, X-B, and D following their downgrades. Fitch has downgraded 10 and affirmed five classes of Benchmark 2019-B12 Mortgage Trust (BMARK 2019-B12). Negative Outlooks were assigned to classes A-S, X-A, B, C, X-B, D, E, and X-D following their downgrades. Fitch has also downgraded 11 and affirmed four classes of Benchmark 2019-B13 Mortgage Trust (BMARK 2019-B13). Negative Outlooks were assigned to classes A-M, X-A, B, C, X-B, D, E, and X-D following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2019-B12 A-2 08162FAB9 LT AAAsf Affirmed AAAsf A-3 08162FAC7 LT AAAsf Affirmed AAAsf A-4 08162FAD5 LT AAAsf Affirmed AAAsf A-5 08162FAF0 LT AAAsf Affirmed AAAsf A-AB 08162FAE3 LT AAAsf Affirmed AAAsf A-S 08162FAG8 LT AAsf Downgrade AAAsf B 08162FAH6 LT A-sf Downgrade AA-sf C 08162FAJ2 LT BBsf Downgrade BBBsf D 08162FAN3 LT B+sf Downgrade BB+sf E 08162FAP8 LT B-sf Downgrade BB-sf F-RR 08162FAQ6 LT CCCsf Downgrade B-sf G-RR 08162FAR4 LT CCsf Downgrade CCCsf X-A 08162FAK9 LT AAsf Downgrade AAAsf X-B 08162FAL7 LT BBsf Downgrade BBBsf X-D 08162FAM5 LT B-sf Downgrade BB-sf BMARK 2019-B13 A-2 08162DAB4 LT AAAsf Affirmed AAAsf A-3 08162DAD0 LT AAAsf Affirmed AAAsf A-4 08162DAE8 LT AAAsf Affirmed AAAsf A-M 08162DAG3 LT AAsf Downgrade AAAsf A-SB 08162DAC2 LT AAAsf Affirmed AAAsf B 08162DAH1 LT Asf Downgrade AA-sf C 08162DAJ7 LT BBB-sf Downgrade A-sf D 08162DAR9 LT BBsf Downgrade BBBsf E 08162DAT5 LT Bsf Downgrade BBsf F 08162DAV0 LT CCCsf Downgrade Bsf G-RR 08162DAX6 LT CCsf Downgrade CCCsf X-A 08162DAF5 LT AAsf Downgrade AAAsf X-B 08162DAK4 LT BBB-sf Downgrade A-sf X-D 08162DAM0 LT Bsf Downgrade BBsf X-F 08162DAP3 LT CCCsf Downgrade Bsf Benchmark 2019-B11 A-2 08162BBB7 LT AAAsf Affirmed AAAsf A-3 08162BBC5 LT AAAsf Affirmed AAAsf A-4 08162BBD3 LT AAAsf Affirmed AAAsf A-5 08162BBE1 LT AAAsf Affirmed AAAsf A-S 08162BBJ0 LT AA-sf Downgrade AAAsf A-SB 08162BBF8 LT AAAsf Affirmed AAAsf B 08162BBK7 LT A-sf Downgrade AA-sf C 08162BBL5 LT BBB-sf Downgrade A-sf D 08162BAJ1 LT Bsf Downgrade BB+sf E 08162BAL6 LT CCCsf Downgrade B+sf F 08162BAN2 LT CCsf Downgrade CCCsf G 08162BAQ5 LT Csf Downgrade CCsf X-A 08162BBG6 LT AA-sf Downgrade AAAsf X-B 08162BBH4 LT BBB-sf Downgrade A-sf X-D 08162BAA0 LT CCCsf Downgrade B+sf X-F 08162BAC6 LT CCsf Downgrade CCCsf X-G 08162BAE2 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.0% in BMARK 2019-B11, 7.1% in BMARK 2019-B12, and 7.9% in BMARK 2019-B13, compared to 5.5%, 4.6%, and 4.9%, respectively, at the prior rating action. Fitch Loans of Concerns (FLOCs) include 11 loans (25.3% of the pool) in BMARK 2019-B11, including four specially serviced loans (8.0%), 13 loans (34.6%) in BMARK 2019-B12, including six specially serviced loans (17.1%), and eight loans (28.5%) in BMARK 2019-B13, including four specially serviced loans (9.6%). BMARK 2019-B11: The downgrades in the BMARK 2019-B11 transaction reflect higher pool loss expectations since the prior rating action, primarily driven by updated appraisal values for specially serviced loans, including 57 East 11th Street (2.0%) and One Parkway North (1.1%), and continued underperformance of office FLOCs Weston I & II (4.8%) and Central Tower Office (3.4%). The Negative Outlooks in BMARK 2019-B11 reflect the high office concentration at 47.3%. It also reflects the potential for further downgrades should recovery prospects on the specially serviced loans worsen and/or performance on the office FLOCs continues to deteriorate beyond Fitch's current expectations. BMARK 2019-B12: The downgrades in the BMARK 2019-B12 transaction reflect higher pool loss expectations since the prior rating action, driven by performance deterioration of FLOCs, including The Zappettini Portfolio (6.0%), Hampton Inn Denver Airport (1.2%), and Corporate Ridge I (0.8%). The Negative Outlooks in BMARK 2019-B12 reflect the recent transfers of The Zappettini Portfolio and the Hampton Inn Denver Airport loans to special servicing and the potential for further downgrades if recoveries for these specially serviced loans are lower than expected and/or performance of office FLOCs, including 250 Livingston (4.6%), Corporate Ridge I, and New York Life Building (0.7%), continues to deteriorate beyond current expectations. BMARK 2019-B13: The downgrades in the BMARK 2019-B13 transaction reflect higher overall pool losses since the prior rating action, driven by the valuation decline on 900 & 990 Stewart Avenue (5.0%), performance deterioration of FLOCs, including the largest loan in the transaction, Sunset North (8.3%), and the specially serviced Northpoint Tower (2.8%), and increasing loan exposure for Hotel Indigo Birmingham (1.0%). The Negative Outlooks in BMARK 2019-B13 reflect the pool's office concentration of 26.7% and potential further downgrades if the performance of the FLOCs do not stabilize and/or workouts are prolonged for the specially serviced loans, resulting in higher-than-expected losses. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action in the BMARK 2019-B11 transaction is the One Parkway North loan (1.1%), which is secured by the leasehold interest of a 258,658-sf five-story office building located in Deerfield, IL. The loan transferred to special servicing in May 2024 due to maturity default. The property is subject to a ground lease expiring in December 2116. The ground lease payments are approximately $2.1 million, which represented 25% of the gross revenue in 2023. The largest tenant, Essendant Co. (77.2% of the NRA; 92.4% of the base rent; lease expires in October 2027) has proposed either downsizing with reduced rent or to vacating entirely, according to the servicer. If the tenant departs, the occupancy and Net Operating Income (NOI) debt service coverage ratio (DSCR) would decline to 6.7% and 0.57x, respectively. Fitch's analysis reflects a full loss that incorporates the most recent appraisal value and accounts for the leasehold interest in the collateral, escalating ground rent payments that comprise a significant portion of total expenses, and potential loss of or downsizing by the major tenant. The second-largest increase in loss expectations since the prior rating action in the BMARK 2019-B11 transaction is the 57 East 11th Street loan (2.0%), which is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The property was formerly 100% occupied by WeWork. The servicer noted that WeWork stopped paying rent in October 2023 and is no longer operating at the subject after rejecting the lease during bankruptcy proceedings. The loan transferred to special servicing in February 2024 due to payment default. As of December 2024, the property remained vacant. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 69.7% reflects the most recent appraisal value, which is equal to approximately $275 psf. The largest increase in loss expectations since the prior rating action and the largest contributor to expected losses in the BMARK 2019-B12 transaction is The Zappettini Portfolio loan (6.0%), which is secured by a portfolio of 10 office buildings totaling 251,716-sf in Mountain View, CA. The loan transferred to special servicing in June 2024 due to maturity default. Property performance has continued to decline due to the departure of multiple tenants. Occupancy in September 2024 fell to 68% from 88% in September 2023 and 88% at YE 2022. As of September 2024, the servicer-reported NOI DSCR declined to 1.37x from 1.71x as of September 2023 and 1.56x at YE 2022. Fitch's 'Bsf' rating case loss of 38.2% (prior to concentration adjustments) reflects a 9.25% cap rate and 20% stress to the TTM September 2024 NOI and factors in a higher probability of default to account for continued performance deterioration and the loan's specially serviced status. The largest increase in loss expectations since the prior rating action and the largest contributor to expected losses in the BMARK 2019-B13 transaction is the Sunset North loan (8.3%), which is secured by a three building, 464,062-sf office complex located in Bellevue, WA. According to CoStar, the complex has 62.3% of the NRA total available space. This includes the entire space of the largest tenant, Intellectual Ventures (33.1% of the NRA; lease expires in May 2025) and the fourth-largest tenant, Farmers New World Life Insurance (13.0%; lease expires in May 2029). Additionally, per CoStar, as of 4Q24, the I-90 Corridor office submarket of Bellevue had a vacancy rate of 42.4% and an availability rate of 43.2%. Fitch's 'Bsf' rating case loss of 28.4% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the TTM June 2024 NOI and factors a higher probability of default, given the concerns related to the concentrated near-term rollover and weak submarket conditions. The second-largest increase in loss expectations since the prior rating action in the BMARK 2019-B13 transaction is the Northpoint Tower loan (2.8%), which is secured by an 873,335-sf office property in Cleveland, OH. The loan transferred to special servicing in September 2024 due to maturity default. According to the servicer, an updated appraisal is in process. Major tenants at the property include Jones Day (39.3% of the NRA; lease expires in June 2026), GSA - Dept of Health (5.5%; lease expires in October 2028), and Ernst & Young (5.1%; lease expires in November 2030). Jones Day is required to provide a 12-month notice prior to lease expiration (by June 2025) if they intend to vacate. Otherwise, cash management is triggered. According to the servicer, negotiations for the lease renewal are currently underway. As of September 2024, the property was 79% occupied, compared with 81% at YE 2023 and 79% at YE 2022. The servicer-reported NOI DSCR was 3.13x as of September 2024, which compares with 3.12x at YE 2023 and 2.82x at YE 2022. Upcoming rollover includes 11.1% of the NRA in 2025 and 45.5% in 2026, which includes the largest tenant, Jones Day. Fitch's 'Bsf' rating case loss of 34.6% (prior to concentration adjustments) reflects a 10.5% cap rate, 20% stress to YE 2023 NOI and factors in a higher probability of default given the concerns with rollover and the loan's specially serviced status. The third-largest increase in loss expectations since the prior rating action in the BMARK 2019-B13 transaction is the 900 & 990 Stewart Avenue (5%), which is secured by a 462,615-sf suburban office property located in Garden City, NY. The loan transferred to special servicing in August 2024 due to maturity default. The largest tenants include Aon (13%; August 2028), Wright Risk Management (8.1%; March 2029), and Meyer, Suozzi, English, and Klein (7.0%; March 2030). The servicer is dual tracking foreclosure and workout discussions. Fitch's 'Bsf' rating case loss of 24.6% (prior to concentration adjustments) reflects a haircut to the most recent appraisal value from September 2024 equating to a stressed value of approximately $137 psf. Increased Credit Enhancement (CE): As of the February 2025 distribution date, the aggregate balances of the BMARK 2019-B11, BMARK 2019-B12 and BMARK 2019-B13 transactions have been reduced by 8.9%, 6.6% and 5.1%, respectively, since issuance. Two loans (1.6% of the pool) in the BMARK 2019-B11 transaction are fully defeased. No loans in the other two transactions are defeased. The BMARK 2019-B11 transaction has 21 (78.2%) full-term, interest-only (IO) loans and 16 (21.8%) loans that are currently amortizing. The BMARK 2019-B12 transaction has 26 (82.2%) full-term, interest-only (IO) loans and 18 (17.8%) loans that are currently amortizing. The BMARK 2019-B13 transaction has 22 (69.6%) full-term, IO loans and 15 (30.4%) loans that are currently amortizing. Cumulative interest shortfalls of $1,944,916 are affecting the non-rated class H in the BMARK 2019-B11 transaction, $626,313 are affecting the non-rated class J-RR in the BMARK 2019-B12 transaction, and $377,580 are affecting the non-rated class H-RR in the BMARK 2019-B13 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Further downgrades to the sub-senior classes currently on Rating Outlook Negative are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the office FLOCs. These FLOCs include One Parkway North, 57 East 11th Street, Central Tower Office and Weston I & II in BMARK 2019-B11, The Zappettini Portfolio, Hampton Inn Denver Airport and Corporate Ridge I in BMARK 2019-B12, and 900 & 990 Stewart Avenue, Northpoint Tower, Sunset North and Hotel Indigo Birmingham in BMARK 2019-B13. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the aforementioned FLOCs/specially serviced loans, deteriorate further or fail to stabilize. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and improved performance and/or valuations on the FLOCs/specially serviced loans. This includes One Parkway North, 57 East 11th Street, Central Tower Office and Weston I & II in BMARK 2019-B11, The Zappettini Portfolio, Hampton Inn Denver Airport and Corporate Ridge I in BMARK 2019-B12, and 900 & 990 Stewart Avenue, Northpoint Tower, Sunset North and Hotel Indigo Birmingham in BMARK 2019-B13. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to 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 2020-IG2: Fitch Lowers Rating on Class C Certs to 'BB-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed five classes of Benchmark 2020-IG2 Mortgage Trust, commercial mortgage pass-through certificates series 2020-IG2 (BMARK 2020-IG2). The Rating Outlook for classes A-M and X-A were revised to Negative from Stable. After the rating downgrade, classes B and C were assigned a Negative Outlook. Entity/Debt Rating Prior ----------- ------ ----- BENCHMARK 2020-IG2 A-1 08162NAU0 LT AAAsf Affirmed AAAsf A-2 08162NAB2 LT AAAsf Affirmed AAAsf A-3 08162NAD8 LT AAAsf Affirmed AAAsf A-M 08162NAK2 LT AAAsf Affirmed AAAsf B 08162NAM8 LT A-sf Downgrade AA-sf C 08162NAP1 LT BB-sf Downgrade BBB-sf X-A 08162NAF3 LT AAAsf Affirmed AAAsf Transaction Summary The transaction consists of 10 fixed-rate commercial mortgage loans (down from 12 at issuance) secured by first-mortgage liens. Office properties represent approximately 96% of the collateral. Fitch performed an updated cash flow analysis for each loan factoring recent and projected performance. Four of the 10 loans (1501 Broadway, Tower 333, City National Plaza and 55 Hudson Yards), which received investment grade credit opinions at issuance, are generally still performing in line with issuance expectations and maintain their investment grade credit opinions. Due to performance declines, the 525 Market Street, 225 Bush, 181 West Madison and 1633 Broadway loans (combined, 28.6% of the pool) are not considered to have credit characteristics consistent with an investment-grade credit opinion. Fitch's sustainable NCF has been revised lower for the Moffett Towers (12.9% of the pool) loan due to upcoming rollover and is also not considered to have an investment grade credit opinion. KEY RATING DRIVERS Paydown; Continued Performance Declines: The affirmation of the 'AAAsf' rated classes reflects paydown from the Chase Center Towers loans resulting in pool balance reduction of 15.8% and increased credit enhancement. The downgrades reflect Fitch's reassessment of lower long-term sustainable net cash flows (NCF) and declines to Fitch stressed valuations, particularly for Moffett Towers Buildings A, B and C (Moffett Towers), 525 Market Street, 225 Bush and 181 Madison. The Negative Outlooks account for potential further downgrades of up to one category should NCF and/or submarket conditions deteriorate beyond Fitch's current view of sustainable performance, including limited leasing momentum and lack of property stabilization over the next one to two years for Moffett Towers, 525 Market and 181 Madison and/or a value decline for 225 Bush that is worse than expected. Additionally, there are rating concerns with the Stonemont Net Lease Portfolio (11% of the pool), given office property concentration and uncertainty regarding the workout and resolution of the loan (the borrower failed to pay off the trust loan and other non-trust components at its final extended maturity in January 2025. Fitch Loans of Concern: The largest decline in sustainable Fitch NCF from the last rating action is the Moffett Towers loan (12.9% of the pool), which is collateralized by three LEED Gold office buildings totaling 951,498 sf in Sunnyvale, CA. The property is part of a larger seven-building campus that includes 2.0 million-sf of office space, a 48,207-sf amenities facility, an outdoor common area space and four parking structures. The property is 100% leased to four tenants with Google leasing 85.7% of the NRA with staggered lease expirations from 2026 to 2030 and Comcast (rated A-) leasing 11.7% of the NRA with a lease expiration in 2027. All of the space occupied by Google is dark and listed for sublease. Fitch anticipates that Google will vacate their space as leases expire. The loan includes a cash flow sweep capped at $45 psf if Google fails to renew or extend its lease nine months prior to each respective lease expiration, with the nearest expiration in June 2026 for 317,166-sf (33% of total NRA) in Building A. In its analysis, Fitch assumed a higher vacancy of 15% due to the dark space, near-term lease rollover and to align with the submarket. As of 1Q25, CoStar reports a vacancy rate of 15.4% for similar quality assets in the Moffett Park submarket. Fitch also applied a stressed capitalization rate of 8.75% (up from 8% at issuance) resulting in a Fitch-stressed valuation decline approximately 50% below the issuance appraisal; this decline in value mirrors a similar decrease observed for another building (non-collateral Building D) within the Moffett Towers campus. The second largest decline in Fitch sustainable NCF from the last rating action is the 225 Bush loan (4.7%), which is secured by a 579,987-sf office property located in San Francisco, CA. The loan is flagged as a FLOC due to the declining occupancy since issuance, sponsor's inability to backfill increasing vacancies and the loan's specially serviced status due to a failure to refinance at the November 2024 maturity. According to the servicer, the sponsor is not interested in retaining the property or executing a loan modification. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. Additionally, tenant Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration, causing occupancy to decline to 40% as of June 2024 compared to 47% at December 2023, 55% at December 2022 and 97.8% at issuance. According to Costar as of 1Q25, the submarket vacancy, and asking rents were reported at 30.5% $50.85 psf, respectively; these metrics have significantly worsened from 8.1% and $75.29 at the time of issuance. The updated Fitch NCF of $10.6 million is 11% below Fitch's NCF at the prior review and 54% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2024 rent roll and also assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up to a discounted rate below in-place rents and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's analysis incorporated a higher stressed capitalization rate of 9%, up from 8.75% at the prior rating action and 7.75% at issuance, to factor increased office sector and submarket performance concerns, resulting in a Fitch-stressed valuation decline that is approximately 80% below the issuance appraisal. The Fitch value/sf is in line with recent comparable sales in the market for similar quality assets. For 181 West Madison (2.6%), the updated Fitch NCF of $11.7 million is 10.6% below Fitch's prior rating action NCF of $13.1 million, and 19.4% below Fitch's issuance NCF of $16.2 million. The updated Fitch NCF reflects a higher vacancy assumption of 22% given the elevated submarket availability rates and greater uncertainty surrounding the largest tenant's (Northern Trust; 42% of the NRA) commitment to the property, evidenced by its short-term lease extension and recent available space listing. Fitch's analysis incorporated a capitalization rate of 9.50%, resulting in a Fitch-stressed valuation decline approximately 67% below the issuance appraisal. The Stonemont Net Lease Portfolio loan (13%) transferred to special servicing in January 2025 for imminent maturity default when borrower failed to pay off the trust loan and other non-trust components at its final extended maturity in January 2025. The trust holds a $55 million senior fixed rate component which is pari passu with $241.3 million non-trust senior fixed rate components. Additionally, there is a subordinate $351.3 million non-trust fixed rate component and non-trust $17.1 million floating rate component outstanding. The portfolio is comprised of 40 properties (66 properties at issuance) located across 13 different states and leased to 11 unique tenants. Office properties represent approximately 96% of remaining NRA and 92% of recent base rent. Fitch's analysis incorporated a higher vacancy assumption due to dark and subleased space and a stressed capitalization rate of 10.0%, up from 9.0% at issuance. Fitch's NCF is $39.3 million which is 28% below the servicer reported TTM June 2024 portfolio NCF. Per recent reporting, the special servicer is dual tracking the exercise of remedies along with continuing negotiations with the borrower. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure but may occur if sustained performance declines occur and additional loans default. Downgrades of up to one category for the classes with Negative Outlooks are likely should property occupancy and/or net cash flow fail to improve and/or decline further, particularly for 525 Market and 181 West Madison. Additional factors that would lead to downgrades include the Stonemont Net Lease Portfolio senior components being unbale to de-lever via asset sales or refinance, there is sustained property occupancy declines for Moffett Towers indicating a change to the property's position in the market and/or updated values for 225 Bush are lower than current expectations. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are currently not expected but are possible with significant and sustained improvement in occupancy and net cash flow, particularly for the 525 Market Street and 181 West Madison, and stabilization of performance, including future lease up of vacancies at rates at or above Fitch's expectations and/or repayment of the Stonemont Net Lease Portfolio loan. 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-V14: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch has assigned expected ratings and Rating Outlooks to Benchmark 2025-V14 Mortgage Trust Commercial Mortgage Pass-Through Certificates series 2025-V14 as follows: - $2,019,000 class A-1 'AAAsf'; Outlook Stable; - $18,500,000 class A-2 'AAAsf'; Outlook Stable; - $300,000,000a class A-3 'AAAsf'; Outlook Stable; - $336,951,000a class A-4 'AAAsf'; Outlook Stable; - $759,613,000b class X-A 'AAAsf'; Outlook Stable; - $102,143,000 class A-M 'AAAsf'; Outlook Stable; - $45,788,000 class B 'AA-sf'; Outlook Stable; - $37,570,000 class C 'A-sf'; Outlook Stable; - $83,358,000b class X-B 'A-sf'; Outlook Stable; - $11,365,000c class D 'BBB+sf'; Outlook Stable; - $11,365,000bc class X-D 'BBB+sf'; Outlook Stable; - $20,334,000cd class E-RR 'BBB-sf'; Outlook Stable; - $14,089,000cd class F-RR 'BBsf'; Outlook Stable; - $15,263,000cd class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $35,221,692cd class J-RR. (a)The initial certificate balances of class A-3 and class A-4 are unknown and expected to be $636,951,000 in aggregate, subject to a 5% variance. The certificate balance will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $0 to $300,000,000, and the expected class A-4 balance range is $336,951,000 to $636,951,000. Fitch's certificate balance for classes A-3 and A-4 reflect the high and low point of each range, respectively. (b)Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 35 loans secured by 61 commercial properties having an aggregate principal balance of $939,243,693 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc. and Bank of Montreal. The master servicer is expected to be Midland Loan Services, a division of PNC Bank, National Association and the special servicer is expected to be Greystone Servicing Company LLC. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed detailed cash flow analysis for 21 loans in the pool (60.0% by balance) and asset summary reviews of all the loans in the pool. Fitch's aggregate net cash flow (NCF), including the prorated trust portion of any pari passu loan, is $428.6 million, which represents a 17.0% decline from the issuer's aggregate underwritten net cash flow NCF of $516.2 million. Higher Fitch Leverage: The pool has leverage in line with recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.6% is slightly better than the 2025 YTD five-year multiborrower transaction average of 100.3% but higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.3% is weaker than both the five-year YTD 2025 and 2024 five-year averages of 9.9% and 10.2%, respectively. Higher Office Concentration: Loans secured by office properties (designated by Fitch) represent 32.0% of the pool are above the YTD 2025 and 2024 averages, both reported at 21.3%. In particular, the office concentration includes three of the largest four loans. Investment Grade Credit Opinion Loans: Four loans representing 16.8% of the pool balance received investment-grade credit opinions. Project Midway (7.5% of pool) received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. The Spiral (4.3% of pool) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. Uber Headquarters (3.2% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. Herald Center (1.9% of pool) received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than both the 2025 YTD average of 11.0% and the 2024 average of 12.6% for Fitch-rated five-year multiborrower transactions. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributable to the shorter window of exposure to potentially adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each 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. BHG SECURITIZATION 2025-1CON: Fitch Assigns BBsf Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by BHG Securitization Trust 2025-1CON (BHG 2025-1CON). Entity/Debt Rating Prior ----------- ------ ----- BHG Securitization Trust 2025-1CON A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf Transaction Summary The BHG 2025-1CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). This is BHG's second 100% consumer loan securitization. BHG 2025-1CON is the 10th ABS transaction sponsored by BHG and the sixth rated by Fitch. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2025-1CON pool has a weighted average (WA) FICO score of 736; 1.39% of the borrowers have a score below 661 and 41.04% have a score higher than 740. The WA original term of 100 months is higher than 91 months in BHG 2024-1CON. Default Assumption Reflects Loan and Borrower Characteristics: The base case default assumption based on the pool is 13.80%. The default assumption was established by BHG's proprietary risk grade and loan term. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. While through-the-cycle loan performance and characteristics were reviewed, Fitch also considered the recent performance trends in deriving the base case. For certain segments, primarily the longer-term loans, if the loans did not have significant historical performance data, Fitch considered the segment's equivalent historical commercial loan performance. Fitch adopted this approach due to the similar borrower characteristics and BHG's comparable underwriting policies for the guarantor of commercial loans. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 57.10%, 23.30%, 12.55%, 4.30% and 1.50% for class A, B, C, D and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x, the base case default rate for consumer loans. Fitch revised the multiple from the 4.50x applied to BHG 2024-1CON due to higher absolute value of the base case assumption and increased data availability, which indicates improved performance in consumer loans compared to previous pools that predominantly consisted of commercial loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG capable to service this transaction. Other counterparty risks are mitigated through the transaction structure, and such provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: BHG, similar to peers, purchases consumer loans originated by partner banks — in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are successful challenges to the true lender status, the consumer loans and certain commercial loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If any such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2025-1CON's consumer loans originated at interest rates below the borrower state's usury rate but views the longer WA remaining loan term of 98 months as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trusts performance. An additional sensitivity run of lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Increased default base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+'; Increased default base case by 25%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 50%: 'AA-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and the potential for upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class C, D and E notes could be upgraded by one category. Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BIRCH GROVE 12: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Birch Grove CLO 12 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 12 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Birch Grove CLO 12 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $475 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 95.36% first-lien senior secured loans and has a weighted average recovery assumption of 73.83%. 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 five-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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Birch Grove CLO 12 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. BLP COMMERCIAL 2025-IND: Moody's Gives Ba1 Rating to Cl. HRR Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by BLP Commercial Mortgage Trust 2025-IND, Commercial Mortgage Pass-Through Certificates, Series 2025-IND: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. HRR, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan collateralized by the borrower's fee simple and leasehold interests in 54 industrial facilities (49 fee simple and 5 leasehold) encompassing 5,974,945 SF. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The collateral consists of 54 properties located across 23 metropolitan statistical areas ("MSAs) in 16 states. The largest MSA concentrations are Los Angeles, CA (10 properties, 24.9% of ALA, 24.3% of in-place NCF), Dallas/Ft. Worth, TX (8, 18.7%, 21.9%) and Long Island, NY (4, 8.3%, 7.3%). The Portfolio's property-level and MSA level Herfindahl scores are 33.4 and 5.4, respectively, based on ALA. No single property represents more than 6.5% of ALA or 5.4% of in-place NCF. The facilities were built at various points between 1950 and 2021, with a weighted average construction year of 2000. Together, they contain approximately 5,947,945 SF of aggregate rentable area. Property size ranges between 19,400 SF and 494,238 SF, and average approximately 110,647 SF. Maximum ceiling clear heights range between 14 feet and 36 feet, and average approximately 29.0 feet. Office space represents approximately 7.3% of the Portfolio NRA. Dock high doors, a vital specification for warehouse distribution centers, range from 2 to 155 total doors or 37 doors on average portfolio wide. As of January 2025, the Portfolio was 96.3% occupied tenanted by 40 unique tenants. Approximately 44.4% of the Portfolio's NRA is leased to tenants Moody's rates investment grade. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.38X, compared to 1.34X at Moody's provisional ratings due to an interest rate decrease, and Moody's first mortgage actual stressed DSCR is 0.88X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $540,000,000 represents a Moody's LTV ratio of 102.7% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 95.8%, compared to 95.4% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is approximately 0.75. Notable strengths of the transaction include: (i) proximity to global gateway markets, (ii) infill locations, (iii) geographic diversity, (iv) below market leases, (v) tenant profile, (vi) multiple property pooling, and (vii) strong sponsorship. Notable concerns of the transaction include: (i) rollover risk, (ii) tenant concentration, (iii) property age, (iv) cash out, floating-rate interest-only loan profile, (v) non-sequential prepayment provision, and (vi) credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BMO 2025-5C9: Fitch Assigns 'B-(EXP)sf' Rating on Class GRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2025-5C9 Mortgage Trust commercial mortgage pass-through certificates. - $1,154,000 class A-1 'AAAsf'; Outlook Stable; - $225,000,000 class A-2 'AAAsf'; Outlook Stable; - $251,056,000 class A-3 'AAAsf'; Outlook Stable; - $477,210,000 class X-A 'AAAsf'; Outlook Stable; - $57,095,000 class A-S 'AAAsf'; Outlook Stable; - $38,347,000 class B 'AA-sf'; Outlook Stable; - $29,826,000 class C 'A-sf'; Outlook Stable; - $125,268,000 class X-B 'A-sf'; Outlook Stable; - $15,946,000 class D-1 'BBBsf'; Outlook Stable; - $15,946,000 class X-D 'BBBsf'; Outlook Stable; - $9,619,000 class E-RR 'BBB-sf'; Outlook Stable; - $15,339,000 class F-RR 'BB-sf'; Outlook Stable; - $10,226,000 class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $28,121,468 class J-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 26 loans secured by 49 commercial properties with an aggregate principal balance of $681,729,46 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, 3650 Capital SCF LOE I(A), LLC, UBS AG, German American Capital Corporation, Société Générale Financial Corporation, and LoanCore Capital Markets LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be 3650 REIT Loan Servicing LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 26 loans totaling 96.0% by balance. Fitch's resulting net cash flow (NCF) of $171.7 million represents an 13.7% decline from the issuer's underwritten NCF. Higher Leverage: The pool leverage is in-line when compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 97.3% is in line with the 2025 YTD and higher than 2024 averages of 97.6% and 92.4%, respectively. The pool's Fitch NCF debt yield (DY) of 10.3% is lower than the 2025 YTD and 2024 averages of 10.7%. Shorter-Duration Loans: The pool is 98.8% composed of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: Three loans representing 16.4% of the pool received an investment-grade credit opinion. Herald Center (8.8% of the pool) received a standalone credit opinion of 'BBB-sf*', Queens Center (4.6% of the pool) received a standalone credit opinion of 'BBBsf*' and Project Midway (2.9% of the pool) received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is higher than the 2025 YTD and 2024 averages of 6.5% and 14.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY of 102.0% and 10.2%, respectively, are in line with the equivalent conduit YTD 2025 LTV and DY averages of 101.9% and 9.9%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'A-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on recomputation of certain characteristics with respect to each 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. BRAVO TRUST 2025-SR1: Fitch Assigns 'BB-sf' Rating on Cl. A2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to Bravo Trust 2025-SR1 (BRAVO 2025-SR1). Entity/Debt Rating ----------- ------ BRAVO Trust 2025-SR1 A1 LT BBB-sf New Rating A2 LT BB-sf New Rating M LT NRsf New Rating Transaction Summary This transaction is a term financing of retained securities with a repurchase agreement of RMBS CUSIPs of 51 underlying subordinate bonds (including risk-retention), excess cashflow bonds (including risk retention), senior interest-only bonds and senior AIOS strips from 12 REMIC transactions. This issuance is PIMCO's first of this type. KEY RATING DRIVERS Structured Repo Structure (Positive): BRAVO 2025-SR1 is a term financing transaction issued by PIMCO and supported by 51 reperforming (RPL), seasoned performing (SPL), closed-end second (CES), and non-QM (NQM) REMIC tranches, with a contributing balance totaling around $323.71 million in allocated debt amount. The class A notes benefit from hard credit enhancement (CE) in the form of an overcollateralization amount equal to the class M balance ($41.3 million). The A1 bond totals $229.0 million (29.25% CE), while the A2 totals $53.4 million (12.75% CE). BRAVO 2025-SR1 is structured as a repurchase (repo) transaction whereby the repo seller (PMIT II LLC) will sell the underlying REMIC tranches to the issuer/repo buyer under the terms of a master repurchase agreement to comply with risk retention requirements. This deal is supported by subordinate tranches, interest-only bonds and servicing fee strips, some of which are risk-retention securities. The notes represent obligations of which the repo seller provides full recourse back to the issuer under the repurchase agreement, which covers legal requirements related to risk-retention tranches. The transaction uses a supportive structure where the total remittance amount, defined as total interest and principal collections from the underlying securities, less any fees, will first pay, prior to the earlier of the maturity or optional call date, current and unpaid interest on the class A1 and A2 notes followed by principal sequentially, starting with the Class A1 and then to the redemption account. Following the earlier of the maturity or optional call, the total remittance amounts may include any redemption price or auction proceeds. The redemption account will be used to then pay principal on the class A2 followed by any step-up interest on the A1 and A2 notes and, lastly, principal to the class M. At the optional redemption date, the issuer can exercise the option to repurchase the collateral, at which time, the principal allocations owed on the A2 will be paid from funds accruing in a redemption account. If the optional call is not exercised, the A2 senior coupon will be reduced to zero and the A1 and A2 classes will incur a step-up coupon of 3% and 8%, respectively. This incentivizes the issuer to call the collateral. In Fitch's rating analysis, Fitch assumed the redemptions were not executed and proceeds from the underlying collateral payoff the A1 and A2 classes. As the step-up interest is paid subordinate to the interest and principal payments to class A bonds along with the redemption account, there are adequate disclosures in the offering docs and not included as an event of default (EoD), Fitch did not look for these amounts to be repaid. This is consistent with its approach in its "Global Structured Finance Rating Criteria." As a result, Fitch's rating opinion only addresses the ultimate receipt of all accrued interest, available funds shortfalls and principal payments to which the class A noteholders are entitled and does not address the subordinated step-up interest amounts. This structure is highly supportive of the rated A1 and A2 notes. In Fitch's cash flow analysis, a scenario with higher prepays, frontloaded losses and declining interest rates was the most strenuous. Otherwise, the CE levels on the notes have significant subordination cushion. Given the base underlying classes are risk retention, the weighted average coupon of the base underlying classes is 5.70% while the weighted average coupon of the trust is 2.8%. This excess at the trust level is significant in paying the principal and interest on the A1 and A2 in Fitch's rating stresses. Given that funds in the redemption account will be uninvested and held as cash at U.S. Bank, the deal presents some counterparty risk. Therefore, Fitch applies a rating cap of 'A+sf'; equivalent to the long-term issuer default rate of U.S. Bank, for the A2 class. The counterparty cap is not applicable for this rating action but may be significant in future surveillance of the deal. Strong Performance to Date (Positive): The structured repo is backed by 12 underlying transactions; six Non-Prime/NQM, five RPLs (four transactions), and two Closed-End-Second (CES) deals. These deals were all issued between 2019 and 2024, and only one transaction (BRAVO 2021-NQM1) was not rated by Fitch at issuance. The total contributing balance from these pools is $323.7 million while the total original deal balance of all 12 deals was $4.3 billion. Most base classes of the underlying tranches have a 100% tranche factor and have not yet begun amortizing principal. - RPL Transactions The structured repo includes 11 classes from four RPL transactions (five underlying pools) and constitute approximately 52% of the underlying collateral for the majority of the structured repo's allocated debt. These classes have an average tranche factor of 92%. Most of these bonds have not begun amortizing principal given their subordinated positioning in their respective sequential waterfalls. All RPL underlying transactions were previously reviewed by Fitch during a prior surveillance review and were rated at issuance. Of the 11 classes, Fitch expects seven to fully pass all 'BBB-sf' stresses without any principal write-downs. One class, the BRAVO 2020-RPL2 B-5, which was not rated at issuance and is the first-loss piece, has incurred a 1% principal write-down. It is anticipated to be completely written down under the most conservative 'BBB-sf' scenario, characterized by frontloaded defaults, high prepayments, and declining interest rates. On average, the RPL tranches are projected to have a principal recovery of at least 74.8% in this most punitive scenario. The RPL underlying pools have an average three-month Conditional Prepayment Rate (CPR) of approximately 8.5%, which is slightly above the RPL sector average (5.4%). The expected loss at 'BBBsf' stands at 5.7%, reflecting an increase of about 1.3% over the past six months. This rise is primarily driven by BRAVO 2020-RPL1 and BRAVO 2020-RPL2 due to a 1.8% increase in 30-day delinquency (30+ DQ%). Despite these increases, the metrics remain within normal sector margins for reperforming transactions. - Non-Prime/NQM Transactions The structured repo also includes 11 base principal and interest classes (excluding 12 XS/AIOS classes) from six Non-Prime/NQM transactions. The BRAVO 2021-NQM1 was not rated at issuance and, as a result, Fitch applied conservative adjustments in its loss modeling for this transaction. The Non-Prime portfolio is the second-largest cohort, accounting for 35% of the allocated debt. All classes in this cohort have a 100% pool factor, have experienced no interest shortfalls, and have not undergone any write-downs, despite most classes being unrated subordinate classes that have not yet started amortizing principal. In the most stressful scenario, three classes are expected to achieve a 100% principal recovery, while four classes from three underlying transactions are modeled to have no principal recovery in this scenario. As a cohort, the non-prime classes have an expected principal recovery of at least 61.3%. These underlying pools have an average three-month CPR of 13.1%, which aligns closely with the non-prime sector average of 12.5%. The expected loss under the 'BBBsf' stress is 4.7%; an increase of 60bps over the past six months. BRAVO 2022-NQM2 has seen the most significant reduction in expected losses during this timeframe, decreasing by 132bps, and driven by improved borrower performance and de-leveraging. - Closed-End-Second Transactions There are six base P&I classes (five XS/AIOS/Senior IO) belonging to two Fitch-rated CES transactions backing the structured repo. These classes are responsible for the remaining 12% of the total allocated debt amount. Like the non-prime cohort, these classes all have 100% tranche factor and no outstanding interest shortfalls or principal write-downs. Both transactions were rated at issuance and the most subordinated B-3 bonds remain unrated in each deal. All classes in this cohort are expected to be completely written off in the most stressful 'BBB-sf' scenario, and none of them are currently rated above 'BBsf'. However, in the least conservative 'BBB-sf' stress scenario (front-loaded defaults, high prepayments, and increased interest rates), the classes average an expected principal recovery of 68.1%. These classes are all newly issued within the last 18 months and thus have not yet begun building up relative CE. These pools both have an average expected loss of 9.8% at the 'BBBsf' stress, a 4bp decline over the last six months. The expected losses of 100% second lien transactions are entirely driven by the probability of default given that Fitch assumes a 100% loss severity on these loans in its modeling. Underlying Bonds and Cashflows (Positive): The underlying bonds consist primarily of subordinate bonds, but also includes AIOS and excess cashflow classes. In Fitch's stressed scenarios, the repayment of structured repo's notes is primarily based on principal and interest cash flows on the underlying subordinate bonds. Of the 28 base P&I underlying tranches, nine pass the 'BBB-sf' stress with 100% principal recovery expectations and 11 pass with over 90% principal recovery. The 11 bonds, which are primarily the most subordinated or first loss piece of the underlying transactions, have no principal recovery expectation in the most conservative scenario. In the 'BBB-sf' stress, Fitch expects a principal recovery of 72.3% of the underlying principal amount. Updated Sustainable Home Prices (Negative): Fitch haircuts property values based on overvaluation at a local level to determine long-term sustainable values and determine Sustainable LTV's (sLTV). Fitch views the home price values on a national level as 11.1% above a long-term sustainable level as of 3Q24. The underlying pools in this transaction maintain a current weighted average base-case Fitch calculated sLTV ratio of 63.2%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper 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 declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'BBB-sf' rating, a 10% MVD could result in a downgrade to 'B+sf', while a 20% or 30% MVD could result in a downgrade to a distressed rating. 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. The analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices could result in an upgrade from 'BBB-sf' to 'BBB+sf'. 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 Form ABS Due Diligence-15E was provided at issuance for the underlying transactions but is not applicable 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. BWAY COMMERCIAL 2022-26BW: DBRS Confirms B Rating on E Certs ------------------------------------------------------------ DBRS Limited confirmed credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-26BW issued by BWAY Commercial Mortgage Trust 2022-26BW as follows: -- Class A at AA (high) (sf) -- Class B at AA (low) (sf) -- Class C at BBB (high) (sf) -- Class X at BB (high) (sf) -- Class D at BB (sf) -- Class E at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance for the underlying collateral office property, as reflected in the steady increase in cash flows over the past few years and the granular tenancy with limited rollover scheduled through the near to moderate term. Although occupancy at the subject property has recently declined because of the departure of the former second largest tenant, recent cash flow trends have been consistently improving, with the debt service coverage ratio (DSCR) for the fixed-rate underlying loan moving back toward the issuer's figure as of the most recent reporting. In addition, at the previous credit rating action in April 2024, Morningstar DBRS downgraded all its credit ratings for this transaction, based on the LTV Sizing benchmarks which resulted from the updated Morningstar DBRS value that was derived with that review, as further outlined below. The credit rating downgrades also reflected the generally increased risks in the declined demand for older, less favorably located product such as the subject property. The transaction is secured by 26 Broadway, a 29-story, 839,712-square-foot (sf) office property in Manhattan's Financial District. The $290.0 million whole loan includes $222.2 million held within the trust and $67.8 million held in companion loans. In addition, there was a $40 million mezzanine loan in place at closing, secured by the ownership interests of the borrowers. The interest-only (IO) loan is structured with a fixed-rate for the entirety of its 10-year term. The loan is sponsored by the Chetrit Group, a New York-based real estate investment company, who operated approximately 14 million sf of office space at issuance, the majority of which is in New York City. In 1995, the New York City Landmarks Preservation Commission designated the property as an official city landmark, which limits the sponsor's ability to make significant changes to the space. According to the December 2024 rent roll, the property was 73% occupied compared with 79% as of YE2023 and 82.2% at issuance. The largest tenants include the New York City Department of Education (34.3% of net rentable area (NRA); lease expiry in January 2039 and March 2041); Seed Suite LLC (5.8% of the NRA; lease expiry in December 2027); and New York Film Academy (5.2% of NRA; lease expiry in June 2030). The remaining tenancy is relatively granular, and over the next 12 months there is only a marginal amount of tenant rollover totaling approximately 2.5% of the NRA. As noted above, the decline in occupancy appears to be mainly attributable to the departure of the former second largest tenant, Live Primary (8.8% of the NRA); however, a portion of that tenant's space has been backfilled by Seed Suite LLC. At issuance, Live Primary was paying $33.80 psf, compared with Seed Suite LLC's rental rate of $36.50 psf, as of the December 2024 rent roll. According to a Q4 2024 Reis report for the Downtown submarket, vacancy was reported at 15.2% an increase from the prior year's figure of 14.4%. Vacancy is projected to rise to a high of 16.3% in 2026 and is expected to level out to 15.9% in 2029, according to Reis. Despite the increased submarket vacancy rate, the property benefits from a desirable location in Manhattan's financial district with good access to transit, an experienced sponsor and stable tenancy, given 51% of the NRA is leased to tenants with investment-grade characteristics. LoopNet notes there is approximately 21.5% of the NRA that is currently listed as available for lease at the property. According to the YE2024 financial reporting, the loan's debt service coverage ratio was 1.18 times (x), which has increased from 0.92x and 0.77x as of YE2023 and YE2022, respectively. Net cash flow (NCF) for those same time periods was reported at $17.1 million, $16.5 million, and $13.7 million, respectively, which remains in line with the Morningstar DBRS NCF of $16.3 million. Morningstar DBRS does expect NCF to decline over the subsequent reporting periods because of the decline in the occupancy rate; however, the core of the property's credit tenancy remains in-place providing overall long-term stability to cash flows. According to the February 2025 reserve report, the subject has a cumulative reserve balance of $3.6 million, the majority of which appears to be Live Primary's former Rent Replication Reserve deposited at issuance. As noted above, Morningstar DBRS' previous credit rating action in April 2024 considered an updated Morningstar DBRS value for the subject property. For more information regarding the approach and analysis conducted, please refer to the press release titled, "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. In the analysis for this review, Morningstar DBRS maintained the blended capitalization rate of 8.5% and the Morningstar DBRS NCF of $16.3 million analyzed with that credit rating action. Morningstar DBRS maintained positive qualitative adjustments to the LTV-sizing benchmarks, totaling 3.5% to reflect the subject property's limited rollover concerns over the course of the loan term, desirable location in New York's financial district, and age of the building. The Morningstar DBRS concluded value of $191.8 million represents a -58.8% variance from the issuance appraised value of $465 million and implies an all in LTV of 151.24%, exclusive of mezzanine debt. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2025-VLT6: DBRS Finalizes B(high) Rating on HRR Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VLT6 (the Certificates) issued by BX Trust 2025-VLT6: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at 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 certificateholders' 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. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal Distribution Amounts and Interest Distribution Amounts for rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BXHPP TRUST 2021-FILM: DBRS Cuts Class D Certs Rating to B ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2021-FILM issued by BXHPP Trust 2021-FILM as follows: -- Class B to A (low) (sf) from AA (low) (sf) -- Class X-NCP to BBB (sf) from A (sf) -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to B (sf) from BBB (low) (sf) -- Class E to B (low) (sf) from BB (sf)) In addition, Morningstar DBRS confirmed its credit rating on the remaining class as follows: -- Class A at AAA (sf) The credit ratings on all classes have been removed from Under Review with Negative Implications, where they were placed on December 12, 2024. All classes have Negative trends. The transaction is secured by the borrower's fee-simple and/or leasehold interests in five Class A office properties, totaling 967,000 square feet (sf), and three studio facilities, totaling approximately 1.3 million sf, in Los Angeles. The office and studio components collectively form a creative campus for digital content, providing synergistic value to tenants. At issuance, Morningstar DBRS noted that the properties (specifically the studio component) have historically benefited from high barriers to entry, largely because of the high cost of land in the Hollywood submarket, which is economically unattractive for new construction. However, despite these aspects, which Morningstar DBRS previously expected to contribute to cash flow stability over the loan term, operating performance across the collateral portfolio has consistently remained below issuance expectations, driven by a combination of lower revenue and higher operating expenses. The credit rating downgrades reflect the downward pressure implied by the loan-to-value (LTV) sizing benchmarks following updates to Morningstar DBRS' analysis with this review, additional details of which are outlined below. However, Morningstar DBRS' value analysis suggests that the Class A certificate is generally well insulated against loss, with a credit enhancement level in excess of 52.0%, a primary contributor to Morningstar DBRS' rationale for the credit rating confirmation with this review. The underlying loan is sponsored by a joint venture between Blackstone Property Partners and Hudson Pacific Properties, L.P. (Hudson Pacific) and is currently scheduled to mature in August 2025, with one 12-month extension option remaining. Morningstar DBRS notes that the near-term maturity date presents elevated refinance risk, particularly as in-place cash flow declines have likely contributed to a deterioration in the portfolio's value since issuance. Various online sources indicate that Hudson Pacific is planning noncore asset sales to shore up its balance sheet in response to a shift in end-user demand for office and studio space that has negatively affected the company's financial performance over the last several quarters. In particular, production in Los Angeles has yet to return to normalcy with studios lowering their content spending, leading to an increase in stage vacancy across the region. In addition, tenant leases totaling approximately 8.0% of the net rentable area (NRA) are operating on a month-to-month basis or are scheduled to expire prior to the loan's fully extended maturity date in August 2026; however, that figure increases to approximately 16.0% through YE2026. Given these factors, Morningstar DBRS notes that the credit view for this transaction could decline in the near-to-moderate term, further supporting the Negative trends assigned with this review. According to the financial reporting for the trailing six-month period ended September 30, 2024, the portfolio generated $69.5 million of net cash flow (NCF) (annualized), reflecting a debt service coverage ratio of 0.93 times (x), below the YE2023 figure and the Morningstar DBRS figure derived at issuance of $76.6 million and $91.3 million, respectively. Occupancy across the portfolio has declined to 83.2% per the September 2024 rent roll, down from 88.5% at YE2023 and 91.0% at issuance. Operating performance across the office component has remained strong with a historical occupancy rate nearing 100.0%. In contrast, occupancy across the studio component fell to approximately 70.0% as of September 2024, a decline from 83.7% at issuance. Operating expenses have increased as revenue has trended lower placing further downward pressure on cash flows. Morningstar DBRS' underwritten operating expense ratio was approximately 40.0%, in line with the issuer's assumption but considerably below the YE2022 and YE2023 figures of 48.0% and 49.0%, respectively. Although it was previously noted that the increases were attributed to one-time costs that were not expected to recur in the future, the borrower's 2025 budget indicates that expenses are likely to remain elevated, suggesting the most recently reported figures are probably reflective of a sustainable scenario on a go-forward basis. The largest tenant, which was not named and was referred to as "Confidential Tenant" in Morningstar DBRS' presale report at issuance, occupies 56.7% of NRA, across both the studio and office space. The tenant fully occupies three of the five office buildings within the portfolio, with a lease expiration date in 2031, whereas the lease expiration dates for the studio space range from 2026 to 2028. The tenant has significantly invested in the space and uses the property as its production headquarters. The second- and third-largest tenants include Company 3 (5.8% of NRA) and Streamland Media (5.2% of NRA). Given the historical trajectory of cash flows and Morningstar DBRS' assessment of the borrower's 2025 budget, the analysis for this review considered a NCF of $75.1 million, which was derived by applying a 2.0% haircut to the most recently reported full year (YE2023) NCF. A blended capitalization rate of 7.5%, derived during the April 2024 review, was applied to that figure, resulting in a Morningstar DBRS value of $1.0 billion, a -22.4% and -44.4% variance from the Morningstar DBRS value and appraised value derived at issuance, respectively. The updated Morningstar DBRS value implies an LTV ratio of 109.9%, compared with the LTV of 85.3% based on the Morningstar DBRS value at issuance. With this credit rating action, Morningstar DBRS removed the positive qualitative adjustment of 3.0% for cash flow volatility, which had historically been considered and maintained positive qualitative adjustments to the LTV sizing benchmarks, totaling 3.5%, to account for property quality and market fundamentals. The consideration of the Morningstar DBRS property value noted above, in addition to the updates made to the LTV sizing benchmarks as part of the removal of the cash flow volatility credit, resulted in significant downward pressure across the capital stack, supporting the credit rating downgrades with this review. Although some reports indicate that there has been increasing interest for stage space in the near-to-moderate term as production companies begin to ramp up activity, Morningstar DBRS does not expect cash flows to fully rebound given the sustained, sizable declines in performance over the past few years. The credit ratings assigned to Classes A, B, C, D, and E are higher than the results implied by the LTV sizing benchmarks by three or more notches. The variances are warranted given the loan's strong sponsorship, the subject portfolio's desirable location in Hollywood, and the unique composition of office and studio space that effectively forms a creative campus for digital content. In addition, the properties, specifically the studio component, benefit from high barriers to entry with no substantial deliveries of new studio space to the Los Angeles market in more than 10 years. Notes: All figures are in U.S. dollars unless otherwise noted. BXMT 2025-FL5: Fitch Assigns 'B-sf' Rating on 3 Tranches -------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BXMT 2025-FL5, Ltd. and BXMT 2025-FL5, LLC as follows: - $555,000,000a class A 'AAAsf'; Outlook Stable; - $143,750,000a class A-S 'AAAsf'; Outlook Stable; - $75,000,000a class B 'AA-sf'; Outlook Stable; - $57,500,000a class C 'A-sf'; Outlook Stable; - $35,000,000a class D 'BBBsf'; Outlook Stable; - $0b class D-E 'BBBsf'; Outlook Stable; - $0bc class D-X 'BBBsf'; Outlook Stable; - $13,750,000a class E 'BBB-sf'; Outlook Stable; - $0b class E-E 'BBB-sf'; Outlook Stable; - $0bc class E-X 'BBB-sf'; Outlook Stable; - $38,750,000bd class F 'BB-sf'; Outlook Stable; - $0bd class F-E 'BB-sf'; Outlook Stable; - $0bcd class F-X 'BB-sf'; Outlook Stable; - $21,250,000bd class G 'B-sf'; Outlook Stable; - $0bd class G-E 'B-sf'; Outlook Stable; - $0bcd class G-X 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $60,000,000d preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes: The Class F and the Class G notes are exchangeable notes. The Class D Notes and the Class E Notes added exchangeable notes and were not a part of the original EXP ratings. The classes D-E and D-X have been assigned final ratings of 'BBBsf', and classes E-E and E-X have final ratings of 'BBB-sf'. All classes have Stable Rating Outlooks. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes and vice versa. The dollar denomination for each of the received classes of notes must be equal to the dollar denomination for each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.0% of the principal balance of the notes. The approximate collateral interest balance as of the cutoff date is $1,000,000,000 and does not include future funding. The total collateral interest balance includes the principal balance of delayed close collateral interests. Transaction Summary The notes are collateralized by 19 loans secured by 90 commercial properties with an aggregate principal balance of $1.0 billion as of the cutoff date. The pool does not include $49.5 million of future funding. The loans were contributed to the trust by 42-16 CLO L Sell, LLC, which is an indirect, wholly owned subsidiary of Blackstone Mortgage Trust, Inc. The servicer is Trimont LLC and the special servicer is CT Investment Management Co., LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $64.8 million represents an 11.5% decline from the issuer's aggregate underwritten NCF of $73.2 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Lower Leverage: The pool has lower leverage compared to recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 136.0% is lower than both the 2024 CRE-CLO average of 140.7% and the 2025 YTD CRE-CLO average of 138.6%. The pool's Fitch NCF debt yield (DY) of 7.1% is higher than both the 2024 CRE-CLO average of 6.5% and the 2025 YTD CRE-CLO average of 6.3%. Better Pool Diversity: The pool's diversity is better than that of recently rated Fitch CRE-CLO transactions. The top 10 loans make up 57.7% of the pool, which is lower than the 2024 CRE-CLO average of 70.5% but slightly higher than the 2025 YTD CRE-CLO average of 57.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.5. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: All loans in the pool are IO loans. This is higher than both the 2024 and 2025 YTD CRE-CLO averages of 56.8% and 83.1%, respectively, based on fully extended loan terms. As a result, the pool is not expected to pay down by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2024 and 2025 YTD are 0.6% and 0.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf' SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior-most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CANYON CLO 2025-1: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ Canyon CLO 2025-1, Ltd. A-1 LT NRsf 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 BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Canyon CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors L.P. 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+/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 99.15% first lien senior secured loans and has a weighted average recovery assumption of 73.09%. 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 36% 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, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Canyon 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARLYLE US 2021-7: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-7, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2021-7, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2021-7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. The original transaction was not rated by Fitch. This is the first refinancing where the existing secured notes will be refinanced in whole on March 26, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.88, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. 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 95.27% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.09% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. Portfolio Composition (Neutral): The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): 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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2021-7, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARMAX SELECT 2025-A: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by CarMax Select Receivables Trust 2025-A (CMXS 2025-A). The class A-2 notes were split into class A-2a and A-2b at pricing. Each was assigned a final rating of 'AAAsf' with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- CarMax Select Receivables Trust 2025-A A-1 ST F1+sf New Rating F1+(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2B LT AAAsf New Rating A-3 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA+(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral — Subprime Credit Quality: CMXS 2025-A has relatively stronger credit quality relative to subprime peers, with a weighted average (WA) FICO score of 608 and WA loan-to-value (LTV) ratio of 96.6%. Both are an improvement compared to 2024-A, which had a WA FICO of 603 and a WA LTV of 97.0%. Loans with original terms (OT) greater than 60 months total 84.7% of the collateral pool, higher than 82.33% for 2024-A. Similar to 2024-A, the pool primarily comprises used vehicles, with a concentration of ValuMax vehicles at 30.8% compared to 31.0% for 2024-A. Forward-Looking Approach to Derive Rating Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Loss performance for the non-prime portfolio peaked in 2016 after beginning originations in 2014 and experienced subsequent improvement in 2018. While the 2019 and 2020 vintages of CarMax Business Services, LLC's (CBS) managed portfolio benefited from government stimulus, net losses on the 2021 through 2024 vintages are tracking higher compared to all prior vintages due to continuing economic headwinds. Fitch utilized 2008-2009 peer proxy data, together with the 2006-2008 data from the lower credit quality segment of CarMax Auto Finance's (CAF) core portfolio, as proxy recessionary managed portfolio data. To reflect recent performance, Fitch utilized 2021-2022 vintage data from CAF, together with 2016-2019 peer proxy data, to arrive at a forward-looking rating case cumulative net loss (CNL) proxy of 9.00%, consistent with 2024-A. Payment Structure — Sufficient Credit Enhancement (CE): Initial hard CE totals 30.00%, 23.00%, 15.50%, 7.00% and 4.25% for classes A, B, C, D and E, respectively. This is in line with the class A and B notes in 2024-A but lower than the class C and D notes, which had CE of 15.60% and 7.25%, respectively. The 2024-A transaction did not have class E notes. Initial expected excess spread is 8.88%, which is higher than the 8.10% in 2024-A. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 9.00% at the applicable rating loss multiples. Operational and Servicer Risk — Stable Origination/Underwriting/Servicing: CBS demonstrates adequate abilities as the underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch views CBS as capable to service this series. Base Case Loss Expectation: Fitch's base case 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" report and peer managed portfolio performance RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. In addition, Fitch conducts a 1.5x and 2.0x increase to the rating case CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CNL is 20% less than the projected rating case proxy, the expected ratings for the subordinate notes could be upgraded by up to seven notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 125 loans from the statistical data file. 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. CARMAX SELECT 2025-A: S&P Assigns BB (sf) Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to CarMax Select Receivables Trust 2025-A's automobile receivables-backed notes. The note issuance is an ABS securitization backed by nonprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 35.52%, 30.14%, 23.89%, 18.05%, and 15.48% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2a, A-2b, and A-3), B, C, D and E notes, respectively, based on S&P's stressed cash flow scenarios. These credit support levels provide at least 3.70x, 3.12x, 2.39x, 1.78x, and 1.51x coverage of its expected cumulative net loss of 9.00% for the class A, B, C, D, and E notes, respectively. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.78x our expected loss level), all else being equal, our 'A-1+ (sf)' and '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 our credit stability limits." -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' pool of nonprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wilmington Trust N.A., which do not constrain the ratings. -- S&P's operational risk assessment of CarMax Business Services LLC as servicer. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned CarMax Select Receivables Trust 2025-A Class A-1, $138.000 million: A-1+ (sf) Class A-2a, $184.860 million: AAA (sf) Class A-2b, $100.000 million: AAA (sf) Class A-3, $164.220 million: AAA (sf) Class B, $57.880 million: AA (sf) Class C, $62.020 million: A (sf) Class D, $70.280 million: BBB (sf) Class E(i), $22.740 million: BB (sf) (i)The class E notes will initially be retained by the depositor and will have a 0% interest rate. CARVANA AUTO 2025-P1: Moody's Assigns Ba1 Rating to Class N Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Carvana Auto Receivables Trust 2025-P1 (CRVNA 2025-P1). This is the first prime auto loan transaction of the year for Carvana LLC (Carvana), an indirect wholly owned subsidiary of Carvana Co. (Caa1 positive). The notes are backed by a pool of retail automobile loan contracts originated by Carvana, who is also the administrator of the transaction. Bridgecrest Credit Company, LLC (Bridgecrest Credit), an indirect wholly owned subsidiary of DriveTime Auto Group, is the servicer of the transaction. The complete rating actions are as follows: Issuer: Carvana Auto Receivables Trust 2025-P1 Class A-1 Asset Backed Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-4 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class B Asset Backed Notes, Definitive Rating Assigned Aa2 (sf) Class C Asset Backed Notes, Definitive Rating Assigned A1 (sf) Class D Asset Backed Notes, Definitive Rating Assigned Baa1 (sf) Class N Asset Backed Notes, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Bridgecrest Credit as the servicer. The definitive rating for the Class C notes of A1 (sf) is one notch higher than the provisional ratings of (P)A2 (sf). This difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. Moody's medians cumulative net loss expectation for CRVNA 2025-P1 is 3% and loss at a Aaa stress is 13.50%. Moody's based Moody's cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Bridgecrest Credit to perform the servicing functions; and the current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A notes, Class B notes, Class C notes, Class D notes, and Class N notes benefit from 7.00%, 5.25%, 1.90%, 0.50% and 0.25% of hard credit enhancement, respectively. Hard credit enhancement for the Class A notes, Class B note, and Class C notes consists of overcollateralization, a non-declining reserve account and subordination. Hard credit enhancement for the Class N notes consists of a non-declining reserve account solely supporting the Class N notes. Additionally, all classes of notes may benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinated notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 Notes short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. CHASE HOME 2025-3: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-3 (CHASE 2025-3) as follows: -- $228.8 million Class A-2 at (P) AAA (sf) -- $228.8 million Class A-3 at (P) AAA (sf) -- $228.8 million Class A-3-X at (P) AAA (sf) -- $171.6 million Class A-4 at (P) AAA (sf) -- $171.6 million Class A-4-A at (P) AAA (sf) -- $171.6 million Class A-4-X at (P) AAA (sf) -- $57.2 million Class A-5 at (P) AAA (sf) -- $57.2 million Class A-5-A at (P) AAA (sf) -- $57.2 million Class A-5-X-at (P) AAA (sf) -- $137.3 million Class A-6 at (P) AAA (sf) -- $137.3 million Class A-6-A at (P) AAA (sf) -- $137.3 million Class A-6-X at (P) AAA (sf) -- $91.5 million Class A-7 at (P) AAA (sf) -- $91.5 million Class A-7-A at (P) AAA (sf) -- $91.5 million Class A-7-X at (P) AAA (sf) -- $34.3 million Class A-8 at (P) AAA (sf) -- $34.3 million Class A-8-A at (P) AAA (sf) -- $34.3 million Class A-8-X at (P) AAA (sf) -- $37.9 million Class A-9 at (P) AAA (sf) -- $37.9 million Class A-9-A at (P) AAA (sf) -- $37.9 million Class A-9-B at (P) AAA (sf) -- $37.9 million Class A-9-X1 at (P) AAA (sf) -- $37.9 million Class A-9-X2 at (P) AAA (sf) -- $37.9 million Class A-9-X3 at (P) AAA (sf) -- $137.3 million Class A-11 at (P) AAA (sf) -- $137.3 million Class A-11-X at (P) AAA (sf) -- $137.3 million Class A-12 at (P) AAA (sf) -- $137.3 million Class A-13 at (P) AAA (sf) -- $137.3 million Class A-13-X at (P) AAA (sf) -- $137.3 million Class A-14 at (P) AAA (sf) -- $137.3 million Class A-14-X at (P) AAA (sf) -- $137.3 million Class A-14-X2 at (P) AAA (sf) -- $137.3 million Class A-14-X3 at (P) AAA (sf) -- $137.3 million Class A-14-X4 at (P) AAA (sf) -- $403.9 million Class A-X-1 at (P) AAA (sf) -- $11.6 million Class B-1 at (P) AA (low) (sf) -- $11.6 million Class B-1-A at (P) AA (low) (sf) -- $11.6 million Class B1-X at (P) AA (low) (sf) -- $6.2 million Class B-2 at (P) A (low) (sf) -- $6.2 million Class B-2-A at (P) A (low) (sf) -- $6.2 million Class B-2-X at (P) A (low) (sf) -- $4.1 million Class B-3 at (P) BBB (low) (sf) -- $2.2 million Class B-4 at (P) BB (low) (sf) -- $861.0 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X1, A-9-X2, A-9-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-X1, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, and A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 6.20% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.50%, 2.05%, 1.10%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-3 (the Certificates). The Certificates are backed by 428 loans with a total principal balance of $453,253,304 as of the Cut-Off Date (March 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 76.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. CIFC FUNDING 2014-III: Fitch Rates Class E-R Notes 'BB+sf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to CIFC Funding 2014-III, Ltd., reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2014-III, Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating 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 Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2014-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC, which closed in July 2014 and was last refinanced in October 2018. 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 99.52% first lien senior secured loans and has a weighted average recovery assumption of 74.62%. 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 between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 2014-III, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CIFC FUNDING 2025-I: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned Ratings and Rating Outlooks to CIFC Funding 2025-I, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2025-I, Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2025-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.6, versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.7% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.0% versus a minimum covenant, in accordance with the initial expected matrix point of 66.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 27 February 2025 ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. CIFC FUNDING 2025-II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned Ratings and Rating Outlooks to CIFC Funding 2025-II, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2025-II, Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2025-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 23.9, versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.0% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.8% versus a minimum covenant, in accordance with the initial expected matrix point of 66.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 12 March 2025 ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-II, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP 2015-P1: Fitch Lowers Rating on 2 Classes to 'BB-sf' -------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of Citigroup Commercial Mortgage Trust series 2015-P1 commercial mortgage pass-through certificates (CGCMT 2015-P1). Following the downgrades, Fitch has assigned a Negative Rating Outlook on four classes. The Outlooks for two of the affirmed classes were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-P1 A-4 17324DAT1 LT AAAsf Affirmed AAAsf A-5 17324DAU8 LT AAAsf Affirmed AAAsf A-AB 17324DAV6 LT AAAsf Affirmed AAAsf A-S 17324DAW4 LT AAAsf Affirmed AAAsf B 17324DAX2 LT AAsf Affirmed AAsf C 17324DAY0 LT BBB-sf Downgrade A-sf D 17324DAA2 LT BB-sf Downgrade BBB-sf E 17324DAE4 LT CCCsf Downgrade Bsf F 17324DAG9 LT CCsf Downgrade CCCsf PEZ 17324DAZ7 LT BBB-sf Downgrade A-sf X-A 17324DBA1 LT AAAsf Affirmed AAAsf X-B 17324DBB9 LT AAsf Affirmed AAsf X-D 17324DAL8 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 9.1% from 6.5% at Fitch's prior rating action. The transaction has nine Fitch Loans of Concern (FLOCs; 29.6% of the pool), and no loans are currently in special servicing. The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines and refinance concerns on retail FLOCs, University Town Centre (5.5%), Weston Portfolio (6.2%) and Ryders Crossing Shopping Center (1.9%), and office FLOCs, The Decoration & Design Building (10.5%), Bethany Village Office (1.2%), One Industrial Way (1.0%), Promontory Point (0.9%) and 9299 College Parkway (0.6%). The Negative Outlooks reflect these classes' reliance on FLOCs for repayment. The majority of the pool matures over the next 12 months, including 37 loans (90%) in 2025 and one loan (10%) in 2026. Further downgrades are possible with continued occupancy and cashflow deterioration, lack of performance stabilization and/or a prolonged workout of the FLOCs that default at or prior to maturity. Additionally, approximately 23.9% of the pool is secured by office properties. The largest increase in loss expectations since the prior rating action and third largest contributor to overall loss expectations is the University Towne Centre loan, secured by a grocery-anchored retail center located in Morgantown, WV. The loan was flagged as a FLOC due to significant upcoming rollover and low DSCR. Major tenants at the property include Giant Eagle (16.7% of the NRA through September 2025), Dick's (11.8%; January 2026), Star Furniture (7.7%; March 2029), and Best Buy (7.7%; January 2026). The property also includes many national retailers such as Target (non-collateral), Sally's Beauty, PETCO, Dollar Tree, and Game Stop. In 2022, the parent company of Regal Cinemas (previously accounting for 10.2% of the NRA) declared bankruptcy. The tenant had a lease expiration in October 2025, but as part of the bankruptcy proceedings, a new lease was agreed upon, amending the term to January 2025. Occupancy is currently estimated to have declined to approximately 82%. However, the servicer reports that the borrower has secured a new tenant for the former Bed Bath and Beyond space, which will boost occupancy to approximately 88%. From December 2019 to January 2023, the property was approximately 98% occupied. As of the September 2024 rent roll, 23.4% of the NRA is rolling in 2025 and 21.6% in 2026. The servicer-reported NOI DSCR was 1.11x as of Q3 2024, compared to 1.27x at YE 2023, 1.36x at YE 2022, 1.30x at YE 2021, and 1.33x at YE 2020. Fitch's 'Bsf' rating case loss of 22.3% (prior to concentration add-ons) reflects a 9% cap rate, 20% stress to the YE 2023 NOI and factors a 100% probability of default to account for anticipated refinance risk associated with the lower occupancy and upcoming rollover at the property. The loan is scheduled to mature in July 2025. The second largest increase in loss since the prior rating action and largest contributor to overall loss expectations is The Decoration & Design Building loan, secured by the leasehold interest in a 588,512-sf office property located in Midtown Manhattan. The loan was flagged as a FLOC due to declining property occupancy, upcoming rollover, escalating ground rent payment and anticipated refinance risk. The loan matures in May 2026. The property is subject to a ground lease. The ground lease, which had expired in December 2023, was extended for 25 years through 2049. The ground rent was reset based upon the greater of the prior year's payment or 6% of the unencumbered land value. Per the updated schedule provided by the servicer, the ground rent payment starts off at $5.75 million in the first year and rises to $10.5 million by year 12 and $14.5 million by year 25. There is one additional ground lease extension option for 15 years through 2064. Per the September 2024 rent roll, the property was 62.1% occupied, down from 65% at YE 2023, 66% at YE 2022, 77% at YE 2021, 83% at YE 2020 and 87% at YE 2019. The prior largest tenant, Stark Carpet (6.3% of the NRA), vacated upon its November 2024 lease expiration, further dropping occupancy to an estimated 55%. Current major tenants are Holly Refining and Marketing (3.2% through March 2027) and F. Schumacher (3.1%; December 2029). Upcoming rollover includes 7.5% and 12.5% of the NRA in 2025 and 2026, respectively. Fitch's 'Bsf' rating case loss of 41.7% (prior to concentration add-ons) reflects a 13% cap rate and 50% stress to the YE 2023 NOI to account for the declining performance trends and escalating ground rent payment. Fitch also factored a high probability of default due to expected refinance concerns. The second largest contributor to overall loss expectations is the Weston Portfolio loan, secured by a portfolio of two office properties (20k sf and 10k sf, approximately 16% of portfolio NRA) and one retail property, totaling 188,688 sf located in Weston, FL. Major tenants include Publix (19.9% of portfolio NRA through December 2026), South Miami Hospital Baptist Health (3.4%; June 2032), and Graziano's (3.3%; February 2029). Per the October 2024 rent roll, the portfolio was 87% occupied, compared with 86% at YE 2023, 91% at YE 2022, 85% at YE 2021, and 90% at YE 2020. Upcoming rollover includes 7.1% and 32.0% of the portfolio in 2025 and 2026, respectively. As of Q3 2024, the servicer-reported NOI DSCR was 1.41x, compared to 1.17x at YE 2023, 1.20x at YE 2022, 1.13x at YE 2021, 1.33x at YE 2020, and 1.96x at YE 2019. The loan began to amortize in August 2020. Fitch's 'Bsf' rating case loss of 23.1% (prior to concentration add-ons) reflects a 9% cap rate, 7.5% stress to the YE 2023 NOI and factors a higher probability of default due to the upcoming rollover in the portfolio and expected refinance concerns. Increased Credit Enhancement (CE): As of the February 2025 distribution date, the pool's aggregate balance has been reduced by 18.7% to $890.4 million from $1.1 billion at issuance. Nine loans (24.7% of pool) are defeased. Four loans (19%) are full-term interest-only, and the remaining 81% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not likely due to the expected continued amortization and loan payoffs, and increasing CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to the 'AAsf' and 'Asf' category rated classes, which have Negative Outlooks, will occur if expected losses increase significantly from further performance declines on the FLOCs, particularly University Town Centre, Weston Portfolio, Ryders Crossing Shopping Center, The Decoration & Design Building, Bethany Village Office, One Industrial Way, Promontory Point and 9299 College Parkway (0.6%). Downgrades are also likely should more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'BBsf' rated classes, which have Negative Outlooks, are possible with higher expected losses from continued performance of the aforementioned FLOCs and with greater certainty of losses to these classes. - Further downgrades to the distressed 'CCCsf' and 'CCsf' rated classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' rated classes are not expected, but may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, specifically the Decoration & Design Building, Weston Portfolio, University Towne Centre, and Ryders Crossing Shopping Center loans. - Upgrades to the 'BBBsf' and 'BBsf' rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. - Upgrades to distressed rating of 'CCCsf' and 'CCsf' classes are not expected but would be possible with better than expected recoveries 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. CITIGROUP 2025-RP1: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-RP1 (CMLTI 2025-RP1). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2025-RP1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The CMLTI 2025-RP1 transaction is scheduled to close on March 12, 2025. The notes are supported by 1,671 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $315 million, including $24.9 million, or 7.9%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.7% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% from the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been for decades, driven by both high interest rates and elevated home prices. Average home prices were 3.8% higher yoy nationally as of November 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool primarily consists of SPLs and RPLs. The collateral is seasoned at approximately 224 months in aggregate, as calculated by Fitch, with 93.7% of the pool by unpaid principal balance (UPB) being originated before 2010. The remaining 6.3% of loans were originated between 2010 and 2018. As of the cutoff date, 2.1% of loans in the pool are delinquent, and 21.0%, as calculated by Fitch, are current but had delinquencies within the past 24 months. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. Additionally, 95.3% of the loans have undergone prior modifications. Borrowers have a moderate credit profile, with a 681.0 FICO score (as calculated by Fitch, based on updated loan-level FICO scores) and a 43.0% debt-to-income (DTI) ratio. Low Leverage (Positive): All loans seasoned over 24 months received updated property values, translating to a Fitch-derived, weighted average (WA), current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 47.8% and a sustainable LTV (sLTV) of 54.7% at the base case. Updated broker price opinions (BPOs) and field reviews/exterior appraisals were provided on all loans in the pool and used to calculate the Fitch-derived LTVs. These figures reflect low-leverage borrowers and are stronger than those in recently rated SPL/RPL transactions. Sequential-Pay Structure and No Servicer P&I Advances (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions, cash flow priorities, and increased subordination ensure timely interest payments to the 'AAAsf' rated classes. However, the lack of advancing is likely to increase the chances of temporary interest shortfalls. Under Fitch's updated criteria, Fitch expects timely interest only for the 'AAAsf' rated class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the model-projected 42.6%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 49bps. 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. CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms C Rating on F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GC15 issued by Citigroup Commercial Mortgage Trust 2013-GC15 as follows: -- Class E at CCC (sf) -- Class F at C (sf) -- Class X-C at CCC (sf) There are no trends as all classes have credit ratings that typically do not carry trends in Commercial Mortgage-Backed Securities (CMBS) credit ratings. The credit ratings for Classes E and X-C were downgraded from B (low) (sf) and B (sf), respectively, at the last credit rating action as a reflection of increased liquidated loss projections for the remaining loans in the pool. Of the five loans outstanding at the time of that credit rating action in March 2024, four loans remain outstanding, with a total remaining deal balance of $55.8 million as of the February 2025 remittance. The fifth loan was disposed with a relatively small loss ($241,700) to the trust in January 2025, which was in line with Morningstar DBRS' expectations at last review. While the Class E balance has been significantly repaid, with only $5.3 million outstanding, Morningstar DBRS notes the servicer continues to short partial interest on the Class F certificate and full interest on the Class G certificate, with increased propensity for interest shortfalls for Class E, given the remaining four loans are all in special servicing and all but one are in payment default. This factor, as well as the $40.6 million in liquidated losses projected by Morningstar DBRS in the analysis for this review, support the CCC (sf) and C (sf) credit ratings maintained with this review. Liquidated losses at the March 2024 credit rating actions were projected at approximately $37.0 million, with the increase to $40.6 million with this review primarily a factor of lower appraised values for the collateral securing the two largest loans remaining in the pool. Of the four remaining loans, all but Rivers Business Commons (Prospectus ID #45, 13.0% of the pool) was analyzed with a liquidated loss. Liquidation scenarios for the two smallest of the three liquidated loans, Spectrum Office Building (Prospectus ID #31, 20.0% of the pool) and Cayuga Professional Center (Prospectus ID #79, 6.2% of the pool), were based on 25.0% haircuts to the most recent appraisals, with loss severities of 66.0% and 30.0%, respectively. The largest remaining loan and primary contributor to Morningstar DBRS' liquidated loss projections is 735 Sixth Avenue (Prospectus ID #6, 61.0% of the pool), secured by the 16,500-square-foot (sf) ground and mezzanine floor retail portion of a 40-story multifamily property in Manhattan's Chelsea neighborhood. The asset has been real estate owned (REO) since June 2023 and the January 2024 appraisal valued the property at $13.7 million, down from $16.2 million at January 2023. The trust exposure is estimated to be at $41.1 million at disposition, and Morningstar DBRS assumed a stressed haircut of 35.0% to the January 2024 appraised value in the liquidation scenario, given the low occupancy rate and the historical trends showing precipitous drops in the value since the initial default. The resulting loss of $32.2 million in Morningstar DBRS' liquidation scenario results in a loss severity of 95.0% for this loan. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2025-2: DBRS Gives Prov. B Rating on B5 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) to be issued by Citigroup Mortgage Loan Trust 2025-2 (CMLTI 2025-2) as follows: -- $254.5 million Class A-1 at (P) AAA (sf) -- $254.5 million Class A-2 at (P) AAA (sf) -- $254.5 million Class A-3 at (P) AAA (sf) -- $152.7 million Class A-4 at (P) AAA (sf) -- $152.7 million Class A-5 at (P) AAA (sf) -- $152.7 million Class A-6 at (P) AAA (sf) -- $101.8 million Class A-7 at (P) AAA (sf) -- $101.8 million Class A-8 at (P) AAA (sf) -- $101.8 million Class A-9 at (P) AAA (sf) -- $190.8 million Class A-10 at (P) AAA (sf) -- $190.8 million Class A-11 at (P) AAA (sf) -- $190.8 million Class A-12 at (P) AAA (sf) -- $63.6 million Class A-13 at (P) AAA (sf) -- $63.6 million Class A-14 at (P) AAA (sf) -- $63.6 million Class A-15 at (P) AAA (sf) -- $38.2 million Class A-16 at (P) AAA (sf) -- $38.2 million Class A-17 at (P) AAA (sf) -- $38.2 million Class A-18 at (P) AAA (sf) -- $22.6 million Class A-19 at (P) AAA (sf) -- $22.6 million Class A-20 at (P) AAA (sf) -- $22.6 million Class A-21 at (P) AAA (sf) -- $63.6 million Class A-25 at (P) AAA (sf) -- $277.1 million Class A-X at (P) AAA (sf) -- $277.1 million Class A-X-1 at (P) AAA (sf) -- $277.1 million Class A-X-2 at (P) AAA (sf) -- $277.1 million Class A-I-1 at (P) AAA (sf) -- $277.1 million Class A-I-2 at (P) AAA (sf) -- $277.1 million Class A-I-3 at (P) AAA (sf) -- $254.5 million Class A-I-4 at (P) AAA (sf) -- $254.5 million Class A-I-5 at (P) AAA (sf) -- $254.5 million Class A-I-6 at (P) AAA (sf) -- $152.7 million Class A-I-7 at (P) AAA (sf) -- $152.7 million Class A-I-8 at (P) AAA (sf) -- $152.7 million Class A-I-9 at (P) AAA (sf) -- $101.8 million Class A-I-10 at (P) AAA (sf) -- $101.8 million Class A-I-11 at (P) AAA (sf) -- $101.8 million Class A-I-12 at (P) AAA (sf) -- $190.8 million Class A-I-13 at (P) AAA (sf) -- $190.8 million Class A-I-14 at (P) AAA (sf) -- $190.8 million Class A-I-15 at (P) AAA (sf) -- $63.6 million Class A-I-16 at (P) AAA (sf) -- $63.6 million Class A-I-17 at (P) AAA (sf) -- $63.6 million Class A-I-18 at (P) AAA (sf) -- $38.2 million Class A-I-19 at (P) AAA (sf) -- $38.2 million Class A-I-20 at (P) AAA (sf) -- $38.2 million Class A-I-21 at (P) AAA (sf) -- $22.6 million Class A-I-22 at (P) AAA (sf) -- $22.6 million Class A-I-23 at (P) AAA (sf) -- $22.6 million Class A-I-24 at (P) AAA (sf) -- $63.6 million Class A-I-25 at (P) AAA (sf) -- $11.1 million Class B-1 at (P) AA (low) (sf) -- $11.1 million Class B-1-A at (P) AA (low) (sf) -- $11.1 million Class B-1-IO at (P) AA (low) (sf) -- $16.0 million Class B-1-2IO at (P) A (low) (sf) -- $4.9 million Class B-2 at (P) A (low) (sf) -- $4.9 million Class B-2-A at (P) A (low) (sf) -- $4.9 million Class B-2-IO at (P) A (low) (sf) -- $3.3 million Class B-3 at (P) BBB (low) (sf) -- $1.3 million Class B-4 at (P) BB (sf) -- $599.0 thousand Class B-5 at (P) B (sf) Classes A-X, A-X-1, A-X-2, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-7, A-I-8, A-I-9, A-I-10, A-I-11, A-I-12, A I 13, A-I-14, A-I-15, A-I-16, A-I-17, A-I-18, A-I-19, A-I-20, A I 21, A-I-22, A-I-23, A-I-24, A-I-25, B-1-IO, B-1-2IO and B-2-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7. A-8. A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-25, A-X-1, A-X-2, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-8, A-I-10. A-I-11, A-I-12, A-I-13, A-I-14, A-I-15, A-I-17, A-I-20, A-I-23, A-I-25, B-1, B-1-2IO, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, and A-25 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-19, A-20, and A-21) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.45% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 3.75%, 2.10%, 1.00%, 0.55%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 304 loans with a total principal balance of $299,362,386 as of the Cut-Off Date (March 1, 2025). This transaction is sponsored by Citigroup Global Markets Realty Corp. (CGMRC). 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 seven months. 83.5% of the pool is composed of nonagency, prime jumbo mortgage loans. The remaining 16.5% 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. Rocket Mortgage, LLC (Rocket) originated 23.4% of the pool. First United Bank and Trust (First United) originated 19.5% of the pool. PennyMac Loan Services and LLC and PennyMac Corp. (together PennyMac) originated 25.3% of the pool. Movement Mortgage (Movement) originated 15.9% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Fay Servicing, LLC (Fay) (74.7%) and PennyMac (25.3%). For this transaction, the Fay servicing fee rate is 0.05% and the PennyMac servicing fee rate is 0.25%. In its analysis, Morningstar DBRS applied a higher servicing fee rate for the Fay serviced loans. CGMRC is the Mortgage Loan Seller and Sponsor of the transaction. Citigroup Mortgage Loan Trust Inc. will act as Depositor of the transaction. U.S. Bank Trust Company, National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Trust Administrator. U.S. Bank Trust National Association will serve as Trustee, and Deutsche Bank National Trust Company will serve as Custodian. The Servicers will be responsible for advancing delinquent monthly scheduled payments of interest and principal (Scheduled Payments), to the extent such payments are recoverable by the related Servicer. The Servicers will be required to make all customary, reasonable and necessary servicing advances with respect to preservation, inspection, restoration, protection, and repair of a mortgaged property. Notes: All figures are in US dollars unless otherwise noted. CITIGROUP MORTGAGE 2025-2: Moody's Assigns 'B3' Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by Citigroup Mortgage Loan Trust 2025-2, and sponsored by Citigroup Global Markets Realty Corp. The securities are backed by a pool of prime jumbo (83.5% by balance) and GSE-eligible (16.5% by balance) residential mortgages aggregated by Citigroup Global Markets Realty Corp. originated by multiple entities and serviced by PennyMac Loan Services, LLC, PennyMac Corp. and Fay Servicing LLC. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2025-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-4*, Definitive Rating Assigned Aaa (sf) Cl. A-I-5*, Definitive Rating Assigned Aaa (sf) Cl. A-I-6*, Definitive Rating Assigned Aaa (sf) Cl. A-I-7*, Definitive Rating Assigned Aaa (sf) Cl. A-I-8*, Definitive Rating Assigned Aaa (sf) Cl. A-I-9*, Definitive Rating Assigned Aaa (sf) Cl. A-I-10*, Definitive Rating Assigned Aaa (sf) Cl. A-I-11*, Definitive Rating Assigned Aaa (sf) Cl. A-I-12*, Definitive Rating Assigned Aaa (sf) Cl. A-I-13*, Definitive Rating Assigned Aaa (sf) Cl. A-I-14*, Definitive Rating Assigned Aaa (sf) Cl. A-I-15*, Definitive Rating Assigned Aaa (sf) Cl. A-I-16*, Definitive Rating Assigned Aaa (sf) Cl. A-I-17*, Definitive Rating Assigned Aaa (sf) Cl. A-I-18*, Definitive Rating Assigned Aaa (sf) Cl. A-I-19*, Definitive Rating Assigned Aaa (sf) Cl. A-I-20*, Definitive Rating Assigned Aaa (sf) Cl. A-I-21*, Definitive Rating Assigned Aaa (sf) Cl. A-I-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-23*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-25*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Definitive Rating Assigned A2 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.41%, in a baseline scenario-median is 0.20% and reaches 5.77% at a stress level consistent with Moody's 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. COLLEGIATE FUNDING 2005-A: Fitch Affirms BBsf Rating on 2 Classes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on all classes of Chase Education Loan Trust 2007-A (Chase 2007-A) and Collegiate Funding Services Education Loan Trust 2005-A (CFS 2005-A). The Rating Outlooks on all classes of Chase 2007-A remain Stable and for all classes of CFS 2005-A the Outlooks remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-A A-4 19458LBC3 LT BBsf Affirmed BBsf B 19458LBD1 LT BBsf Affirmed BBsf Chase Education Loan Trust 2007-A A-4 16151UAD8 LT AA+sf Affirmed AA+sf B 16151UAG1 LT Asf Affirmed Asf Transaction Summary Chase Education Loan Trust 2007-A: The class A-4 notes pass all credit and maturity stresses in cashflow modeling and the class B notes all pass cashflow modelling stresses at the current rating constrained by the parity level under Fitch's criteria threshold of 101% at 'AAsf'. The notes' affirmations reflect the stable collateral performance, in line with Fitch's expectations, since the last review. Fitch has affirmed the class A-4 notes at 'AA+sf' and class B notes at 'Asf', both with a Stable Outlook. Collegiate Funding Services Education Loan Trust 2005-A: The current performance shows better than expected default and prepayment performance since the last review, however, higher maturity risk (the risk of not being able to repay the principal due on the notes by legal final maturity) continues to weigh in Fitch's cashflow modeling results. The transaction is most impacted in cashflow modeling by the stable interest rate scenario under Fitch's maturity stresses. Over the last 12 months the transaction experienced a decline in remaining loan term by less than four months. In all rating scenarios and stresses in Fitch's cashflow modeling the notes do not experience a principal shortfall. The model-implied ratings of the class A-4 notes is 'Bsf', one category lower than the assigned ratings, as described by Fitch's "Federal Family Education Loan Program (FFELP) Rating Criteria," which gives credit to the legal final maturity dates of the notes in 2035. The class B notes are at 'BBsf' and are constrained by the rating of the class A-4 notes. The Negative Outlook for all the notes reflects the possibility of further negative rating pressure in the next one to two years if maturity risk continues to increase. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (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. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, defaults have remained in line with expectations, while consolidation from the Public Service Loan Forgiveness Program, which ended in October 2022, drove the short-term inflation of CPR. Voluntary prepayments are expected to return to historical levels. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. CFS 2005-A: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 13.00% under the base case scenario and a default rate of 35.75% under the 'AA' credit stress scenario. Fitch recommends maintaining the sustainable constant default rate (sCDR) at 2.25% and the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) at 8.00% in cash flow modelling to account for transaction's performance and future expectations. The trailing-twelve-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 2.25% (2.12% on Feb 29, 2024), 8.18% (7.21%) and 18.31% (18.89%), respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. 31-60+ delinquencies past due (DPD) rose to 3.68% from 1.91%, while 90-120+ dpd decreased to 0.85% from 1.0% yoy. Chase 2007-A: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 18.50% under the base case scenario and a default rate of 50.88% under the 'AA' credit stress scenario. Fitch recommends maintaining the sCDR at 3.00% and the sCPR at 10.00% in cash flow modelling to account for transaction's performance and future expectations. The TTM levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 3.40% (3.54% on Feb 29, 2024), 11.78% (12.42%) and 25.74% (26.01%), respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60+ and 90-120+ dpd increased to 4.76% from 3.48% and 1.90% from 0.91%, respectively, from yoy. Basis and Interest Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution date, all trust student loans are indexed to SOFR and all notes are indexed to 90-day average SOFR plus the spread adjustment of 0.26161%. Fitch applies its standard basis and interest rate stresses to the transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization (OC) and for the class A notes, subordination provided by the class B notes. CFS 2005-A: As of the March 2025 distribution date, reported total parity is 103.4%. Liquidity support is provided by a reserve account currently sized at its floor of $1,340,886. The transaction is not releasing cash. Chase 2007-A: As of the March 2025 distribution date, reported total parity is 101.42%, in line with the last review. Liquidity support is provided by a reserve account currently sized at its floor of $1,770,567. The transaction will continue to release cash as long as 100% total parity (excluding the reserve account) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient is an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified 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 is not expected to interrupt 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 most of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below 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. Chase Education Loan Trust 2007-A Current Ratings: class A-4 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-4 'AA+sf' (Credit and Maturity Stress); class B 'Asf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A ' AA+sf'; class B 'Asf'; - Default increase 50%: class A ' AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A ' AA+sf'; class B 'Asf'; - Basis Spread increase 0.50%: class A ' AA+sf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A ' AA+sf'; class B 'Asf'; - CPR decrease 50%: class A ' AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A ' AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A ' AA+sf'; class B 'Asf'; - Remaining Term increase 25%: class A ' AA+sf'; class B 'Asf'; - Remaining Term increase 50%: class A ' AA+sf'; class B 'Asf'. Collegiate Funding Services Education Loan Trust 2005-A: Current Ratings: class A-4 'BBsf'; class B 'BBsf' Current Model-Implied Ratings: class A-4 'AA+sf' (Credit Stress)/'Bsf' (Maturity Stress); class B 'AA+sf' (Credit Stress)/ 'AAsf' (Maturity Stress) Credit Stress Rating Sensitivity: - Default increase 25%: class A 'AA+sf'; class B 'AAsf'; - Default increase 50%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity: - CPR decrease 25%: class A 'CCCsf'; class B 'BBBsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'Bsf'; class B 'BBBsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'BBsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Chase Education Loan Trust 2007-A: No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Collegiate Funding Services Education Loan Trust 2005-A: Credit Stress Rating Sensitivity: - Default decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'AA+sf'; Maturity Stress Rating Sensitivity: - CPR increase 25%: class A 'BBBsf'; class B 'Asf'; - CPR increase 50%: class A 'Asf'; class B 'AAsf'; - IBR Usage decrease 25%: class A 'BBsf'; class B 'AAsf'; - IBR Usage decrease 50%: class A 'BBBsf'; class B 'AAsf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'. 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. COMM 2014-CCRE14: DBRS Cuts Class D Certs Rating to C ----------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE14 issued by COMM 2014-CCRE14 Mortgage Trust as follows: -- Class B to A (low) (sf) from AA (sf) -- Class C to CCC (sf) from BBB (low) (sf) -- Class PEZ to CCC (sf) from BBB (low) (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class E at C (sf) -- Class F at C (sf) The trend on Class B remains negative. Classes C, D, E, F, and PEZ have credit ratings that typically do not carry a trend in commercial mortgage-backed securities transactions. The credit rating downgrades and Negative trend reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool, which is in wind down with just seven loans remaining. The largest contributor to the increased liquidated loss projections from Morningstar DBRS' previous credit rating action is the 175 West Jackson loan (Prospectus ID#8, 17.8% of the current pool balance), which has experienced precipitous value and occupancy declines from issuance. The Negative trend maintained on Class B reflects Morningstar DBRS' concerns regarding the accumulation of interest shortfalls, which have increased by approximately $2.5 million from the previous credit rating action as of the February 2025 remittance and continue to accumulate at a rate of approximately $260,000 per month. Of particular concern is the interest shortfalls that have affected Class C since November 2024 and are expected to remain outstanding beyond Morningstar DBRS' tolerance for shortfalls at the BBB (sf) credit rating categories, further supporting the credit rating downgrade for that bond. As of the February 2025 remittance, with the pool reporting an aggregate principal balance of $201.2 million, representing a collateral reduction of 85.4% since issuance. Six of the seven remaining loans are specially serviced (52.7% of the pool), while the remaining loan, 625 Madison Avenue (Prospectus ID#1, 47.3% of the pool), is being monitored on the servicer's watchlist for an upcoming extended maturity date in December 2026. To date, the trust has realized $37.9 million in losses, which have been contained to the non-Morningstar DBRS credit rated Class G. Given the concentration of defaulted and underperforming assets, Morningstar DBRS' analysis considered liquidation scenarios for all six specially serviced loans, based on conservative stresses to the most recent appraised values. Morningstar DBRS' projected liquidated losses total $71.8 million, a figure which would eliminate the remainder of Class G and the full balance of Classes F and E and erode a significant component of the Class D certificate. This scenario supports the C (sf) credit ratings for Classes D, E, and F, and the eroded credit support and increased shortfalls support the downgrade to CCC (sf) for Class C and to BBB (low) (sf) for Class B. While Morningstar DBRS considered stressed scenarios in the liquidation analyses, the high concentration of loans backed by office properties types suggest there could be significant volatility in the ultimate sale price for disposed assets given the impacts to investor demand in the post-pandemic environment. The largest loan in the pool, 625 Madison (Prospectus ID#1, 47.3% of the pool), is a pari passu loan that is also secured in the COMM 2014-CCRE15 Mortgage Trust transaction (also credit rated by Morningstar DBRS). The loan is secured by the leased-fee interest in the land under 625 Madison Avenue, a 17-story Class A office tower in Manhattan. SL Green (SLG) was the ground-lease tenant and owned the improvements; however, following a default on a mezzanine loan secured by the subject borrower's interest in the property, SLG acquired the former sponsor's interest in the land. The senior loan was modified in December 2023 to terminate the ground lease, pre-approve an equity transfer in the land interest, and to extend the loan maturity to December 2026, with a $25.0 million principal paydown contributed to close the modification. Ross Related Companies (Related) was the equity interest transferee, and SLG and Related have spoken publicly about their plans to redevelop the subject property. A demolition contract was signed in August 2024 to demolish the improvements and construct a new tower that would include hotel, retail, and luxury condo space. Based on the November 2023 appraisal, the value of the land was reported at $415.1 million, an increase from the $400.0 million appraised land value at issuance, and well above the current whole-loan balance of $168.9 million (subject trust balance of $95.3 million). Given these developments and the estimated land value, Morningstar DBRS expects the loan will ultimately be fully recovered; however, given the uncertain timing for the takeout and the increase in shortfalls that could mean the servicer could ultimately withhold paid interest, the credit rating downgrade for the Class B certificate was supported. The 175 West Jackson loan is secured by a 22-story, 1.54 million-square-foot (sf) office tower in Chicago's central business district. The loan failed to repay at its November 2023 maturity, and a receiver has been appointed; discussions are ongoing for a possible sale of the property. Occupancy has been depressed for the last several years with the trailing 12-month period ended September 30, 2024, financials reporting an occupancy rate of 58.0% and a debt service coverage ratio below breakeven. Reis reports an average vacancy rate of 20.4% for office properties located in the Central Loop submarket as of Q4 2024, compared with the Q4 2023 figure of 14.1%. The November 2024 appraisal reported a value of $84.0 million, a significant decline from the March 2024 value of $120.0 million, the issuance value of $410.0 million, and the whole-loan balance of $250.5 million. Given the significant value decline from the previous appraisal and soft office submarket, the loan was analyzed with a liquidation scenario based on a stressed 30.0% haircut to the November 2024 value, resulting in a total loss of $31.5 million, with a loss severity of 88.0%. The 16530 Ventura Boulevard loan (Prospectus ID#20, 8.7% of the current pool balance) is secured by the Encino Atrium, a 157,000-sf suburban office building located in Encino, California. The loan transferred to special servicing as the borrower failed to pay off the loan at the January 2024 maturity. Although a resolution strategy has yet to be determined, the appointment of a receiver is underway. Occupancy has been depressed for the last several years with the March 2024 financials reporting an occupancy rate of 42.1% and negative cash flows, unchanged since 2021. In comparison, The SFV - Central submarket reported an average vacancy rate of 17.9% for Q4 2024, compared with 17.4% in Q4 2023, according to Reis. An appraisal dated September 2024 valued the property at $4.3 million, unchanged from the February 2024 appraised value but a significant decline from the issuance value of $30.0 million and the current loan balance of $17.4 million. Given Morningstar DBRS' expectation that the subject building will be quite difficult to sell considering the location and the very low occupancy rate, a stressed haircut of 50.0% was applied to the September 2024 appraised value in the liquidation scenario, which resulted in a loss severity approaching 100%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-UBS4: DBRS Confirms C Rating on 5 Classes --------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4 issued by COMM 2014-UBS4 Mortgage Trust as follows: -- Class A-M to AA (sf) from AAA (sf) -- Class X-A to AA (sf) from AAA (sf) -- Class B to BB (sf) from BBB (sf) -- Class X-B to CCC (sf) from B (sf) -- Class C to CCC (sf) from B (low) (sf) -- Class PEZ to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) -- Class X-D at C (sf) The trend on Class A-5 is Stable. The trends on Classes A-M, X-A, and B remain Negative. All remaining classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The Class C certificate has been accruing interest shortfalls since August 2024 and has reached Morningstar DBRS' maximum tolerance of six remittance periods of consecutive shortfalls for the BB (sf) and B (sf) credit rating categories, supporting the credit rating downgrade to CCC (sf) from B (low) (sf) on that class. In addition, interest payments on the Class B certificate were partially shorted with the January 2025 remittance and continue to be shorted with the February 2025 remittance, which showed cumulative shortfalls of $63,203 for that class. Although the shortfalls for the Class B certificate have yet to exceed Morningstar DBRS' tolerance of three to four consecutive remittance periods for the BBB (sf) credit rating category, Morningstar DBRS expects the tolerance will be exceeded in the near term, supporting the credit rating downgrade to BB (sf) from BBB (sf) and the Negative trend on that class. Morningstar DBRS expects that shortfalls will continue to accrue given that there are only 11 loans remaining in the pool, seven of which (representing 62.4% of the current pool balance) are in special servicing. Three of the loans in special servicing (representing 44.7% of the current pool balance) have been deemed nonrecoverable. Should the workout periods for those loans persist, the servicer may continue to withhold payments, as has been seen for transactions in a similar level of wind-down and defaulted loan concentration. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that, even in a conservative scenario based on significant haircuts to the most recent appraised values, realized losses would be contained to the Class C certificate. However, should the as-is values for the underlying collateral backing the defaulted loans deteriorate further, the Class A-M certificate may be more susceptible to interest shortfalls as a result of accumulating appraisal subordination entitlement reduction amounts, outstanding advances, and other expenses/fees, which was a consideration for the credit rating downgrade to AA (sf) from AAA (sf) and the Negative trend on that class. Morningstar DBRS maintains a cautious long-term outlook for the largest loan in the pool, State Farm Portfolio (Prospectus ID#1; 29.4% of the pool), given that the underlying assets are leased but not occupied by State Farm Mutual Automobile Insurance Company (State Farm); however, Morningstar DBRS expects the continued rent payments to sufficiently cover the loan's principal and interest obligations in the near to medium term, mitigating some of the interest shortfall risk tied to the defaulted assets. In addition to concerns about accruing interest shortfalls (which totaled $12.1 million as of the February 2025 remittance), Morningstar DBRS' projected loss expectations tied to the loans in special servicing have increased since the prior credit rating action, primarily driven by the two largest loans in special servicing, 597 Fifth Avenue (Prospectus ID#2; 28.3% of the pool) and 30 Knightsbridge (Prospectus ID#4; 13.5% of the pool). Additional details are outlined below. To date, the trust has incurred losses of approximately $26.3 million, depleting more than 50.0% of the nonrated Class G certificate. The 597 Fifth Avenue loan is secured by two adjacent mixed-use properties in Manhattan's Midtown neighborhood. The property consists of 80,032 square feet (sf) of Class B office and ground-floor retail space. The loan transferred to the special servicer in October 2020, and a foreclosure sale has been scheduled to take place in April 2025. Lululemon vacated the ground-floor retail space in 2019 (originally leased to Sephora); however, Club Monaco took over the space, with a lease that ultimately ran through January 2024. Various online sources indicate that Club Monaco has agreed to extend its lease through 2031 at a rental rate slightly higher than $200 per sf (psf)¿a significant decline from Sephora's rental rate of $600 psf at issuance. While Club Monaco's lease extension is a positive development, the property's receiver noted that the landlord, Thor Equities, has effectively abandoned the building, along with an adjacent building on 48th Street. The property reportedly requires major repairs to the facade, fire sprinkler system, and water tanks. According to the most recent servicer commentary, the property was approximately 26.0% occupied as of July 2024. The property was most recently appraised in July 2024 at a value of $53.0 million (reflecting a total exposure loan-to-value ratio in excess of 220.0%), below the November 2023 and issuance appraised values of $84.3 million and $180.0 million, respectively. Morningstar DBRS liquidated the loan from the pool based on a conservative 40.0% haircut to the most recent appraised value, resulting in a Morningstar DBRS value of $31.8 million ($397 psf) and an implied loss approaching $87.0 million. The State Farm Portfolio loan is pari passu with notes held in the COMM 2014-UBS3 and COMM 2014-UBS5 transactions, both of which are rated by Morningstar DBRS, and the non-Morningstar DBRS-rated MSBAM 2014-C16 transaction. The loan is secured by a portfolio of 14 cross-collateralized and cross-defaulted office properties in 11 different states. The loan recently returned to the master servicer in January 2025; however, as noted above, credit risk remains elevated as all of the underlying assets are leased but not occupied by State Farm, with all but two of the leases running through 2028. While State Farm continues to make rent payments, it has physically vacated every property. The loan had an anticipated repayment date in April 2024 and is now hyper-amortizing until April 2029, with annual interest rate resets. The servicer approved a partial release for one property in Tulsa, Oklahoma. Although Morningstar DBRS expects the continued rent payments to amortize the outstanding debt, Morningstar DBRS believes the current value deficiency is significant given the dark status of the properties and the tertiary locations that will likely mean low investor demand. As such, Morningstar DBRS considered a liquidation scenario based on a conservative haircut to the issuance appraised value, which resulted in an implied loss of approximately $25.0 million. The 30 Knightsbridge loan is secured by four interconnected three-story office buildings, totaling 686,316 sf, in Piscataway, New Jersey. The loan transferred to special servicing in December 2023 for imminent default after tenant departures pushed occupancy down to 50.0%. The servicer previously indicated that a property sale was pending, but that appears to have fallen through. Backfilling vacant space at the property may prove to be challenging, especially when considering the relatively soft submarket fundamentals (per Reis, the Piscataway/South Plainfield submarket had an average vacancy rate of 21.2% as of Q4 2024) and general challenges for office properties in today's environment. Morningstar DBRS liquidated the loan based on a 75.0% haircut to the issuance appraised value of $82.0 million, resulting in a projected liquidated loss amount of approximately $33.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE24: Fitch Lowers Rating on Cl. F Certs to 'Csf' ------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed four classes of the Deutsche Bank Securities 's COMM 2015-CCRE24 Mortgage Trust (COMM 2015-CCRE24) Commercial Mortgage Pass-Through Certificates. Negative Rating Outlooks were assigned for downgraded classes B and C. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE24 A-4 12593JBE5 LT AAAsf Affirmed AAAsf A-5 12593JBF2 LT AAAsf Affirmed AAAsf A-M 12593JBH8 LT AAAsf Affirmed AAAsf B 12593JBJ4 LT A-sf Downgrade AA-sf C 12593JBK1 LT BBB-sf Downgrade A-sf D 12593JBL9 LT CCCsf Downgrade Bsf E 12593JAL0 LT CCsf Downgrade CCCsf F 12593JAN6 LT Csf Downgrade CCsf X-A 12593JBG0 LT AAAsf Affirmed AAAsf X-C 12593JAC0 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Increase in 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 10.35% from 8.8% at Fitch's prior rating action. Fitch identified 13 loans (31.2% of the pool) as Fitch loans of concern (FLOCs) including four loans (7.4%) in special servicing. The downgrades to classes B, C, D, E, F, and X-C reflect higher pool loss expectations driven by a deteriorated appraisal value for the specially serviced Westin Portland loan (5.0%) in addition to continued underperformance of office, retail and hotel FLOCs, including Two Chatham Center & Garage (5.1%), 40 Wall Street (4.4% of pool), McMullen Portfolio (2.9%), Vero Beach Outlets (1.8%) and FogCatcher Inn Pacifica (1.6%). The Negative Outlooks assigned to classes B and C also reflect the high concentration of FLOCs and these classes' reliance on proceeds from FLOCs to repay. Downgrades are possible without performance stabilization of the FLOCs, or loans in special servicing experience further performance or valuation declines and recovery prospects worsen, additional loans transfer to special servicing or loans fail to pay off at their scheduled maturity. Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation. The Negative Outlooks reflect the sensitivity to concentrations and potential for adverse selection. Largest Contributors to Loss Expectations: The largest contributor to expected losses in the pool and the largest increase in loss since the prior rating action is The Westin Portland (4.7% of the pool), a 19-story, 205-room full-service hotel located in downtown Portland, OR. The loan transferred to special servicing in October 2023 due to imminent monetary default and has remained 90+ days delinquent. The servicer has engaged counsel to commence enforcement remedies. The hotel sustained significant performance declines prior to the pandemic with an NOI DSCR at or below 1.00x since YE 2017 and is currently at -0.29x as of the most recent trailing 12-month June 2023 reporting. Per the YE 2024 STR Report, the hotel continues to underperform its competitive set reflecting penetration rates for occupancy, average daily rate (ADR), and Revenue per available room (RevPAR) at 74.6%, 82.2%, and 61.3%, respectively. Fitch's loss expectations of 63.3% (prior to concentration add-ons) reflects the most recent appraisal value, which is approximately 68% below the value at issuance and equates to a recovery value of $89,845 per key. The second largest contributor to expected losses in the pool is Two Chatham Center & Garage (4.9%), secured by a 17-story 290,501-sf Class B office building and a six level 2,284-car parking garage located in Pittsburgh, PA. The loan remains a FLOC due to sustained performance declines including lower occupancy for the office portion of the subject, which has declined to 35.1% as of September 2024 from 45% at YE 2022 and 59% at issuance. The loan's NOI DSCR has consistently remained near 1.00x since YE 2021, currently reported at 1.08x as of YTD September 2024. According to the servicer, the leasing market remains weak, however parking revenue is improving with the reopening of the hotel adjacent to the subject. Fitch's 'Bsf' rating case loss of 29.8% (prior to concentration adjustments) is based on an 11% cap rate, 20% stress to YE 2023 NOI and factors a higher probability of default to account for heightened term and maturity default concerns. The third largest contributor to loss expectations in the pool is 40 Wall Street (4.2%), secured by a 71-story, 1.23 million-sf office building located in the Financial District of Lower Manhattan. The loan remains a FLOC due to further occupancy declines after Duane Reade (6.5% of the NRA) exercised a lease termination option and vacated their office space in March 2023. Duane Reade also vacated their retail premises (1.9% of the NRA) but continues to pay according to the contractual lease agreement, which expires in January 2032. Occupancy has declined to 74.4% as of September 2024 with an NOI DSCR of 0.80x. The Annualized YTD 9/2024 and YE 2023 NOI are 65.3% and 43.3% below NOI at issuance, respectively. Fitch's 'Bsf' rating case loss of 25% (prior to concentration adjustments) reflects a 9.25% cap rate on the Annualized September 2024 NOI and factors a higher probability of default to account for heightened term and maturity default concerns. Increase to Credit Enhancement: As of the March 2025 distribution date, the pool's aggregate principal balance has paid down by 28.3% to $995.3 million from $1.39 Billion at issuance. Eleven loans (12.2% of the pool) are fully defeased. There are 14 (26.9% of pool) full-term, interest-only (IO) loans; and 49 (73.1%) loans that are currently amortizing. 62 (92.4% of pool) loans have a maturity date in 2025, with a high concentration in Q3 2025 (76.4% of the pool), while one remaining loan has a maturity date in 2026. Cumulative interest shortfalls of $2.13 million and $144 thousand, respectively, are impacting the non-rated class H and realized losses of $1.3 million are impacting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the 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' and 'AAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class credit enhancement (CE), or if interest shortfalls occur to or are expected to impact the AAAsf classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular hotel and office loans with deteriorating performance or with greater certainty of losses on FLOCs which include Two Chatham Center & Garage, 40 Wall Street, McMullen Portfolio, and FogCatcher Inn Pacifica. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing and/or default or as losses are realized or become more certain particularly the Westin Portland. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Asf' rated classes could occur with improvements in CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBBsf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' 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 from the specially serviced loans, particularly the Westin Portland 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. COMM 2015-CCRE26: Fitch Lowers Rating on Two Tranches to 'Bsf' -------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed five classes of the Deutsche Bank Securities' COMM 2015-CCRE26 Mortgage Trust (COMM 2015-CCRE26) commercial mortgage pass-through certificates. Following the downgrades, Negative Outlooks are assigned to classes B, C, D, and X-C. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE26 A-3 12593QBD1 LT AAAsf Affirmed AAAsf A-4 12593QBE9 LT AAAsf Affirmed AAAsf A-M 12593QBG4 LT AAAsf Affirmed AAAsf A-SB 12593QBC3 LT AAAsf Affirmed AAAsf B 12593QBH2 LT Asf Downgrade AAsf C 12593QBJ8 LT BBBsf Downgrade Asf D 12593QBK5 LT Bsf Downgrade BBsf E 12593QAL4 LT CCCsf Downgrade BB-sf F 12593QAN0 LT Csf Downgrade CCCsf X-A 12593QBF6 LT AAAsf Affirmed AAAsf X-C 12593QAC4 LT Bsf Downgrade BBsf KEY RATING DRIVERS Increase in 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss increased to 7.9% from 6.6% at Fitch's prior rating action. Fitch identified 13 loans (40.7% of the pool) as Fitch Loans of Concern (FLOCs), with no loans in special servicing. The downgrades to classes B, C, D, E, F, and X-C reflect higher pool loss expectations, driven by continued underperformance of and refinancing risk related to office and hotel FLOCs, including Prudential Plaza (12.7% of the pool), cross-collateralized loans, including Hotel Lucia (3.3%) and Hotel Max (3.3%), Portofino Plaza (5.3%), Rosetree Corporate Center (4.7%), Empire Corporate Plaza (3.8%), and USF Holland Distribution Center (0.8%). The Negative Outlooks to classes A-M, B, C, D, X-A, and X-C, also reflect the high office concentration (43%) and reliance on proceeds from FLOCs to repay these classes. Downgrades are possible without performance stabilization of the FLOCs, if additional loans transfer to special servicing or loans are not paid off at their scheduled maturity. Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation. The Negative Outlooks reflect the sensitivity to concentrations and potential for adverse selection. Largest Contributors to Loss Expectations: The largest contributor to expected losses in the pool is the Prudential Plaza loan (12.7% of the pool), which is secured by two office towers totaling 2.2 million-sf located in Chicago, IL, immediately north of Millennium Park. The loan is a FLOC due to sustained performance declines, including reduced occupancy. The property transferred to special servicing in June 2023 due to imminent default after the sponsors, a joint venture between Sterling Bay and Wanxiang America Corp., sought a modification to the loan for a $50 million renovation. The project includes a 200,000-sf conference center, an entertainment area, a coworking space, and a glass-enclosed walkway between the two towers connecting them to a shared, 11th-floor roof deck. The loan returned to the master servicer in March 2024 after the execution of a loan modification, which extended the maturity to August 2027 with two, one-year extension options. The loan continues to perform under the terms of the modification. Since the modification, new leases have been signed at the property, including with mental health services provider ComPsych (2.2% of NRA), architecture firm HOK (1.1% of NRA), and infrastructure consulting firm AECOM (1% of NRA). The sponsors plan to offer naming rights and signage to a major tenant for the building. The property was 73.9% occupied as of February 2025, with occupancy expected to decline further due to the expected departure of tenants at lease expiration, accounting for 8.4% of the NRA. The drop in occupancy has also affected the loan's net operating income (NOI) debt service coverage ratio (DSCR), which declined to 1.27x as of YE 2024 from 1.76x at YE 2021. Fitch's 'Bsf' rating case loss of 12% (prior to concentration add-ons) is based on an 10% cap rate, and a 15% stress to the YE 2024 NOI. The largest increase in loss since the prior rating action is Portofino Plaza (5.3%), secured by 51,463 sf mixed-use property located in Santa Monica, CA. The subject includes a three-level subterranean parking garage with 182 spaces. The loan was designated as a FLOC because the largest tenant, TrueCar (32.4% of NRA), filed a lawsuit seeking to terminate their lease, citing construction defects and claiming the space had become unsuitable for use. Although the publicly traded company vacated the premises in April, they continue to fulfill their rent obligations while the litigation is ongoing. Occupancy has remained at 100% since issuance and the most recent TTM NOI DSCR was 2.21x as of September 2024. The TTM September 2024 and YE 2023 NOI are 4.3% and 6.1% above the NOI at issuance, respectively. Fitch's 'Bsf' rating case loss of 15% (prior to concentration adjustments) is based on an 9.75% cap rate, 25% stress to TTM September 2024 NOI and factors a higher probability of default to account for tenant litigation challenges, heightened term and maturity default concerns. The third-largest contributor to loss expectations in the pool is the cross-collateralized loans Hotel Lucia (3.3%) and Hotel Max (3.3%). Both loans are secured by full-service boutique hotels, sponsored by Gordan Sondland. The 163-key Hotel Max is located in downtown Seattle, WA and the 127-key Hotel Lucia is located in downtown Portland, OR. The Hotel Max has sustained performance declines since the pandemic with the TTM January 2025 occupancy falling to 74.4% from pre-pandemic levels of 86% at YE 2019. The YE 2024 NOI is 27.3% below NOI at issuance with an NOI DSCR coverage of 1.44x. The hotel is underperforming its competitive set, with TTM January 2025 reported occupancy, average daily rate (ADR), and revenue per available room (RevPAR) penetration rates of 100.8%, 91%, and 91.7%, respectively. Similarly, the Hotel Lucia has sustained performance declines since the pandemic with the TTM January 2025 occupancy at 67.1%, compared to pre-pandemic levels of 78% at YE 2019. The hotel reported negative cash flow for YE 2023 and YE 2022 and is currently at 0.06x as of YE 2024. Per the TTM January 2025 STR report, the hotel had penetration rates for occupancy, ADR, and RevPAR at 122.9%, 99.3%, and 122%, respectively. Fitch's loss expectations for the hotels includes an 11.25% cap rate to a stabilized cash flow and an increased probability of default to account for the loan's heightened default concerns. Fitch's 'Bsf' ratings case losses is 16% for the Hotel Max loan and 22.2% for the Hotel Lucia loan (prior to concentration adjustments). Increase to Credit Enhancement: As of the March 2025 distribution date, the pool's aggregate principal balance has been paid down by 22.7% to $842.9 million from $1.09 billion at issuance. There are 10 fully defeased loans (7.4% of the pool). There are five (19% of pool) full-term, interest-only (IO) loans; and 46 (81%) loans that are currently amortizing. The maturity of 50 (87.3% of pool) loans is in 2025, with a high concentration in 3Q25 (77.9% of the pool), while one remaining loan matures in 2027. Cumulative interest shortfalls of $404,772 and realized losses of $272,058 are impacting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the 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' and 'AAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur to or are expected to impact the AAAsf classes. Downgrades to classes rated in the 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, or if more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular hotel and office loans with deteriorating performance or with greater certainty of losses on FLOCs which include Prudential Plaza, Rosetree Corporate Center, Portofino Plaza, Crossroads Office Portfolio, Empire Corporate Plaza (3.8%), and USF Holland Distribution Center (0.8%), and the cross-collateralized Hotel Lucia and Hotel Max. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing and/or default or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Asf' rated classes could occur with improvements in credit enhancement (CE) from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there was a likelihood for interest shortfalls. Upgrades to the 'BBBsf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' 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 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. COMM 2016-787S: DBRS Confirms B Rating on Class D Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-787S issued by COMM 2016-787S Mortgage Trust as follows: -- Class A at AA (high) (sf) -- Class X-A at AAA (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at B (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' current outlook for the transaction as evidenced by the stable performance of the underlying collateral, a 1.7 million-square-foot (sf), Class A office building known as the Axa Equitable Center in Midtown Manhattan. The $780.0 million whole loan consists of eight senior pari passu A notes totaling $566.0 million and one $214.0 million junior B note. The $640.0 million subject transaction is secured by six senior A notes totaling $426.0 million and the junior B note. The two remaining senior A notes were contributed to the DBJPM 2016-C1 Mortgage Trust (rated by Morningstar DBRS) and JPMDB Commercial Mortgage Securities Trust 2016-C2 (not rated by Morningstar DBRS) transactions. The fixed-rate, interest-only (IO) loan has a 10-year term and is scheduled to mature in February 2026. This property benefits from long-term investment-grade tenancy and its advantageous location near public transportation, including access to Times Square and Grand Central Terminal. The loan is sponsored by Fifth Street Properties, LLC, a joint venture between the California Public Employees' Retirement System and CommonWealth Partners LLC. At closing, the borrower contributed $975.0 million of cash equity to purchase the property, or 51.7% of the net acquisition cost of $1.89 billion. The net cash flow (NCF) for the trailing 12-month period ended June 30, 2024, was $65.2 million, reflective of a debt service coverage ratio of 2.96 times. The NCF figure is relatively in line with the Morningstar DBRS NCF of $65.4 million derived in 2020 and represents an improvement over the YE2023 NCF of $60.3 million. The property was 94.4% occupied as of June 2024, an improvement from the prior year's occupancy rate of 88.7%. The largest tenants at the property are Sidley Austin LLP (22.5% of the net rentable area (NRA); lease expiration in May 2037)), Willkie Farr & Gallagher LLP (17.7% of the NRA; lease expiration in August 2027), and BNP Paribas S.A (BNP; 17.3% of the NRA; lease expiration in December 2041). In July 2024, Willkie Farr & Gallagher LLP announced that the firm signed a 20-year lease to remain at the property, effectively extending the term through 2047. BNP previously occupied 517,200 sf (29.4% of the NRA) but gave back approximately 127,100 sf (9.3% of the NRA) of space in 2022, in exchange for signing a long-term lease at a reduced rental rate of $46.97 per square foot (psf), down from $76.07 psf. The top five tenants at the property collectively represent approximately 80.0% of the total NRA. Near-term tenant rollover is nominal with leases representing less than 4.0% of the NRA scheduled to expire within the next 12 months. According to Q4 2024 Reis data, office properties within the Midtown West submarket reported average vacancy and effective rental rates of 13.7% and $69.43 psf, respectively. In the analysis for this review, Morningstar DBRS maintained the 7.75% cap rate applied at the previous credit rating action in April 2024, resulting in a Morningstar DBRS value of $843.3 million, a variance of -56.4% from the issuance appraised value of $1.9 billion. The Morningstar DBRS value implies a loan-to-value ratio (LTV) of 92.5%, compared with the LTV of 40.3% on the issuance appraised value. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 4.0% in the LTV sizing benchmarks to reflect the low cash flow volatility, Class A property quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-521F: DBRS Cuts Rating on 2 Classes to CCC ---------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of COMM 2019-521F Mortgage Trust, Commercial Mortgage Pass-Through Certificates, issued by COMM 2019-521F Trust as follows: -- Class B to A (high) (sf) from AA (sf) -- Class C to BBB (high) (sf) from A (sf) -- Class D to BB (high) (sf) from BBB (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit rating: -- Class A at AAA (sf) Morningstar DBRS also changed the trends on Classes A, B, and C to Negative from Stable; the trend on Class D remains Negative. Classes E and F no longer carry a trend as both classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Morningstar DBRS previously downgraded its credit ratings for Classes C, D, E, and F and changed the trends on Classes D, E, and F to Negative from Stable in April 2024 to reflect both the performance challenges for the collateral property in occupancy and cash flow declines and also Morningstar DBRS' view that there has been a secular shift for the office sector, which has resulted in generally increased risks and value declines for the property type. As part of that credit rating action, the Morningstar DBRS value for the collateral office property was updated, with an increase in the capitalization rate (cap rate) to 7.25%, up from the cap rate of 6.50% that was considered when Morningstar DBRS assigned credit ratings to the transaction in 2020. The resulting Morningstar DBRS value was $235.1 million, compared with the issuance appraised value of $395.0 million. Since the April 2024 credit rating action, the underlying loan has been transferred to special servicing and, more recently, an updated appraisal has been obtained by the special servicer, showing an as-is value of $244.0 million for the collateral office property as of August 2024. The credit rating downgrades with this review largely reflect an update to the Loan-to-Value (LTV) Sizing Benchmarks based on a haircut to that value, as further described below, as well as the status of interest shortfalls for Classes E and F, a factor of the updated appraised value and the servicer's appraisal reduction calculation. The Negative trends on Classes A, B, and C reflect the expectation that there could be further volatility in the property value through the workout process. The subject transaction is secured by the borrower's fee-simple interest in 521 Fifth Avenue, a 495,636-square-foot (sf), 39-story Class A office property built in 1929. The space includes three underground levels and multilevel retail space, which represents 10.1% of the subject's total net rentable area (NRA). The property is well located, close to Grand Central Terminal, Bryant Park, and the New York City Public Library, and offers efficient and flexible floorplates ranging from 3,000 sf to 22,500 sf with outdoor terraces that appeal to both large and boutique tenants. Urban Outfitters occupies the prime Fifth Avenue retail space on the ground floor, with Equinox occupying a side street retail suite. Occupancy at the property has trended downward in recent years, slipping to 70.2% as of November 2024, and while that is a tepid increase from YE2023, it's still significantly down from 93.0% at issuance. And, while average rental rates at the property have increased to $74.57 per square foot (psf) from $64.83 psf at issuance, rental rates for new leases signed in 2024 range from $57.00 psf to $65.00 psf, highlighting the softening in the market. According to Reis, Inc., comparable Class A office properties within a one-mile radius of the subject reported average vacancy rates of 13.9% with effective rental rates of $70.62 psf. The largest tenant, Urban Outfitters (5.2% of the NRA), has a lease that expires in February 2026 with two five-year extension options. The second-largest tenant is Equinox (5.2% of the NRA through January 2035), which occupies 25,735 sf of primarily below-ground-level retail space. The remainder of the rent roll is relatively granular with no other tenant representing more than 5.0% of the NRA. Per the November 2024 rent roll, lease expirations through February 2026 are moderately concentrated with tenant leases representing approximately 9.9% of NRA set to roll. According to the YE2023 financial reporting, the property generated net cash flow (NCF) of $12.4 million, with a debt service coverage ratio (DSCR) of 0.8 times (x), compared with the YE2022 figures of $11.2 million and 1.6x., respectively. The YE2023 and YE2022 NCF figures are 27.0% and 34.2% lower than the Morningstar DBRS NCF figure of $17.1 million, which was derived in 2020 when credit ratings were assigned. The floating-rate loan matured in June 2024, and, after the lender and borrower were unable to agree to terms of a maturity extension, the loan was transferred to special servicing in that same month. The loan has been delinquent since December 2024 and the updated appraisal mentioned above was first reported by the servicer with the February 2025 remittance report. The $244.0 million appraised value is a decline of 44.4% from the $395.0 million appraised value at issuance but is within 5.0% of the Morningstar DBRS value derived with the April 2024 credit rating action. The February 2025 remittance reflects an appraisal reduction amount of $30.9 million. According to the servicer, the lender and borrower are currently discussing a potential joint marketing and sale of the property with borrower's cooperation. The special servicer is also dual-tracking the possibility of initiating foreclosure proceedings. In the analysis for this review, Morningstar DBRS considered a 10% haircut to the August 2024 appraisal value, resulting in a Morningstar DBRS value of $219.6 million. The updated Morningstar DBRS value is a -16.3% variance from the previous Morningstar DBRS value and implies an LTV of 110.2% compared with an LTV of 61.3% on the appraised value at issuance. Given the ongoing negotiations, which suggest the sponsor remains committed to the asset, either through participating in a sale or otherwise working with the special servicer for a successful resolution, a liquidation scenario was not explicitly considered as part of this review. However, Morningstar DBRS notes that, should a liquidation scenario be considered, one that accounts for liquidation fees and the possibility of servicer advances that would lead to increased exposure would represent a more punitive analysis, particularly for the classes lowest in the capital stack. In addition, Morningstar DBRS has observed a trend where subsequent appraisals obtained by the special servicer, particularly for office property types, have tended to show significant declines from the initial estimates. This factor influenced the Negative trends for the three classes highest in the capital stack, as noted above. As of the February 2025 remittance, there were cumulative interest shortfalls outstanding of $843,313 for Classes E and F. The full interest due for Class F is being shorted while Class E is being shorted partial interest. Those shortfalls began in December 2024 (a previous shortfall of less than $3,000, attributed to trust expenses, had been outstanding for Class F) and are expected to continue to accumulate and persist beyond Morningstar DBRS' tolerance ceiling of six consecutive months for the BB (sf) and B (sf) credit rating categories given the appraisal reduction and likelihood that the loan remains outstanding beyond June 2025. This factor contributed to the credit rating downgrades for Classes E and F with this review. Notes: All figures are in U.S. dollars unless otherwise noted. CONNECTICUT AVE 2025-R02: Moody's Assigns Ba1 Rating to 4 Tranches ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 63 classes of credit risk transfer (CRT) residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aa3 (sf) Cl. 1M-1, Definitive Rating Assigned A3 (sf) Cl. 1M-2, Definitive Rating Assigned Baa3 (sf) Cl. 1M-2A, Definitive Rating Assigned Baa2 (sf) Cl. 1M-2B, Definitive Rating Assigned Baa2 (sf) Cl. 1M-2C, Definitive Rating Assigned Baa3 (sf) Cl. 1E-A1, Definitive Rating Assigned Baa2 (sf) Cl. 1E-A2, Definitive Rating Assigned Baa2 (sf) Cl. 1E-A3, Definitive Rating Assigned Baa2 (sf) Cl. 1E-A4, Definitive Rating Assigned Baa2 (sf) Cl. 1A-I1*, Definitive Rating Assigned Baa2 (sf) Cl. 1A-I2*, Definitive Rating Assigned Baa2 (sf) Cl. 1A-I3*, Definitive Rating Assigned Baa2 (sf) Cl. 1A-I4*, Definitive Rating Assigned Baa2 (sf) Cl. 1E-B1, Definitive Rating Assigned Baa2 (sf) Cl. 1E-B2, Definitive Rating Assigned Baa2 (sf) Cl. 1E-B3, Definitive Rating Assigned Baa2 (sf) Cl. 1E-B4, Definitive Rating Assigned Baa2 (sf) Cl. 1B-I1*, Definitive Rating Assigned Baa2 (sf) Cl. 1B-I2*, Definitive Rating Assigned Baa2 (sf) Cl. 1B-I3*, Definitive Rating Assigned Baa2 (sf) Cl. 1B-I4*, Definitive Rating Assigned Baa2 (sf) Cl. 1E-C1, Definitive Rating Assigned Baa3 (sf) Cl. 1E-C2, Definitive Rating Assigned Baa3 (sf) Cl. 1E-C3, Definitive Rating Assigned Baa3 (sf) Cl. 1E-C4, Definitive Rating Assigned Baa3 (sf) Cl. 1C-I1*, Definitive Rating Assigned Baa3 (sf) Cl. 1C-I2*, Definitive Rating Assigned Baa3 (sf) Cl. 1C-I3*, Definitive Rating Assigned Baa3 (sf) Cl. 1C-I4*, Definitive Rating Assigned Baa3 (sf) Cl. 1E-D1, Definitive Rating Assigned Baa2 (sf) Cl. 1E-D2, Definitive Rating Assigned Baa2 (sf) Cl. 1E-D3, Definitive Rating Assigned Baa2 (sf) Cl. 1E-D4, Definitive Rating Assigned Baa2 (sf) Cl. 1E-D5, Definitive Rating Assigned Baa2 (sf) Cl. 1E-F1, Definitive Rating Assigned Baa3 (sf) Cl. 1E-F2, Definitive Rating Assigned Baa3 (sf) Cl. 1E-F3, Definitive Rating Assigned Baa3 (sf) Cl. 1E-F4, Definitive Rating Assigned Baa3 (sf) Cl. 1E-F5, Definitive Rating Assigned Baa3 (sf) Cl. 1-X1*, Definitive Rating Assigned Baa2 (sf) Cl. 1-X2*, Definitive Rating Assigned Baa2 (sf) Cl. 1-X3*, Definitive Rating Assigned Baa2 (sf) Cl. 1-X4*, Definitive Rating Assigned Baa2 (sf) Cl. 1-Y1*, Definitive Rating Assigned Baa3 (sf) Cl. 1-Y2*, Definitive Rating Assigned Baa3 (sf) Cl. 1-Y3*, Definitive Rating Assigned Baa3 (sf) Cl. 1-Y4*, Definitive Rating Assigned Baa3 (sf) Cl. 1-J1, Definitive Rating Assigned Baa3 (sf) Cl. 1-J2, Definitive Rating Assigned Baa3 (sf) Cl. 1-J3, Definitive Rating Assigned Baa3 (sf) Cl. 1-J4, Definitive Rating Assigned Baa3 (sf) Cl. 1-K1, Definitive Rating Assigned Baa3 (sf) Cl. 1-K2, Definitive Rating Assigned Baa3 (sf) Cl. 1-K3, Definitive Rating Assigned Baa3 (sf) Cl. 1-K4, Definitive Rating Assigned Baa3 (sf) Cl. 1M-2X*, Definitive Rating Assigned Baa3 (sf) Cl. 1M-2Y, Definitive Rating Assigned Baa3 (sf) Cl. 1B-1, Definitive Rating Assigned Ba1 (sf) Cl. 1B-1A, Definitive Rating Assigned Ba1 (sf) Cl. 1B-1B, Definitive Rating Assigned Ba2 (sf) Cl. 1B-1X*, Definitive Rating Assigned Ba1 (sf) Cl. 1B-1Y, Definitive Rating Assigned 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. DC OFFICE 2019-MTC: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-MTC issued by DC Office Trust 2019-MTC as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (low) (sf) At the prior credit rating action, Morningstar DBRS downgraded Classes B, C, D, and E and placed Negative trends on Classes C, D, and E following the largest tenant's, Fannie Mae (82.2% of the net rentable area (NRA)), announcement to vacate the subject property in 2029 by exercising its termination and contraction options. With this review, Morningstar DBRS changed the trends on Classes C, D, and E to Stable from Negative as Fannie Mae has opted to remain at the property and downsize its space from 713,500 square foot (sf) to 340,000 sf (approximately 41.0% of the NRA), effective June 2029, while extending its lease through 2045, according to several news articles. Additionally, the borrower was able to sign two new tenants that are set to backfill portions of the contracted space. All remaining trends are Stable. The loan is secured by the Midtown Center, an 867,654-sf, 14-story Class A office campus built in 2018 in Washington, D.C., with ground-floor retail and a three-level, below-grade parking garage with 562 spaces. The sponsor, Carr Properties, is an experienced owner, developer, and manager of commercial properties primarily in Washington and Boston. The $404.0 million trust debt consists of three senior pari passu A Notes totaling $261.0 million and three subordinate B Notes totaling $143.0 million. The remaining $121.0 million of the $525.0 million whole loan is composed of pari passu A Notes, with 23.0% held in BANK 2019-BNK22 (also rated by Morningstar DBRS) and the remaining 12.7% in COMM 2018-GC44 (not rated by Morningstar DBRS). The underlying fixed-rate loan for the subject transaction is interest only (IO) through its maturity in September 2033 with an anticipated repayment date (ARD) in October 2029. Given Fannie Mae's original plan to fully vacate the subject property, the tenant paid $70.7 million of termination and contraction fees that have been held as tenant reserves. However, as Fannie Mae has now decided to keep approximately half of its space, Morningstar DBRS believes a portion of the fees may have been returned. According to the February 2025 reserve report, $39.2 million remain held in tenant reserves. Per the October 2024 rent roll, the property was fully occupied, with Fannie Mae occupying 85.6% of the NRA (inclusive of storage space) via multiple leases. Morningstar DBRS notes that leases covering approximately 406,000 sf of Fannie Mae's footprint (48.6% of the NRA) are set to expire between 2025 and 2029, suggesting the net cash flow (NCF) may incrementally decrease over the next few years as the downsizing occurs, in addition to the rental abatements that have been granted. As of the trailing nine-month period ended September 30, 2024, the in-place annualized NCF was $44.1 million. Only nominal rollover is expected prior to the completion of Fannie Mae's downsizing in 2029. Otherwise, there has been positive leasing momentum, with the signing of ArentFox Schiff and FreshFields, which will collectively backfill approximately 28.0% of the NRA once their leases commence between 2027 and 2028. With these updates, Morningstar DBRS expects the occupancy rate to be around 84.0% following Fannie Mae's downsizing. At the last review, Morningstar DBRS was also concerned about the property's exposure to WeWork, the second-largest tenant, given its bankruptcy in November 2023. The tenant, however, has since successfully modified its lease, downsizing to 9.0% from 13.0% of the NRA at a reduced rate with a lease expiration in November 2037, according to a news article. For this review, Morningstar DBRS' credit ratings are based on the stressed value analysis from the previous credit rating action that considered a Morningstar DBRS NCF of $42.8 million (derived when the credit ratings were assigned in 2020) and an increased cap rate of 7.25% to account for the decline in the property's average rental rate. Based on the leasing updates mentioned above, Morningstar DBRS believes the loss in rental revenue stemming from Fannie Mae's space contraction would be mitigated by the signing of ArentFox Schiff and FreshFields, and anticipates that cash flow will recover to Morningstar DBRS' expectations in the long run once rent abatements burn off. As of October 2024, the property's average base rent was $54.18 per square foot (psf), in comparison with the East End submarket's average asking rent of $63.13 psf as of Q4 2024, per Reis, and the Morningstar DBRS gross potential rent of $53.14 psf. The resulting Morningstar DBRS value is $590.9 million, reflecting a trust loan-to-value ratio (LTV) of 68.4% and whole-loan LTV of 88.8%. The Morningstar DBRS value represents a -38.4% variance from the issuance value of $960.0 million. In comparison, the property was valued at $980.0 million based on a $490.0 million sale price for a 49.0% stake in the property in April 2021. Additionally, Morningstar DBRS maintained the positive qualitative adjustments to the final LTV sizing benchmarks, totaling 4.0%, to reflect the property's quality and performance stability in the long term. Notes: All figures are in U.S. dollars unless otherwise noted. DIVERSIFIED ABS X: Fitch Gives 'BB-' Rating on 2025-1 Class B Notes ------------------------------------------------------------------- Fitch Ratings has published the ratings of Diversified ABS X LLC's class A-1, A-2, and B notes. The ratings and Rating Outlooks are as follows: - $200,000,000, series 2025-1 class A-1 notes, 'A-', Outlook Stable; - $240,000,000, series 2025-1 class A-2 notes, 'BBB', Outlook Stable; - $90,000,000, series 2025-1 class B notes, 'BB-', Outlook Stable. Transaction Summary The notes are backed by oil and gas proved, developed and producing (PDP) assets with a full-life PV-10 value of approximately $784 million (20-year PV-10 value of $760 million) operated and managed by a wholly owned subsidiary of Diversified Energy Company PLC (DEC, or the sponsor and operator). The current valuation is based on strip pricing for oil and gas as of Feb. 14, 2025. The estimated advance rate for the class A notes is 56.1% of the full-life PV-10 (57.9% of the 20-year PV-10), and in aggregate is 67.6% of the full-life PV-10 (69.8% of the 20-year PV-10). Fitch's ratings address the likelihood of timely payment of interest on a monthly basis and ultimate payment of principal by the legal final maturity in February 2045 for the class A notes, and ultimate payment of interest and principal by February 2045 for the class B notes. This transaction is a Master Trust with a portion of DEC's Appalachia assets. It includes a refinancing of Diversified ABS Phase I, Diversified ABS Phase II, and Term Loan I, and assets from the Summit Natural Resources acquisition. Fitch had previously placed the Diversified ABS Phase II notes on Rating Watch Negative. This refinancing addresses the reasons for that rating watch by improving the gas price hedges, increasing margins, and amending legal documentation, providing greater clarity related to midstream costs which could potentially burden the transaction with additional expenses in the future. KEY RATING DRIVERS PDP Production in Line with 'GC1' (Positive): Fitch considers the PDP production risk of the assets being transferred by the sponsor to be in line with a going concern (GC) assessment score of 'GC1' and allows rating levels up to the 'A' rating category. PDP production is not dependent on any future development capex, which gives it a competitive advantage over other oil and gas reserves and, therefore, is less sensitive to commodity price declines. The transaction portfolio consists of more than 50,000 wells that have an average age of approximately 20 years. This portfolio is heavily weighted toward natural gas, which makes up approximately 90% of the expected production. Within this portfolio, the top 1,000 wells comprise approximately 39% of the PV-10 and the top 10,000 wells comprise approximately 86% of the PV-10. The decline profile has been historically stable, and Fitch expects it to remain stable over the life of the transaction. Limited Future Generation Risk (Positive): The future generation of the flows is expected to continue with limited disruption in the event of an operator bankruptcy. Therefore, Fitch has not directly linked the transaction rating to the credit quality of DEC. Exposure to operational risk in PDP transactions limits the rating to the single 'A' category. Base Case and Stressed Case Levels (Neutral): Fitch's base case production levels have been assessed in conjunction with third-party IE reports to determine reserve estimates and production levels based on the existing PDP reserves. Fitch's base case was generally in line with the IE projections due to the historical stability of production, the diversified portfolio, and the average life of the wells. Fitch ran various stresses on the IE production levels to simulate potential future volatility in production and overall volumetric risk. While Fitch considered NGL volumes in its base case, Fitch eliminated NGL volumes in its stress case. This simulation eliminates NGL cash flows but considers higher revenues for gas due to an increase in the BTU factor. Fitch ran additional middle and back-weighted stresses to test the sensitivity of the liability structure considering the hedging profile, structural protections provided by triggers, and the overall amortization levels. Majority of Price Risk Hedged (Positive): The transaction mitigates the majority of price risk through hedges covering approximately 80%-95% of natural gas volumes through June 2033. Natural gas hedges will be rolled on 80%-95% of projected production for 8.5 years following each annual determination date. After the fourth anniversary of closing, the rolling hedge requirement drops to five years if the aggregate LTV is less than 45%. Natural gas basis is hedged on approximately 80%-95% of projected production through December 2026 and will continue to do so on a two-year rolling basis. NGLs and oil are hedged through swaps through December 2029 covering approximately 80%-95% of volumes. Hedges will be rolled for 80%-95% of projected production for the five years following each annual determination date. After the fourth anniversary of closing, the rolling hedge requirement decreases to three years if the aggregate LTV is less than 45%. Fitch stresses the unhedged portion of the portfolio as outlined in Fitch's "Future Flow Securitization Criteria." The hedges on the production volumes help to mitigate commodity price risk, but the transaction remains exposed to residual price risk due to the unhedged expected production. Net Cash Flows Subject to Operating Expenses (Negative): The continuous generation of the securitized revenue stream is dependent on net cash flows (NCFs) related to each well. These NCFs relate to production levels and the price at the wellhead minus all expenses. While each well may experience some volatility related to operating costs on an individual basis, the overall operating costs of the portfolio are deemed to be fairly stable. Fitch stressed the fixed and variable costs to absorb potential future volatility. The plugging and abandonment assumption modeled exceeds the current agreements that Diversified has with the states it operates in, which will be in place for several years. If the plugging and abandonment requirements increase significantly when these agreements are renegotiated while the notes are still outstanding, there may be a negative impact on transaction cash flows. This transaction includes a non-executory agreement that the Operator will not charge marketing, gathering, or transportation fees to the assets in this transaction for pipelines or midstream facilities owned by the Operator or Affiliates until the notes are paid. The transaction model incorporates this assumption in the calculation of midstream expenses. Leverage and Coverage Levels (Positive): In the IE scenario for production and expenses, the notes have LLCRs of 4.74x for the A-1 notes, 2.06x for the senior notes, and 1.57x in aggregate. In addition, the average pre-ARD debt service coverage ratios (DSCRs) are approximately 2.52x for the senior notes and 2.08x in aggregate. These DSCRs only incorporate the scheduled portion of principal payments. In Fitch's base case scenario, which includes adjustments to the production and expenses, the notes have LLCRs of 3.98x for the A-1 notes, 1.74x for the senior notes, and 1.34x in aggregate. Average pre-ARD DSCRs are approximately 2.17x for the senior notes and 1.78x in aggregate. These average DSCRs are sensitive to the longer duration under which the notes are expected to pay down in Fitch's base case compared to the IE scenario. The loan-to-value (LTV) ratio is a supplemental metric when analyzing leverage. Fitch's base case LTV for the class A-1 notes is 30.4% (31.0% for the transaction life PV-10), 66.8% for the senior notes (68.2% for the transaction life PV-10), and 80.5% in aggregate (82.1% for the transaction life PV-10). Fitch uses the loan life coverage ratio (LLCR) and payment of the notes before legal final maturity to ensure sufficient coverage over the life of the transaction in stress scenarios. Stress scenarios included simultaneous stresses to production, expenses, hydrocarbon prices, and basis from closing. The LLCRs in the stress scenarios corresponding to each class of notes were 2.97x, 1.39x, and 1.24x for the A-1, A-2, and B notes, respectively. Fitch also reviewed coverage levels and payment of the notes before legal final maturity in multiple sensitivity scenarios in which stresses began following a few years of base case conditions. Fitch believes the coverage ratios are in line with the ratings assigned for the class A-1, A-2, and B notes due to the amortization profile and stability of expected production and expenses. Financial Structure (Neutral): The transaction benefits from significant structural protections, including backward-looking cash sweep mechanisms based on DSCRs and production tracking levels. The LTV trigger provides a partial forward-looking viewpoint as it relates to overall leverage relative to the current expected value. The cash sweep triggers will allow the notes to de-lever on an accelerated basis if transaction performance is not in line with IE base case expectations. The transaction also benefits from a six-month liquidity reserve account that has a floor at 50% of the initial balance to cover monthly senior interest payments and senior expenses. Because of the variable component of amortization, note balances over time will be sensitive to transaction cash flows. Asset Isolation and Legal Analysis (Neutral): The issuer will acquire the assets through a transfer agreement between the seller and the issuer. There is also a separation agreement between DP Bluegrass LLC and Diversified ABS Phase X LLC applicable to the Bluegrass assets. Fitch reviewed opinions on whether the liabilities will be separated, and the issuer would only be responsible for liabilities going forward. Fitch reviewed opinions on whether the SPV's assets have been properly conveyed and that the issuer's assets will not be consolidated in the occurrence of a bankruptcy of the sponsor or operator. Counterparty Risks (Neutral): Fitch analyzed the transaction's exposure to counterparty risk in line with its "Structured Finance and Covered Bonds Counterparty Rating Criteria." Eligibility thresholds for counterparties supporting ratings in the 'A' category should be rated at least 'BBB'. While one hedge counterparty's current rating meets this threshold, the associated ISDA agreement allows for counterparty ratings to be 'BBB-'. If the rating of that hedge counterparty falls below 'BBB', Fitch may downgrade the transaction ratings. As part of this analysis, Fitch analyzed the potential for payment disruption and co-mingling risk and determined that the six-month reserve account is sufficient to mitigate this risk. Master Trust Structure: The series 2025-1 notes will be issued pursuant to an Indenture between the Issuer and the Indenture Trustee, and a series supplement to the Indenture relating to the series 2025-1 notes. The Master Trust Structure allows the Issuer to issue additional series of notes pursuant to a series supplement subject to the satisfaction of the applicable conditions set forth in the documentation. In conjunction with a new issuance, the Issuer will most likely add additional assets to support the new issuance, and these new assets will be subject to certain eligibility criteria and concentration limits at the time of addition. The rating agency rating the outstanding notes will have to confirm that the new notes, the supporting collateral, and existing hedging strategy will not result in a downgrade or withdrawal of its then current rating of the outstanding notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The credit strength of the transaction is linked to the production levels of the portfolio of assets as well as fluctuations in overall expenses, which may ultimately reduce the securitized net cash flow. Significant decreases in production relative to projections will have a negative impact on the rating. Although the transaction will hedge the majority of price risk related to oil, natural gas liquids, natural gas, and natural gas basis for portions of time during the life of the transaction, a significant change in basis or a long-term reduction in commodity prices may have a negative impact if the transaction goes beyond the expected maturity of the notes. A significant portion of amortization in this transaction is a variable percentage of transaction cash flows, and lower than expected transaction cash flows and amortization may have a negative impact on the rating. Finally, the transaction may not be de-linked from the hedge counterparties, so a downgrade of a hedge counterparty below the notes may impact the transaction rating. Any changes in these variables will be analyzed in a rating committee to assess the possible impact on the transaction ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A-1 notes are capped in line with the criteria and the transaction will continue to be capped unless there are changes within the current criteria. Upgrades are limited given the Master Trust structure and provision to issue additional debt. The class A-2 notes and class B notes are limited by leverage and their partial subordinated position to the A-1 notes. While the hedges add significant protection to the transaction against price risk, they also limit the potential for upgrades unless Fitch believes overall prices will increase over a long-term horizon. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 27 February 2025 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. DRYDEN 123: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Dryden 123 CLO Ltd./Dryden 123 CLO 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 PGIM Inc. The preliminary ratings are based on information as of March 26, 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 Dryden 123 CLO Ltd./Dryden 123 CLO LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B, $45.00 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, $46.20 million: Not rated DRYDEN 47 SENIOR: Moody's Affirms Ba3 Rating on $32.2MM Cl. E Notes ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Dryden 47 Senior Loan Fund: US$43.4M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Sep 1, 2024 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$48.3M (Current outstanding amount US$43.9M) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 13, 2024 Upgraded to Aaa (sf) US$51.1M Class C-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 1, 2024 Upgraded to Aaa (sf) US$32.2M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 10, 2020 Confirmed at Ba3 (sf) US$10.5M Class F Senior Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Sep 1, 2024 Downgraded to Caa2 (sf) Dryden 47 Senior Loan Fund, originally issued in April 2017 and partially refinanced in April 2021, is a managed cashflow CLO. The notes are collateralised primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2022. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2024. The affirmations on the ratings on the Class B-R, C-R, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The senior notes have paid down by USD128.8 million since the last rating action in September 2024. On the most recent payment date in January 2025, the Class A-1-R and A-2-R notes have been fully redeemed and the Class B-R notes have been paid down by USD4.4 million. 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 Senior, Class C, Class D and Class E ratios are reported at 419.58%, 193.93%, 133.12% and 108.00% compared to July 2024 [2] levels, on which the last rating action was based, of 181.58%, 140.12%, 117.36% and 104.74%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD183.60m Defaulted Securities: USD7.24m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3216 Weighted Average Life (WAL): 2.41 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.21% Weighted Average Recovery Rate (WARR): 47.2% 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. 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. EFMT 2025-CES2: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2025-CES2. EFMT 2025-CES2 uses Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ EFMT 2025-CES2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties to be issued by EFMT 2025-CES2 as indicated above. This is the third transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The pool consists of 3,582 nonseasoned, performing CES loans with a current outstanding balance (as of the cutoff date) of $290.2 million. The entirety of the pool is originated by mainly NewRez and LoanDepot with the remaining originators making up less than 10% of the pool. The pool is serviced by Shellpoint, Cornerstone, LoanDepot, and Mr. Cooper. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in April 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. On and after April 2029, the pass-through rate will be a per annum rate equal to the lower of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%), and (ii) the net WAC rate for the related distribution date. The pass-through rate on class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 3,582 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]) and townhouses totaling $290.2 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of seven months, according to Fitch, and four months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 731, as determined by Fitch, indicative of very high credit-quality borrowers. About 33.4% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 65.9%, as determined by Fitch, translates to a sustainable LTV ratio (sLTV) of 73.8%. The transaction documents stated a WA original LTV of 17.8% and a WA CLTV of 63.6%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 93.5% were originated by a retail channel. Based on Fitch's documentation review, it considers 100.0% of the loans to be fully documented. Of the pool, 100.0% of the loans are owner occupied. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 96.7% of the pool; condos make up 3.1%, and multifamily homes makes up 0.2%. The pool consists of 99.2% cashout refinances (cashouts) based on Fitch's analysis of the pool (99.5% per the transaction documents). Fitch only considers loans a cashout if the cashout amount is greater than 2% of the original balance. None of the loans in the pool have a current balance over $1.0 million. Of the pool of loans, 15.3% are concentrated in California. The largest MSA concentration is the New York MSA (7.8%), followed by the Los Angeles MSA (4.4%) and the Atlanta MSA (3.6%). The top three MSAs account for 15.9% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by mainly Shellpoint and LoanDepot. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes pro rata, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and once the A-2 class is written off, class A-1B will take losses first prior to class A-1A taking losses (A-1A will only take losses once A-1B is written off). The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge off, such mortgage loan (based on an equity analysis review performed by the servicer) if such review indicates no significant recovery is likely in respect of such mortgage loan. Fitch views the servicer conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans as a positive, as the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. The servicer deciding to write off the losses at 180 days would compare favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Digital Risk, and Clarifii. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. The review confirmed strong origination practices, with 99.4% of the loans reviewed receiving a final grade of "A" or "B". Of the loans, 0.6% received a final compliance grade of "C" mainly due to TRID issues where the SOL will expire within nine months or other issues that had compensating factors; these loans were run without receiving diligence credit in Fitch's analysis. Based on the results of the due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.70%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool; diligence credit was given to 99.4% of the loans in the pool (0.6% C graded loans did not receive diligence credit). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, Digital Risk, and Clarifii were engaged to perform the review. Loans reviewed under this engagement were given compliance, and credit grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files 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 to be 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. EFMT 2025-CES2: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2025-CES2. EFMT 2025-CES2 uses Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2025-CES2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties issued by EFMT 2025-CES2 as indicated above. This is the third transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The pool consists of 3,581 nonseasoned, performing CES loans with a current outstanding balance (as of the cutoff date) of $290.1 million. The entirety of the pool is originated by mainly NewRez and LoanDepot with the remaining originators making up less than 10% of the pool. The pool is serviced by NewRez D/B/A as Shellpoint, Cornerstone, LoanDepot, and Mr. Cooper. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in April 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. On and after April 2029, the pass-through rate will be a per annum rate equal to the lower of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%), and (ii) the net WAC rate for the related distribution date. The pass-through rate on class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. After the presale was published, the collateral pool changed slightly. The changes were not material and did not have an impact on Fitch's given losses. As such, there are no changes to Fitch's loss expectations from the losses disclosed in the presale. Due to the movement in rates, the coupons changed as a result of pricing and credit enhancement (CE) was added to the classes. Fitch confirmed that the rated classes had sufficient CE to pass the previously assigned rating stresses. As a result, there are no changes between the final ratings and the previously assigned expected ratings. The updated CEs are below Class A-1A: CE 20.00%; Class A-1B and A-1: CE: 16.60%; Class A-2: CE: 12.55%; Class A-3: CE: 8.75%; Class M-1: CE 5.20%; Class B-1: CE: 2.85%; Class B-2: CE: 1.60%. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 3,581 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]) and townhouses totaling $290.1 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of seven months, according to Fitch, and four months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 731, as determined by Fitch, indicative of very high credit-quality borrowers. About 33.4% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 65.9%, as determined by Fitch, translates to a sustainable LTV (sLTV) ratio of 73.8%. The transaction documents stated a WA original LTV of 17.8% and a WA CLTV of 63.6%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 93.5% were originated by a retail channel. Based on Fitch's documentation review, it considers 100.0% of the loans to be fully documented. Of the pool, 100.0% of the loans are owner occupied. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 96.7% of the pool; condos make up 3.1%, and multifamily homes makes up 0.2%. The pool consists of 99.2% cashout refinances (cashouts) based on Fitch's analysis of the pool (99.5% per the transaction documents). Fitch only considers loans a cashout if the cashout amount is greater than 2% of the original balance. None of the loans in the pool have a current balance over $1.0 million. Of the pool of loans, 15.3% are concentrated in California. The largest MSA concentration is the New York MSA (7.8%), followed by the Los Angeles MSA (4.4%) and the Atlanta MSA (3.6%). The top three MSAs account for 15.9% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by mainly Shellpoint and LoanDepot. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes pro rata, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and once the A-2 class is written off, class A-1B will take losses first prior to class A-1A taking losses (A-1A will only take losses once A-1B is written off). The transaction will have subordination and excess spread, providing CE and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge off, such mortgage loan (based on an equity analysis review performed by the servicer) if such review indicates no significant recovery is likely in respect of such mortgage loan. Fitch views the servicer conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans as a positive, as the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. The servicer deciding to write off the losses at 180 days would compare favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Digital Risk, and Clarifii. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. The review confirmed strong origination practices, with 99.4% of the loans reviewed receiving a final grade of "A" or "B". Of the loans, 0.6% received a final compliance grade of "C" mainly due to TRID issues where the SOL will expire within nine months or other issues that had compensating factors; these loans were run without receiving diligence credit in Fitch's analysis. Based on the results of the due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.70%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool; diligence credit was given to 99.4% of the loans in the pool (0.6% C graded loans did not receive diligence credit). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, Digital Risk, and Clarifii were engaged to perform the review. Loans reviewed under this engagement were given compliance, and credit grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files 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 to be 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. ELEVATION CLO 2025-18: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elevation CLO 2025-18 Ltd./Elevation CLO 2025-18 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 ArrowMark Colorado Holdings LLC. The preliminary ratings are based on information as of March 21, 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 Elevation CLO 2025-18 Ltd./Elevation CLO 2025-18 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $9.00 million: BBB- (sf) Class E (deferrable), $11.00 million: BB- (sf) Subordinated notes, $35.30 million: Not rated ELMWOOD CLO 22: S&P Assigns Prelim B- (sf) Rating on F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, E-R and F-R replacement debt from Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC, a CLO originally issued in March 2023 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of March 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 31, 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 supplemental indenture, which outlines the terms of the replacement debt. According to the proposed s Supplemental indenture: -- The reinvestment period will be extended to April 17, 2030. -- The non-call period will be extended to March 31, 2027. -- The replacement class A-R, B-R, C-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the original debt. The class F-R debt will be issued at a higher spread over three-month CME term SOFR than the original notes. -- The original class D debt will be replaced by sequentially paying class D-1-R and D-2-R debt. -- No additional subordinated notes will be issued in connection with this refinancing. The stated maturity of the original subordinated notes will be extended to April 17, 2038. 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." Preliminary Ratings Assigned Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Class F-R (deferrable), $8.00 million: B- (sf) Other Debt Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC Subordinated notes, $32.80 million: Not rated ELMWOOD CLO IX: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-L-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and the new class F-R debt from Elmwood CLO IX Ltd./Elmwood CLO IX LLC, a CLO originally issued in 2021 that is managed by Elmwood Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-L, A, B, C, D, and E debt following payment in full on the March 21, 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 21, 2027. -- The reinvestment period was extended to April 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to April 20, 2038. -- Additional assets were purchased on the March 21, 2025, refinancing date, and the target initial par amount has increased to $500 million from $450 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- The required minimum overcollateralization and interest coverage ratios were amended. -- An additional $6.25 million of 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 Elmwood CLO IX Ltd./Elmwood CLO IX LLC Class A-L-R loans(i), $161.00 million: AAA (sf) Class A-R, $159.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $15.50 million: BB- (sf) Class F-R (deferrable), $5.00 million: B- (sf) Ratings Withdrawn Elmwood CLO IX Ltd./Elmwood CLO IX LLC Class A-L to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Elmwood CLO IX Ltd./Elmwood CLO IX LLC Subordinated notes(ii), $51.85 million: NR (i)Class A-L-R loans will be issued and can be converted to class A-R notes at a future date. Class A-R notes cannot be converted to class A-L-R loans. (ii)This includes an additional $6.25 million in subordinated notes issued in connection with this refinancing and extension. NR--Not rated. EXETER AUTOMOBILE 2025-2: S&P Assigns BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 56.41%, 50.25%, 41.70%, 31.17%, and 24.90% credit support (hard credit enhancement and haircut to excess spread) for the class A (collectively, A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of our expected cumulative net loss of 20.75% for the classes A, B, C, D, and E, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and reserve account, which increased to 1.20% from 1.00% at pricing, in addition to excess spread. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.50x our expected loss level), all else being equal, our '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 our 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 ratings. -- The collateral characteristics of the series' subprime automobile loans, 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 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 its sector benchmark. -- The transaction's payment and legal structures. 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) FIRST EAGLE 2019-1: Moody's Cuts Rating on $21.4MM D Notes to B2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following classes of debt issued by First Eagle BSL CLO 2019-1 Ltd.: US$301,000,000 Class A Loans maturing 2033 (the "Class A Loans") (current balance of $258,190,920.26), Upgraded to Aaa (sf); previously on January 15, 2020 Definitive Rating Assigned Aa1 (sf) US$20,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2033 (the "Class B Notes"), Upgraded to A1 (sf); previously on January 15, 2020 Definitive Rating Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$21,400,000 Class D Secured Deferrable Floating Rate Notes due 2033 (the "Class D Notes"), Downgraded to B2 (sf); previously on January 15, 2020 Definitive Rating Assigned Ba3 (sf) First Eagle BSL CLO 2019-1 Ltd., issued in January 2020, is a managed cashflow CLO. The debts are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2025. 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 transaction's over-collateralization (OC) ratios since February 2024. The Class A Loans have been paid down by approximately 14.2% or $42.8 million since then. Based on the trustee's February 2025[1] report, the OC ratios for the Class A Loans and B Notes are reported at 132.72% and 123.18%, respectively, versus February 2024[2] level of 130.44% and 122.31%, respectively. The downgrade rating action on the Class D Notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's February 2025[3] report, the OC ratio for the Class D Notes is reported at 106.03% versus February 2024[4] level of 107.27%. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the February 2025[5] trustee-reported level is 3.22%, compared to 3.65% in February 2024[6], failing the trigger of 3.46%. No action was taken on the Class C Notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $340,568,092 Defaulted par: $4,738,355 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2726 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.01% Weighted Average Recovery Rate (WARR): 47.26% Weighted Average Life (WAL): 4.4 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated debt is subject to uncertainty. The performance of the rated 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 rated debt. FREDDIE MAC 2023-DNA1: DBRS Confirms BB(high) Rating on 2 Classes ----------------------------------------------------------------- DBRS, Inc. reviewed 548 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 17 transactions reviewed, 15 are classified as prime mortgage transactions, and two are classified as agency credit-risk transfer transactions. Of the 548 classes reviewed, Morningstar DBRS upgraded its credit ratings on 50 classes and confirmed its credit ratings on 498 classes. Freddie Mac Structured Agency Credit Risk (STACR) REMIC Trust 2023-DNA1 Debt Class Rating Action ---------- ------ ------ Class M-1A A (low) (sf) Upgraded Class M-1B BBB (sf) Confirmed Class M-2A BB (high)(sf) Confirmed Class M-2AI BB (high)(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024 (https://dbrs.morningstar.com/research/435291). Notes: All figures are in U.S. dollars unless otherwise noted. GALAXY 35: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy 35 CLO Ltd./Galaxy 35 CLO 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 PineBridge Investments LLC. The preliminary ratings are based on information as of March 26, 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 Galaxy 35 CLO Ltd./Galaxy 35 CLO LLC Class A, $352.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C-1 (deferrable), $33.00 million: A (sf) Class C-2 (deferrable), $5.50 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB+ (sf) Class D-2 (deferrable), $5.50 million: BBB (sf) Class D-3 (deferrable), $8.25 million: BBB- (sf) Class E (deferrable), $13.75 million: BB- (sf) Subordinated notes, $49.60 million: Not rated GOLDENTREE LOAN 24: Fitch Assigns 'B+(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 24, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 24, Ltd. X LT NR(EXP)sf Expected Rating A LT NR(EXP)sf Expected Rating A-J LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB+(EXP)sf Expected Rating D-M LT BBB-(EXP)sf Expected Rating D-J LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B+(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary GoldenTree Loan Management US CLO 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.96 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 100% 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 70.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-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-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BB+sf' for class D-M, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'BB-sf' for class E, and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D, 'Asf' for class D-M, 'A-sf' for class D-J, 'BBB+sf' for class E, and 'BBB-sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 GoldenTree Loan Management US CLO 24, 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. GOLUB CAPITAL 79(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 79(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 79(B), Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners CLO 79(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL 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. The weighted average rating factor (WARF) of the indicative portfolio is 24.89, 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 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.8% versus a minimum covenant, in accordance with the initial expected matrix point of 73.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 55% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. 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 Golub Capital Partners CLO 79(B), 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. GS MORTGAGE 2018-GS10: S&P Lowers WLS-C Notes Rating to 'CCC (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes and affirmed its ratings on six other pooled classes of commercial mortgage pass-through certificates from GS Mortgage Securities Trust 2018-GS10, a U.S. CMBS transaction. The pooled classes are secured by 34 loans totaling $788.5 million, down from $810.7 million at issuance. The raked classes are secured by a $63.1 million subordinate nonpooled trust component of a $128.4 million fixed-rate, interest-only (IO) mortgage whole loan secured by the borrower's fee-simple interest in 1000 Wilshire, a 477,000-sq.-ft. office property located in downtown Los Angeles. Rating Actions The downgrade on the class A-S certificates and the affirmations on the class A-2, A-3, A-4, A-5, and A-AB certificates reflect: -- S&P's lower revised S&P Global Ratings' values for properties securing four loans (22.6% of the pooled trust balance) that have deteriorating performance: GSK North American HQ (9.5%), 1000 Wilshire (8.3%), Marina Heights State Farm (3.5%), and Arbor Plaza (1.3%). -- S&P's revised loss assumption on the specially serviced Capital Complex (1.1%) loan. S&P said, "We downgraded our rating on the class X-A IO certificates 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 reference class. Class X-A's notional amount references the aggregate certificate balance of the class A-2, A-3, A-4, A-5, A-AB, and A-S certificates. "In addition, we downgraded our ratings on the raked classes WLS-A, WLS-B, and WLS-C and affirmed our rating on class WLS-D primarily to reflect the decline in reported financial performance at the property securing the 1000 Wilshire loan. Furthermore, office fundamentals in the downtown Los Angeles submarket, where the property is located, continue to remain weak. As a result, we lowered our sustainable net cash flow (NCF) on the property. The downgrade of class WLS-C to 'CCC (sf)' and the affirmation of class WLS-D at 'CCC (sf)' reflects our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions, and that these classes are at a heightened risk of default and loss, as well as liquidity interruption. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans for which we have revised our net cash flows and values and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine necessary." Loan Details GSK North American HQ ($75.2 million; 9.5% of the pooled balance) The loan is the largest loan in the pool and is with the special servicer. It is secured by a 207,000-sq.-ft., class A, LEED platinum office property in Philadelphia. The IO loan represents a pari passu portion within a larger whole loan. As of the March 2025 remittance report, the trust and whole loan balances totaled $75.2 million and $85.2 million, respectively. The whole loan pays a fixed interest rate of 4.11% and matured in June 2023. The trust loan has a total exposure of $75.4 million as of the March 2025 trustee remittance report. An appraisal reduction amount (ARA) of $4.3 million is in effect against the loan. The loan transferred to special servicing in November 2022 due to the borrower's expected inability to refinance the loan at its maturity date, which was in June 2023. At loan origination, the property was leased to a sole tenant, GlaxoSmithKline (GSK), under a lease that expires in September 2028 with no termination options. While the lease remains in place and GSK continues to perform under its lease, GSK vacated the property in March 2022. Per various media sources, the property was scheduled for a sheriff's sale in June 2024 to satisfy a $78.0 million foreclosure judgment; however, the sale did not result in a sale of the collateral to a third party. Therefore, the lender foreclosed on the property in June 2024 but has been unable to get a recorded deed from the City of Philadelphia due to backlogs. The property is being managed by the receiver until such time the title officially transfers, according to the special servicer's comments. A cash sweep event has occurred, with excess cash flow being held by the servicer. As of the March 2025 reserve report, there is $10.3 million in reserves. The property, which currently lies fully vacant, was reappraised at a value of $72.5 million as of January 2025, which is 18.8% lower than the $89.3 million appraisal value in August 2023 and 45.3% lower than the $132.7 million appraisal value at issuance. S&P said, "In our current analysis, we revised our credit view based on the decline in the appraisal value as of January 2025. We arrived at an S&P Global Ratings value of $65.3 million on the property, based on a 10.0% haircut on the $72.5 million January 2025 appraisal value to account for additional decline in value as we approach the lease expiration of the sole tenant in September 2028. We will continue to monitor the workout of the loan and consider it in our analysis as it materializes." -- 1000 Wilshire ($65.3 million; 8.3% of the pooled balance, and $63.1 million; 100.0% of the WLS-raked balance) -- The loan is the second-largest loan in the pool. It is secured by a 477,000-sq.-ft., class A office property in downtown Los Angeles. In addition to ground-floor retail space, the property features a six-level subterranean parking garage. The IO loan consists of a $65.3 million senior note that supports the pooled certificates and a $63.1 million subordinate note that supports the raked certificates. The loan pays a fixed interest rate of 3.38% for the senior note and 4.92% for the subordinate note and matured on March 6, 2025. Additionally, there is a $19.6 million mezzanine loan. The loan, which has a reported paid-through date of March 6, 2025, did not pay off on its scheduled maturity of March 6, 2025, and per correspondence with the master servicer Trimont LLC, the loan is in the process of being transferring to the special servicer, Rialto Capital Advisors LLC. As noted in our last review, Wedbush (100,397 sq. ft.; 21.0% of net rentable area), which is the largest tenant at the property and has a lease expiration in December 2025, is looking to sublease its space. To our knowledge, the space has not been sublet yet, but Wedbush continues to perform under its lease. S&P said, "In our current analysis, we lowered our NCF to $6.2 million, which considers the property's declining occupancy and its higher 2023 servicer-reported expenses. Our revised NCF is 17.1% lower than our NCF at last review. After adjusting for upfront reserves and using a capitalization rate of 7.0% (same as at last review), we arrived at an S&P Global Ratings expected-case value of $88.1 million, which is 18.0% lower than our $107.4 million value at last review and 55.4% below the $197.5 million appraisal value at issuance." Servicer-reported performance had been stable until 2022, when the debt service coverage ratio (DSCR) dropped to 0.51x from 1.93x in 2021 on a whole loan basis. At the same time, reported occupancy declined to 71.0% in 2022 from 85.0% in 2021. The servicer-reported 1.04x DSCR at year-end 2023 showed an improvement but is still below the levels reported prior to 2022. A cash sweep event has already occurred, with excess cash flow being held by the servicer. As of the March 2025 reserve report, there is $4.5 million in reserves. S&P will continue to monitor the workout of the loan and consider it in its analysis as it materializes. -- Marina Heights State Farm ($27.5 million; 3.5% of the pooled balance) -- This is the 11th-largest loan in the pool. It is secured by a five-building class A office campus with retail space totaling 2.0 million sq. ft. situated on 20 acres in Tempe, Ariz., approximately four miles west of Phoenix Sky Harbor International Airport and immediately north of Arizona State University's main campus. The complex consists of 1.97 million sq. ft. of office space; 58,000 sq. ft. of dining, retail, and wellness space (located on the ground floors of two separate office buildings); and 8,000 sq. ft. of management office space. The complex fronts Tempe Town Lake. The five collateral office buildings were built-to-suit for State Farm between 2015 and 2017 and serve as its regional headquarters for the Southwestern market. -- The trust loan represents a pari passu portion within a larger whole loan. As of the March 2025 trustee remittance report, the 15-year (10-year anticipated repayment date [ARD]), fixed-rate, IO loan has trust and whole loan balances that totaled $27.5 million and $560.0 million, respectively. The remaining pari passu notes, totaling $532.5 million, are held in five U.S. conduit and one single-asset single-borrower CMBS transaction. The whole loan pays interest at a per annum fixed rate of 3.56% and has a Jan. 6, 2028, ARD and a Jan. 6, 2033, stated maturity date. S&P lowered its S&P Global Ratings expected-case valuation to $609.8 million, or $300 per sq. ft., during its review of the GS Mortgage Securities Corp. Trust 2017-FARM transaction in October 2024, primarily due to weakened office submarket fundamentals and subleasing activities. Arbor Plaza ($10.5 million; 1.4% of the pooled balance) This is the 22nd-largest loan in the pool. It is secured by a 69,683-sq.-ft. retail center located in Fort Collins, Colo. The property was built in 1986 and renovated in 2013. The loan has a trust balance of $10.5 million (down from $10.8 million at issuance) as of the March 2025 trustee remittance report. The loan was IO for the first five years and is now amortizing on a 35-year amortizing schedule, pays a fixed interest rate of 4.52%, and matures on April 6, 2028. The loan, which has a reported paid-through date of March 6, 2025, is on the watchlist due to decline in DSCR. Per the watchlist comments, the DSCR and occupancy were 1.39x and 98.6%, respectively, at issuance but have dropped to 0.72x and 90.0%, respectively, as of year-to-date Sept. 30, 2024. S&P said, "In our current analysis, we lowered our NCF to $548,540 based on the 2023 servicer-reported NCF. Using an 8.25% capitalization rate (same as at last review), we arrived at an S&P Global Ratings expected-case value of $7.1 million, which is 34.2% lower than our $10.8 million value at last review and 54.3% lower than the issuance appraisal value of $15.5 million." Capital Complex ($8.7 million; 1.1% of the pooled balance) This is the 26th-largest loan in the pool and is with the special servicer. It is secured by a 178,000-sq.-ft. office complex located in Frankfort, Ky. The loan has a current balance of $8.7 million and a total exposure of $10.1 million as of the March 2025 trustee remittance report. It amortizes on a 30-year schedule, pays a fixed interest rate of 5.30%, and matures on July 6, 2028. An ARA of $4.4 million is in effect against the loan. The loan, which has a reported paid-through date of Oct. 6, 2023, was transferred to special servicing in January 2023 due to imminent monetary default. The special servicer, Rialto Capital Advisors LLC, has engaged legal counsel, and on April 19, 2023, the collateral was placed into receivership. Rialto is in the process of foreclosing on the property. S&P said, "In our current analysis, we revised our loss expectation on the loan based on the Nov. 11, 2024, appraisal value of $5.9 million reported by the servicer, which is 57.8% below the issuance appraisal value of $14.1 million. Based on our revised expected-case value, we expect moderate loss (26.0%-59.0%) upon the eventual resolution of the loan." Transaction Summary As of the March 12, 2025, trustee remittance report, the collateral pool balance was $788.5 million, which is 97.3% of the pool balance at issuance. The pool currently includes 34 loans, same as at last review. Of the 34 loans in the pool, two ($83.8 million; 10.6% of the pooled balance) are with the special servicer, two ($6.6 million; 0.8%) are defeased, and seven ($219.6 million; 27.9%) are on the master servicer's watchlist. Per correspondence with the master servicer, the 1000 Wilshire loan, which is on watchlist as of the March 2025 trustee remittance report, was transferred to the special servicer on March 10, 2025, following maturity default. Excluding the Capital Complex specially serviced loan and the two defeased loans, and adjusting the servicer-reported numbers, S&P calculated a 1.95x S&P Global Ratings weighted average DSCR and an 89.0% S&P Global Ratings weighted average loan-to-value ratio using a 7.79% S&P Global Ratings weighted average capitalization rate. To date, the transaction has not experienced any principal losses. S&P expects losses to reach approximately 0.5% of the original pool trust balance in the near term, based on losses it expects upon the eventual resolution of the Capital Complex specially serviced loan. Ratings Lowered GS Mortgage Securities Trust 2018-GS10 Class A-S to 'AA (sf)' from 'AA+ (sf)' Class X-A to 'AA (sf)' from 'AA+ (sf)' Class WLS-A to 'BB- (sf)' from 'BBB (sf)' Class WLS-B to 'B- (sf)' from 'BB (sf)' Class WLS-C to 'CCC (sf)' from 'B (sf)' Ratings Affirmed GS Mortgage Securities Trust 2018-GS10 Class A-2: AAA (sf) Class A-3: AAA (sf) Class A-4: AAA (sf) Class A-5: AAA (sf) Class A-AB: AAA (sf) Class WLS-D: CCC (sf) GS MORTGAGE 2021-GR1: Moody's Hikes Rating on Cl. B-5 Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 31 bonds from six US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by GS Mortgage-Backed Securities Trust. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=391pdk 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: GS Mortgage-Backed Securities Trust 2021-GR1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 2, 2024 Upgraded to A3 (sf) Cl. B-3-A, Upgraded to A2 (sf); previously on Jul 2, 2024 Upgraded to A3 (sf) Cl. B-3-X*, Upgraded to A2 (sf); previously on Jul 2, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 2, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 2, 2024 Upgraded to Ba2 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Jul 2, 2024 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ4 Cl. B-3, Upgraded to A2 (sf); previously on Jul 2, 2024 Upgraded to A3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ5 Cl. B-1, Upgraded to Aaa (sf); previously on Jul 2, 2024 Upgraded to Aa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 2, 2024 Upgraded to Baa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ6 Cl. B-1, Upgraded to Aaa (sf); previously on Jul 2, 2024 Upgraded to Aa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 2, 2024 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-MM1 Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 26, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 26, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 26, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 26, 2024 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ6 Cl. B, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A2 (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 structure, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 20.2% since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal 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. GS MORTGAGE 2024-PJ5: Moody's Hikes Rating on Cl. B-5 Certs to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds issued by GS Mortgage-Backed Securities Trust 2024-PJ5. The collateral backing this deal consists of prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ5 Cl. B, Upgraded to A1 (sf); previously on May 31, 2024 Definitive Rating Assigned A2 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on May 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on May 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on May 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Upgraded to Baa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-X*, Upgraded to Baa2 (sf); previously on May 31, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on May 31, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on May 31, 2024 Definitive Rating Assigned B3 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on May 31, 2024 Definitive Rating Assigned A3 (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 structure, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continue to display strong collateral performance, with no cumulative loss and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pool amortized. The credit enhancement for each tranche upgraded has grown by, on average, 19.1% since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal 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. GS MORTGAGE 2025-CES1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings assigns final ratings to the residential mortgage-backed securities issued by GS Mortgage-Backed Securities Trust 2025-CES1 (GSMBS 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2025-CES1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1X LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf 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. 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. In addition, 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 charge-off. 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 charge-off 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. In addition, 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 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 its 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. GS MORTGAGE 2025-PJ3: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ3 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ3: -- $259.1 million Class A-1 at (P) AAA (sf) -- $259.1 million Class A-2 at (P) AAA (sf) -- $259.1 million Class A-3 at (P) AAA (sf) -- $194.4 million Class A-4 at (P) AAA (sf) -- $194.4 million Class A-5 at (P) AAA (sf) -- $194.4 million Class A-6 at (P) AAA (sf) -- $155.5 million Class A-7 at (P) AAA (sf) -- $155.5 million Class A-8 at (P) AAA (sf) -- $155.5 million Class A-9 at (P) AAA (sf) -- $38.9 million Class A-10 at (P) AAA (sf) -- $38.9 million Class A-11 at (P) AAA (sf) -- $38.9 million Class A-12 at (P) AAA (sf) -- $103.7 million Class A-13 at (P) AAA (sf) -- $103.7 million Class A-14 at (P) AAA (sf) -- $103.7 million Class A-15 at (P) AAA (sf) -- $64.8 million Class A-16 at (P) AAA (sf) -- $64.8 million Class A-17 at (P) AAA (sf) -- $64.8 million Class A-18 at (P) AAA (sf) -- $22.9 million Class A-19 at (P) AAA (sf) -- $22.9 million Class A-20 at (P) AAA (sf) -- $22.9 million Class A-21 at (P) AAA (sf) -- $282.0 million Class A-22 at (P) AAA (sf) -- $282.0 million Class A-23 at (P) AAA (sf) -- $282.0 million Class A-24 at (P) AAA (sf) -- $282.0 million Class A-25 at (P) AAA (sf) -- $282.0 million Class A-X-1 at (P) AAA (sf) -- $259.1 million Class A-X-2 at (P) AAA (sf) -- $259.1 million Class A-X-3 at (P) AAA (sf) -- $259.1 million Class A-X-4 at (P) AAA (sf) -- $194.4 million Class A-X-5 at (P) AAA (sf) -- $194.4 million Class A-X-6 at (P) AAA (sf) -- $194.4 million Class A-X-7 at (P) AAA (sf) -- $155.5 million Class A-X-8 at (P) AAA (sf) -- $155.5 million Class A-X-9 at (P) AAA (sf) -- $155.5 million Class A-X-10 at (P) AAA (sf) -- $38.9 million Class A-X-11 at (P) AAA (sf) -- $38.9 million Class A-X-12 at (P) AAA (sf) -- $38.9 million Class A-X-13 at (P) AAA (sf) -- $103.7 million Class A-X-14 at (P) AAA (sf) -- $103.7 million Class A-X-15 at (P) AAA (sf) -- $103.7 million Class A-X-16 at (P) AAA (sf) -- $64.8 million Class A-X-17 at (P) AAA (sf) -- $64.8 million Class A-X-18 at (P) AAA (sf) -- $64.8 million Class A-X-19 at (P) AAA (sf) -- $22.9 million Class A-X-20 at (P) AAA (sf) -- $22.9 million Class A-X-21 at (P) AAA (sf) -- $22.9 million Class A-X-22 at (P) AAA (sf) -- $282.0 million Class A-X-23 at (P) AAA (sf) -- $282.0 million Class A-X-24 at (P) AAA (sf) -- $282.0 million Class A-X-25 at (P) AAA (sf) -- $282.0 million Class A-X-26 at (P) AAA (sf) -- $11.4 million Class B-1 at (P) AA (low) (sf) -- $11.4 million Class B-1A at (P) AA (low) (sf) -- $11.4 million Class B-X-1 at (P) AA (low) (sf) -- $4.9 million Class B-2 at (P) A (low) (sf) -- $4.9 million Class B-2A at (P) A (low) (sf) -- $4.9 million Class B-X-2 at (P) A (low) (sf) -- $2.9 million Class B-3 at (P) BBB (low) (sf) -- $2.0 million Class B-4 at (P) BB (low) (sf) -- $458.0 thousand Class B-5 at (P) B (low) (sf) -- $259.1 million Class A-1L at (P) AAA (sf) -- $259.1 million Class A-2L at (P) AAA (sf) -- $259.1 million Class A-3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 7.50% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.75%, 2.15%, 1.20%, 0.55%, and 0.40% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This securitization is a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ3 (the Notes). The Notes are backed by 240 loans with a total principal balance of $304,884,591 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing, fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value for the portfolio is 69.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (33.9%), CMG Mortgage, Inc. doing business as (dba) CMG Financial (10.6%), PennyMac Loan Services, LLC (PennyMac; 10.3%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez, LLC, dba Shellpoint Mortgage Servicing (79.7%), PennyMac (19.4%), and loanDepot.com, LLC (0.9%). Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, and Custodian. U.S. Bank Trust National Association will act as Delaware Trustee. U.S. Bank Trust Company will act as Collateral Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted home equity line of credit (HELOC) must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation (OFR) issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease-and-desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. There are no Maryland mortgage loans in the pool. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-SJ1: Fitch Gives Bsf Final Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-SJ1 (GSMBS 2025-SJ1) as follows: Entity/Debt Rating ----------- ------ GSMBS 2025-SJ1 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating RETAINED LT NRsf New Rating Transaction Summary The notes are supported by 11,984 seasoned performing and reperforming loans with a total balance of approximately $524 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.0% above a long-term sustainable level versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% yoy nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. RPL Credit Quality (Negative): The collateral consists of 11,984 seasoned performing and re-performing first and second lien loans. As of the cutoff date, the pool was 95.4% current and 4.6% DQ. Approximately 67.9% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 68.5% of loans have a prior modification. The borrowers have a moderate credit profile (701 FICO and 45% DTI) and low leverage (48% sLTV). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. 180-Day Charge-off 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 charge-off. 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 charge-off 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 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'. CRITERIA VARIATION There is one variation to Fitch's U.S. RMBS Rating Criteria. Fitch expects the greater of 10% or 200 loans reviewed for diligence for single originator transactions. For this transaction roughly 6% was reviewed in accordance to Rating Agency standards. As a mitigant to this approximately 40% was reviewed prior to acquisition but does not include the corresponding grades. As the scope was substantially similar, Fitch incorporated the results in its analysis. Further, given the high percentage of second lien collateral, the lack of 10% diligence has an immaterial impact due to the 100% loss severity assumption on the very low LTV collateral. No adjustments to losses were made and there was no rating impact. 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 various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. Fitch's loss expectations were adjusted by less than 25bps as a result of the compliance and title issues ESG Considerations GSMBS 2025-SJ1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the Rep & Warranty framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HARBOUR AIRCRAFT: S&P Raises Class C Notes Rating to CCC (sf) ------------------------------------------------------------- S&P Global Ratings completed its review of 13 ratings from five aircraft ABS transactions, which resulted in six upgrades and seven affirmations. The upgrades primarily reflect the increase in the respective notes' credit enhancements due to principal repayments supported by robust collateral collections, including base rent, maintenance reserves, end-of-lease payments, and aircraft sales. Additionally, the sustained stable performance of the respective portfolio led to reductions in loan-to-value (LTV) ratios since S&P's last review. The affirmations reflect the notes' stable performances and sufficient credit enhancements at their respective rating levels. The affirmations also reflect, in some cases, certain constraints related to the application of our counterparty risk criteria for these notes. The sections below offer transaction-specific details from this review. All statistics are from the December 2024 or January 2025 payment date. Falcon Aerospace Ltd. S&P raised its ratings on the class B and C notes and affirmed its rating on the class A notes from Falcon Aerospace Ltd. The upgrades are primarily driven by the transaction's robust performance and increased credit enhancement. The affirmation reflects constraints related to the concentration of the portfolio despite the notes' strong performance and improved LTV ratios following additional principal paydowns since S&P's last rating action in September 2023. Since S&P's last rating action, the class A and B notes have experienced principal reductions of approximately $40.6 million and $15.0 million, respectively. Both the class A and B notes are ahead of their initial principal amortization schedule. Conversely, the class C notes have not received any principal payments since April 2020 and have continued to defer and capitalize unpaid interest since January 2023. Given the robust paydowns of the class A and B notes, the LTV ratio across the capital structure is down to approximately 26.00%, based on the lower of mean and median (LMM) of the half-life valuations received as of December 2024. The portfolio consists of eight aircraft that were manufactured between 2006 and 2010, with a weighted average age of approximately 16.4 years. All aircraft are currently leased, with no lease expirations anticipated in the next 12 months. The transaction's LTV ratios have significantly improved since the last rating action, bolstered by strong cash flows from lease and supplemental rent collections. Specifically, the class A LTV has decreased to 12.00% from 41.00%, the class B LTV decreased to 17.00% from 56.00%, and the class C LTV decreased to 26.00% from 63.00%. However, the portfolio is concentrated, with only five lessees across the eight aircraft. Three of the aircraft are leased to a single airline, which, while currently up to date on payments, has a history of significant payment delays. S&P said, "Our cash flow analysis for all three tranches indicated a potential for higher ratings. However, we considered the risks associated with lessee concentration, particularly regarding a lessee with a history of delinquency. We also considered the low LTV ratio across the capital structure in determining the 'A (sf)' rating for all three outstanding classes of notes." Harbour Aircraft Investments Ltd. S&P raised its ratings on the series A and B loans and affirmed its rating on the series C loans from Harbour Aircraft Investments Ltd. The upgrades reflect the significant paydown on the series A loans, driven by several asset dispositions and lease rent cash flows, which have contributed to a subsequent reduction in LTV ratios. The affirmation of the series C loans acknowledges the transaction's stable performance, while also recognizing the ongoing challenges posed by the high LTV associated with these loans relative to the age of the portfolio, because it has not received any principal payments for at least the last four years. The rating for the series C loans is consistent with S&P's "Criteria for Assigning 'CCC+', 'CCC', 'CCC-', and 'CC' Ratings," published on Oct. 1, 2012. Since S&P's last rating action in September 2023, the series A and B loans have been paid down by approximately $73.3 million and $5.1 million, respectively. The series C loans continue to defer and capitalize their unpaid interest. Notably, the LTV for the series A loans has decreased to 47.00% from 79.00%, the LTV for the series B loans has decreased to 60.00% from 93.00%, and the LTV for the series C loans has decreased to 90.00% from 117.00%, due to a combination of note paydowns and strong collateral valuations. The portfolio is backed by 12 narrowbody aircraft leased to eight lessees, along with two engines leased to an engine lessor. The weighted average age of the leased assets, including the engines, is approximately 18.6 years, with a weighted average remaining lease term of about 3.1 years. Additionally, the transaction is in the process of parting out two engines; however, S&P has not factored any potential future cash flows from these part-out assets into its forecasts. S&P said, "Our cash flow analysis indicated a potential for higher rating for the series B loans. Nonetheless, we considered the structural subordination of the series B loans, as well as the results of additional cash flow runs when determining the ratings. "In addition, a downgrade of our rating on the liquidity provider and/or the bank account provider below a specified threshold, or the replacement of either provider with a counterparty of lower credit quality, could result in a change to the series' ratings in accordance with our counterparty risk criteria." Jol Air Ltd. (Series 2019-1) S&P said, "We raised our rating on JOL Air Ltd.'s series 2019-1 class A notes to its initial rating and affirmed our rating on the class B notes. "The upgrade reflects the consistent stable credit performance since our last review, including steady monthly collections and an improved LTV ratio, based on the fully leased portfolio. The affirmation reflects a consistent and stable credit performance since our last review, characterized by reliable monthly collections and an improved LTV ratio. Notably, while the portfolio previously had exposure to several lessees with histories of delayed payments, all lessees are currently meeting their obligations." The portfolio is backed by 15 aircraft manufactured between 2004 and 2017. As of December 2024, these aircraft have a weighted average age of 9.8 years, a remaining lease term of 5.6 years, and a weighted average lease rate factor of 1.01%. Since September 2023, the class A notes have amortized by $43.5 million, with principal payments proceeding as scheduled. In contrast, the class B notes have fallen behind on their principal amortization schedule, receiving $14.2 million in principal payments during the same period. Consequently, the LTV ratio has decreased for the class A notes to 58.70% from 59.90%, and for the class B notes to 69.80% from 71.70%. S&P said, "Our cash flow analysis indicated a potential for higher ratings for both the class A and B notes. However, we considered the structural subordination of the class B notes and the results of additional cash flow runs when determining the ratings." Labrador Aviation Finance Ltd. (Series 2016) S&P affirmed its ratings on Labrador Aviation Finance Ltd.'s series 2016 class A and B notes. The affirmations are primarily driven by the portfolio's stable performance and enhanced LTV ratios. This portfolio predominantly consists of narrowbody aircraft leased to 15 unique lessees across 14 countries. It is important to note that both the class A and class B notes are currently behind on their initial principal amortization schedule. The portfolio is backed by 19 aircraft manufactured between 2002 and 2015, with one aircraft currently off-lease. As of December 2024, these aircraft have a weighted average age of 12.9 years, a remaining lease term of 3.3 years, and a weighted average lease rate factor of 1.05%. Since S&P's last rating action in September 2023, the class A notes have amortized by approximately $64.2 million. In contrast, the class B notes have not received any principal payments during this period. According to the payment structure, following the seventh anniversary (effective from the January 2024 payment date), the maintenance support account must be replenished to its required level before any scheduled principal repayments can be made on the notes. The maintenance support account is fully funded as of Dec. 15, 2024. Beginning with the January 2024 payment date, both classes will also receive turbo payments sequentially after the scheduled principal payments, contingent upon the availability of funds, because the transaction goes past its anticipated repayment date. S&P said, "Our cash flow analysis indicated a potential for higher ratings for both the class A and B notes. However, when determining the ratings, we considered that, despite the recent improvements, the LTV ratios for both classes remain elevated, the slower pace of note paydowns compared to its peers, the structural subordination of the class B notes, and the results of additional cash flow runs." Sprite 2021-1 Ltd. S&P said, "We raised our rating on the class C notes and affirmed our ratings on the class A and B notes from Sprite 2021-1 Ltd. "In our last review of this transaction in September 2023, we upgraded the ratings on the class A and class B notes above their initial ratings. "The upgrade reflects our assessment that the credit enhancement for these notes has improved, supported by a robust debt service coverage ratio of 1.57x as of Dec. 15, 2024. The affirmations are primarily driven by the portfolio's stable performance and cash flow, along with improved LTV ratios. Notably, all three classes are ahead of their principal amortization schedule." Since the last review in September 2023, the transaction has reduced the outstanding balances of the class A, B, and C notes by approximately $101.8 million, $18.5 million, and $21.4 million, respectively. This reduction was facilitated by the proceeds from the sale of several aircraft, and supplemented by cash flow from base rent and maintenance reserves. Consequently, the LTV ratios have significantly improved: the class A notes' ratio decreased to 57.1% from 66.9%, the class B notes' ratio decreased to 67.4% from 79.0%, and the class C notes' ratio decreased to 72.6% from 87.2%. The portfolio currently consists of 29 aircraft and one engine, all manufactured between 2002 and 2012. As of December 2024, these aircraft have a weighted average age of 15.9 years and a weighted average remaining lease term of 3.4 years. All but one aircraft and the engine are currently leased, with 15.00% of the leases (measured by LMM appraisal value) set to expire within the next 12 months. The portfolio is notably diverse in terms of aircraft type, lessee profiles, and geographic distribution. S&P said, "Our cash flow analysis indicated a potential for higher ratings across all three classes. However, when determining the ratings, we took into consideration the structural subordination of the class B and C notes, their respective LTV ratios in relation to the portfolio's age, as well as the results of additional cash flow runs. "We will continue to review whether the ratings assigned are consistent with the credit enhancement available to support the notes/loans." Ratings Raised Falcon Aerospace Ltd. Class B: to 'A (sf)' from 'BBB (sf)' Class C: to 'A (sf)' from 'BB (sf)' Harbour Aircraft Investments Ltd. Class A: to 'A+ (sf)' from 'BB (sf)' Class B: to 'A- (sf)' from 'B (sf)' Jol Air Ltd. (Series 2019-1) Class A: to 'A (sf)' from 'A- (sf)' Sprite 2021-1 Ltd. Class C: to 'BB (sf)' from 'B+ (sf)' Ratings Affirmed Falcon Aerospace Ltd. Class A: A (sf) Harbour Aircraft Investments Ltd. Class C: CCC (sf) Jol Air Ltd. (Series 2019-1) Class B: BBB+ (sf) Labrador Aviation Finance Ltd. (Series 2016) Class A: BB+ (sf) Class B: B (sf) Sprite 2021-1 Ltd. Class A: A (sf) Class B: BBB (sf) HAWAII HOTEL 2025-MAUI: DBRS Gives Prov. B Rating on 2 Classes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-MAUI (the Certificates) to be issued by Hawaii Hotel Trust 2025-MAUI (the Issuer): -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (high) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (high) (sf) -- Class JRR at (P) B (sf) -- Class KRR at (P) B (sf) All trends are Stable. This transaction is secured by the borrower's fee-simple interest in the Four Seasons Resort Maui at Wailea (Four Seasons Maui). The full-service luxury hotel features 383 guest rooms, with five food and beverage offerings, specialty retail outlets, and meeting space. The hotel operates under the Four Seasons flag via an agreement that expires in February 2040 and benefits from its luxury quality, strong brand affiliation, and a wide range of amenities, including a spa, three outdoor pools, tennis courts, a game room and fitness center, and preferred access to the 54-hole Wailea Golf Club directly across Wailea Alanui Drive from the hotel. The Four Seasons Maui has been acknowledged as a AAA Five Diamond Hotel since its opening in 1990 and has earned the prestigious Forbes Travel Guide Five Star award since 2005. Wailea has one of the highest barriers to entry of any resort market in the world. Available sites are extremely rare or nonexistent, and zoning is complex and protective. Morningstar DBRS has a positive view on the subject considering the excellent quality of the collateral, its prime beachfront location in a market with extremely high barriers to entry, and the significant capital invested into the property with continued near-term investment. The mortgage loan of $665 million will be used to retire $650 million of existing debt and cover $15 million of closing costs, which include costs associated with the purchase of the term Secured Overnight Financing Rate (SOFR) cap. The loan is a two-year floating-rate interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month SOFR plus the initial weighted-average component spread, which is expected to be approximately 2.30%. The borrower will be required to enter into an interest rate cap agreement, with an expected one-month term SOFR strike price of 3.7% during the initial term and no greater than 4.177%, and for each extension term, the strike price equal to the greater of (1) [4.50%] and (2) a strike rate that, when added to the spread of each component, results in a minimum debt service coverage ratio of 1.10 times on the mortgage loan, which, as of the date of this report, is less than the spot rate. The subject was previously securitized in the Morningstar DBRS-rated HHT 2019-MAUI transaction, whose debt will be refinanced as a result of this transaction. The Borrower is a special purpose entity controlled by and indirectly over 90% owned by MSD Hospitality Partners, L.P. (the "Borrower Sponsor" or the "Guarantor"), which is the non-recourse carveout guarantor. The remaining ownership interest of the Borrower is owned by affiliates of MSD Capital, L.P. The Borrower Sponsor is controlled by MSD Partners (GP), LLC, an affiliate of BDT & MSD Holdings, L.P. ("BDT & MSD") and the general partner of MSD Partners, L.P. and MSD Real Estate Partners, L.P. (collectively, "MSD Partners"). BDT & MSD is a merchant bank with an advisory and investment platform built to serve the distinct needs of business owners and strategic, long-term investors. Its funds are managed by its affiliated investment advisers, BDT Capital Partners, LLC ("BDT Capital Partners") and MSD Partners. MSD Partners has invested in or manages approximately $16 billion of real estate equity and credit, including other luxury hotels. The property is flagged as a Four Seasons hotel, a privately-owned hotel management company that has been managing the resort since its inception in 1990. The management agreement expires in 2040 and has one 15-year renewal option remaining for a fully extended maturity date of 2055. The subject benefits from its location in Maui, which is the second-largest of the Hawaiian Islands. Maui experienced significant disruption in travel because of the coronavirus pandemic and the August 2023 wildfires. In the immediate aftermath of the wildfires, travel to Maui was severely restricted, with nearly all incoming flights to the island directed toward the recovery effort for the affected areas, which were predominantly concentrated in and around Lahaina. However, Maui's recovery following the coronavirus pandemic and the wildfires is evidenced by the island's strong visitor demand and improved airlift numbers. Maui has a strong base in tourism and is consistently ranked as one of the top island destinations globally. The subject attracts visitors from all around the world because of its excellent amenities and accommodations and is known as one of the most luxurious hotels and resorts in the U.S. There is limited competition and little in the way of new construction or development for a similar product in the area. The subject is a consistent outperformer within its competitive set, boasting average occupancy, average daily rate (ADR), and revenue per available room (RevPAR) penetration rates of 105.6%, 159.4%, and 169.2%, respectively, from 2005 through January 2025. In 2019, prior to the coronavirus pandemic, the subject reported an 85.2% occupancy rate and a $1,046.85 ADR for a RevPAR of $892.18. While occupancy declined, the sponsor was successful in recovering ADR and RevPAR to above their prepandemic levels prior to the onset of the wildfires. The property achieved a RevPAR of $1,176.17 as of YE2022, after the pandemic-affected RevPAR low of $266.14 in 2020. The property's top-line performance for the T-12 ended January 2025 is 6.2% above prepandemic levels but 17.2% lower than the YE2022 levels. Forward bookings for the subject are strong, despite the borrower's ongoing capital improvement plan. PACE bookings as of February 18, 2025, show total room nights on-the-books levels at approximately 109.7% and 110.4%, respectively, of room night levels from the same period in 2024 and in 2023. The increase is primarily driven by transient demand, which is a further testament to Maui and the subject's continued wildfire recovery. Morningstar DBRS' concluded stabilized RevPAR of $988.79 is 10.8% and 2.0% above the 2019 and T-12 levels, respectively. The subject's location, market positioning, experienced sponsorship, and the property's recent and continued renovations should allow for continued growth. Morningstar DBRS believes that the subject will remain a leader within the luxury hotel and resort market in Maui. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. HGI CRE CLO 2021-FL1: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------ DBRS, Inc. upgraded its credit ratings on three classes of notes issued by HGI CRE CLO 2021-FL1, LTD. as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) -- Class D to BBB (high) (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support to the bonds as there has been collateral reduction of 47.9% since issuance as a result of successful loan repayment, with an additional 12.1% realized since the previous Morningstar DBRS credit rating action in April 2024. Additionally, the trust continues to be solely secured by multifamily collateral, which has historically exhibited lower default rates and retained values in times of market downturns compared with other property types. While one loan, representing 8.3% of the current trust balance, remains in special servicing and is real estate owned (REO), the liquidated losses concluded by Morningstar DBRS in its current analysis are contained to the unrated $48.8 million equity bond. Additionally, while there are a number of borrowers behind in the respective business plans, the current credit ratings mitigate the increased execution and credit risk. As of February 2025, the below-investment-grade rated bonds, Class F and Class G, have balances of $33.5 million and $20.2 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. The initial collateral included 23 mortgage loans or senior notes secured by multifamily properties with an initial cut-off date balance totaling $498.2 million. Most loans were in a period of transition with plans to stabilize performance and improve values for the underlying assets. The transaction was formerly a managed vehicle with an 18-month reinvestment period, which expired with the January 2023 Payment Date. As of the February 2025 remittance, the pool comprises 20 loans secured by 25 properties with a cumulative trust balance of $291.0 million. Since April 2024, seven loans with a former cumulative trust balance of $67.6 million have been repaid in full. The current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 68.0% as of the February 2025 reporting, with a current WA stabilized LTV of 67.0%. In comparison, these figures were 73.9% and 62.7%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current interest rate or capitalization rate (cap rate) environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for 14 loans, representing 85.2% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. The Lofts at Twenty25 (Prospectus ID# 34; 8.3% of the current trust balance) is the only loan in special servicing. The loan, which is secured by a redeveloped 623-unit, high-rise multifamily property in Atlanta, transferred to special servicing in June 2024 for maturity default with foreclosure occurring in August 2024. The REO property was built it in 1951 as an office building and was completely gut renovated and redeveloped into its current use in 2021. The sponsor's business plan never materialized following its redevelopment as a result of weak demand combined with tenant delinquency. While the occupancy rate improved to 49.4% as of December 2024 rent roll from a prior low of 29.4% as of February 2024, occupancy remains below the 57.6% rate at closing. The senior loan debt exposure of $97.6 million is pari passu with two other Morningstar DBRS-rated transactions including HGI 2021-FL2 and HGI 2022-FL3. The property was reappraised in July 2024 at a value of $74.4 million, down from $149.9 million at closing. According to the collateral manager's Q4 2024 update, the workout strategy is to stabilize the asset over a two- to four-year period. In its current liquidation analysis, Morningstar DBRS applied a haircut to the current appraisal and included additional forward-looking expenses, resulting in a loan loss severity of nearly 60.0%. As of the February 2025 remittance, 11 loans, representing 37.4% of the current trust balance, are on the servicer's watchlist for a variety of reasons, including upcoming loan maturity as well as low debt service coverage ratios and occupancy rates. All borrowers have outstanding maturity date extension options on the respective loans. At issuance, Morningstar DBRS expected temporary declines in property performance in some cases as borrowers worked toward completing the respective business plans; however, select borrowers may face additional challenges because of specific property type and current economic challenges. The largest loan on the servicer's watchlist, Marbella Apartment Homes (Prospectus ID# 34; 8.3% of the current trust balance), is secured by a 783-unit Class B multifamily property in Corpus Christi, Texas. The loan was modified in June 2024 to allow the borrower to extend the loan maturity by two years to June 2026. The pay rate on the loan was also reduced to 5.0% fixed from a floating rate spread of 3.8% plus one-month Secured Overnight Financing Rate. The difference will be deferred and due at maturity. In exchange, borrower paid the loan down by $2.6 million and deposited $2.0 million into the capex reserve. The property was 65.1% occupied as of the November 2024 rent roll with an average rental rate of $836 per unit compared with 57.3% and $922 per unit, respectively, as of December 2023. Despite the improvement, the property is not generating positive cash flow. In its current analysis, Morningstar DBRS applied upward as-is and as-stabilized LTV adjustments of approximately 100.0% and 85.0%, respectively, to reflect the increased credit risk of the loan. The loan expected loss is in excess of the expected loss for the pool. Through January 2025, the lender had advanced $54.1 million in loan future funding to 17 of the remaining individual borrowers to aid in property stabilization efforts. There is no available loan future funding remaining to any remaining borrowers as access to any formerly remaining funds has expired. The largest cumulative advance, $10.6 million, has been made to the borrower of the aforementioned Marbella Apartments loan. Funds were advanced to fund the borrower's capital improvement plan across the property. Of the $10.6 million advanced to date, $4.5 million was allocated toward unit renovations while $6.1 million was used for exterior renovations and the correction of deferred maintenance. Notes: All figures are in U.S. dollars unless otherwise noted. HGI CRE CLO 2021-FL2: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------ DBRS Limited upgraded its credit ratings on two classes of notes issued by HGI CRE CLO 2021-FL2, Ltd. as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from at A (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes of notes: -- Class A at AAA (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support provided to the bonds as a result of successful loan repayments, which has resulted in a collateral reduction of 11.1% since Morningstar DBRS' prior review in June 2024, with a total collateral reduction of 33.7% since issuance. The transaction benefits from all loans being backed by multifamily property types, which have historically exhibited lower default rates and are generally better positioned to retain value during market downturns, as compared with other property types. While one loan, representing 9.6% of the current trust balance, remains in special servicing and is real estate owned (REO), Morningstar DBRS expects liquidated losses will be contained to the nonrated $54.3 million preferred certificate. The largest loan in the pool, The Astor LIC (Prospectus ID#1; 12.9% of the pool balance), returned from special servicing in February after a loan modification was executed (additional details of which are outlined below). In addition, Morningstar DBRS notes that the below-investment-grade rated Classes F and G, and the Preferred Class have a cumulative balance of $116.6 million, providing cushion against potential loss for the middle and top of the capital stack. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The transaction closed in September 2021 with a cut-off pool balance totaling approximately $514.5 million and a maximum funded balance of $579.5 million. At issuance, the pool consisted of 20 floating-rate mortgage loans secured by 22 properties. The transaction was a managed vehicle with a 24-month reinvestment period that expired with the September 2023 payment date. As of the February 2025 reporting, the pool comprises 20 loans secured by 25 properties with a cumulative trust balance of $384.0 million. Seventeen loans with a former cumulative trust balance of $279.6 million have successfully repaid from the pool since issuance, including six loans with a former cumulative trust balance of $36.8 million since Morningstar DBRS' prior credit rating action in June 2024. The loans are concentrated by properties in suburban locations, which Morningstar DBRS defines as markets with a Morningstar DBRS Market Rank of 3, 4, or 5. As of February 2025, 15 loans, representing 63.7% of the current trust balance, were secured by properties in suburban markets. Three loans, representing 24.5% of the current trust balance, were secured by properties in urban markets, defined as markets with a Morningstar DBRS Market Rank of 6, 7, or 8. An additional two loans, representing 11.9% of the current trust balance, were secured by properties in tertiary markets, defined as markets with a Morningstar DBRS Market Rank of 2. Leverage across the pool has remained relatively static from closing, with a current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) of 73.2% (compared with 74.2% at closing) and a WA stabilized LTV of 67.5% (compared with 67.0% at closing). Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current interest rate and widening capitalization rate (cap rate) environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 16 loans representing approximately 75.0% of the trust balance. As of the February 2025 remittance, 12 loans, representing 62.8% of the current trust balance, are on the servicer's watchlist primarily for upcoming loan maturity and/or low debt service coverage ratios. At issuance, Morningstar DBRS expected temporary declines in property performance could be observed in some cases as borrowers worked toward completing their respective business plans. The only loan in special servicing, The Lofts at Twenty25 (Prospectus ID# 28; 9.6% of the current pool balance) is secured by a redeveloped 623-unit, high-rise multifamily property in Atlanta. The loan transferred to special servicing in June 2024 for maturity default with foreclosure occurring in August 2024; the asset is now REO. The property was built in 1951 as an office building and was completely gut-renovated and redeveloped into its current use in 2021. The execution of the sponsor's business plan suffered from weak demand and tenant delinquencies. While occupancy improved to approximately 50.0% as of the December 2024 rent roll from a low of 29.4% in February 2024, it remains below the 57.6% occupancy rate at closing. The senior loan debt exposure of $97.6 million is pari passu with two other Morningstar DBRS-rated transactions including HGI 2021-FL1 and HGI 2022-FL3. The property was reappraised in July 2024 at a value of $74.4 million, down from the as-is appraised value of $149.9 million at closing. According to the collateral manager's Q4 2024 update, the workout strategy is to stabilize the asset over a two- to four-year period. Given the REO status and long-term nature of the special servicer's workout strategy, a liquidation scenario was considered for the loan in the analysis for this review. Morningstar DBRS applied a 20.0% haircut to the July 2024 appraisal, resulting in an expected loss approaching $20.0 million when accounting for expected liquidation fees and expenses. The largest loan on the servicer's watchlist, The Astor LIC, is secured by the sponsor's leased-fee interest in a Class A, mid-rise 143-unit multifamily apartment building in Queens, New York. The collateral was constructed in 2021 and includes 12,000 square feet of retail space. The loan transferred to special servicing in December 2023 for payment default; however, as of the February 2025 remittance, has transferred back to the master servicer as a corrected mortgage loan. The loan was modified with an extension of the maturity date from December 2024 to December 2025, a principal curtailment in the amount of $3.0 million, a revision in the loan's interest rate and repayment of past due interest. The borrower continues work toward leasing-up the property and stabilizing operations. According to the January 2025 rent roll, the residential component was 93.8% occupied and the commercial component has been leased to Lexus of Queens. Cash flows remain below issuance expectations, however, and an updated appraisal dated June 2024 showed a decline in the property's as-is value to $60.8 million, below the issuance as-is appraised value of $78.6 million. Given the value decline, the loan was stressed in the analysis for this review, with an expected loss that was 55 basis points greater than the pool average. Through January 2025, the collateral manager had advanced cumulative loan future funding of $52.9 million allocated to 17 of the remaining individual borrowers to aid in property stabilization efforts. There is no future funding available to any remaining borrowers as access to any formerly remaining funds has expired. The largest advance, $10.6 million, has been made to the borrower of the Marbella Apartments loan, which is secured by a multifamily property in Corpus Christi, Texas. Funds were advanced to the borrower to complete its capital improvement project across the property, of which $4.5 million was allocated toward unit renovations, while $6.1 million was used for exterior renovations and deferred maintenance items. Notes: All figures are in U.S. dollars unless otherwise noted. HINNT 2025-A: Fitch Assigns 'BB-sf' Final Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by HINNT 2025-A LLC (HINNT 2025-A). Entity/Debt Rating Prior ----------- ------ ----- HINNT 2025-A LLC A LT AAAsf New Rating AAA(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BB-sf New Rating BB-(EXP)sf KEY RATING DRIVERS Borrower Risk — Improved Collateral Composition: The weighted average (WA) FICO score of the HINNT 2025-A statistical pool is 748, higher than the 734 for HINNT 2024-A and 729 for HINNT 2022-A. This transaction also features a prefunding account, which covers approximately 22% of the total collateral balance, funded by loans that must conform to criteria similar to the pool overall. Forward-Looking Approach on CGD Proxy — Weakening Performance: HICV's delinquency and default performance showed material increases during the Great Recession. Notable improvement was observed in the 2010-2014 vintages. However, the 2016 through 2023 vintages experienced higher default rates than during the prior recession, primarily due to integration challenges following the Silverleaf acquisition and defaults related to paid-product-exits (PPEs). In deriving its cumulative gross default (CGD) proxy of 22.00%, Fitch focused on extrapolations of the 2015-2019 vintages. Structural Analysis — Lower CE: The initial hard credit enhancement (CE) of 61.60%, 30.20%, 15.20%, and 6.95% for the class A, B, C, and D notes, respectively. The hard CE is lower compared to 2024-A for all respective classes. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread of 7.78% per annum. The structure is sufficient to cover multiples of 3.00x, 2.00x, 1.50x, and 1.17x for 'AAAsf', 'A-sf', 'BBBsf', and 'BB-sf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch believes HICV has shown sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and of 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 noninvestment 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 one rating category for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis and the findings did not have an impact on its analysis/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. HOMEWARD OPPORTUNITIES 2025-RRTL1: DBRS Gives (P) B(low) on M2 Note ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) to be issued by Homeward Opportunities Fund Trust 2025-RRTL1 (HOF 2025-RRTL1 or the Issuer) as follows: -- $207.2 million Class A1 at (P) A (low) (sf) -- $175.5 million Class A1A at (P) A (low) (sf) -- $31.7 million Class A1B at (P) A (low) (sf) -- $18.2 million Class A2 at (P) BBB (low) (sf) -- $17.6 million Class M1 at (P) BB (low) (sf) -- $13.5 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 23.25% 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 16.50%, 10.00%, 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 an 18-month 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: -- 468 mortgage loans with a total principal balance of approximately $166,334,493; -- Approximately $103,665,507 in the Accumulation Account; and -- Approximately $2,000,000 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. HOF 2025-RRTL1 represents the fourth RTL securitization issued by the Sponsor, Homeward Opportunities Fund LP (HOF). Formed in 2019, HOF is a fund managed by and affiliated with Neuberger Berman Investment Advisers LLC (NBIA), whose investment objective is to achieve an attractive risk-adjusted return on investment by acquiring, managing, holding for investment, and disposing of U.S. residential real estate-related investments, including but not limited to residential, commercial, multifamily, residential rental, mixed residential/commercial, bridge, and investment mortgage loans. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may be extended, 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 735. -- A maximum WA loan-to-cost ratio of 80.0%. -- A maximum NZ WA as repaired loan-to-value 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 used properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit, or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicing Administrator. In the HOF 2025-RRTL1 revolving portfolio, RTLs may be: -- Fully funded, (1) with no obligation of further advances to the borrower, or (2) 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 -- 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 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 HOF 2025-RRTL1 eligibility criteria, unfunded commitments are limited to 50.0% of the 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 February 2027, the Class A1, A1A, A1B, and A2 fixed rates listed in the credit ratings table will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances, which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Each Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicers will satisfy Rehabilitation Disbursement Requests by (1) for loans with funded commitments, releasing funds from the rehab escrow account to the applicable borrower; or (2) for loans with unfunded commitments, releasing funds from principal collections on deposit in the related Servicers' Custodial Account (Rehabilitation Advances). If amounts in the applicable Servicers' Custodial Account are insufficient to fund a Rehabilitation Advance, the Depositor may advance funds from the Accumulation Account. The Depositor will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account. 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 5.00% 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. An Interest Reserve Account is in place to help cover the first three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,000,000. On the payment dates occurring in March, April, and May 2025, the Paying Agent will withdraw a specified amount to be included in 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 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 NBIA's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after 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 par plus interest and fees (the Redemption Price). On any Payment Date following the termination of the Reinvestment Period, the Depositor, at its option, may purchase all of the mortgage loans at the Redemption Price. Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted 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 as of the Initial Cut-Off Date. During the reinvestment period, if the Depositor repurchases DQ or defaulted 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. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material representations and warranties (R&W) breach, a material document defect, or a diligence defect that the Sponsor is unable to cure; -- The Sponsor elects to exercise its Repurchase Option; or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, HOF, 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 properties that are located 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 Servicers follow 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. HPS LOAN 2025-23: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan Management 2025-23, Ltd. Entity/Debt Rating ----------- ------ HPS Loan Management 2025-23, Ltd. A-1 LT NRsf 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 Notes LT NRsf New Rating Transaction Summary HPS Loan Management 2025-23, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HPS Investment Partners, 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 97.3% first-lien senior secured loans and has a weighted average recovery assumption of 74.59%. 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 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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, 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 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 HPS Loan Management 2025-23, 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. HUNTINGTON BANK 2025-1: Moody's Assigns B3 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the Huntington Bank Auto Credit-Linked Notes, Series 2025-1 (HACLN 2025-1) notes issued by The Huntington National Bank (HNB, senior unsecured A3). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by HNB. HACLN 2025-1 is the third credit linked notes transaction issued by HNB to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by HNB. The complete rating actions are as follows: Issuer: Huntington Bank Auto Credit-Linked Notes, Series 2025-1 Class B Notes, Definitive Rating Assigned A3 (sf) Class C Notes, Definitive Rating Assigned Ba3 (sf) Class D Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The notes are floating-rate, with the exception of the Class B notes which are fixed-rate. All of the notes are unsecured obligations of HNB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be HNB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at HNB's senior unsecured rating (A3 stable). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure seen in US auto loan securitizations. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience of HNB as the servicer, and the creditworthiness of HNB as reflected in its credit rating. Moody's medians cumulative net loss expectation for the 2025-1 reference pool is 0.65% and the loss at a Aaa stress is 5.00%. Moody's based Moody's cumulatives net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of HNB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes, Class C notes, and Class D notes are expected to benefit from 2.50%, 2.05%, and 1.20% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, and Class D notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could also upgrade the Class B notes if HNB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Moody's could also downgrade the notes if HNB's senior unsecured rating is downgraded. JP MORGAN 2018-MINN: Moody's Lowers Rating on Cl. C Certs to B3 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-MINN, Commercial Mortgage Pass-Through Certificates, Series 2018-MINN as follows: Cl. A, Downgraded to Ba1 (sf); previously on Jun 6, 2024 Downgraded to Baa1 (sf) Cl. B, Downgraded to Ba3 (sf); previously on Jun 6, 2024 Downgraded to Baa3 (sf) Cl. C, Downgraded to B3 (sf); previously on Jun 6, 2024 Downgraded to Ba3 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Jun 6, 2024 Downgraded to B2 (sf) Cl. E, Downgraded to Ca (sf); previously on Jun 6, 2024 Affirmed Caa1 (sf) Cl. F, Downgraded to C (sf); previously on Jun 6, 2024 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on six P&I classes were downgraded primarily due to the continued delinquency, an increase in Moody's loan-to-value (LTV) ratio resulting from recent declines in property cash flow, and the current and expected future interest shortfalls caused by the recent non-recoverable determination. The floating rate asset has been REO since October 2023 and the lower cash flow combined with the significant increase in the floating interest rate since securitization has caused the uncapped net cash flow (NCF) DSCR on the mortgage debt to decline to 0.78X as the trailing twelve month (TTM) period ending June 2024, compared to over 1.68X at securitization. The downgrades also reflect the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution. The property's cash flow marginally improved year over year in 2023, however, that trend has recently reversed and the TTM June 2024 cash flow represented a decline from the prior year. The master servicer made a non-recoverability determination in February 2025 on the loan in relation to P&I advances and the loan was last paid through its February 2023 payment date. 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 $8.5 million and there was also a cumulative advance amount (P&I and cumulative accrued unpaid advance interest) of $32.5 million as of the February 2025 remittance statement. 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. The senior P&I classes Moody's rates, particularly Cl. A and Cl. B, benefit from credit support in the form of subordinate mortgage debt balance and also could withstand further declines in market value prior to a risk of principal loss. 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. 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 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. DEAL PERFORMANCE As of the February, 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $180 million from securitization. The interest only floating rate loan had a final maturity date in November 2023 (inclusive of three one-year extensions) and was secured by the leasehold interests in the Hilton Minneapolis. The loan has been in special servicing since April 2020, originally stemming from COVID related closure, and became REO in October 2023. The property is an AAA Four Diamond rated full-service hotel with approximately 60,500 SF of meeting and event space with a 24,780 SF grand ballroom, the largest ballroom in the state of Minnesota. It is also the largest hotel in the Minneapolis-St. Paul area in terms of room count (821 guestrooms) and meeting space. The hotel hosts events for large groups as well as accommodate spillover needs and room demand for the Minneapolis Convention Center located three blocks away. The property was constructed in 1992 and is subject to a 100- year ground lease with the City of Minneapolis expiring in October 2091. However, starting 2019, the property was not obligated to pay any ground rent for the duration of the ground lease. The property's performance initially rebounded from its COVID lows in 2022 and continued to improve through 2023 before reversing its course in 2024. The hotel achieved $13.8 million net operating income (NOI) in the TTM period ending June 2024 versus $14.6 million in 2023 and $14.1 million in 2022. Furthermore, despite improvement in recent years, the Downtown Minneapolis hotel market has been unable to return to its pre-pandemic levels. According to CBRE EA, Downtown Minneapolis Revenue per Available Room (RevPAR) reached $94.04 in 2024, a 13.6% increase compared to 2023, however, that was still 7.9% lower than its RevPAR of $102.07 in 2019. Moody's NCF was decreased to $11.3 million from $12.8 million at the last review and Moody's have used a capitalization rate of 10.75% since securitization. The first mortgage balance of $180 million represents a Moody's LTV of 172%. The most recent appraisal from 2024 valued the property at $206.3 million, up slightly from $204.5 million in 2023 but less than total exposure including advances and interest shortfalls. As of the most recent distribution date there are outstanding advances totaling approximately $32.5 million and interest shortfalls totaling approximately $8.5 million up from $6.4 million at the last review. Due to the non-recoverability determination, Moody's expects interest shortfalls to accumulate across all classes until the ultimate disposition of the asset. JP MORGAN 2019-ICON UES: S&P Affirms B- (sf) Rating on F Certs -------------------------------------------------------------- S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, a U.S. CMBS transaction. This U.S. CMBS transaction is currently backed by a fixed-rate, interest-only (IO) mortgage loan, secured by 14 multifamily and four mixed-use properties, with 327 residential units and four commercial units located throughout the Upper East Side neighborhood of Manhattan in New York City. This is down from 19 properties at issuance due to the release of the 242 East 75th street property, a property with 20 units, as collateral from the loan in January 2025. The corrected mortgage loan, which was modified and extended in November 2024, currently matures on May 1, 2026. Rating Actions The affirmations on classes A, B, C, D, E, and F certificates, despite higher model-indicated ratings, reflect the recent maturity default of the loan. The rating actions considers its re-evaluation of the 18 properties that secure the trust loan and the recent loan modifications, which extended the maturity date of the loan, along with a partial principal reduction. S&P affirmed its ratings on the class X-A and X-B IO certificates 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 reference class. The notional amount of the class X-A certificates references the class A certificates and the notional amount of the class X-B certificates references the class B and C certificates. Financial performance at the properties has improved since issuance and, based on borrower-reported financials and occupancy as of October 2024, the aggregate property-level cash flow amounts increased to $8.8 million, up from servicer-reported net operating income of $8.2 million in 2023 and $7.1 million at securitization in 2019. S&P assumed that these financials reflect the initial 19 properties since the 242 East 75th Street property was released after these reporting periods. Based on the October 2024 rent roll provided by the borrower, occupancy at the properties ranges between 91.7% and 100%, averaging around 96.0% overall. Given the loan's crossed-collateralized nature, our current analysis considers the aggregate portfolio. Our analysis considers the occupancy rate as of October 2024 and historical financials as reported by the servicer and the borrower. S&P said, "Based on the occupancy rate and adjusting for current multifamily submarket fundamentals, we derived a net cash flow (NCF) assumption of $6.7 million (details below). Using an S&P Global Ratings' capitalization rate of 6.50%, up from 6.00% due to the loan's recent maturity default and the decline in the portfolio's updated appraisal value as of July 2024, we concluded the 18 properties have an S&P Global Ratings expected-case value of $103.5 million, or $312,736 per unit (reflective of the 331 units remaining). This value is 6.8% below the value in our 2022 review that coincides with the revisions to our baseline capitalization rate assumptions for multifamily properties that occurred in January 2022. Our revised expected-case value is 46.2% lower than the appraiser's aggregate valuation of $192.4 million from 2019 and 16.5% below the updated appraiser's aggregate valuation of $123.9 million from July 2024 (ordered as part of the loan modification). Our revised valuation yields an S&P Global Ratings' loan-to-value (LTV) ratio of 99.2% on the mortgage loan balance." The loan had an initial maturity date of May 1, 2024. However, the borrower was unable to refinance the loan, and it was transferred to special servicing on May 3, 2024, due to maturity default. Discussions of possible resolutions between the borrower and the special servicer occurred over the next several months and resulted in loan modifications that closed and became effective Nov. 15, 2024. The modification terms included, among other items: -- The loan's maturity date was extended by two years to May 1, 2026. -- A principal reduction of $6.5 million at closing, a $1.5 million principal reduction on the earlier of a) the release of the mortgage lien for 242 East 75th Street or b) Dec. 31, 2024, and an additional paydown of $4.0 million on May 1, 2025. -- A cash sweep will remain in place until the loan is repaid; however, trapped cash will be made available, at the servicer's discretion, for expenses related to the properties. -- While the loan remains in special servicing, according to the special servicer, the loan is expected to be returned to the master servicer after a monitoring period. S&P said, "We will continue to monitor the portfolio's performance, as well as the borrower's ability to refinance the loan by May 1, 2026. To the extent future developments differ meaningfully from our underlying assumptions, we may revisit our analysis and take rating actions as we determine necessary." Property-Level Analysis At origination, the ICON UES (Upper East Side) Portfolio consisted of 19 properties constructed between 1900 and 1950, with a total of 347 residential units and four commercial units, located throughout the New York City borough of Manhattan. Since issuance, 242 East 75th Street, which is a 1910 built, 20-unit, multifamily property, was released. This resulted in the paydown of the mortgage loan by $5.0 million, representing 105.0% of the property's allocated loan amount (ALA). The transaction documents specify that property releases are subject to certain performance tests, and the release price for each property release is 105.0% of the ALA for the first 10.0% of the loan balance, 115.0% purchase price with respect to the next 10.0% of the loan balance, and then at 120.0% thereafter. The debt service coverage ratio (DSCR) test requires that the portfolio after a release has a DSCR equal to or greater than the DSCR of the remaining properties prior to release and 1.37x. The remaining portfolio comprises 327 residential units, which per the October 2024 rent roll, indicates that 269 units are market-rate units (one currently under construction), 55 units are rent-stabilized units, and two units are rent-controlled. There are also four commercial units. The borrower and servicer reported that historical financials show improving financial performance and strong occupancy for the portfolio. As of the October 2024 rent roll, the residential portion was 96.0% occupied. Based on the same rent roll, the market-rate units had an average rent of $3,467 per unit, the rent-controlled units had an average rent of $572, and the rent-stabilized units had an average rent of $1,348. According to CoStar, the overall New York City apartment market has a vacancy rate of just 2.8%. Due to the strong occupancy rate, landlords have continued to push rents higher, which increased by 1.6% over the last 12 months as of February 2025. CoStar projects vacancy to rise to 3.1% by 2030 and average asking rent to increase to $3,637 per unit from $3,253 per unit. However, since approximately 18.0% of the subject loan collateral's residential units are subject to rent stabilized or rent control regulations, it should be noted that the Housing Stability and Tenant Protection Act of 2019 passed by New York State has limited landlords' abilities to convert rent-stabilized units into market-rate units and to increase rent via capital improvements. S&P said, "In our current analysis, and excluding 242 East 75th Street, we assumed a gross potential income of the residential and commercial units to be $12.3 million, a 7.27% vacancy rate, a 39.9% operating expense ratio, and $350 per unit of capital expenditures to derive an S&P Global Ratings NCF of $6.7 million, 1.0% above the NCF we derived at issuance and at last review. Using a 6.50% S&P Global Ratings capitalization rate, we derived an expected-case value on the portfolio of $103.5 million, which is 16.5% below the $123.9 million updated appraisal value on the properties." Table 1 Servicer-reported collateral performance As of TTM October 2024(ii) 2023(i) 2022(i) 2021(i) Occupancy rate (%) 96.0 86.0 97.4 98.6 Net cash flow (mil. $) 8.9 8.1 7.5 5.4 Debt service coverage ratio (x) 1.68 1.53 1.42 1.03 Appraisal value (mil. $)(iii) 123.9 192.4 192.4 192.4 (i)Reporting period. (ii)Per borrower statement. (iii)Excluding the released property, 242 East 75th Street. TTM--Trailing 12-months. Table 2 S&P Global Ratings' key assumptions Last published Current review review At issuance (March 2025)(i) (Feb 2022)(i) (April 2019)(i) Occupancy rate (%) 92.7 95.0 95.0 Net cash flow (mil. $) 6.7 6.7 6.7 Capitalization rate (%) 6.50 6.00 6.50 Value (mil. $) 103.5 111.0 102.5 Loan-to-value ratio (%)(ii) 99.2 104.2 112.9 (i)Review period. (ii)On the whole loan balance. Transaction Summary The fixed-rate 4.5% coupon, IO mortgage loan, has a current balance of $102.7 million, down from $115.7 million at issuance. The reduction in principal balance is the result of an $8.0 million capital contribution by the sponsor during the closing of the loan modification, as well as a $5.0 million allocated loan amount paid to the trust following the sale of the 242 East 75th Street property. As of the March 2025 trustee remittance report, the loan has a paid through date of February 2025, indicating the loan was 30-days delinquent. While S&P has inquired with the servicer on the delinquency status, it has yet to receive a response. A review of historical remittance reports shows the borrower is typically late on the debt service payments. The mortgage loan was split into three pari passu senior notes, an A-1 with a balance of $6.6 million, an A-2 with a balance of $19.4 million, and an A-3 with a balance of $19.4 million. There is also a subordinate B-note with a balance of $57.2 million. The A-1 note and the subordinate B-note are assets of the trust, while the A-2 and A-3 notes have been securitized in JPMCC Commercial Mortgage Securities Trust 2019-COR5 and Benchmark 2019-B12 Mortgage Trust. There is no subordinate debt. To date, the trust has not incurred any principal losses. Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB- (sf) Class F: B- (sf) Class X-A: AAA (sf) Class X-B: A- (sf) JP MORGAN 2025-CES2: Fitch Assigns B-(EXP) Rating on B-2 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-CES2 (JPMMT 2025-CES2). Entity/Debt Rating ----------- ------ JPMMT 2025-CES2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The JPMMT 2025-CES2 residential mortgage-backed certificates are backed by 100% closed-end second lien (CES) loans on residential properties. This is the fourth transaction to be rated by Fitch that includes 100% CES loans off the JPMMT shelf. The pool consists of 2,866 non-seasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $345.88 million. The main originators in the transaction are AmWest Funding Corp. (AmWest) and PennyMac Loan Services (PennyMac). All other originators make up less than 10% of the pool. The loans are serviced by mainly AmWest, NewRez and PennyMac with all other servicers making up less than 10% of the pool. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers, mainly AmWest, NewRez and PennyMac, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date prior to the distribution date (and the related accrual period) will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. The pass-through rate on class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date on and after the distribution date in March 2029 (and the related accrual period) will be an annual rate equal to the lower of (i) the sum of the applicable fixed rate set forth in the table above for such class of certificates and the step-up rate and (ii) the net WAC for such distribution date. The "step-up rate" means a per annum rate equal to 1.000%. The pass-through rate on class B-1, B-2 and B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.5% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 2,866 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments), condominiums and townhouses, totaling $345.88 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of nine months, according to Fitch, and six months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 737, as determined by Fitch, indicative of very high credit-quality borrowers. About 36.8% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 66.2%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 72.8%. The transaction documents stated a WA original LTV of 20.1% and a WA CLTV of 66.2%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 52.0% were originated by a retail channel or correspondent channel with the remaining 48.0% originated by a broker channel. Based on Fitch's documentation review, it considers 67.7% of the loans to be fully documented. Based on Fitch's analysis of the pool, 92.5% of the loans are of a primary or secondary residence, and the remaining 7.5% are investor loans (this includes one loan that Fitch considered a foreign national). Per the transaction documents there are 7.4% investor loans and 92.6% loans on primary or secondary residences. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 93.4% of the pool; condominiums make up 3.4%, while multifamily homes make up 3.2%. The pool consists of loans with the following loan purposes, according to Fitch: cashout refinances (99.4%), purchases (0.4%) and rate-term refinances (0.2%). The transaction documents show 99.6% of the pool to be cashouts, 0.0% to be rate term refinances and 0.4% to be purchases. If the cashout amount is less than 3%, Fitch typically does not consider the loan to be a cashout loan, which explains the difference in Fitch's cashout percentage compared to the transaction documents. None of the loans in the pool are over $1.0 million. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Geographic Concentration (Negative): Of the pool loans, 47.3% are concentrated in California, followed by Florida and Georgia. The largest MSA concentration is Los Angeles MSA (29.3%), followed by the Riverside-San Bernardino MSA (4.1%) and the New York MSA (3.8%). The top three MSAs account for 37.1% of the pool. As a result, a 1.06x penalty was applied for geographic concentration risk which increased the 'AAAsf' loss by 1.24%. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by AmWest, PennyMac and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, pro rata, to the A-1A and A-1B classes, then sequentially to the A-2, A-3, M-1, B-1, B-2, B-3 and B-4 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then cap carryover amounts. A realized loss will occur if the collateral balance is less than the unpaid balance of the outstanding classes. Realized losses will be allocated reverse sequentially with the losses allocated first to class B-4. Once the A-2 class is written off, principal will be allocated, first, to class A-1B, and then to class A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): For any mortgage loan 180 or more days delinquent (DQ; or earlier, in accordance with the related servicer's servicing practices, other than due to such mortgage loan being or becoming subject to a forbearance plan), the related servicer will perform an equity analysis review and may charge off such mortgage loan (each such mortgage loan, a "charged-off loan") with the approval of the controlling holder if such review indicates no significant recovery is likely in respect of such mortgage loan. If the controlling holder does not approve such chargeoff, then the related servicer will continue monitoring the lien status of such mortgage loan, in which case, the related servicer will provide the controlling holder with prompt written notice if such servicer obtains actual knowledge that the associated first lien mortgage loan is subject to payoff, foreclosure, short sale or similar event. Fitch views the fact that the servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely DQ loans to be a positive, as the servicer and controlling holder are acting in the best interest of the noteholders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clarifii, and Clayton. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and data integrity and was conducted on 100% of the loans. Additionally, 32.2% loans had a due diligence review performed on valuations done by Consolidated Analytics and Clarifii. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.98% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, Clarifii, and Clayton were engaged to perform the reviews. Loans under this engagement were given compliance and credit reviews and assigned initial and final grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies and the auditor (Deloitte), and no material discrepancies were noted. ESG Considerations JPMMT 2025-CES2 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk, due to the adjustment for the rep and warranty framework without other operational mitigants that increased the loss expectations, and is material to the transaction. This has a negative impact on the credit profile and is relevant to the rating 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. KRE COMMERCIAL 2025-AIP4: Moody's Assigns B2 Rating to Cl. F Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by KRE Commercial Mortgage Trust 2025-AIP4, Commercial Mortgage Pass-Through Certificates, Series 2025-AIP4: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single floating-rate loan backed by the fee simple interest in a portfolio of 29 industrial properties encompassing 7,480,225 SF. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The collateral comprises 29 distribution warehouse industrial properties located across eight distinct markets in six states. The largest market concentrations are Atlanta, GA (10 properties, 26.0% of ALA, 28.1% of base rent), Denver, CO (6, 16.2%, 18.9%) and Dallas, TX (2, 19.4%, 16.6%). The Portfolio's property-level and MSA level Herfindahl scores are 19.67 and 5.81, respectively, based on ALA. No single property represents more than 11.0% of base rent or 13.8% of ALA. The facilities were built at various points between 1973 and 2023, with a weighted average construction year of 2015. Together, they contain approximately 7,480,225 SF of aggregate rentable area. Property size ranges between 78,466 SF and 977,013 SF, and average approximately 257,939 SF. Maximum ceiling clear heights range between 20 feet and 36 feet, and average approximately 30.5 feet. Office space represents approximately 7.1% of the Portfolio NRA. Dock high doors, a vital specification for warehouse distribution centers, range from 11 to 233 total doors or 88 doors on average portfolio wide. The sponsor acquired the portfolio in separate transactions throughout 2021 with the exception of two properties for a total cost basis of approximately $1.2 billion ($160.42 PSF). Over a four year period, the sponsor invested approximately $4.2 million ($0.56 PSF) in capital improvements and deferred maintenance. As of February 2025, the Portfolio was 93.8% occupied tenanted by over 90 unique tenants. Approximately 18.8% of the Portfolio's NRA is leased to tenants Moody's rates investment grade. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.12X and Moody's first mortgage actual stressed DSCR is 0.69X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $740,000,000 represents a Moody's LTV ratio of 123.5% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 115.3% based on Moody's Value using a cap rate adjusted for the current interest rate environment, compared to 114.8% during Moody's provisional ratings. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is approximately 1.00. Notable strengths of the transaction include: (i) industrial facility functionality, (ii) geographic diversity, (iii) below market rents, (iv) experience sponsorship and (v) multiple property pooling. Notable concerns of the transaction include: (i) high MLTV and low MDSCR, (ii) subordinate debt, (iii) rollover profile (iv) floating-rate, interest-only profile, (v) property release and prepayment provisions and (vi) certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. LCM XIV LTD: Moody's Cuts Rating on $19.25MM Class E-R Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by LCM XIV Limited Partnership: US$22,250,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on August 12, 2024 Upgraded to Aa2 (sf) US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-R Notes"), Upgraded to Baa1 (sf); previously on August 12, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the ratings on the following notes: US$19,250,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on September 21, 2020 Confirmed at Ba3 (sf) US$8,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class F-R Notes") (current balance of $8,014,939.97, including deferred interest), Downgraded to Caa3 (sf); previously on August 12, 2024 Downgraded to Caa2 (sf) LCM XIV Limited Partnership, originally issued in July 2013 and refinanced in June 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. 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 transaction's over-collateralization (OC) ratios since August 2024. The Class A-R notes have been paid down by approximately 38.4% or $51.1 million since then. Based on Moody's calculations, the OC ratios for the Class C-R and Class D-R notes are currently 134.63% and 116.91%, respectively, versus August 2024 levels of 127.52% and 114.53%, respectively. The downgrade rating actions on the Class E-R and Class F-R notes reflect the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio and decrease in OC ratios. Based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and the current level is 3224 compared to 3076 in August 2024. Furthermore, the OC ratios for the Class E-R and Class F-R notes are currently 105.30% and 101.12%, respectively, versus August 2024 levels of 105.53% and 102.20%, respectively. No actions were taken on the Class A-R and Class B-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $203,759,999 Defaulted par: $2,213,877 Diversity Score: 57 Weighted Average Rating Factor (WARF): 3224 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.42% Weighted Average Recovery Rate (WARR): 46.35% Weighted Average Life (WAL): 3.34 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. LOBEL AUTOMOBILE 2025-1: DBRS Gives Prov. BB Rating on E Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by Lobel Automobile Receivables Trust 2025-1 (the Issuer) as follows: -- $106,590,000 Class A Notes at (P) AAA (sf) -- $15,126,000 Class B Notes at (P) AA (sf) -- $26,924,000 Class C Notes at (P) A (sf) -- $12,807,000 Class D Notes at (P) BBB (sf) -- $24,504,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available 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 under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 15.00% based on the expected pool composition. -- 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's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The transaction parties' capabilities with regard to originations, underwriting, and servicing. (5) The quality and consistency of historical static pool data for Lobel originations since 2012. (6) The legal structure and expected presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Lobel, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Lobel is an indirect auto finance company focused primarily on independent dealers. The company provides financing to subprime borrowers who are unable to obtain financing through traditional sources, such as banks, credit unions, and captive finance companies. The rating on the Class A Notes reflects 48.15% of initial hard credit enhancement provided by the subordinated Notes in the pool, the reserve account (1.00%), and overcollateralization (7.80%). The ratings on the Class B, C, D, and E Notes reflect 40.65%, 27.30%, 20.95%, and 8.80% 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. MADISON PARK LXXI: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXXI, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXXI, Ltd. A-1 LT NRsf 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 BB+sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Madison Park Funding LXXI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', 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 96.45% first-lien senior secured loans and has a weighted average recovery assumption of 73.13%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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 'BBsf' 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 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 Madison Park Funding LXXI, 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. MADISON PARK XXIX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Madison Park Funding XXIX, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXIX, Ltd._2025 X-R LT AAAsf New Rating A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R-2 LT AAsf New Rating C-R-2 LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Madison Park Funding XXIX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by UBS Asset Management (Americas) LLC. The deal originally closed in 2018 and had its first refinancing in 2024. All of its secured notes have been refinanced on March 25, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 98.99% first-lien senior secured loans and has a weighted average recovery assumption of 75.33%. 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 41.0% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R-2, between 'B+sf' and 'BBB+sf' for class C-R-2, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R-2, 'AA+sf' for class C-R-2, '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 Madison Park Funding XXIX, 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 XXVII: Fitch Assigns 'BB+sf' Final Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Madison Park Funding XXVII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XXVII, Ltd. X LT NRsf New Rating NR(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT A+sf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Madison Park Funding XXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by UBS Asset Management (Americas) LLC. The original deal closed in March 2018. On March 14, 2025 (the refinancing date), the CLO's existing secured notes will be redeemed in full with the refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $797 million of primarily first-lien senior secured leveraged loans excluding defaulted assets. The final rating assigned for class C-R notes is 'A+sf', higher than the expected rating of 'Asf (EXP)' assigned on Jan. 22, 2025. This change was primarily driven by an increase in the minimum weighted average spread covenant selected by the manager and by tighter spreads in the final structure. The final rating assigned for class A-2-R notes is 'AAAsf', higher than the model implied rating (MIR) of 'AA+sf'. The failure of 0.10% at the 'AAAsf' stress level is considered marginal given the significant number and range of analytical assumptions used. 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 96.25% first-lien senior secured loans and has a weighted average recovery assumption of 74.33%. 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 37% 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 proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Madison Park Funding XXVII, 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. MADISON PARK XXVII: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXVII, Ltd. (the Issuer): US$8,000,000 Class X Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aaa (sf) US$490,800,000 Class A-1-R Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior 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 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of non-senior secured loan. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement 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; 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: $800,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3030 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 45.0% 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 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. MFA 2025-NQM1: Fitch Gives 'B-sf' Rating on Class B2 Certificates ----------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2025-NQM1 Trust (MFA 2025-NQM1). Entity/Debt Rating Prior ----------- ------ ----- MFA 2025-NQM1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates to be issued by MFA 2025-NQM1 Trust (MFA 2025-NQM1), as indicated above. The certificates are supported by 515 nonprime loans with a total balance of approximately $305.0 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. The structure was updated post-pricing and the coupons for A-1, A-2, A-3, M-1 and B-1 classes decreased approximately by around 12bps-22bps, which increased the weighted-average (WA) excess spread to 152bps, a 16bps increase from the previous WA excess spread of 136bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10% above a long-term sustainable level vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 515 loans totaling $305.0 million and seasoned at approximately six months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 731 Fitch model FICO and moderate leverage with a 75.3% sustainable loan-to-value ratio (sLTV). The pool is 59.8% comprised of loans for homes in which the borrower maintains as a primary residence, while 40.2% comprises investor properties or second homes, as calculated by Fitch. Additionally, 56.9% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types, including second liens, foreign nationals and borrowers qualified with individual taxpayer identification numbers. Fitch's expected loss in the 'AAAsf' stress is 24.00%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 88.5% of loans in the pool were underwritten to less than full documentation and 41.7% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 75.0%, compared with a transaction of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 198 debt service coverage ratio (DSCR) and 11 property focused investor loans, otherwise known as 'No Ratio' products in the pool (40.6% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 34.4% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2025-NQM1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Clarifii, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, IngletBlair and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 47bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MJX VENTURE II: Moody's Cuts Rating on Ser. D/Class E Notes to Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by notes issued by Venture XXIX CLO, Limited ("Underlying CLO"): US$2,975,000 Series D/Class B Notes due 2030, Upgraded to Aaa (sf); previously on October 30, 2020 Upgraded to Aa1 (sf) US$1,500,000 Series D/Class C Notes due 2030, Upgraded to Aaa (sf); previously on August 30, 2022 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$1,300,000 Series D/Class E Notes due 2030, Downgraded to Ba3 (sf); previously on October 30, 2020 Confirmed at Ba1 (sf) The Series D/Class B Notes, the Series D/Class C Notes, and the Series D/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXIX CLO, Limited (the "Underlying CLO"). The Rated Notes were issued in September 2017 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Series D/Class B Notes and the Series D/Class C Notes are primarily a result of deleveraging of the Underlying CLO's senior notes and an improvement in the credit profiles of the related Underlying CLO Notes collateralizing the Series D/Class B Notes and the Series D/Class C Notes since February 2024. Based on the trustee's February 2025 report, the OC ratios for the Underlying CLO Class A-R/Class B-R, and Class C notes are reported at 136.11% and 120.82%[1], respectively, versus February 2024 levels of 130.43% and 119.87%[2], respectively. The downgrade rating action on the Series D/Class E Notes reflects the specific risks to the Underlying CLO's Class E notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on the trustee's February 2025 report, the OC ratio for the Underlying CLO Class E notes is reported at 99.41%[3] versus February 2024 level of 103.78%[4]. Furthermore, the trustee-reported weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 3433[5], compared to 2703[6] in February 2024, failing the maximum test level of 2959. Moody's notes that the February 2025 trustee-reported OC ratios do not reflect the February 2025 payment distribution, when $48.3 million of principal and interest proceeds were used to pay down the Underlying CLO Class A-R Notes. No actions were taken on the Series D/Class A Notes and the Series D/Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying CLO's latest portfolio information, 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 for the Underlying CLO: Performing par and principal proceeds balance: $286,154,808 Defaulted par: $5,238,257 Diversity Score: 59 Weighted Average Rating Factor (WARF): 3333 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.82% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.21% Weighted Average Life (WAL): 2.85 years Par haircut in OC tests and interest diversion test: 4.0% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, decrease in overall WAS, 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 Underlying CLO will also affect the performance of the Rated Notes. MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-ABC issued by MOFT Trust 2020-ABC: -- Class X-A at A (sf) -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (low) (sf) Morningstar DBRS changed the trends on all classes to Negative from Stable. The Negative trends on all Classes reflect potential upcoming occupancy concerns at the subject properties. Google LLC (Google) leases 85.7% of the total space at the subject, which has been reported fully dark according to the April 2024 property inspection reports. Google occupies its space on three separate leases. The first lease has an upcoming expiry in June 2026 and there has been no subleasing or direct leasing traction to date. Although there is potential for significant cash flow disruption, Morningstar DBRS notes several mitigating factors including strong performance, which would remain higher than breakeven if Google were to vacate their first lease, extended timeline to find additional tenants, and more than $36.0 million in reserves, all supporting the credit rating confirmations. The 10-year, fixed-rate, interest-only (IO) loan is secured by the fee-simple interest in three Class A office buildings totaling more than 950,000 square feet (sf) in Sunnyvale, California. The three buildings, known as Moffett Towers A, B, and C are 100% leased to five tenants, including two investment-grade tenants, Google (a subsidiary of Alphabet Inc.) and Comcast Cable Communications, accounting for 97.4% of the net rentable area. The transaction consists of a $328.0 million participation in a $770.0 million whole mortgage loan. The components of the whole mortgage loan securitized in this transaction include $1.0 million of the senior trust notes and all of the $327.0 million in junior trust notes. The remaining $442.0 million of senior trust notes are securitized across seven commercial mortgage-backed security (CMBS) transactions, including two Morningstar DBRS-rated transactions (Benchmark 2020-IG2 Mortgage Trust and Benchmark 2020-IG3 Mortgage Trust). The loan benefits from an experienced sponsor, which is an affiliate of Jay Paul Company, a well-known San Francisco real estate owner and developer with an extensive portfolio of build-to-suit Class A office assets. The firm has expertise in building and leasing office space in Silicon Valley for technology firms including Amazon, Facebook, Microsoft, and HP, among others. As early as January 2023, there were reports indicating that amid layoffs, Google would be reducing their office footprint with a focus on its California and New York exposure. Google has three separate leases across the buildings with staggered lease expirations in June 2026, September 2027, and December 2030. While Google continues to pay rent, the servicer reports the borrower has been unsuccessful in backfilling any of Google's space to date and there is currently no subleased space. Given the dark nature of the subject, Morningstar DBRS expects Google will not renew its leases, exposing the transaction to heightened vacancy and declining cash flow in an otherwise soft submarket. According to Reis, the Sunnyvale submarket vacancy rate in Q4 2024 was 22.8%, compared with the average vacancy rate of 19.3% in Q4 2023, suggesting the continued weakening submarket fundamentals which could complicate leasing efforts. While these are significant concerns, the timing as well as the structural features surrounding the transaction and Google's leases does mitigate some of the risk while providing time for the borrowers to backfill any vacancies. Google's first lease expires in June 2026, providing the borrower more than a year to backfill vacancies. Furthermore, the property remains 100% leased and performance remains stable, with the debt service coverage ratio (DSCR) covering at 2.09 times (x), according to the trailing nine-month financials for the period ended September 30, 2024. In the event Google does not renew its first lease at expiry, the DSCR will continue to remain higher than breakeven. The transaction is also structured with a cash flow sweep that will commence nine months prior to Google's first lease expiry and would trap approximately $2.3 million every month in addition to an existing $36 million tenant reserve. The staggered timing of the leases and the structure gives the borrower plenty of time and capital to secure tenants and offer them competitive tenant-improvement (TI) packages. The properties, constructed in 2008, are part of the larger Moffett Towers office campus, which houses several technology companies including Amazon and Meta and also should boost its appeal to future tenants. At the last credit rating action in April 2024, Morningstar DBRS included an updated collateral valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS net cash flow (NCF) of $50.4 million. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV)-Sizing benchmarks totaling 6.5% to reflect the recent construction and location along a prime office campus in the Sunnyvale submarket. The Morningstar DBRS concluded value of nearly $695.1 million represents a -39.3% variance from the issuance appraised value of $1.15 billion and implies an all-in LTV of 110.8%. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 4 Tranches ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on 12 classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C28 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 as follows: -- Class B to A (sf) from AA (sf) -- Class X-B to A (high) (sf) from AA (high) (sf) -- Class C to BB (high) (sf) from A (sf) -- Class D to CCC (sf) from B (high) (sf) -- Class X-D to CCC (sf) from BB (low) (sf) -- Class E-1 to C (sf) from CCC (sf) -- Class E-2 to C (sf) from CCC (sf) -- Class E to C (sf) from CCC (sf) -- Class F-1 to C (sf) from CCC (sf) -- Class F-2 to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) -- Class E-F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-3 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 G-1 at C (sf) -- Class G-2 at C (sf) -- Class EFG at C (sf) -- Class G at C (sf) Morningstar DBRS changed the trend on Class A-S to Negative from Stable. Classes B, C, and X-B continue to carry a Negative trend while Classes D, E-1, E-2, F-1, F-2, G1, G2, X-D, E, E-F, F, EFG, and G are assigned credit ratings that typically do not carry a trend in commercial mortgage-backed securities transactions. All other trends are Stable. At the prior credit rating action in April 2024, Morningstar DBRS downgraded Classes D, X-D and E-1 to reflect the increased loss projections for the three loans in special servicing, driven primarily by Princeton Pike Corporate Center (Prospectus ID#5, 6.5% of the pool) and Princeton South Corporate Center (Prospectus ID#6, 5.8% of the pool). At that time, Morningstar DBRS also assigned Negative trends to those classes, citing the potential of further value deterioration for the underlying collateral backing those loans, in addition to a select number of other underperforming office properties. The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss expectations for the pool, which has three loans in special servicing and several larger loans being monitored on the servicer's watchlist for performance declines. With this review, Morningstar DBRS considered liquidation scenarios for all three specially serviced loans (15.6% of the pool), resulting in aggregate estimated losses of $95.1 million, with implied losses ranging between $25.3 million and $36.0 million for the individual loans based on haircuts to the most recent appraised value, or issuance appraised value, where applicable. The increase in projected losses to the trust would partially erode the Class D certificate, while fully eroding the balance of the subordinate principal bonds below that class, reducing the credit support to the senior principal bonds, most notably Classes B and C, supporting the credit rating downgrades with this review. Outside of the specially serviced loans, the third largest loan in the pool, the Navy League Building (Prospectus ID#4, 7.4% of the pool) continues to exhibit increased default risk, details of which are outlined below. As the pool continues to wind down with the majority of loans scheduled to mature within the next 12 months, Morningstar DBRS notes that loan, in addition to a select number of other underperforming loans could see reduced commitment from the respective borrowers and/or face difficulty securing replacement financing as performance declines from issuance and softening market conditions have likely eroded property values. In the analysis for this review, Morningstar DBRS stressed those loans with an elevated probability of default (POD) penalty and/or loan-to-value ratio (LTV). The result of that analysis further supports the persisted Negative trend on Class B and C and the trend change to Negative from Stable on the Class A-S certificate. The credit rating confirmations on the Class A-3, A-4, A-SB, A-S and X-A certificates generally reflect the increased credit support for those classes with the paydown since issuance and the defeasance concentration, as further detailed below. The transaction benefits from a high concentration of loans backed by retail property types, which represent approximately 40.0% of the pool balance and include four top ten loans which combine for almost 30.0% of the pool balance and include the two largest loans in the pool, the largest of which is shadow credit rated investment grade by Morningstar DBRS. All of the largest retail loans are generally performing in line with issuance expectations, with healthy coverage ratios and strong draw positions within the respective markets for the collateral properties. In addition, based on Morningstar DBRS' conservative liquidation scenarios for loans in special servicing, those classes remain well insulated from projected liquidated losses. The overall performing pool of loans, as exhibited by a weighted-average debt service coverage ratio (DSCR) of 1.63 times (x), and the investment-grade shadow rating maintained for the largest loan in the pool, Penn Square Mall (Prospectus ID#1, 11.8% of the pool), further support the credit rating confirmations. As of the February 2025 remittance, 37 of the original 42 loans remained in the pool with an aggregate principal balance of $762.1 million, representing a collateral reduction of 20.3% since issuance. Seven loans, representing 14.7% of the current trust balance, have been fully defeased. Specially serviced and watch listed loans represent 15.6% and 15.4% of the pool balance, respectively. Since the prior credit rating action, total interest shortfalls have increased by approximately $2.7 million, with the most senior class with outstanding shortfalls in the Class F-1 certificate being shorted interest since the May 2024 reporting cycle. The largest loan in special servicing is Princeton Pike Corporate Center. The loan is secured by a an eight-building suburban office complex in Lawrenceville, New Jersey. The loan transferred to special servicing in February 2024 for imminent monetary default and is currently delinquent having last paid in December 2024. The consolidated collateral occupancy rate has fallen significantly, reported at 44.8% as of the December 2024 rent rolls, a decline from the September 2023 figure of 59.5%. The decline in occupancy was a result of the former second and third largest tenants vacating at their respective lease expirations in April and June 2024. In addition, 11 tenants, representing 11.3% of NRA, are scheduled to roll within the next 12 months. According to Reis, office properties within the Trenton submarket reported an average vacancy rate of 15.6% as of Q4 2024. Although an updated appraisal has not been ordered since issuance, 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. This assessment is further supported by an updated appraisal that was received for the second-largest loan in special servicing, Princeton South Corporate Center, details of which are outlined below. Morningstar DBRS liquidated the loan from the pool based on a 75.0% haircut to the issuance value of $199.0 million, resulting in a Morningstar DBRS value of $49.8 million ($61 per sf) and an implied loss approaching $34.0 million. The Princeton South Corporate Center loan is secured by two four-story suburban office buildings in Trenton, New Jersey, just six miles west of Princeton Pike Corporate Center. The loan transferred to special servicing in February 2022 after the property was unable to generate sufficient cash flows to cover operating expenses and debt service obligations. The asset became real-estate owned (REO) in January 2024. An updated appraisal from January 2024 valued the property at $27.6 million, more than 60.0% below the issuance appraised value of $72.0 million. Morningstar DBRS liquidated the loan from the pool based on a 35.0% haircut to the most recent appraisal, resulting in a Morningstar DBRS value of $17.9 million ($67 per sf) and an implied loss totaling approximately $36.0 million. The third specially serviced loan, DoubleTree by Hilton - Cleveland, OH (Prospectus ID#13, 3.3% of the pool), is secured by a 379-key full-service hotel. The loan originally transferred to special servicing in 2019 and the collateral is being actively marketed for sale with interested parties being asked to provide best offers to facilitate the process. Since before the pandemic, the property has underperformed its competitive set and the borrower has failed to submit updated financial reporting. The property was most recently appraised in February 2024 at a value of $16.6 million, below the $40.0 million value at issuance and the $25.4 million loan balance. Given the potential near-term sale of the asset and poor historical performance, Morningstar DBRS assumed a full loss to the loan. The Navy League Building, which is the largest office loan in the pool, is secured by a 191,000-sf office building in Arlington, Virginia. The loan was added to the servicer's watchlist in January 2021 for a low occupancy rate and DSCR after the second-largest tenant vacated. Although cash flows have increased from YE2023, they remain below the Morningstar DBRS NCF with a DSCR that has remained below break-even since 2020. Two new tenants have recently signed long-term leases (18.0% of NRA), bringing occupancy up to 69.0% as of December 2024, from 57.1% in September 2023; however, tenants representing 20.6% of NRA have leases expiring in the next 12 months. As of the February 2025 reporting, $371,000 remains in a replacement reserve and $4.6 million is held in other reserves. There is also a replacement reserve balance of $371,000. According to Reis, office properties within the Roxxlyn/Courthouse submarket reported an average vacancy rate of 25.6% for the full-year 2024 reporting period. Given the soft office submarket fundamentals and the property's inability to cover operating expenses and debt service obligations with the current levels of rental income, Morningstar DBRS applied a 10.0% capitalization rate to the YE2024 NCF resulting in a loan-to-value (LTV) ratio of 160.0%. In addition, a 30.0% PoD penalty was maintained from the previous credit rating action to account for and the sustained performance declines. The resulting expected loss was more than double the pool average. At issuance, Penn Square Mall was shadow-rated investment grade. With this review, Morningstar DBRS confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2019-H6: Fitch Lowers Rating on H-RR Certs to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed nine classes of Morgan Stanley Capital I Trust 2019-L2 commercial mortgage pass-through certificates, series 2019-L2 (MSC 2019-L2). The Outlooks on affirmed classes B, C, D and X-B have been revised to Negative from Stable. Following their downgrades, class E and X-D were assigned Negative Outlooks. Fitch has also downgraded three classes and affirmed 13 classes of Morgan Stanley Capital I Trust 2019-H6 commercial mortgage pass-through certificates (MSC 2019-H6). The Outlooks on affirmed class F-RR has been revised to Negative from Stable. Following their downgrades, class G-RR and H-RR were assigned Negative Outlooks. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- MSC 2019-L2 A-3 61768HAV8 LT AAAsf Affirmed AAAsf A-4 61768HAW6 LT AAAsf Affirmed AAAsf A-S 61768HAZ9 LT AAAsf Affirmed AAAsf A-SB 61768HAU0 LT AAAsf Affirmed AAAsf B 61768HBA3 LT AA-sf Affirmed AA-sf C 61768HBB1 LT A-sf Affirmed A-sf D 61768HAC0 LT BBBsf Affirmed BBBsf E 61768HAE6 LT BBsf Downgrade BBB-sf F-RR 61768HAG1 LT CCCsf Downgrade Bsf G-RR 61768HAJ5 LT CCsf Downgrade CCCsf X-A 61768HAX4 LT AAAsf Affirmed AAAsf X-B 61768HAY2 LT AA-sf Affirmed AA-sf X-D 61768HAA4 LT BBsf Downgrade BBB-sf MSC 2019-H6 A-2 61769JAX9 LT AAAsf Affirmed AAAsf A-3 61769JAZ4 LT AAAsf Affirmed AAAsf A-4 61769JBA8 LT AAAsf Affirmed AAAsf A-S 61769JBD2 LT AAAsf Affirmed AAAsf A-SB 61769JAY7 LT AAAsf Affirmed AAAsf B 61769JBE0 LT AAsf Affirmed AAsf C 61769JBF7 LT Asf Affirmed Asf D 61769JAC5 LT BBB+sf Affirmed BBB+sf E-RR 61769JAE1 LT BBBsf Affirmed BBBsf F-RR 61769JAG6 LT BBB-sf Affirmed BBB-sf G-RR 61769JAJ0 LT BB-sf Downgrade BB+sf H-RR 61769JAL5 LT B-sf Downgrade BB-sf J-RR 61769JAN1 LT CCCsf Downgrade B-sf X-A 61769JBB6 LT AAAsf Affirmed AAAsf X-B 61769JBC4 LT Asf Affirmed Asf X-D 61769JAA9 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.5% in MSC 2019-L2 and 3.8% in MSC 2019-H6 compared to 5.1% and 4.0%, respectively, at the prior rating action. The MSC 2019-L2 transaction has 7 Fitch Loans of Concern (FLOCs; 15.6% of the pool), including six loans in special servicing (14.7%). The MSC 2019-H6 transaction has 7 FLOCs (10.9%), including three loans in special servicing (5.2%). MSC 2019-L2: The downgrades for MSC 2019-L2 reflect higher pool loss expectations since the prior rating action, primarily driven by increasing exposure on the specially serviced State of Kentucky Portfolio loan (2.5%) and a lower valuation on the specially serviced199 Lafayette Street loan (2.4%). The Negative Outlooks in MSC 2019-L2 reflect a high office concentration of 36.4%, the majority of which were considered B quality at issuance, and the potential of further downgrades should the performance of the FLOCs continue to deteriorate beyond current expectations and/or recovery prospects on the specially serviced loans worsen. MSC 2019-H6: The downgrades in MSC 2019-H6 reflect increased losses on the 5880 Nolensville loan (1.7%) following its recent transfer to special servicing since the prior rating action and continued performance deterioration of FLOCs, including AC Marriott San Jose (2.4%) and Fairfield Inn Suites Lubbock (1.4%). The Negative Outlooks in MSC 2019-H6 reflect the potential for further downgrades if performance of the aforementioned FLOCs does not stabilize and/or workouts are prolonged for the specially serviced loans resulting in higher than expected losses. Largest Contributors to Loss: The largest contributor to loss expectations in MSC 2019-L2, State of Kentucky Portfolio, is secured by five office properties in Frankfort, KY. The loan transferred to special servicing in August 2022 due to monetary default. According to servicer updates, a receiver was appointed and the foreclosure process is ongoing. Fitch's 'Bsf' rating case loss of 71.6% (prior to concentration adjustments) is based on a haircut to the most recent appraised value, reflecting a value of $27 psf. The second largest contributor to loss expectations, 199 Lafayette Street, is secured by a 20,000-sf retail building located in New York, NY. The loan transferred to special servicing in July 2020 for imminent monetary default at the borrower's request due to COVID-19. A receiver was appointed in December 2022. According to servicer updates, a 15-year lease representing 2,000-sf was executed in 2024 with Just Salads. Property occupancy was a reported 91% as of January 2025. Fitch's 'Bsf' rating case loss of 42.8% (prior to concentration adjustments) is based on a haircut to the most recent appraised value, reflecting a value of $760 psf. The third largest contributor to loss expectations, Shingle Creek Crossing loan (2.6%), is secured by a 173,107-sf retail center located in Brooklyn Center, MN. The non-collateral, shadow anchor Walmart terminated its lease in April 2023. According to news reports, Walmart was replaced by Sun Foods, a supermarket grocer. Per the October 2024 rent roll, occupancy was 88% which is in line with YE 2023. Upcoming rollover at the property includes 27% of the NRA (30% GPR) in 2025, followed by 2.1% NRA (3.5% GPR) in 2026 and 14% NRA (13.8% GPR) in 2027. Fitch's 'Bsf' rating case loss of 12.7% (prior to concentration adjustments) reflects a 10.5% cap rate and a 15% haircut to the TTM September 2024 NOI due to upcoming rollover concerns and the property's' secondary location. The largest contributor to loss expectations in MSC 2019-H6, 5880 Nolensville , is secured by an 88,958-sf office located in Nashville, TN. The loan transferred to special servicing in March 2025 due to monetary default. The property's single tenant Aramark downsized from 100% of the NRA to 27% in July 2024. According to the March 2025 loan level reserve report, there is $2.5 million in reserves. Fitch's 'Bsf' rating case loss of 38.3% (prior to concentration adjustments) reflects a 11% cap rate, a 40% stress to the YE 2023 NOI to reflect the downsizing of the single tenant and an increased the probability of default given the recent transfer to special servicing. The second largest contributor to loss, AC by Marriott San, is secured by a 210-room limited-service hotel located in San Jose, CA. The loan was flagged as a FLOC was due to a low debt service coverage ratio (DSCR). Property performance has struggled to rebound from the pandemic. While performance has slightly improved since the prior rating action, NOI DSCR remains low at 1.06x at YE 2023, compared with 0.83x at YE 2022 and -0.19x at YE 2021. Occupancy was 72% as of YE 2024, compared with 63% at YE 2023 and 58% at YE 2022. According to the September 2024 STR report, the property outperforms its competitive set in occupancy, ADR and RevPAR with penetration rates of 105%, 112% and 117%, respectively. Fitch's 'Bsf' rating case loss of 25% (prior to concentration adjustments) reflects a 11.5% cap rate, a 15% stress to the YE 2023 NOI. The third largest contributor to loss, 9201 West Sunset Boulevard loan (10.2%), is secured by a 166,599-sf medical office property located in West Hollywood, CA. Per the September 2024 rent roll, occupancy was 95% which is in line with prior years. Upcoming rollover at the property includes 7.2% of the NRA (8% GPR) in 2025, 11.2% NRA (13.1% GPR) in 2026 and 3.9% NRA (4.5% GPR) in 2027. The servicer reported TTM September 2024 NOI DSCR was 2.08x compared with 2.14x at YE 2023. Fitch's 'Bsf' rating case loss of 4.4% (prior to concentration adjustments) reflects a 9.5% cap rate, a 10% stress to the YE 2023 NOI. Increased Credit Enhancement (CE): As of the February 2025 distribution date, the aggregate balances of the MSC 2019-L2 and MSC 2019-H6 transactions have been reduced by 7.2% and 7.5%, respectively, since issuance. Four loans (9.5% of the pool) in the MSC 2019-L2 transaction are fully defeased. Five loans (3.5%) in the MSC 2019-H6 transaction are fully defeased. The MSC 2019-L2 transaction has 23 (62.4%) full-term, interest-only (IO) loans and the MSC 2019-H6 transaction has 17 (59%) full-term, IO loans. The MSC 2019-L2 transaction has $4.6 million in realized losses to date and interest shortfalls of $2.5 million are affecting classes F-RR, G-RR, H-RR and VRR. Since the prior rating action, four loans in MSC 2019-L2 were disposed; three loans paid in full as expected and one loan was disposed with realized losses. The MSC 2019-H6 transaction has $8.3 million in realized losses to date and interest shortfalls of $391,000 are affecting the non-rated class K-RR. Since the prior rating action, two loans in MSC 2019-H-6 were disposed; one loan paid in full as expected and one loan was disposed with higher than expected losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the 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. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBBsf' category is possible with higher than expected losses from continued underperformance of the FLOCs, in particular retail and office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. The loans include State of Kentucky Portfolio and 199 Lafayette Street in MSC 2019-L2 and AC by Marriot San Jose and 5880 Nolensville in MSC 2019-H6. Downgrades to the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing or default and as losses are realized or become more certain. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction. This will occur only if the performance of the remaining pool is stable, and recoveries on the FLOCs and special serviced loans are better than expected. Primarily, the State of Kentucky Portfolio and 199 Lafayette Street in MSC 2019-L2, as well as 5880 Nolensville and Fairfield Inn & Suites Lubbock in MSC 2019-H6. Upgrades to distressed ratings of 'CCCsf' and 'CCsf' is not expected, but possible 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. MORGAN STANLEY 2021-L6: Fitch Lowers Rating on Two Tranches to B-sf ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed 30 classes of Morgan Stanley Capital I Trust 2021-L6, commercial mortgage pass-through certificates, series 2021-L6. Following their downgrades, classes E, F, X-D and X-F were assigned Negative Rating Outlooks. The Outlook for class D was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSC 2021-L6 A-2 61692CAX6 LT AAAsf Affirmed AAAsf A-3 61692CAZ1 LT AAAsf Affirmed AAAsf A-3-1 61692CBA5 LT AAAsf Affirmed AAAsf A-3-2 61692CBB3 LT AAAsf Affirmed AAAsf A-3-X1 61692CBC1 LT AAAsf Affirmed AAAsf A-3-X2 61692CBD9 LT AAAsf Affirmed AAAsf A-4 61692CBE7 LT AAAsf Affirmed AAAsf A-4-1 61692CBF4 LT AAAsf Affirmed AAAsf A-4-2 61692CBG2 LT AAAsf Affirmed AAAsf A-4-X1 61692CBH0 LT AAAsf Affirmed AAAsf A-4-X2 61692CBJ6 LT AAAsf Affirmed AAAsf A-S 61692CBM9 LT AAAsf Affirmed AAAsf A-S-1 61692CBN7 LT AAAsf Affirmed AAAsf A-S-2 61692CBP2 LT AAAsf Affirmed AAAsf A-S-X1 61692CBQ0 LT AAAsf Affirmed AAAsf A-S-X2 61692CBR8 LT AAAsf Affirmed AAAsf A-SB 61692CAY4 LT AAAsf Affirmed AAAsf B 61692CBS6 LT AA-sf Affirmed AA-sf B-1 61692CBT4 LT AA-sf Affirmed AA-sf B-2 61692CBU1 LT AA-sf Affirmed AA-sf B-X1 61692CBV9 LT AA-sf Affirmed AA-sf B-X2 61692CBW7 LT AA-sf Affirmed AA-sf C 61692CBX5 LT A-sf Affirmed A-sf C-1 61692CBY3 LT A-sf Affirmed A-sf C-2 61692CBZ0 LT A-sf Affirmed A-sf C-X1 61692CCA4 LT A-sf Affirmed A-sf C-X2 61692CCB2 LT A-sf Affirmed A-sf D 61692CAG3 LT BBBsf Affirmed BBBsf E 61692CAJ7 LT BBsf Downgrade BBB-sf F 61692CAL2 LT B-sf Downgrade BB-sf G-RR 61692CAN8 LT CCCsf Downgrade B-sf X-A 61692CBK3 LT AAAsf Affirmed AAAsf X-B 61692CBL1 LT AA-sf Affirmed AA-sf X-D 61692CAA6 LT BBsf Downgrade BBB-sf X-F 61692CAC2 LT B-sf Downgrade BB-sf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 4.8%. Fitch identified four Fitch Loans of Concern (FLOCs; 8.5% of the pool), including one loan (2.5%) in special servicing. The downgrades are primarily due to a valuation decline on the specially serviced Tower Point at the Highlands loan. The Negative Outlooks reflect further potential downgrades should recovery prospects worsen for the specially serviced loan and/or performance of the other FLOCs continue to deteriorate beyond current expectations. Largest Contributors to Loss: The largest contributor to expected losses in the pool is the Tower Point at the Highlands loan (2.5%), secured by a 157,727-sf office property located in Sparks, MD. The loan transferred to special servicing in April 2023 for payment default. Occupancy declined to 30% in 2023 from 90% at YE 2022 after the largest tenant, Fundamental Administrative Services (47%), exercised its termination option and vacated prior to its original Dec. 2025 lease expiration date and Symphony Diagnostic Services downsized to 12% from 25%. Occupancy has continued to decline, falling to 15% as of September 2024. NOI DSCR is well below 1.0x. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 59.6% reflects a stress to the most recently reported appraisal value of approximately $48 psf. The second largest contributor to expected losses in the pool is the U.S. Steel Tower loan (8.1%), secured by a 2,336,270-sf office building located in Pittsburgh, PA. The top three tenants include UPMC (59.2% of NRA; expires March 2030), US Steel Corporation (10.0%; expires January 2038) and Eckert Seamans (4.5%; expires December 2030). Occupancy has remained in the low 70s since YE 2022, at a reported 74% as of September 2024. Servicer reported NOI DSCR was 2.56x as of September 2024 compared to 2.72x at YE 2023 and 2.47x at YE 2022. Fitch's 'Bsf' rating case loss of 4.6% (prior to concentration adjustments) reflects a 10% cap rate and 10% stress to the YE 2023 NOI. The third largest contributor to expected losses in the pool is the 2600 Redondo loan (5%), secured by a 150,814-sf medical office located in Long Beach, CA. The loan was flagged as FLOC due to upcoming rollover concerns. Two of the four tenants expire within the next year: OptumCare Management, LLC (32% NRA and 29% base rent; expires June 30, 2025) and County of Los Angeles, Dept of Mental Health (33% NRA and 29% base rent; expires Nov.14, 2026). The servicer indicated negotiations with OptumCare Management, LLC to renew its lease are ongoing. Servicer reported occupancy and NOI DSCR were 100% and 2.47x, respectively at YE 2023. Fitch's 'Bsf' rating case loss of 6.3% (prior to concentration adjustments) reflects a 9.75% cap rate and 30% stress to the Sept. 2023 NOI due to upcoming rollover risk. Credit Enhancement (CE): As of the February 2025 distribution date, the pool's aggregate principal balance has been reduced by 3.5% to $738.8 million from $765.3 million at issuance. No loans are defeased. There are 21 (61.8%) full-term, interest-only (IO) loans and nine loans (15.6%) with an initial partial interest-only period of which four (8%) are now amortizing. Cumulative interest shortfalls of $129,684 and $22,022 are affecting the non-rated class H-RR and class VRR. Realized losses to date are $542,425. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' and 'AAsf' category rated classes are not expected due increasing CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, particularly 2600 Redondo; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or an extended workout period for the specially serviced Tower Point at the Highlands loan; - Further downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs; - Upgrades to classes rated in the 'BBBsf' category would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls; - Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE; - Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loan or significantly improved performance from FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2025-1: Fitch Assigns 'Bsf' Rating on Cl. B-5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-1 (MSRM 2025-1). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2025-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-X-IO1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-IO LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-IO LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-IO LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-IO LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-IO LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-12-IO LT AAAsf New Rating AAA(EXP)sf A-F LT AAAsf New Rating A-X LT AAAsf New Rating A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-IO LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-3-A LT BBB-sf New Rating BBB-(EXP)sf B-3-X LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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. After the presale published, additional exchangeable classes were added to the transaction. The additional exchangeable classes are senior classes that hold a 'AAAsf' rating since they are exchangeable with 'AAAsf' rated depositable senior classes. 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. MORGAN STANLEY 2025-5C1: Fitch Assigns 'B-sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C1, Commercial Mortgage Pass-Through Certificates Series 2025-5C1 as follows: - $430,000a class A-1 'AAAsf'; Outlook Stable; - $138,675,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $515,121,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $654,226,000c class X-A 'AAAsf'; Outlook Stable; - $96,966,000ab class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $47,898,000ab class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $35,048,000ab class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $179,912,000c class X-B 'AA-sf'; Outlook Stable; - $19,861,000ad class D 'BBBsf'; Outlook Stable; - $9,346,000ad class E 'BBB-sf'; Outlook Stable; - $29,207,000cd class X-D 'BBB-sf'; Outlook Stable; - $19,860,000ad class F 'BB-sf'; Outlook Stable; - $19,860,000cd class X-F 'BB-sf'; Outlook Stable; - $11,683,000ade class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $39,721,352ade class H-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 2.65% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) The classes A-2, A-3, A-S, B and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional Amount and interest only. (d) Privately Placed and pursuant to Rule 144A. (e) Class G-RR and H-RR certificates (other than the portions thereof comprising part of the vertical risk retention interest) comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 67 commercial properties with an aggregate principal balance of $934,609,352 as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Argentic Real Estate Finance 2 LLC and Starwood Mortgage Capital LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Argentic Services Company LP. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on March 3, 2025, a change has occurred. The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$275,000,000 (grossed up to includes its share of vertical risk retention interest), and the initial aggregate certificate balance of the A-3 class was expected to be in the range of $378,796,000- $653,796,000 (grossed up to include its share of vertical risk retention interest). The final class balances for classes A-2 and A-3 are $138,675,000 and $515,121,000, respectively. Class C was finalized as a WAC class that is not expected to contribute any cash flow to class X-B. Therefore, Fitch has updated the rating of class X-B to 'AA-sf' from 'A-(EXP)sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on class X-B, in accordance with Fitch's criteria. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 89.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $83.9 million represents a 15.5% decline from the issuer's aggregate underwritten NCF of $99.3 million. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 101.9% is higher than both the 2024 and 2023 five-year multiborrower transaction averages of 95.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.0% is lower than both the 2024 and 2023 averages of 10.2% and 10.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 105.6% and 8.8%, respectively, compared with the equivalent 2024 five-year multiborrower LTV and DY averages of 99.1% and 9.9%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 10.1% of the pool by balance received an investment-grade credit opinion. Project Midway received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. The Spiral received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 2024 and 2023 five-year multiborrower transaction averages of 12.6% and 14.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 61.1% of the pool, which is higher than the 2024 five-year multiborrower average of 60.2% and lower than the 2023 average of 65.3%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.05%, which is below the 2024 and 2023 averages of 0.4%. The pool has 39 interest-only loans, or 99.0% of the pool by balance, which is higher than the 2024 and 2023 averages of 92.8% and 91.7%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B Rating on 2 Tranches ----------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2017-75B issued by Natixis Commercial Mortgage Securities Trust 2017-75B as follows: -- Class XA at A (low) (sf) -- Class A at BBB (high) (sf) -- Class V1A at BBB (high) (sf) -- Class B at BB (low) (sf) -- Class V1B at BB (low) (sf) -- Class V1XB at B (sf) -- Class XB at B (sf) -- Class C at B (low) (sf) -- Class V1C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class V1D at CCC (sf) -- Class V1E at CCC (sf) -- Class V2 at B CCC (sf) The trends on all credit ratings are Stable. In the previous credit rating action in April 2024, Morningstar DBRS downgraded its credit ratings on all classes following an update to the Morningstar DBRS Value for the collateral property to $131.3 million, reflective of a loan-to-value ratio (LTV) of 175.2% on the total mortgage debt of $230.0 million and an LTV of 70.1% on the senior mortgage debt amount of $92.0 million. The Morningstar DBRS value was derived based on a 5.7% haircut to the YE2023 net cash flow (NCF) figure, which resulted in a Morningstar DBRS NCF of $11.2 million and a Morningstar DBRS capitalization rate (cap rate) of 8.5%, which was an increase from the 7.0% Morningstar DBRS cap rate applied in 2020 when Morningstar DBRS assigned the credit ratings. The Morningstar DBRS value is 67.4% lower than the issuance appraised value of $403.0 million and an approximately 30.0% decline from the Morningstar DBRS value derived in 2020 of $188.9 million. Morningstar DBRS maintained the LTV Sizing approach for the 2024 credit rating action for this review, with a total qualitative adjustment of 1.0% applied to reflect the relative strength of the market fundamentals. A previous qualitative adjustment of 1.0% for cash flow volatility was removed in 2024; Morningstar DBRS also maintained that approach. The resulting LTV Sizing Benchmarks and the servicer's reported cash flows for the collateral property that show performance remains generally in line with the Morningstar DBRS NCF figure support this review's credit rating confirmations and Stable trends. The transaction is secured by the mortgage debt backed by a 35-story Class B office tower at 75 Broad Street in Lower Manhattan. The whole loan amount of $250.0 million represents $92.0 million in senior A note debt split pari passu between the transaction and the UBSCM 2017-C1 multi-borrower transaction (not rated by Morningstar DBRS); $138.0 million of subordinate B note debt, $84.0 million of which is in the subject trust and the remainder is unsecuritized; and $20.0 million in mezzanine debt, also unsecuritized. The fixed-rate mortgage loan has a 10-year term and is interest only (IO) throughout. The loan is on the servicer's watchlist because of occupancy declines in recent years that have pushed the debt service coverage ratio (DSCR) below 1.10 times (x). The September 30, 2024, rent roll provided by the servicer shows an occupancy rate of 72.4%, down from approximately 86.0% at issuance. The DSCR was reported at 1.05x for the YE2024 reporting period, generally flat from YE2023, but well below the issuer's DSCR of 2.18x. Occupancy has been falling precipitously in recent years, with slow leasing activity due to the weakened demand for office properties, particularly within the Financial District neighborhood where the property is located. The subject's older, Class B status with limited amenities is also likely a hindrance to the borrower's efforts to achieve leasing momentum in the current environment. The loan sponsor is Joseph Jerome, the cofounder of the privately held JEMB Realty Corporation (JEMB), which provides management services. The property was developed in 1928 as the headquarters of ITT Inc. (formerly International Telephone & Telegraph) and many architectural details remain from that time, including the large entrance lobby with hanging brass chandeliers, terrazzo and marble floors, fresco-painted vaulted ceilings, brass cab elevators (with modernized controls and mechanics), and a separate domed mosaic entrance on the corner of Broad Street and William Street. The 671,369-square-foot (sf) building was renovated in the years and months leading up to the 2017 loan closing, with upgrades to the lobby, elevator, and mechanical systems. The property is within one block of the New York Stock Exchange and the National Museum of the American Indian and within a short walk to the World Trade Center complex, the New Jersey PATH commuter rail station, the Staten Island Ferry, and Fulton Street Subway Station with access to approximately nine subway lines and several bus lines all converging in lower Manhattan. The property is surrounded by a revitalizing neighborhood with other office buildings, large apartment and condominium buildings, restaurants, sports facilities, entertainment, cultural and tourist attractions, multiple transportation options, and places for outdoor recreation. The September 2024 rent roll provided by the servicer showed the property's largest tenant is the Board of Education of the City School District of the City of New York (NYC School District), with approximately 15.9% of the net rentable area (NRA). NYC School District's leases expire in 2033 (approximately 11.9% of the NRA) and 2035 (approximately 4.0% of the NRA). The remainder of the property's tenancy is quite granular, with both the second- and third-largest tenants representing approximately 4.0% of the NRA. According to the provided reporting, leases representing approximately 5.0% of the NRA were set to expire by the end of 2024, with scheduled rollover of approximately11.0% of the NRA in 2025 and approximately 4.0% in 2026. The rent roll also shows two lower-floor suites that are not leased and are used to house generators; these spaces represent approximately 3.8% of the NRA. There is also a small data center space listed in the stacking plan, with a listed square footage of 9,212 sf (approximately 1.4% of the listed NRA). The servicer's reported NCF figure for YE2024 of $11.8 million is generally flat from the YE2023 number and slightly above the Morningstar DBRS NCF figure of $11.2 million. According to Reis, the property is in the Downtown submarket, which reported an overall vacancy rate of 15.2% as of Q4 2024, up from 14.4% at Q4 2023 and 11.4% in Q4 2019, just before the onset of the pandemic and the resulting falloff in demand. Reis forecasts vacancy will peak at 16.3% in the submarket by Q4 2026 before dropping slightly over the next few years, with the vacancy rate for 2029 forecast at 15.4%. These figures suggest there may be some upside for the subject, as the current vacancy rate is above market; however, Morningstar DBRS notes that there remains significant concern about the true demand in this area of Manhattan given the generally older building stock with fewer amenities and upgrades compared with other submarkets such as Midtown and Hudson Yards. These factors contributed to the credit rating downgrades in 2024, with the increased Morningstar DBRS cap rate (and resulting lower Morningstar DBRS value) and removal of the qualitative adjustment for cash flow volatility resulting in negative pressure throughout the capital stack. The loan sponsor appears committed to the property and subject loan, with no relief request or other modification request reported by the servicer to date; however, if the in-place occupancy rate continues to slide and cash flows drop below breakeven, the term commitment could be tested. In addition, the high LTV implied by the Morningstar DBRS value suggests that a successful refinance at the April 2027 maturity date could require a significant capital contribution from the sponsor. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. NAVIENT STUDENT 2014-1: Fitch Lowers Rating on A-4 Notes to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has affirmed 25 federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 17 transactions at their current levels. The Rating Outlook for class A-2 notes of Navient 2015-3, class A-3 notes of 2016-2 and class A notes of 2017-5 have been revised to Stable from Negative. The Outlooks remain negative for class A-3 and B notes of Navient 2015-2. The Outlooks remain Stable for the rest of the classes of notes affirmed at their current levels. Fitch has also downgraded four FFELP SLABS ratings from three transactions. The class A-4 notes of Navient 2014-1 were downgraded to 'BBsf' from 'BBBsf' and assigned a Negative Outlook. The class A-2 notes and B notes of Navient 2015-1 were downgraded to 'BBsf' from 'BBBsf' and assigned a Negative Outlook. The class B notes of Navient 2015-3 were downgraded to 'BBBsf' from 'Asf' and assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Navient Student Loan Trust 2016-5 A 63939QAA4 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2017-5 A 63940CAA2 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2015-3 A-2 63939LAB3 LT AA+sf Affirmed AA+sf B 63939LAC1 LT BBBsf Downgrade Asf Navient Student Loan Trust 2016-3 A-3 63940HAC7 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2015-2 A-3 63939GAC2 LT AAsf Affirmed AAsf B 63939GAD0 LT Asf Affirmed Asf Navient Student Loan Trust 2014-2 A 63938GAA7 LT AA+sf Affirmed AA+sf B 63938GAB5 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2018-3 A-3 63940TAC1 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-3 A 63938JAA1 LT AA+sf Affirmed AA+sf B 63938JAB9 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-4 A 63938QAA5 LT AA+sf Affirmed AA+sf B 63938QAB3 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2016-2 A-3 63940FAC1 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-5 A 63938WAA2 LT AA+sf Affirmed AA+sf B 63938WAB0 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-8 A-3 63939DAC9 LT AA+sf Affirmed AA+sf B 63939DAD7 LT Asf Affirmed Asf Navient Student Loan Trust 2015-1 A-2 63939FAB6 LT BBsf Downgrade BBBsf B 63939FAC4 LT BBsf Downgrade BBBsf Navient Student Loan Trust 2016-7 A 63940GAA3 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-6 A 63939BAA7 LT AA+sf Affirmed AA+sf B 63939BAB5 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-7 A 63939AAA9 LT AA+sf Affirmed AA+sf B 63939AAB7 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-1 A-3 63938EAC8 LT Bsf Affirmed Bsf A-4 63938EAD6 LT BBsf Downgrade BBBsf B 63938EAE4 LT Bsf Affirmed Bsf Transaction Summary Navient 2014-1: The transaction continues to face increased maturity risk due to the increasing remaining term, now at 197 months from 193 months at the prior review. The class A-3 and B notes do not pass Fitch's credit and maturity stresses under the 'Bsf' scenario. The affirmation is supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreements established by Navient, which allow the servicer to purchase loans from the trust. The Outlooks remain Stable. Fitch downgraded the class A-4 notes to 'BBsf' from 'BBBsf' as maturity cushions continue to tighten. The Rating Outlook remains Negative, as any future negative rating actions on the class A-3 notes will have a negative impact on the rating of the class A-4 notes. Navient 2015-1: Both class A-2 and B notes have been downgraded to 'BB'sf from 'BBBsf' due to increased maturity risk for the transaction in Fitch's cash flow modeling since the prior review. The Rating Outlook following the downgrade is Negative due to increasingly tighter cushions in lower categories. Navient 2015-3 : The class A-2 notes were affirmed at their current level, and the Outlook was revised to Stable from Negative. For class B notes, these have been downgraded to 'BBBsf' from 'Asf'. The class B notes pass credit stresses up to 'BBBsf' and pass all maturity stresses. The notes present interest shortfalls in 'AAsf' and 'AA+sf' scenarios and have presented principal shortfalls in at least one 'AAsf' scenario since the 2019 review. The Rating Outlook following the downgrade is Stable. Navient 2016-2: The affirmation of the notes reflects stable cash flow modeling results, passing all credit and maturity stresses at the current rating. The Outlook has been revised to Stable from Negative given the low maturity risk in cash flow modeling as their legal final maturity date is over 40 years away. Navient 2017-5: The affirmation of the outstanding notes reflects stable cash flow modeling results at the current rating, in line with Fitch's expectations since the last review. The legal final maturity date is July 26, 2066. The Outlook has been revised to Stable from Negative as the notes pass all credit and maturity stresses reflective of low credit and maturity risk. 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: - Navient 2014-1 to 4.00% from 4.50%; - Navient 2014-8 to 6.00% from 6.50%; - Navient 2015-1 to 6.00% from 5.50%; - Navient 2016-3 to 5.00% from 6.50%; - Navient 2016-5 to 8.00% from 9.00%; - Navient 2017-5 to 4.00% from 5.00%; - Navient 2018-3 to 4.00% from 5.00%. For the remaining transactions, Fitch is maintaining the sCDR assumptions ranging from 4.00% to 8.00%. Fitch is revising the sustainable constant prepayment rates (sCPRs) upward for the following transactions: - Navient 2014-1 to 10.00% from 11.00%; - Navient 2014-2 to 9.00% from 8.50%; - Navient 2014-3 to 9.00% from 7.00%; - Navient 2014-4 to 9.00% from 7.50%; - Navient 2014-5 to 9.00% from 7.50%; - Navient 2014-6 to 9.00% from 8.00%; - Navient 2014-7 to 9.00% from 7.00%; - Navient 2014-8 to 12.00% from 10.00%; - Navient 2015-3 to 12.00% from 11.00%; - Navient 2016-2 to 12.00% from 9.00%; - Navient 2017-5 to 10.00 from 11.90%; - Navient 2018-3 to 9.00% from 9.50%. For the remaining transactions, Fitch is maintaining the sCPR assumptions ranging from 9.00% to 12.00%. The 'AA+sf' default rates range from approximately 74.43 % to 100.00%, and the 'Bsf' default rates range from 29.50% to 69.25%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 2.37% to 6.15%, 13.54% to 22.36%, and 17.98% to 30.92%, 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 0.00% to 0.22%, 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 (SAP) and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. As of the most recent distribution date, on average 93% of the student loans from the 17 transactions are indexed to SOFR, and the rest are indexed to the 91-day T-bill rate. All the notes are indexed to one-month SOFR. 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 101.01% to 108.56%. Liquidity support is provided by reserve accounts that are seize at its floor, except for Navient 2015-3, 2016-5, 2016-7, 2017-5, and 2018-3 which are sized at $ 752,636, $1,060,336, $955,365, $1,279,397, and $1,384,176, respectively. The transactions will continue to release cash as long as the target OC is maintained. 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 is not expected to interrupt servicing activities. Criteria Variation The ratings of 'AA+sf' for the class A and B notes of Navient 2014-5 are more than one category higher than the lowest model implied rating of 'Asf'. Per Fitch's "U.S. Federal Family Education Loan Program Student Loan ABS Rating Criteria," if the final ratings are different from the model results by more than one category, it would constitute a criteria variation. Downgrades are not warranted due to a one-off interest shortfall of low magnitude that is paid back in the following period along with low maturity risk and legal final maturities in 2083. Had Fitch not applied this variation, according to Fitch's FFELP criteria, the class A and B notes of 2014-5 could not have been rated 'AA+sf'. 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 rate 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. CRITERIA VARIATION The same variation for Navient 2014-5 as last year's review applies. 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. NEUBERGER BERMAN 33: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R2, B-R2, C-R2, D-1R2, D-2R2, D-3R2 and E-R2 replacement debt and proposed new class X-R2 debt from Neuberger Berman Loan Advisers CLO 33 Ltd./Neuberger Berman Loan Advisers CLO 33 LLC, a CLO managed by Neuberger Berman Loan Advisers LLC that was originally issued in September 2019 and underwent a first refinancing in October 2021. The preliminary ratings are based on information as of March 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 28, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the October 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the October 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the October 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: -- The replacement class A-R2, B-R2, C-R2, and E-R2 notes are expected to be issued at a lower spread over three-month SOFR than the existing notes. -- The stated maturity and reinvestment periods will each be extended by 5.5 years. -- The non-call period will be extended to March 28, 2027. -- The class X-R2 notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first seven payment dates beginning with the payment date in July, 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Neuberger Berman Loan Advisers CLO 33 Ltd./ Neuberger Berman Loan Advisers CLO 33 LLC Class X-R2, $6.00 million: AAA (sf) Class A-R2, $375.00 million: AAA (sf) Class B-R2, $81.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-1R2 (deferrable), $30.00 million: BBB (sf) Class D-2R2 (deferrable), $6.00 million: BBB- (sf) Class D-3R2 (deferrable), $2.40 million: BBB- (sf) Class E-R2 (deferrable), $21.60 million: BB- (sf) Other Debt Neuberger Berman Loan Advisers CLO 33 Ltd./ Neuberger Berman Loan Advisers CLO 33 LLC Subordinated notes, $67.00 million: Not rated NEUBERGER BERMAN XVI-S: Fitch Assigns 'BB-sf' Rating on E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Neuberger Berman CLO XVI-S, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman CLO XVI-S, Ltd. X-R2 LT AAAsf New Rating AAA(EXP)sf A-1-R2 LT AAAsf New Rating AAA(EXP)sf A-2-R2 LT AAAsf New Rating AAA(EXP)sf A-R 64131TAN4 LT PIFsf Paid In Full AAAsf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-1-R2 LT BBB-sf New Rating BBB-(EXP)sf D-2-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB-sf New Rating BB-(EXP)sf Transaction Summary Neuberger Berman CLO XVI-S, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Investment Advisers LLC that originally closed in 2018 and was subsequently refinanced in 2021. On March 24, 2025, which is the closing date of the second refinancing transaction, the CLOs existing secured notes will be redeemed in full with refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leverage loans. The original subordinated notes will also be upsized by approximately $23.4 million. 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 23.67, 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 94.61% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.46% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, and 'A-sf' for class D-2-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Neuberger Berman CLO XVI-S, 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. NEW RESIDENTIAL 2025-NQM2: Fitch Gives B-(EXP) Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2025-NQM2 (NRMLT 2025-NQM2). Entity/Debt Rating ----------- ------ NRMLT 2025-NQM2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 631 newly originated loans with a balance of $326 million as of the March 1, 2025 cut-off date. The pool consists of loans originated by NewRez LLC, as well as third-party originator Champions Funding, LLC (Champions), among others. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the ability-to-repay (ATR) Rule. Of the loans in the pool, 63.4% are designated as non-QM while the remainder are not subject to the ATR Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (relative to 11.1% on a national level as of 3Q24). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 3.8% yoy nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory. Non-Prime Credit Quality (Negative): The collateral consists of 631 loans, totaling $326 million and seasoned approximately three months in aggregate, according to Fitch, as calculated from origination date. The borrowers have a moderate credit profile when compared with other non-QM transactions, with a 749 Fitch model FICO score and 44% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values. However, leverage (80% sustainable loan/value [sLTV]) within this pool is consistent compared to previous NRMLT transactions from 2024. The pool consists of 57.6% of loans where the borrower maintains a primary residence, while 42.4% are considered an investor property or second home. Additionally, only 13.0% of the loans were originated through a retail channel, and 63.4% are considered non-QM. The remainder are not subject to QM. Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be paid sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. Starting on the payment date immediately following the first payment date of which the principal balance of the mortgage loans is less than or equal to 20% of the balance as of the cut-off date, the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon step-up, subject to the net WAC. This increases the interest allocation for the A-1 through A-3 and decreases the amount of excess spread available in the transaction. Loan Documentation (Negative): 51.3% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 42.4% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 25.3% are DSCR product and 7.4% are Asset Depletion product. High Investor Property Concentrations (Negative): Approximately 36.6% of the pool comprises investment property loans, including 25.3% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans relative to a traditional income documentation investor loan, to account for the increased risk. 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 42.0% at 'AAA'. The analysis indicates there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve, Infinity, and SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Fitch applied a 5% PD credit at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 50bps because of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NGC CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NGC CLO 2 Ltd./NGC CLO 2 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated/middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by NGC CLO Manager LLC. The preliminary ratings are based on information as of March 26, 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 NGC CLO 2 Ltd./NGC CLO 2 LLC Class X, $4.00 million: AAA (sf) Class A-1, $240.00 million: AAA (sf) Class A-J, $24.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C-1 (deferrable), $24.00 million: A (sf) Class C-J (deferrable), $4.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-J (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.05 million: Not rated NLT 2025-INV1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NLT 2025-INV1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate (some with interest-only periods), fully-amortizing or balloon, residential mortgage loans that are secured by one- to four-family residential properties, planned unit developments, a townhouse, condominiums, and manufactured home properties with five-, 30-, and 40-year original terms to maturity to both prime and nonprime borrowers. The pool has 1,347 residential mortgage loans; 25 loans are cross-collateralized loans backed by 126 properties for a total property count of 1,448. The loans in the pool are ability-to-repay exempt. The preliminary ratings are based on information as of March 24, 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 originators; -- The 100% due diligence results consistent with represented loan characteristics; and S&P said, "Our 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 which is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) NLT 2025-INV1 Trust Class A-1, $198,679,000: AAA (sf) Class A-2, $22,277,000: AA (sf) Class A-3, $38,230,000: A (sf) Class M-1, $16,106,000: BBB (sf) Class B-1, $11,288,000: BB (sf) Class B-2, $8,881,000: B (sf) Class B-3, $5,569,138: Not rated Class XS, notional(ii): Not rated Class PT, $301,030,138: Not rated Class A-IO-S, notional(ii): Not rated Class R, not applicable: Not rated (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 $301,030,138. NMEF FUNDING 2025-A: Moody's Assigns Ba2 Rating to Class D Notes ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by NMEF Funding 2025-A, LLC (NMEF 2025-A). North Mill Equipment Finance LLC (NMEF) is the sponsor of the transaction, as well as the servicer and originator of the securitized loan pool. The notes are backed by a pool of loans and leases secured by mainly new and used medical, variety of franchise businesses, and trucking/transportation equipment. The credit profile of the pool is stronger than that of the NMEF Funding 2024-A pool. NMEF Funding 2025-A is NMEF's ninth ABS transaction and the fourth transaction rated by us. This is also NMEF's first equipment ABS issuance in 2025. The complete rating actions are as follows: Issuer: NMEF Funding 2025-A, LLC Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa1 (sf) Class C Notes, Definitive Rating Assigned A3 (sf) Class D Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings of the notes are based on (1) the credit quality of the underlying equipment loan and lease including the types of equipment and the credit profile of the obligor; (2) Moody's expectations of the pool's credit performance, informed by the historical performance of NMEF's prior securitizations and its managed portfolio; (3) the experience and expertise of NMEF as the originator and servicer of the pool; (4) the back-up servicing arrangement with GreatAmerica Portfolio Services Group LLC; (5) the strength of the expected transaction structure, including the sequential-pay structure and levels of credit enhancement; and (6) the legal aspects of the transaction. Additionally, in assigning the short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. The definitive ratings for the Classes C and D notes, A3 (sf) and Ba2 (sf), respectively, are one notch higher than the provisional ratings, (P)Baa1 (sf) and (P)Ba3 (sf), respectively. This difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than what was modeled when provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. Moody's cumulatives net loss expectation for the NMEF 2025-A collateral pool is 6.0%, 1.0% lower than the NMEF 2024-A collateral pool, and the loss at a Aaa stress is 30.0%, 2.0% lower than the loss at Aaa stress for the 2024-A transaction, due to a improving collateral performance and a strong mix of collateral. Moody's cumulatives net loss expectation and loss at a Aaa stress are based on Moody's analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including NMEF's managed portfolio and prior securitizations, the track-record, ability and expertise of NMEF to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction including the current inflationary environment, elevated fuel costs, and decreasing consumer spending leading to weakening freight demand which is pressuring the margins of operators in the transportation sector. The classes of notes will be paid sequentially. The Class A, Class B, Class C, and Class D notes will benefit from approximately 37.9%, 24.0%, 16.4%, and 11.2% of hard credit enhancement at closing, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except for the Class D), (2) over-collateralization (OC) of 10.2% of the initial adjusted discounted pool balance with an OC target of 17.2% of the outstanding adjusted discounted pool balance subject to a 0.50% OC floor, and (3) a fully funded, non-declining reserve account of 1.0% of the initial adjusted discounted pool balance. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure, target OC level and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the Class B, Class C, and Class D notes if levels of credit enhancement are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected of the value of the equipment that secure the obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or a greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy or the condition of the trucking and transportation industries could also negatively affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the Class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. NORTHWOODS CAPITAL XVII: Moody's Affirms Ba3 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Northwoods Capital XVII, Limited: US$57.75M Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 21, 2023 Upgraded to Aa1 (sf) US$31.5M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Feb 21, 2023 Upgraded to A1 (sf) US$27.75M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Sep 16, 2020 Confirmed at Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$341.25M (Current outstanding amount US$209,311,318) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 22, 2018 Assigned Aaa (sf) US$24.75M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 16, 2020 Confirmed at Ba3 (sf) Northwoods Capital XVII, Limited, issued 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 Angelo, Gordon & Co., L.P. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class B, C and D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the payment date in July 2023. The affirmations on the ratings on the Class A and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD99.65million (32.2%) during last 12 months and USD131.9 million (38.7%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for class A, B, C and D, while class E OC ratio decreased slightly. According to the trustee report dated Feb 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 138.57%, 123.95%, 113.41% and 105.41% compared to Feb 2024 [2] levels of 130.77%, 120.43%, 112.58% and 106.40%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Varying portions of the prepaid proceeds have been applied to amortise the liabilities since July 2023. 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: USD370,165,807 Defaulted Securities: USD3,913,918 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2872 Weighted Average Life (WAL): 3.38 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.34% Weighted Average Recovery Rate (WARR): 47.20% 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. OCEAN TRAILS IX: Fitch Assigns BB-sf Final Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ocean Trails CLO IX reset transaction. Entity/Debt Rating ----------- ------ Ocean Trails CLO IX (2025 Reset) X LT NRsf New Rating A-RR LT NRsf New Rating B-RR LT AAsf New Rating C-1-RR LT Asf New Rating C-2-RR LT Asf New Rating D-1-R-A LT BBB+sf New Rating D-1-R-B LT BBB+sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Ocean Trails CLO IX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Five Arrows Managers North America LLC. The original transaction closed in August 2020 and the first reset transaction closed in October 2021. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $375 million (excluding 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', 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 95.65% first lien senior secured loans and has a weighted average recovery assumption of 73.21%. 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 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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 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 'BB+sf' and 'A+sf' for class B-RR, between 'Bsf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. 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-RR, 'AAsf' for class C-RR, 'A+sf' for class D-1-RR, 'A-sf' for class D-2-RR, and 'BBB+sf' for class E-RR. 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 Ocean Trails CLO IX. 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. OCEAN TRAILS IX: Moody's Assigns B3 Rating to $1MM Cl. F-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Ocean Trails CLO IX (the Issuer): US$3,600,000 Class X Floating Rate Notes due 2038, Assigned Aaa (sf) US$225,000,000 Class A-RR Floating Rate Notes due 2038, Assigned Aaa (sf) US$1,000,000 Class F-RR Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Five Arrows Managers North America LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, 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: $375,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3132 Weighted Average Spread (WAS): 3.3% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 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. OCP CLO 2020-19: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R2, A-2R2, B-R2, C-1R2, C-2R2, D-1R2, D-2R2, and E-R2 debt and the new class X-R2 debt from OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in June 2020, and refinanced in September 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the March 25, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- The reinvestment period was extended to April 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2038. -- Additional assets were purchased on March 25, 2025, refinancing date. Some additional assets will also be purchased after the March 25, 2025, refinancing date. The target initial par amount remains at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2025. -- The new class X-R2 debt was issued on the refinancing date and will be paid down over eight payment dates (using interest proceeds) in equal installments of $512,500, beginning on the July 2025 payment date and ending in April 2027. -- The required minimum coverage ratios were amended. -- Additional preference shares and subordinated notes were issued on the refinancing date. The new balances of the preference shares and subordinated notes, after the refinancing date, are $23.808 million and $20.442 million, respectively. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC Class X-R2, $4.100 million: AAA (sf) Class A-1R2, $312.500 million: AAA (sf) Class A-2R2, $5.000 million: AAA (sf) Class B-R2, $62.500 million: AA (sf) Class C-1R2 (deferrable), $30.000 million: A (sf) Class C-2R2 (deferrable), $5.000 million: A (sf) Class D-1R2 (deferrable), $25.000 million: BBB (sf) Class D-2R2 (deferrable), $5.000 million: BBB- (sf) Class E-R2 (deferrable), $15.000 million: BB- (sf) Ratings Withdrawn OCP CLO 2020-19 Ltd./OCP CLO 2020-19 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-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC Preference shares, $23.808 million: NR Subordinated notes, $20.442 million: NR NR--Not rated. OCP CLO 2025-40: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2025-40 Ltd./OCP CLO 2025-40 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC, a subsidiary of Onex Corp. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned OCP CLO 2025-40 Ltd./OCP CLO 2025-40 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $49.60 million: NR NR--Not rated. OCTAGON 74: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon 74, Ltd. Entity/Debt Rating ----------- ------ Octagon 74, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1A LT BBB-(EXP)sf Expected Rating D-1B LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Octagon 74, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.26, versus a maximum covenant, in accordance with the initial expected matrix point of 25.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.44% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.28% versus a minimum covenant, in accordance with the initial expected matrix point of 70.8%. 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 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 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Octagon 74, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OCTAGON 75: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 75, Ltd. Entity/Debt Rating ----------- ------ Octagon 75, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinate LT NRsf New Rating Transaction Summary Octagon 75, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.24, 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 96.08% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.76% versus a minimum covenant, in accordance with the initial expected matrix point of 69.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (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-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C-1, between 'Bsf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Octagon 75, 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. OHA CREDIT 20: S&P Assigns Prelim BB- (sf) Rating on CL. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OHA Credit Funding 20 Ltd./OHA Credit Funding 20 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 Oak Hill Advisors L.P. The preliminary ratings are based on information as of March 25, 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 OHA Credit Funding 20 Ltd./OHA Credit Funding 20 LLC Class A, $157.50 million: AAA (sf) Class A-L(i), $0.00 million: AAA (sf) Class A-L loans(i), $150.00 million: AAA (sf) Class B-1, $62.50 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C-1 (deferrable), $30.00 million: A (sf) Class C-2 (deferrable), $5.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $43.31 million: Not rated (i)All or a portion of the class A-L loans can be converted into class A-L debt. Upon such conversion, the class A-L loans will be decreased by such converted amount with a corresponding increase in the class A-L debt. No class A-L debt or any other class of notes may be converted into class A-L loans. OZLM LTD XVIII: Moody's Cuts Rating on $10MM Class F Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by OZLM XVIII, Ltd.: US$28,750,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A3 (sf); previously on May 14, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$10,000,000 Class F Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on May 14, 2024 Downgraded to Caa2 (sf) OZLM XVIII, Ltd., issued in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. 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 transaction's over-collateralization (OC) ratios since May 2024. The Class A notes have been paid down by approximately 40.1% or $87.6 million since that time. Based on Moody's calculations, the OC ratios for the Class C and Class D notes are currently 130.75% and 115.05%, respectively, versus May 2024 levels of 123.36% and 112.39%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. Based on the Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and it is currently at 2971 compared to 2762 in May 2024. Moody's also observe that the deal's exposure to collateral from issuers rated Caa1 or lower has increased to 14.05% from 10.08% in May 2024, reflecting a potentially greater risk to the junior notes posed by future defaults. No actions were taken on the Class A, Class B and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $286,859,322 Defaulted par: $1,556,147 Diversity Score: 56 Weighted Average Rating Factor (WARF): 2971 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.07% Weighted Average Recovery Rate (WARR): 46.9% Weighted Average Life (WAL): 3.2 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. OZLM LTD XX: Moody's Cuts Rating on $6.975MM Class E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by OZLM XX, Ltd.: US$24,750,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) US$31,950,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to A3 (sf); previously on May 14, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$6,975,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on May 14, 2024 Downgraded to Caa2 (sf) OZLM XX, Ltd., issued in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. 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 transaction's over-collateralization (OC) ratios since May 2024. The Class A notes have been paid down by approximately 65.4% or $122.8 million since that time. Based on Moody's calculations, the OC ratios for the Class B and Class C notes are currently 144.99% and 117.87% respectively, versus May 2024 levels of 126.95% and 113.13%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. Based on the Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and it is currently at 3101 compared to 2753 in May 2024. Moody's also notes that the deal's exposure to collateral from issuers rated Caa1 or lower has increased to 16.54% from 9.74% in May 2024, reflecting a potentially greater risk to the junior notes posed by future defaults. No actions were taken on the Class A-1, Class A-2 and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $206,022,394 Defaulted par: $2,404,103 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3101 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Recovery Rate (WARR): 46.4% Weighted Average Life (WAL): 3.3 years Par haircut in OC tests and interest diversion test: 2.73% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PALMER SQUARE 2021-1: Fitch Assigns 'B-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Palmer Square CLO 2021-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square CLO 2021-1, Ltd. A-1 69701WAA4 LT PIFsf Paid In Full AAAsf A-1a-R LT AAAsf New Rating A-1b-R LT AAAsf New Rating A-2-R LT AAsf New Rating B-R LT Asf New Rating C-1-R LT BBB-sf New Rating C-2-R LT BBB-sf New Rating D-R LT BB-sf New Rating E-R LT B-sf New Rating Transaction Summary Palmer Square CLO 2021-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO), originally closed in March 2021, managed by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $475 million of primarily first lien senior secured leveraged loans, excluding defaults. 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 23.36, 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 96.72% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.62% versus a minimum covenant, in accordance with the initial expected matrix point of 71.7%. 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 resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Negative): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1a-R, between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1R, between less than 'B-sf' and 'BB+sf' for class C-2R, between less than 'B-sf' and 'B+sf' for class D-R, and between less than 'B-sf' and 'B-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a-R and class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2R, 'AA+sf' for class B-R, 'Asf' for class C-1R, 'A-sf' for class C-2R, 'BBB+sf' for class D-R, and 'BB+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 Palmer Square CLO 2021-1, 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. PALMER SQUARE 2021-4: Moody's Ups Rating on $10MM E Notes to Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-4, Ltd.: US$60,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029, Upgraded to Aaa (sf); previously on July 4, 2024 Upgraded to Aa2 (sf) US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029, Upgraded to Aa3 (sf); previously on July 4, 2024 Upgraded to Baa1 (sf) US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029, Upgraded to Baa3 (sf); previously on July 4, 2024 Affirmed Ba2 (sf) US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029, Upgraded to Ba2 (sf); previously on July 4, 2024 Affirmed Ba3 (sf) Palmer Square Loan Funding 2021-4, Ltd., issued in October 2021, is a static cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2024. The Class A-1 notes have been paid down by approximately 67% or $211.9 million since then. Based on Moody's calculations, the OC ratios for the Class B, Class C, Class D and Class E notes are currently 146.43%, 130.29%, 117.36%, and 114.12%, respectively, versus July 2024 levels of 126.51%, 118.14%, 110.82%, and 108.89%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since July 2024. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 3099 compared to 2823 in July 2024. No actions were taken on the Class A-1 and Class A-2 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: $413,483,990 Defaulted par: $751,650 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3099 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.04% Weighted Average Recovery Rate (WARR): 46.66% Weighted Average Life (WAL): 3.20 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PALMER SQUARE 2022-2: Moody's Ups Rating on $28MM D Notes to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2022-2, Ltd.: US$47,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aa1 (sf); previously on October 11, 2024 Upgraded to Aa3 (sf) US$29,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to A2 (sf); previously on October 11, 2024 Upgraded to Baa1 (sf) US$28,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Ba1 (sf); previously on May 26, 2022 Definitive Rating Assigned Ba2 (sf) Palmer Square Loan Funding 2022-2, Ltd., issued in May 2022, is a static cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2024. The Class A-1 notes and the Class A-1 Loans have been paid down by approximately 40% or $48.9 million and $60.1 million, respectively, since then. Based on Moody's calculations, the OC ratios for the Class B, Class C, and Class D notes are currently 134.90%, 123.24%, and 113.75%, respectively, versus September 2023 levels of 125.62%, 117.42%, and 110.46%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since September 2023. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 2962 compared to 2768 in September 2023. No actions were taken on the Class A-1 Loans, Class A-1 and Class A-2 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: $413,361,678 Diversity Score: 61 Weighted Average Rating Factor (WARF): 2962 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.22% Weighted Average Recovery Rate (WARR): 46.97% Weighted Average Life (WAL): 3.53 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PAWNEE EQUIPMENT 2022-1: DBRS Cuts Class E Notes Rating to B ------------------------------------------------------------ DBRS, Inc. reviewed its credit ratings on 10 classes of notes issued by three Pawnee Equipment Receivables LLC transactions. Of the 10 classes reviewed, Morningstar DBRS confirmed its credit ratings on nine classes and downgraded its credit rating on one class. Pawnee Equipment Receivables (Series 2022-1) LLC -- Class A-3 Notes AAA(sf) Confirmed -- Class B Notes AA (high)(sf) Confirmed -- Class C Notes A(high)(sf) Confirmed -- Class D Notes BBB (high)(sf) Confirmed -- Class E Notes B(sf) Downgraded CREDIT RATING RATIONALE/DESCRIPTION Credit rating rationale includes the key analytical considerations. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. As of the February 2025 payment date, Series 2020-1 has amortized to a pool factor of 1.26%. Losses are tracking below Morningstar DBRS' initial base case CNL expectations. Series 2021-1 has amortized to a pool factor of 17.62%. Losses are tracking slightly above Morningstar DBRS' initial base case CNL expectations. However, the current level of hard credit enhancement is sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings. -- Series 2022-1 has amortized to a pool factor of 34.84% and has a current CNL to date of 8.04%. Current CNL is tracking above Morningstar DBRS' revised 2024 base-case loss expectation of 7.02%. Consequently, the revised base-case loss expectation was increased to 9.15%. As of the February 2025 payment date, the current credit enhancement amount for Class E is 4.85%, down from its initial amount of 8.35% at closing. As a result, the current level of hard credit enhancement is insufficient to support the current credit rating on the Class E Notes. Consequently, the credit rating has been downgraded to `B' (sf), commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class A-3 Notes, Class B Notes, Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient credit enhancement commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- Pawnee Leasing Corporation recently announced a planned acquisition by North Mill Equipment Finance that is expected to be finalized by the end of March 2025. Based on our conversation with the court appointed restructuring agent, FTI Consulting, servicing of the portfolio is expected to remain generally unchanged. As a result, Morningstar DBRS does not expect significant asset deterioration due to the acquisition but will continue to monitor the progress of the servicing transition. -- The relative benefit from obligor and geographic diversification of collateral pools. -- 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). PMT LOAN 2025-INV3: Moody's Assigns 'B3' Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV3, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned March 12, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.80%, in a baseline scenario-median is 0.48% and reaches 8.50% 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. PREFERRED TERM XXII: Moody's Upgrades Rating on 2 Tranches to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXII, Ltd.: US$201,800,000 Floating Rate Class A-2 Senior Notes due 2036 (current balance of $181,245,542.72), Upgraded to Aaa (sf); previously on June 14, 2019 Upgraded to Aa1 (sf) US$65,000,000 Floating Rate Class B-1 Mezzanine Notes due 2036 (current balance of $60,417,284.37), Upgraded to Aa2 (sf); previously on June 14, 2019 Upgraded to A1 (sf) US$50,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes due 2036 (current balance of $46,474,834.11), Upgraded to Aa2 (sf); previously on June 14, 2019 Upgraded to A1 (sf) US$30,300,000 Fixed/Floating Rate Class B-3 Mezzanine Notes due 2036 (current balance of $28,163,749.46), Upgraded to Aa2 (sf); previously on June 14, 2019 Upgraded to A1 (sf) US$77,250,000 Floating Rate Class C-1 Mezzanine Notes due 2036 (current balance of $73,222,039.96), Upgraded to Ba2 (sf); previously on June 19, 2018 Upgraded to Ba3 (sf) US$71,650,000 Fixed/Floating Rate Class C-2 Mezzanine Notes due 2036 (current balance of $67,914,034.46), Upgraded to Ba2 (sf); previously on June 19, 2018 Upgraded to Ba3 (sf) Preferred Term Securities XXII, Ltd., issued in June 2006, is a collateralized debt obligation (CDO) backed by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE These rating actions are primarily a result of continued deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have been completely paid off since a year ago. Based on the trustee's reports, by December 2024[1], the OC ratios for the Class A-2, Class B-1/B-2/B-3 and Class C-1/C-2 notes increased to 288.28%, 165.19% and 114.22%, respectively, from December 2023 [2] levels of 238.96%, 154.54% and 112.87%, respectively. 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: $522.5 million Defaulted/deferring par: $144.5 million Weighted average default probability: 8.03% (implying a WARF of 914) 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 included, among others, deteriorating credit quality of the portfolio. 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 assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRESTIGE AUTO 2021-1: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on three classes of notes from Prestige Auto Receivables Trust (PART) 2021-1. At the same time, S&P placed its rating on the class E notes from PART 2024-1 on CreditWatch with negative implications following worse-than-expected performance. The two ABS transactions are backed by subprime retail auto loan receivables originated and serviced by Prestige Financial Services Inc. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectation for PART 2021-1, and the transactions' structures and credit enhancement levels; and -- Other credit factors, which include credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including its most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the rating actions. S&P said, "Since our prior rating actions on PART 2021-1 on March 29, 2024, its performance has trended worse than our revised CNL expectations. The transaction, which had initially benefited from pandemic-induced stimulus, continues to experience higher back-ended losses and lower recovery rates as borrowers face prolonged economic headwinds. As a result, we raised our expected CNL (ECNL) for PART 2021-1." Table 1 PART 2021-1 collateral performance (%) Pool 60-plus days Month(i) factor CGL CRR CNL delinq. Ext. March 2024 38.46 18.27 30.48 12.70 7.46 4.31 April 2024 36.87 19.06 30.20 13.30 7.84 4.49 May 2024 35.50 19.69 30.24 13.74 7.85 4.74 June 2024 34.16 20.43 29.87 14.33 8.51 3.93 July 2024 32.79 21.17 29.67 14.89 8.87 4.44 Aug. 2024 31.43 21.90 29.63 15.41 8.93 3.52 Sep. 2024 30.29 22.48 29.95 15.75 9.72 3.39 Oct. 2024 28.95 23.15 29.85 16.24 9.37 3.80 Nov. 2024 27.71 23.82 29.60 16.77 9.19 3.27 Dec. 2024 26.48 24.47 29.35 17.29 9.02 3.00 Jan. 2025 25.41 24.96 29.47 17.61 8.74 3.68 Feb. 2025 24.32 25.54 29.41 18.03 8.62 3.05 (i)As of the monthly collection period. PART--Prestige Auto Receivables Trust. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 2 CNL expectations (%) Original Prior Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2021-1 14.50-15.50 18.50 23.25 (i)Revised in March 2024. (ii)As of the March 2025 distribution date. CNL exp.--Cumulative net loss expectations. PART 2024-1's performance is trending worse than S&P's original ECNL due to higher gross losses and lower recoveries. A key pillar of Prestige's business model is funding auto retail contracts for obligors whose credit history displays a period of good credit followed by a period of poor credit, which may include a recent bankruptcy (Chapter 7 or 13). Historically, Prestige's bankruptcy collateral performed better than its non-bankruptcy collateral. However, the higher non-bankruptcy collateral in PART 2024-1 (68%), together with the economic headwinds stressing consumer affordability, negatively impacted its performance and negated the performance differential between the two collateral types. Additionally, the lower wholesale prices of used vehicles have resulted in elevated net losses. As of the February 2025 performance month, the transaction's overcollateralization had yet to build to its specified target amount, although it has generally grown by the dollar amount and as a percentage of the outstanding collateral balance. Given the weaker performance to date, prevailing adverse economic headwinds, and possibly continuing weaker recovery rates for PART 2024-1, S&P placed its 'BB- (sf)' rating on the class E notes on CreditWatch with negative implications. Table 3 PART 2024-1 collateral performance (%) Pool 60-plus days Month(i) factor CGL CRR CNL delinq. Ext. March 2024 99.18 0.00 0.00 0.00 0.08 0.22 April 2024 97.95 0.02 4.93 0.02 0.85 0.30 May. 2024 96.17 0.11 3.81 0.10 2.08 0.54 June 2024 94.24 0.63 3.59 0.61 2.96 0.54 July 2024 91.46 1.59 6.71 1.49 3.52 1.01 Aug. 2024 88.66 2.60 10.66 2.32 4.01 2.24 Sep. 2024 86.24 3.51 15.27 2.97 4.22 3.29 Oct. 2024 83.10 4.77 16.35 3.99 3.18 3.65 Nov. 2024 80.66 5.75 17.73 4.73 2.88 4.54 Dec. 2024 78.63 6.45 18.98 5.23 3.28 4.88 Jan. 2025 76.63 7.18 21.21 5.66 3.84 4.58 Feb. 2025 74.29 8.13 21.23 6.40 4.05 4.23 (i)As of the monthly collection period. PART--Prestige Auto Receivables Trust. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 4 PART 2024-1 Overcollateralization Current Target Target Current Target Month(i) (%)(ii) (%)(iii) (%)(iii) ($ mil.) ($ mil.) (iv) (iii) March 2024 6.87 14.75 2.00 13.34 32.55 April 2024 7.83 14.75 2.00 18.21 39.04 May 2024 9.08 14.75 2.00 20.73 38.42 June 2024 9.76 14.75 2.00 21.84 37.74 July 2024 10.22 14.75 2.00 22.18 36.77 Aug. 2024 10.81 14.75 2.00 22.75 35.79 Sep. 2024 11.40 14.75 2.00 23.33 34.94 Oct. 2024 11.73 14.75 2.00 23.13 33.84 Nov. 2024 12.26 14.75 2.00 23.47 32.99 Dec. 2024 12.90 14.75 2.00 24.08 32.28 Jan. 2025 13.85 14.75 2.00 25.20 31.57 Feb. 2025 14.40 14.75 2.00 25.39 30.76 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)The target overcollateralization amount on any distribution date is equal to the sum of 14.75% of the current pool balance and 2.00% of initial collateral balance. (iv)Amount of overcollateralization for the collection month. PART--Prestige Auto Receivables Trust. The transactions contain a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class. The transactions also have credit enhancement in the form of a nonamortizing reserve account, overcollateralization, and excess spread. As of the March 2025 distribution date, the PART 2021-1 overcollateralization is at its specified target amount. However, the PART 2024-1 overcollateralization has yet to build to its target amount. Both series' nonamortizing reserves are at their respective targets. Hard credit enhancement (without credit to excess spread) has increased as the series' pools have amortized. Table 5 Hard Credit Support (%)(i) Total hard Current total hard credit support credit support Series Class at issuance (% of current) 2021-1 C 19.75 77.01 2021-1 D 10.55 39.19 2021-1 E 6.00 20.48 2024-1 A-2 58.60 85.88 2024-1 B 44.10 66.36 2024-1 C 30.60 48.19 2024-1 D 17.60 30.69 2024-1 E 6.50 15.74 (i)As of the March 2025 distribution date. Calculated as a percentage of the total receivables pool balance, which consists of overcollateralization, the reserve account, and, if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "For PART 2021-1, we analyzed the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios include forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that, we believe, are appropriate, given the transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses for PART 2021-1 to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began to trend higher than our revised base-case loss expectation. "In our view, the results demonstrated that all the classes for PART 2021-1 have adequate credit enhancement at their respected affirmed rating levels. This is based on our analysis as of the collection period end date on Feb. 28, 2025 (the March 2025 distribution date)." Although hard credit enhancement for the PART 2024-1 class E notes has increased since issuance, it is highly dependent on excess spread and is vulnerable to continued elevated losses, which can slow the build in overcollateralization or cause it to decline. S&P said, "Looking forward, we believe the evolving economic headwinds and potential negative impact on consumers could result in increased delinquencies and extensions, and, ultimately, defaults, which, if not offset by recoveries, are risks to excess spread and overcollateralization. As such, we placed our rating on the PART 2024-1 class E notes on CreditWatch negative. Although we have not taken any action on the remaining classes from the series, unless remedied, continued performance deterioration and erosion of overcollateralization could cause us to revisit our stance on these classes. "We will continue to monitor the performance of the PART 2021-1 transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes. For PART 2024-1, we plan to resolve the CreditWatch placement when we have sufficient data to more accurately project future losses, develop loss-timing forecasts, and conduct cash flow analyses." RATING PLACED ON CREDIT WATCH NEGATIVE Prestige Auto Receivables Trust Rating Series Class To From 2024-1 E BB- (sf)/Watch Neg BB- (sf) RATINGS AFFIRMED Prestige Auto Receivables Trust Series Class Rating 2021-1 C AAA (sf) 2021-1 D A- (sf) 2021-1 E BB (sf) PRET 2025-RPL2: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to PRET 2025-RPL2 Trust (PRET 2025-RPL2). Entity/Debt Rating ----------- ------ PRET 2025-RPL2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The PRET 2025-RPL2 notes are supported by 2,297 seasoned performing loans and reperforming loans (RPLs) that had a balance of $448.56 million as of the Feb. 28, 2025 cutoff date. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial IO period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, multifamily homes and commercial properties. In the pool, 100% of the loans are seasoned performing loans and RPLs. Based on Fitch's analysis of the pool, Fitch considered 81.6% of the loans to be exempt from the qualified mortgage (QM) rule as they are investment properties or were originated prior to the Ability to Repay (ATR) rule taking effect in January 2014. Selene Finance LP (Selene) will service 100.0% of the loans in the pool. Fitch rates Selene 'RPS3+'. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although Fitch considered 7.6% of the pool comprises step-rate loans or loans with an adjustable rate in its analysis (per the transaction documents this percentage is 7.4%) KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,297 loans totaling $448.56 million, which includes deferred amounts. The loans are seasoned at approximately 193 months in aggregate, according to Fitch, as calculated from the origination date (191 months per the transaction documents). Based on Fitch's analysis of the pool, Fitch considered the pool to be comprised of 92.4% fully amortizing fixed-rate loans, 6.3% fully amortizing ARM loans and 1.3% step-rate loans that were treated as ARM loans (per the transaction documents 92.6% are fixed rate fully amortizing loans and 6.3% are ARM and 1.1% are step-rate loans). The borrowers have a moderate credit profile, with a 666 Fitch model FICO score (658 FICO per the transaction documents). The transaction has a weighted average (WA) sustainable loan-to-value (sLTV) ratio of 58.3%, as determined by Fitch. The debt-to-income ratio (DTI) was not provided for the loans in the transaction; as a result, Fitch applied a 45% DTI to all loans. According to Fitch, the pool consists of 96.9% of loans where the borrower maintains a primary residence, while 3.1% consists of loans for investor properties or second homes. For loans with an unknown occupancy, Fitch treated these loans as investor properties. In its analysis, Fitch considered 17.2% of the loans to be non-QM loans and 1.1% were considered safe-harbor QM or high-priced QM loans, while the remaining 81.6% were considered exempt from QM status. In its analysis, Fitch considered loans originated after January 2014 to be non-QM since they are no longer eligible to be in government-sponsored enterprise (GSE) pools. In Fitch's analysis, 86.6% of the loans are to single-family homes, townhouses and planned unit developments (PUDs), 5.5% are to condos or co-ops, 7.5% are to manufactured housing or multifamily homes, and less than 0.4% are for commercial properties. In its analysis, Fitch treated manufactured properties as multifamily and the probability of default (PD) was increased for these loans, as a result. The pool contains 18 loans over $1.0 million, with the largest loan at $2.88 million. Based on the due diligence findings, Fitch considered 8.3% of the loans to have subordinate financing. Specifically, for loans missing original appraised values, Fitch assumed these loans had an LTV of 80% and a combined LTV (cLTV) of 100%, which further explains the discrepancy in the subordinate financing percentages per Fitch's analysis versus the transaction documents. Fitch viewed all loans in the pool as in the first lien position based on data provided in the loan tape and confirmation from the servicer on the lien position. Of the pool, 93.7% of loans were current as of Feb. 28, 2025. Overall, the pool characteristics resemble RPL collateral; therefore, the pool was analyzed using Fitch's RPL model, and Fitch extended liquidation timelines as it typically does for RPL pools. Approximately 19.1% of the pool is concentrated in California. The largest MSA concentration is in the New York City MSA at 18.8%, followed by the Los Angeles MSA at 8.1% and the Miami MSA at 5.8%. The top three MSAs account for 32.7% of the pool. As a result, there was no penalty applied for geographic concentration. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Sequential Deal Structure (Positive): The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to but excluding the payment date in April 2029, and for the related accrual period, will be a per annum rate equal to the lesser of (i) the fixed rate for such class and (ii) the net WA coupon (WAC) rate for such payment date. Beginning on the payment date in April 2029 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lesser of (a) the net WAC rate for such payment date and (b) the sum of (i) the fixed rate for such class of notes and (ii) 1.000%. The unpaid cap carryover amount payments on the class A and M notes are prioritized over payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfalls. The note rate for the B classes is based on the net WAC. Losses are allocated to classes in reverse sequential order starting with class B-5. Classes will be written down if the transaction is undercollateralized. There is excess spread available to absorb losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A large portion of the loans received 'C' and 'D' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses by 0.75% and are further detailed in the Third-Party Due Diligence section of the presale. Fitch determined there were 87 loans with material TRID issues; a $15,500 loss severity penalty was given to loans with material TRID issues, although this did not have any impact on the rounded losses. A ProTitle search found outstanding liens that pre-date the mortgage. It was confirmed the majority of these liens are retired and nothing is owed. There were 90 loans with a clean title search but for which potentially superior post ordination liens/judgments were found totaling $360,650. Additionally, there were 137 mortgage loans for which potentially superior post origination liens/judgments were found totaling $439,082. The trust would be responsible for these amounts. Fitch therefore increased the LS by these amounts since the trust would be responsible for reimbursing the servicer for this amount. This has no impact on the rounded losses. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. Due to this, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans; refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations PRET 2025-RPL2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. The Tier 2 representations and warranties (R&W) framework with an unrated counterparty resulted in an increase in expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PRKCM 2025-HOME1: S&P Assigns B (sf) Rating on Class B-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to PRKCM 2025-HOME1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, planned unit developments, condominiums, townhomes, and two- to four-family residential properties. The pool consists of 766 loans, which are qualified-mortgage (QM) safe harbor (average prime offer rate; APOR), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR)-compliant loans, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned PRKCM 2025-HOME1 Trust(i) Class A-1A, $227,685,000: AAA (sf) Class A-1B, $32,950,000: AAA (sf) Class A-1, $260,635,000: AAA (sf) Class A-2, $13,839,000: AA (sf) Class A-3, $32,620,000: A (sf) Class M-1, $9,226,000: BBB (sf) Class B-1, $5,931,000: BB (sf) Class B-2, $4,284,000: B (sf) Class B-3, $2,965,752: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $329,500,752. NR--Not rated. N/A--Not applicable. PROGRESS RESIDENTIAL 2025-SFR2: DBRS Gives (P)B(low) on G Certs --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2025-SFR2 Trust (PROG 2025-SFR2 or the Issuer): -- $299.5 million Class A at (P) AAA (sf) -- $53.2 million Class B at (P) AA (sf) -- $41.9 million Class C at (P) A (sf) -- $58.9 million Class D at (P) BBB (sf) -- $21.2 million Class E1 at (P) BBB (sf) -- $23.1 million Class E2 at (P) BBB (low) (sf) -- $36.3 million Class F1 at (P) BB (sf) -- $24.7 million Class F2 at (P) BB (low) (sf) -- $34.6 million Class G at (P) B (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Class A certificates reflects 54.35% of credit enhancement provided by subordinate certificates. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 46.24%, 39.85%, 27.64%, 24.12%, 18.59%, 14.82%, and 9.55%, respectively, of credit enhancement. The PROG 2025-SFR2 certificates are supported by the income streams and values from 2,286 rental properties, a large portion of which has been acquired through Front Yard merger in January 2021 and previously securitized in the PROG 2021-SFR2. The properties are distributed across eight states and 29 MSAs in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 61.8% of the portfolio is concentrated in three states: Georgia (27.6%), Florida (18.0%), and Texas (16.2%). The average BPO value is $288,414. The average age of the properties is roughly 35 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $656.0 million. Morningstar DBRS assigned the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental (SFR) subordination analytical tool and is based on Morningstar DBRS' published criteria. Morningstar DBRS developed property-level stresses for the analysis of SFR assets. Morningstar DBRS assigned the provisional credit ratings to each class based on the levels of stress each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) derived by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Furthermore, Morningstar DBRS reviewed the participants in the transaction, including the property manager, servicer, and special servicer; these transaction parties are acceptable to Morningstar DBRS. Morningstar DBRS also conducted a legal review and found no material credit rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RPL1: DBRS Finalizes BB(low) Rating on M-2 Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RPL1 (the Notes) issued by PRPM 2025-RPL1, LLC (PRPM 2025-RPL1 or the Trust): -- $150.9 million Class A-1 at AAA (sf) -- $26.5 million Class A-2 at AA (high) (sf) -- $15.7 million Class A-3 at A (high) (sf) -- $15.3 million Class M-1A at BBB (sf) -- $5.4 million Class M-1B at BBB (low) (sf) -- $10.4 million Class M-2 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 39.75% of credit enhancement provided by the subordinated notes. The AA (high) (sf), A (high) (sf), BBB (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 29.15%, 22.90%, 16.80%, 14.65%, and 10.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of seasoned performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,915 loans with a total principal balance of $250,441,427 as of the Cut-Off Date (January 31, 2025). The mortgage loans are approximately 224 months seasoned. As of the Cut-Off Date, 52.7% of the loans are current under the Mortgage Bankers Association (MBA) delinquency method, including 170 (10.9% of the loans) bankruptcy-performing loans. Although the number of months clean (consecutively zero times 30 (0 x 30) days delinquent) at issuance is weaker relative to other Morningstar DBRS-rated seasoned transactions, the borrowers demonstrate reasonable cash flow velocity in the past 12 months. Over the past 12 months, 59.2% of the mortgage loans have made 12 or more payments. Modified loans make up 88.4% of the portfolio. The modifications happened more than two years ago for 88.2% of the modified loans. Within the pool, 346 mortgages (24.8% of the pool by loan count) have a total noninterest-bearing deferred amount of $8,909,935 which equates to approximately 3.6% of the total principal balance. To satisfy the credit risk retention requirements, as of the Closing Date, the Sponsor or a majority-owned affiliate of the Sponsor, will retain the Membership Certificate, which represent a 100% equity interest in the Issuer, and a requisite amount of the Class B Notes. SN Servicing Corporation (SNSC, 90.4%) and Nationstar Mortgage LLC dba Rushmore Servicing (Rushmore, 9.6%) will service the loans in this transaction. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers is obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in March 2028. Additionally, a failure to redeem the Notes in full by the Payment Date in March 2030 will trigger a mandatory auction of the underlying certificates (mortgage loans). If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holders of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on either the Expected Redemption Date or post a Credit Event. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Expected Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in March 2029, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in October 2031 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Natural Disasters/Wildfires With regard to any mortgage loan that may have suffered material damage prior to the Closing Date as a result of the Los Angeles Wildfires, the Sponsor will either remove or repurchase the Potentially Affected Wildfire Property, as defined in the Indenture, prior to the Closing Date within 90 days of receipt of evidence and determination by the Sponsor at the Repurchase Price, as defined in the Indenture, and provide notice to the Indenture Trustee of such repurchase. In addition, the mortgage loan purchase agreement will provide that the Sponsor will order or cause the related Servicer to order a post-disaster inspection for any Potentially Affected Wildfire Property if the mortgagor fails to make any of the first six monthly payments due after the Closing Date within 60 days of the original due date for such payment and if the related mortgaged property is discovered to have material damage that would have a material adverse effect on the value of the related mortgaged property, the Sponsor will be required to repurchase the related mortgage loan within 90 days of receipt of such notice of material damage. Notes: All figures are in US dollars unless otherwise noted. RCKT MORTGAGE 2025-CES3: Fitch Assigns 'Bsf' Rating on 5 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES3 (RCKT 2025-CES3). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES3 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 5,447 closed-end second lien (CES) loans with a total balance of approximately $492 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.2% above a long-term sustainable level versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 5,447 loans totaling about $492 million, seasoned at around three 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 748, a debt-to-income ratio (DTI) of 39.0% and moderate leverage, with a sustainable loan-to-value (sLTV) ratio of 74.9%. Second Lien Collateral (Negative): The entirety of the collateral pool consists of second lien loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Payment Structure (Positive): The transaction features a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cashflow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180 Day Charge Off Feature (Positive): The servicer can write off the balance of a loan at 180 days delinquent based on the MBA delinquency method, but it is not obligated to do so. If the servicer expects a meaningful recovery in a liquidation scenario, the majority class XS noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day charge-off feature will cause losses to occur sooner while there is a larger amount of excess interest to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide additional benefit to the transaction above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' delinquent (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. In higher stress scenarios, Fitch does not expect loan workouts because less or negative equity will remain. In this situation, the six-month timeline is reasonable for cashflow analysis. In lower stresses, there is a higher possibility of charge off not occurring due to potential recoveries, which would be more positive than Fitch's analysis assumed. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 24.3% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 17bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES3 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to lower operational risk considering R&W, transaction due diligence, and originator and servicer quality, which has a positive 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. RCKT MORTGAGE 2025-CES3: Fitch Gives B(EXP)sf Rating on 5 Tranches ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES3 (RCKT 2025-CES3). Entity/Debt Rating ----------- ------ RCKT 2025-CES3 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,275 closed-end second lien (CES) loans with a total balance of approximately $393 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Fitch views the home price values of this pool as 11.0% above a long-term sustainable level versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory Prime Credit Quality (Positive): The collateral consists of 4,275 loans totaling about $393 million, seasoned at around three 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 748, a debt-to-income ratio (DTI) of 39.1% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 74.7%. Second Lien Collateral (Negative): The entirety of the collateral pool consists of second lien loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Payment Structure (Positive): The transaction features a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cashflow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180 Day Charge Off Feature (Positive): The servicer can write off the balance of a loan at 180 days delinquent based on the MBA delinquency method, but it is not obligated to do so. If the servicer expects a meaningful recovery in a liquidation scenario, the majority class XS noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day charge-off feature will cause losses to occur sooner while there is a larger amount of excess interest to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide additional benefit to the transaction above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' delinquent (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. In higher stress scenarios, Fitch does not expect loan workouts because less or negative equity will remain. In this situation, the six-month timeline is reasonable for cashflow analysis. In lower stresses, there is a higher possibility of charge off not occurring due to potential recoveries, which would be more positive than Fitch's analysis assumed. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 24.7% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 18bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES3 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to lower operational risk considering R&W, transaction due diligence and originator and servicer results in a decrease in expected losses, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2025-1: Fitch Assigns 'Bsf' Final Rating on Class G Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Real Estate Asset Liquidity Trust 2025-1 (REAL-T 2025-1) commercial mortgage pass-through certificates, series 2025-1. - $290,000,000 class A-1 'AAAsf'; Outlook Stable; - $153,474,000 class A-2 'AAAsf'; Outlook Stable; - $13,324,000 class B 'AAsf'; Outlook Stable; - $456,798,000a class X 'AAsf'; Outlook Stable; - $15,226,000 class C 'Asf'; Outlook Stable; - $2,197,000 class D-1 'BBBsf'; Outlook Stable; - $7,954,000bc class D-2 'BBBsf'; Outlook Stable; - $5,076,000bc class E 'BBB-sf'; Outlook Stable; - $6,979,000bc class F 'BBsf'; Outlook Stable; - $5,075,000bc class G 'Bsf'; Outlook Stable; Fitch does not rate the following classes: - $8,248,533bc class H; a) Notional amount and interest only. b) Non-offered certificates. c) Horizontal credit-risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. Transaction Summary The Real Estate Asset Liquidity Trust, Commercial Mortgage Pass-Through Certificates, Series 2025-1 (REAL-T 2025-1) represents the beneficial ownership interest in the trust that holds 70 loans secured by 102 commercial properties located in Canada with an aggregate principal balance of CAD507.6 million as of the cut-off date. The loans were contributed to the trust by Royal Bank of Canada and Bank of Montreal. The master servicer and special servicer is expected to be CMLS Financial Ltd. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 57.1% of the properties by balance, cash flow analyses of 72.4% of the pool, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 32 loans totaling 72.4% of the pool by balance. Fitch's resulting net cash flow (NCF) of CAD62.8 million represents a 10.4% decline from the issuer's underwritten NCF of CAD62.8 million. Lower Fitch Leverage: The pool has lower leverage compared to the previous Canadian multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 90.6% is lower than the 2019, 2020 and 2021 Canadian transactions' LTV of 103.2%, 109.5% and 107.4%, respectively. The pool's Fitch NCF debt yield (DY) of 11.1% is higher than the 2019, 2020, 2021 Canadian transactions' DY of 9.0%, 8.3%, 8.4%, respectively. Loan Amortization and Seasoning: There are no interest-only (IO) or partial IO loans in the pool. Additionally, the pool is scheduled to amortize 11.0% from cutoff balance to maturity, which is lower than the 2019, 2020 and 2021 Canadian transactions' scheduled amortization of 15.9%, 19.3% and 16.4%, respectively. In addition, the loans are seasoned 32.9 months on average. Recourse: Sixty-six loans, accounting for 81.2% of the pool, are either full or partial recourse to the borrowers, sponsors, or additional guarantors, which is above the 2019, 2020 and 2021 Canadian transactions' recourse percentages of 66.3%, 72.7% and 80.8%, respectively. In Fitch's analysis, all Canadian loans will receive a PD credit to reflect the lender-friendly Canadian foreclosure laws. For this pool, full recourse to non-investment-grade entities receives two-thirds of the full credit; partial recourse to non-investment-grade entities receives one-third of the full credit; no recourse receives no PD credit. Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate (CRE) loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as amortization (no IO loans) and recourse to the borrower, and additional guarantors on many loans. For more information on prior Canadian CMBS securitizations, see Fitch's "Canadian CMBS Default and Loss Study," dated December 2018. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBBsf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'; - 10% NCF Decline: 'AA+sf' / 'AA-sf' / 'A-sf'/ 'BBBsf'/ 'BB+sf'/ 'B+sf'/ 'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBBsf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf'/ 'Asf'/ 'BBB+sf'/ 'BBB-sf'/ 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link at the bottom of this report. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REGATTA 31: Fitch Assigns 'BB-sf' Rating on Class D Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 31 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 31 Funding Ltd. A-1 LT NRsf New Rating A-J LT AAAsf New Rating A-2 LT AAsf New Rating B LT Asf New Rating C-1 LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta 31 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.1, versus a maximum covenant, in accordance with the initial expected matrix point of 26. 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 96.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.01% versus a minimum covenant, in accordance with the initial expected matrix point of 73.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 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 'BBBsf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class A-2, between 'Bsf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AA+sf' for class B, 'A+sf' for class C-1, 'Asf' for class C-2, and 'BBB+sf' for class D. 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 Regatta 31 Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ROC MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on M2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on 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 A (low) (sf) -- $14.2 million Class A2 at BBB (low) (sf) -- $13.7 million Class M1 at BB (low) (sf) -- $12.7 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 25.30% of credit enhancement provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and 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 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 U.S. dollars unless otherwise noted. ROCKFORD TOWER 2025-1: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ Rockford Tower CLO 2025-1, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Rockford Tower CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Rockford Tower Capital Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 23.59, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.46% versus a minimum covenant, in accordance with the initial expected matrix point of 70.4%. 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 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 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, 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 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 Rockford Tower 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SCG COMMERCIAL 2025-DLFN: Fitch Gives B+sf Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to SCG Commercial Mortgage Trust 2025-DLFN, Commercial Mortgage Pass-Through Certificates, Series 2025-DLFN: - $256,900,000 class A 'AAAsf'; Outlook Stable; - $40,500,000 class B 'AA-sf'; Outlook Stable; - $31,800,000 class C 'A-sf'; Outlook Stable; - $44,800,000 class D 'BBB-sf'; Outlook Stable; - $60,150,000 class E 'BB-sf'; Outlook Stable; - $22,850,000 a class HRR 'B+sf'; Outlook Stable. Transaction Summary The SCG Commercial Mortgage Trust 2025-DLFN Commercial Mortgage Pass-through Certificates, Series 2025-DLFN, represent the beneficial ownership interest in a trust that holds a $457.0 million, two-year, floating-rate, interest-only mortgage loan with three, one-year extension options. The mortgage is secured by the borrowers' fee simple interest in a portfolio of 38 last mile industrial assets, comprising about 5.0 million sf located across 10 states. Loan proceeds, along with approximately $257.1 million of sponsor equity, are used to acquire the portfolio for $685.2 million and pay transaction closing costs of about $18.0 million. The loan is sponsored by Starwood Capital Group and Dalfen Industrial, collectively. The loan is co-originated by Wells Fargo Bank, National Association, UBS AG and Natixis Real Estate Capital LLC. Midland Loan Services, a Division of PNC Bank, National Association is the servicer, with Argentic Services Company LP as the special servicer. Computershare Trust Company, N.A. acts as the trustee and certificate administrator. BellOak, LLC acts as operating advisor. The certificates follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $31.4 million. This is 10.2% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $433.5 million. High Fitch Leverage: The $457.0 million whole loan equates to debt of approximately 91.3 psf with a Fitch stressed loan-to value (LTV) ratio and debt yield of 105.4% and 6.8%, respectively. The loan represents approximately 63.0% of the appraised value of $725.8 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 38 primarily industrial properties (5.0 million sf) located across 10 states and 12 MSAs. The three largest state concentrations by ALA are Texas (1,422,713 sf; 10 properties), Tennessee (716,834 sf; three properties) and Florida (746,119 sf; eight properties). The three largest MSAs are Nashville, TN (14.3% of NRA; 18.2% ALA), Central Florida (14.9% of NRA; 16.3% of ALA) and Austin, TX (11.4% of NRA; 15.2% of ALA). The portfolio also exhibits significant tenant diversity, as it features 103 distinct tenants, with no tenant occupying more than 8.4% of NRA. Institutional Sponsorship: The sponsorship is a joint venture between Starwood Capital and Dalfen Industrial. Starwood Capital Group is a private investment firm focused on global real estate with an AUM of approximately $115 billion. Dalfen is a leading industrial real estate operator and developer in the U.S., specializing in the last mile industrial sector. The company owns and operates 55 million sf and over $4.7 billion in industrial real estate in the U.S. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf' - 10% NCF Decline: 'AAsf' / 'BBB+sf' / 'BBB-sf' / BBsf' / 'Bsf' / 'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf' - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BB+sf' / 'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third- party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SDART 2025-2: Fitch Rates Class E Notes 'BBsf' ---------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-2. Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2025-2 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2025-2 is backed by collateral that is consistent with that of prior SDART series, with a weighted average (WA) FICO score of 604 and an internal WA loan funded score (LFS) of 533, both slightly down from 2025-1. WA seasoning is 4.5 months, a decrease from 6.8 months for 2025-1. New vehicles total 27.7% of the pool, down from 32.4% in 2025-1. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 93.0%, and greater-than-72-month term loans total 20.0%, slightly down from 20.3% in 2025-1. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2025-2, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-2 is 15.00%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 37.65%, 29.05%, 20.25%, 9.35%, and 4.75% for classes A, B, C, D and E, respectively. After a trend in declining hard CE over the past several transactions, initial hard CE increased in 2024-5. However, the 2025-2 hard CE is 4.95%, 2.25%, 1.55%, 1.40%, and 1.40% lower for classes A through E compared with 2025-1. Excess spread is expected to be 9.8% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: Santander Consumer USA, Inc. has adequate abilities as the originator, underwriter and servicer, as evidenced by its historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/Stable/'F1'. Fitch deems SC capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00%, based on Fitch's "Global Economic Outlook — March 2025" report and transaction-based forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which 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 CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. 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 rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of hybrid and electric vehicles of approximately 3.2% did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2025-3: Fitch Assigns Bsf Rating on Class B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-3 (SEMT 2025-3). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 437 loans with a total balance of approximately $517.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated collateral tape that reflected three loan drops and updated cutoff balances. In addition, Fitch received an updated CDI structure reflective of the tape changes; the B4 class experienced a small write-down of less than $500 in the 'BB' Backload Bench scenario, which Fitch viewed as immaterial. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or the ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 437 loans totaling approximately $517.3 million and seasoned at about four months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 778 and a 35.5% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an 80.5% sustainable loan-to-value ratio (sLTV) and a 71.5% mark-to-market combined loan-to-value ratio (cLTV). Overall, 93.7% of the pool loans are for a primary residence, while 6.3% are loans for second homes; 78.0% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially — first to the super-senior classes (A-9, A-12 and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-3 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-3 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SFO COMMERCIAL 2021-555: DBRS Confirms CCC Rating on 2 Classes -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-555 issued by SFO Commercial Mortgage Trust 2021-555: -- Class A at AA (sf) -- Class B at A (high) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class HRR at CCC (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect that the performance of the underlying collateral remains in line with Morningstar DBRS' expectations since the previous credit rating action in April 2024. The transaction is collateralized by 555 California Street Campus (The Campus), a 1.8 million-square foot (sf) Class A office complex in the North Financial District of San Francisco. The Campus comprises three LEED Gold-certified and Energy Star-rated office buildings: 555 California Street, 345 Montgomery Street, and 315 Montgomery Street. The loan is sponsored by a 70/30 joint venture between Vornado Realty L.P. and Donald J. Trump. Vornado acquired the Campus in 2007 and has invested $164.8 million ($90.63 per square foot (psf)) into the Campus since 2016. The $1.2 billion floating-rate loan had an initial maturity date in May 2023; however, the borrower has exercised two of up to five one-year extension options to date. The servicer has confirmed the borrower plans to exercise the third maturity extension prior to the upcoming May 2025 loan maturity. At issuance, an interest rate cap agreement was in place with a strike rate of 4.00%. According to the loan agreement, the borrower is required to purchase a new interest rate cap agreement with a strike rate at the greater of 4.00% and the benchmark rate, which, when added to the sum of the spread and, if applicable, the alternative rate spread adjustment, would result in a debt service coverage ratio (DSCR) equal to or greater than 1.10 times (x). The loan was added to the servicer's watchlist in July 2024 because of a low DSCR. As of the most recent reporting, the financials for the trailing-six-month period (T-6) ended June 30, 2024, reported a DSCR of 0.96 times (x), compared with the YE2023 DSCR of 1.18x and the Morningstar DBRS DSCR of 3.37x derived at issuance. This variance is attributable to the loan's floating interest rate nature, which has resulted in a 362% increase in the annual debt service obligation, raising it to $90.0 million in 2024 from $24.7 million in 2021. According to the financial statement for the trailing-six-month period ended June 30, 2024, the annualized net cash flow (NCF) was $86.2 million, in line with the Morningstar DBRS NCF of $86.4 million. The Morningstar DBRS NCF gave straight-line credit to the lease payments of Bank of America (BofA) over the loan term given its consideration as a long-term credit tenant. According to the October 2024 rent roll, the property is 96.8% occupied, with leases totaling approximately 16.0% of the net rentable area (NRA) scheduled to roll over in the next 12 months. BofA is the largest tenant at the subject, occupying 18.4% NRA on separate leases at the 315 Montgomery Street and 555 California Street properties, expiring between September 2025 and September 2035. At issuance, BofA executed two lease extensions, including a 10-year extension at 555 California Street, commencing in October 2025. According to the lease extension agreement, there is a six-month rent abatement period ending in March 2026. The tenant also has a termination option for a full floor, effective September 2025, with a minimum 18 months' notice. Morningstar DBRS has inquired whether the tenant has indicated any plans to give back space; however, Morningstar DBRS did not receive a response as of this commentary. Wells Fargo (3.9% of the NRA, lease expires in May 2025) also exercised a renewal and expansion lease agreement through February 2037. The previously vacant 345 Montgomery Street property is now 59.6% occupied (2.4% of the total NRA) by the Institute of Contemporary Art San Francisco on a lease through September 2026. According to Reis, office properties within the North Financial District submarket reported a vacancy rate of 22.5% as of Q4 2024, an increase from 17.7% in Q4 2023; however, the five-year forecast vacancy rate is expected to decrease to 10.5%. Despite the softening submarket metrics, the subject property continues to outperform comparable properties given its high quality and strong location compared with competitive properties. The competitive advantage is evidenced by the borrower's ability to attract new tenants and execute renewal leases with existing tenants. The April 2024 Morningstar DBRS credit rating analysis and action included an updated collateral valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS net cash flow of $86.4 million. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio sizing benchmarks totaling 4.25% to reflect the significant capital expenditure projects at the subject properties and long-term in-place tenancy of the investment-grade tenants. The Morningstar DBRS concluded value of $1.1 billion represents a -45.6% variance from the issuance appraised value of $2.0 billion. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. SIERRA TIMESHARE 2025-1: Fitch Assigns 'BBsf' Rating on Cl. D Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Sierra Timeshare 2025-1 Receivables Funding LLC (2025-1). Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2025-1 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf 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%, 15.00% 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 8.90% per annum. Default coverage for all notes can 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 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. SIXTH STREET XXII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Sixth Street CLO XXII Ltd./Sixth Street CLO XXII LLC, a CLO originally issued in March 2023 that is managed by Sixth Street CLO XXII 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 24, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to March 24, 2027. -- The reinvestment period was extended to April 21, 2030. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) was extended to April 21, 2038. -- No additional assets were purchased on the March 24, 2025, refinancing date, and the target initial par amount remains at $400,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 21, 2025. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO XXII Ltd./Sixth Street CLO XXII LLC Class A-R, $249.00 million: AAA (sf) Class B-R, $51.00 million: AA (sf) Class C-R (deferrable), $28.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $1.40 million: BBB- (sf) Class E-R (deferrable), $14.60 million: BB- (sf) Ratings Withdrawn Sixth Street CLO XXII Ltd./Sixth Street CLO XXII 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 XXII Ltd./Sixth Street CLO XXII LLC Subordinated notes, $41.59 million: NR NR--Not rated SLM STUDENT 2010-1: S&P Lowers Class A Notes Rating to 'D (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class A notes of SLM Student Loan Trust 2010-1 to 'D (sf)' from 'CC (sf)' and removed it from CreditWatch with negative implications. The 'CC (sf)' ratings on the class B notes of the same trust remain on CreditWatch with developing implications, where they were originally placed on Jan. 9, 2025. The notes are backed by student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P said, "CreditWatch developing is used for situations in which we believe there is at least a one-in-two likelihood of a rating change and that future events are unpredictable and differ so significantly that the rating could be raised, lowered, or affirmed. "Our review considered the transaction's collateral performance and liquidity position, overall credit enhancement, and capital and payment structures. We also considered secondary credit factors, such as credit stability, peer comparisons, and issuer-specific analyses." Rationale The downgrade of the class A notes reflects the failure of the notes to be repaid on the legal final maturity date, which has triggered an event of default (EOD) under the transaction documents. Due to liquidity pressure, the loans in the pool amortized at a pace that did not provide for the timely repayment of these notes. The rating action primarily reflects the impact of this liquidity pressure on the class A notes and not the credit enhancement levels available to the class for ultimate principal repayment, subsequent to the its legal final maturity date. Under the transaction documents, a failure to pay a note on its legal final maturity date is an EOD. Post EOD, interest to the class B notes will be reprioritized and paid after principal payments to the class A notes. The transaction documents define the current interest payable to the class B noteholders to include interest for the current payment, as well as any cumulative interest shortfall, including interest on the cumulative interest shortfall. As such, S&P views the class B notes to be payment-in-kind notes. After an EOD, the trustee and/or noteholders have several courses of action they can take, which may affect the amount and timing of payments that are expected to be received by the class B notes. For example, the allocation of payments per the pre-EOD waterfall could be maintained, or the allocation of payments per the post-EOD waterfall could occur, or the trust estate could be sold. In addition, uncapped expenses could be allowed post-EOD. As such, the class B notes remain on CreditWatch developing until the post-EOD actions are determined. The ED reinsures at least 97% of the principal and interest on defaulted loans serviced, according to the FFELP guidelines. Due to the high level of recoveries from the ED on defaulted loans, defaults effectively function similarly to prepayments. Thus, S&P expects net losses to be minimal. CreditWatch S&P will determine whether to raise, lower, or affirm its rating on the class B notes based on the trustee's and/or the noteholders' actions after the EOD. SOUND POINT II: S&P Affirms CCC (sf) Rating on Class B3-R Notes --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A2-R and A3-R debt from Sound Point CLO II Ltd., a broadly syndicated U.S. CLO managed by Sound Point Capital Management L.P. At the same time, S&P affirmed its ratings on the class A1-R, B1-R, B2-R, and B3-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the February 2025 trustee report. The transaction has made $143.65 million in paydowns to the class A1-R debt since our March 2024 rating actions. These paydowns lowered the outstanding balances of the senior note, and this in turn increased all the reported overcollateralization (O/C) ratios: -- The class A1-R/A2-R O/C ratio improved to 151.20% from 127.17%. -- The class A3-R O/C ratio improved to 130.99% from 117.65%. -- The class B1-R O/C ratio improved to 114.31% from 108.78%. -- The class B2-R O/C ratio improved to 104.35% from 102.95%. While the O/C ratios improved due to amortization, the collateral portfolio's exposure to 'CCC' rated collateral increased, in terms of percentage, to 12.14% from 9.98% during this period. Per the February 2025 trustee report, the exposure in dollar terms decreased to $37.19 million, compared with $48.45 million reported in January 2024, which was used in S&P's previous review. Over the same period, the par amount of defaulted collateral has increased slightly to $3.00 million from $2.77 million. However, this increased exposure is offset by the increased credit support resulting from paydowns. The upgraded ratings on the class A2-R and A3-R debt reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could result in a rating revision. S&P said, "Though our cash flow analysis indicated higher ratings for the class A3-R and B1-R debt, our rating actions reflect our preference for extra cushion, based on additional sensitivity analyses we ran, to consider the portfolio's increased exposure to lower-quality assets and distressed prices." On a standalone basis, the results of the cash flow analysis indicated lower ratings on the class B2-R and B3-R debt than its rating actions reflect. However, S&P affirmed the ratings on these classes after considering the O/C ratios that are passing and improved since the last rating action and the consistent paydowns since beginning of the amortization phase, which have offset the impact of the increase in lower-quality assets. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised Sound Point CLO II Ltd. Class A2-R to 'AAA (sf)' from 'AA (sf)' Class A3-R to 'AA- (sf)' from 'A (sf)' Ratings Affirmed Sound Point CLO II Ltd. Class A1-R: AAA (sf) Class B1-R: BBB- (sf) Class B2-R: B+ (sf) Class B3-R: CCC (sf) SOUND POINT IV-R: Moody's Affirms B1 Rating on $30MM Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO IV-R, Ltd.: US$66M Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 16, 2023 Upgraded to Aa1 (sf) US$36M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Apr 23, 2018 Assigned A2 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding amount US$227,800,648) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 23, 2018 Assigned Aaa (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 18, 2020 Confirmed at Baa3 (sf) US$30M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jun 16, 2023 Downgraded to B1 (sf) US$12M (Current outstanding amount US$13,747,397) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Jun 16, 2023 Downgraded to Caa3 (sf) Sound Point CLO IV-R, Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class B and Class C notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio and diversion of excess interest since the payment date in January 2024. The affirmations on the ratings on the Class A, Class D, Class E 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 USD151.2 million (38.8%) in the last 12 months and USD162.2 million (41.6%) since closing. Out of this amount, approximately USD8.7 million are attributable to diversion of excess interest to the Class A notes due to Class D or Class E over-collateralisation test failures, including on the April 2024, July 2024, October 2024 and January 2025 payment dates. Furthermore the Class E over-collateralisation test is still in breach, which is expected to divert further excess interest to the Class A notes. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated February 2025 [1] the Class A/B and Class C OC ratios are reported at 135.1%, and 120.4% compared to February 2024 [2] levels of 126.0% and 116.5%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD405.4m Defaulted Securities: USD4.4m Diversity Score: 65 Weighted Average Rating Factor (WARF): 3291 Weighted Average Life (WAL): 3.5 years Weighted Average Spread (WAS): 3.3% Weighted Average Recovery Rate (WARR): 46.0% Par haircut in OC tests and interest diversion test: 2.7% 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. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. STACR REMIC 2021-HQA2: Moody's Hikes Rating on 2 Tranches to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 73 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 list of the Affected Credit Ratings is available at https://urlcurt.com/u?l=KAk1tJ 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-HQA5 Cl. B-1A, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. B-1AI*, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. B-1AR, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA1 Cl. B-1A, Upgraded to Baa2 (sf); previously on Jun 4, 2024 Upgraded to Baa3 (sf) Cl. B-1AI*, Upgraded to Baa2 (sf); previously on Jun 4, 2024 Upgraded to Baa3 (sf) Cl. B-1AR, Upgraded to Baa2 (sf); previously on Jun 4, 2024 Upgraded to Baa3 (sf) Cl. B-1B, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2A, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2AI*, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2AR, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2AS, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2AT, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2AU, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2B, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2BI*, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2BR, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2BS, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2BT, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2BU, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2I*, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2R, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2RB, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2S, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2SB, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2T, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2TB, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2U, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2UB, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA2 Cl. B-1, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. B-1A, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. B-1AI*, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. B-1AR, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. B-1B, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2A, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2AI*, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2AR, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2AS, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2AT, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2AU, Upgraded to A2 (sf); previously on Jun 4, 2024 Upgraded to A3 (sf) Cl. M-2B, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2BI*, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2BR, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2BS, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2BT, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2BU, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2RB, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2SB, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2TB, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2UB, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Issuer: Freddie Mac STACR REMIC Trust 2022-HQA2 Cl. M-1B, Upgraded to Baa1 (sf); previously on Jun 4, 2024 Upgraded to Baa2 (sf) Cl. M-2A, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AI*, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AR, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AS, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AT, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AU, Upgraded to Baa3 (sf); previously on Jul 29, 2022 Definitive Rating Assigned 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-2RB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2SB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2TB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2UB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Issuer: STACR 2017-HQA1 Cl. M-2, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. M-2I*, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. M-2R, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. M-2S, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. M-2T, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. M-2U, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (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. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.10% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.16x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. 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. STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of notes issued by Stone Street Receivables Funding 2015-1: -- Series 2015-1, Class A Notes at AAA (sf) -- Series 2015-1, Class B Notes at BBB (sf) -- Series 2015-1, Class C Notes at BB (sf) The credit rating confirmations are based on the following analytical considerations: -- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008-09. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction's capital structure and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with zero defaults and zero losses. -- 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 ratings is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). STRIKE ACCEPTANCE 2025-1: DBRS Finalizes BB(low) Rating on C Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by Strike Acceptance Auto Funding Trust 2025-1 (the Issuer) as follows: -- $83,387,000 Class A Notes at A (low) (sf) -- $10,492,000 Class B Notes at BBB (low) (sf) -- $14,091,000 Class C Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available 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 under which they have invested. For this transaction, the rating on Class A Notes, Class B Notes and Class C notes address the payment of timely interest on a monthly basis and the ultimate payment of principal by the final scheduled payment date. (3) 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 DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) Morningstar DBRS used proxy analysis in its development of an expected loss. -- Given the time in operation, a limited amount of performance data was available for the Company's originations going back to Q1 2020. -- Industry comparable data was used to derive assumptions along with a limited amount of Company performance data. -- The Morningstar DBRS CNL assumption is 24.64% for the transaction based on the Statistical Pool -- The Class A, Class B and Class D coverage multiples are in some cases below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (5) The capabilities of Strike with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of Strike and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with a backup servicer that is acceptable to Morningstar DBRS. For this transaction, Computershare Trust Company, N.A. (Computershare) will be the backup servicer. -- All paper and electronic titles are stored with Dealertrack, all physical contracts are stored with Computershare and Original is the vault provider for the e-contracts. -- The Strike senior management team has considerable experience and a successful track record within the auto finance industry. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Strike, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS 's Legal Criteria for U.S. Structured Finance. 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 for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. SWITCH ABS 2024-2: DBRS Confirms BB(low) Rating on Class C Notes ---------------------------------------------------------------- DBRS Limited finalized its provisional credit ratings to the following classes of Term Notes, Series 2025-1 issued by Switch ABS Issuer, LLC (the Master Trust): -- Class A-2 at A (low) (sf) -- Class B at BBB (low) (sf) Additionally, DBRS Limited confirmed its credit ratings on the following classes of Term Notes, Series 2024-2 issued by Switch ABS Issuer, LLC (the Master Trust): -- Class A-2 at A (low) (sf) -- Class B at BBB (low) (sf) -- Subordinated Class C at BB (low) (sf) Also, DBRS Limited confirmed its credit ratings on the following classes of Term Notes, Series 2024-1 issued by Switch ABS Issuer, LLC (the Master Trust): -- Class A-1-L at A (sf) -- Class A-2 at A (low) (sf) -- Class B at BBB (low) (sf) All trends are Stable. Switch ABS Issuer, LLC is a securitization collateralized by the borrower's fee-simple and leasehold interest in eight data center properties (nine buildings) in four states: Georgia, Michigan, Nevada, and Texas. 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. The transaction is structured as a Master Trust with the subject Series 2025-1 notes being the third issuance of notes from the Master Trust. The inaugural Series 2024-1 notes were securitized by four assets located in Michigan, Nevada, and Texas. As part of the second issuance, Series 2024-2, two additional assets located in Georgia and Nevada were contributed to the Master Trust. Additionally, as part of the subject issuance, two additional assets located in Nevada will be contributed to the Master Trust. The debt and collateral associated with the first and second issuance from the Master Trust were considered during the analysis of the subject issuance. Morningstar DBRS' credit rating on the term notes reflects the low leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect noteholders' 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, Ltd. 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. Notes: All figures are in U.S. dollars unless otherwise noted. SYMPHONY CLO 47: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Symphony CLO 47 Ltd./Symphony CLO 47 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 Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC. The preliminary ratings are based on information as of March 25, 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 Symphony CLO 47 Ltd./Symphony CLO 47 LLC Class A-1, $256.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B, $40.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $20.0 million: BBB+ (sf) Class D-2 (deferrable), $4.0 million: BBB (sf) Class D-3 (deferrable), $6.0 million: BBB- (sf) Class E (deferrable), $10.0 million: BB- (sf) Subordinated notes, $40.8 million: Not rated TCI-FLATIRON 2018-1: Moody's Ups Rating on $31MM E-R Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by TCI-Flatiron CLO 2018-1 Ltd.: US$24,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on December 8, 2023 Upgraded to Aa3 (sf) US$31,750,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D-R Notes"), Upgraded to A1 (sf); previously on December 8, 2023 Upgraded to Baa1 (sf) US$31,250,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E-R Notes"), Upgraded to Ba2 (sf); previously on March 2, 2021 Assigned Ba3 (sf) TCI-Flatiron CLO 2018-1 Ltd., originally issued in January 2019 and refinanced in March 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2024. The Class A notes, and Class AN-R notes have each been paid down by approximately 59%, or $143.6 million and $44 million, respectively, since that time. Based on the trustee's February 2025[1] report, the OC ratios for the Class C-R, Class D-R and Class E-R notes are reported at 146.23%, 126.98% and 112.41%, respectively, versus February 2024[2] levels of 125.11%, 115.85% and 107.98%, respectively. No actions were taken on the Class A, Class AN-R and Class B-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $304,121,891 Defaulted par: $3,012,922 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3007 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.02% Weighted Average Recovery Rate (WARR): 47.17% Weighted Average Life (WAL): 3.75 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TCI-FLATIRON CLO 2017-1: Moody's Ups Rating on $22MM E Notes to Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by TCI-Flatiron CLO 2017-1 Ltd. US$31,500,000 Class D Senior Secured Deferrable Floating Rate Notes due November 2030, Upgraded to Aa3 (sf); previously on Aug 16, 2024 Upgraded to A3 (sf) US$22,500,000 Class E Senior Secured Deferrable Floating Rate Notes due November 2030, Upgraded to Ba1 (sf); previously on Aug 16, 2024 Upgraded to Ba2 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since last rating action in August 2024. The Class A-R notes have been paid down by approximately 36.2% or $116.8 million since then. Based on Moody's calculations, the OC ratios for the Class D and Class E notes are currently at 134.21% and 116.97%, respectively, versus August 2024 levels of 119.01% and 109.85%, respectively. No actions were taken on the Class A-R, Class B and Class C 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: $204,631,802 Defaulted par: $365,903 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3228 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Recovery Rate (WARR): 47.16% Weighted Average Life (WAL): 3.16 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "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. TCW CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ TCW CLO 2025-1, Ltd. X LT AAAsf New Rating A Notes LT AAAsf New Rating A Loan LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary TCW CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TCW Asset Management Company LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured 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 23.69 versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.2% versus a minimum covenant, in accordance with the initial expected matrix point of 70.65%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-J, 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 X and class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-J, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for TCW CLO 2025-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TEXAS DEBT 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Texas Debt Capital CLO 2025-I, Ltd. Entity/Debt Rating ----------- ------ Texas Debt Capital CLO 2025-I, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Texas Debt Capital CLO 2025-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.33, versus a maximum covenant, in accordance with the initial expected matrix point of 26.35. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.53% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.73% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 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 Texas Debt Capital CLO 2025-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. THUNDERBOLT III: Fitch Hikes Rating on Class B Notes to 'BBsf' -------------------------------------------------------------- Fitch Ratings has upgraded the ratings of Thunderbolt II Aircraft Lease Limited (TBOLT II) series A and B notes. Fitch has also upgraded the ratings of Thunderbolt III Aircraft Lease Limited (TBOLT III) series A and B notes. The Rating Outlook is Stable for both transactions. Entity/Debt Rating Prior ----------- ------ ----- Thunderbolt III Aircraft Lease Limited A 88607AAA7 LT BBBsf Upgrade BBsf B 88607AAB5 LT BBsf Upgrade Bsf Thunderbolt II Aircraft Lease Limited Series A 886065AA9 LT BBBsf Upgrade BBsf Series B 886065AB7 LT BBsf Upgrade Bsf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, all inform Fitch's modeled cash flows and coverage levels. Since Fitch's prior review, transaction performance has improved. Rent collections have been in line with expectations, however, large paydowns on the notes occurred as a result of sale of aircraft (two for TBOLT II and two for TBOLT III), receipt of Russian insurance proceeds, and release of maintenance reserve funds. Outstanding A note principal balances have decreased over the past year by $84MM and $79MM for TBOLT II and TBOLT III, respectively. The series A and B notes in both transactions continue to receive timely interest. Although the series A notes have been receiving principal, the TBOLT III series B note has not received principal since March 2020 while the TBOLT II series B note received its first principal payment since March 2020 in February 2025. TBOLT II series A principal shortfall decreased to 4% from 16% versus scheduled, while the series B principal shortfall increased to 114% from 65% since the prior review in April 2024. TBOLT III series A principal is now on schedule decreasing from a shortfall of 18%, while the series B shortfall increased to 99% from 56% versus scheduled since the prior review in April 2024. There are a number of factors that could impact the ratings in the near term, including aircraft sales and receipt of additional insurance proceeds. Further, TBOLT II reaches its ARD in July 2025 and will enter rapid amortization, requiring a 2% step up in interest. TBOLT III reaches ARD in November 2026. Fitch will continue to monitor the transactions as these events unfold and refresh its ratings as warranted. Overall Market Recovery Demand for air travel remains robust. January 2025 global passenger traffic measured in revenue passenger kilometers (RPK) was up 10% compared to January 2024 per IATA. International traffic led the way with 12.4% year-over-year RPK growth; domestic traffic grew at 6.1% year over year. Growth rates vary across geographies. Asia Pacific continues to lead the overall growth in traffic. January 2025 total capacity, measured in available seat kilometers (ASK), was up 7.1% year on year. January load factor was 82.1%, an all-time high for January. Aircraft Collateral and Asset Values Aircraft ABS transaction servicers are reporting strong demand and increased lease rates for aircraft, particularly those with maintenance green time remaining. Additionally, appraiser market values are currently higher than base values for many aircraft types, which has not occurred for several years. Values of A320CEOs and 737-800s have fully recovered. Fitch is also seeing meaningful improvement in aircraft sale proceeds. Engines with maintenance green time remaining are particularly in demand. Macro Risks While the commercial aviation market is strong, it will continue to face certain unknowns and potential risks, including workforce shortages, inflationary pressures, particularly related to labor and fuel costs, supply chain issues, geopolitical risks, and recessionary concerns that would impact passenger demand. Most of these events would lead to greater transaction credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cash flows needed to meet debt service. KEY RATING DRIVERS Aircraft Values: The Fitch Value for the TBOLT II and TBOLT III pools are $263MM and $246MM, respectively. Fitch used the most recent appraisals as of December 2024 and June 2024, respectively, and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years in which case a market value is used. Fitch then uses the lesser of mean and median of the given value. Using the Fitch Value, TBOLT II LTVs decreased to 55% and 79% from 78% and 100% at the prior review for the series A and B notes, respectively. TBOLT III LTVs decreased to 65% and 88% from 80% and 100% at prior review for the series A and B notes, respectively. TBOLT II and III mean maintenance-adjusted base value (MABV) (depreciated from the appraisal effective date to March 2025) are $278MM and $264MM, respectively, an increase of 6% for TBOLT II and a decrease of 3% for TBOLT III over the last 12 months, controlling for the sale of aircraft. Both transactions spent large portions of their maintenance reserve accounts ($29MM and $6MM for TBOLT II and TBOLT III respectively) over the last year on maintenance which increased aircraft value. This, along with strong demand for aircraft, bolstered the mean MABV of both pools. Tiered Collateral Quality: The TBOLT II pool consist of 12 narrowbody aircraft and 1 widebody aircraft with the majority characterized as mid-life aircraft with a weighted-average [WA] age of 14.5 years. For TBOLT III, the pool consists of 13 narrowbody aircraft and 1 widebody aircraft with a WA age of 14.5 years. Fitch utilizes three tiers when assessing the desirability and liquidity of aircraft collateral: tier one which is the most liquid, and tier three which is the least liquid. Additional details regarding Fitch's tiering methodology can be found here. As aircraft age, Fitch's aircraft tiering migrates; the weighted average, age-adjusted, tiers for TBOLT II and TBOLT III are 1.6 and 1.5, respectively. Pool Concentration: Both of the pools have acceptable concentration. TBOLT II has 13 aircraft on lease to 12 lessees and TBOLT III has 14 aircraft on lease to 12 lessees. Given the pools' ages, Fitch expects aircraft sales to pressure pool concentrations. Lessee Credit Risk: Fitch considers the credit risk posed by both pools of lessees to be moderate. There are no arrears past 30 days for TBOLT II but are some past 30 days in TBOLT III. TBOLT III rent collection over the last twelve months has been in line with Fitch's expectations. TBOLT II is reasonably diversified across regions with 32% exposure to Emerging Asia Pacific, 32% to Emerging Europe & CIS, 13% to Developed Europe, 12% to Emerging Middle East & Africa, and 11% to Developed North America. TBOLT III is diversified across regions with 33% exposure to Emerging Europe & CIS, 18% to Emerging Asia Pacific, 17% to Developed Europe, 17% to Developed Asia Pacific, 11% to Emerging South & Central America, and 4% to Emerging Middle East & Africa. Operation and Servicing Risk: Fitch has found Air Lease Corporation to be an effective servicer based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies, lower lease rates, increasing pool concentration or sales of aircraft below Fitch's projected values could lead to a downgrade; - The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche; - Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'; - Fitch's base case scenario assumes receipt of additional insurance proceeds for aircraft seized in Russia in 2022 (there was one such aircraft in each pool). Fitch assumed insurance proceeds of 30% and 40% of aircraft value at the 'BBBsf' and 'BBsf' stress levels, respectively, and lesser amounts at the 'Asf' rating level. Additional insurance collections, beyond those already received, were excluded for both of the down sensitivities discussed below. Not receiving Russian insurance proceeds, on their own, resulted in no change in the model-implied ratings (MIR); - Fitch ran lessee credit quality sensitivities given uncertainty of lessee payment performance. The sensitivity assumed all future lessees are rated 'CCC' versus the standard assumption of 'B'. This scenario resulted in MIR 0 to 1 notches lower for the series A and B notes for both transactions; - In addition, for TBOLT II, Fitch ran a sensitivity using the lowest appraised value rather than the LMM of all three appraisals. This resulted in a $42MM lower Fitch Value ($219MM versus the LMM $261MM) and MIRs two notches lower for both series of notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - If contractual lease rates outperform modeled cash flows, values and collections outperform expectations to deleverage the transaction, or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade; - Given Fitch assigns a credit rating of 'CCC' or lower to a high percentage of lessees in both pools, an up sensitivity was run. The sensitivity assumed all future lessees are rated 'B'. This scenario resulted in no changes to MIR for either 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. TOORAK MORTGAGE 2025-RRTL1: DBRS Finalizes B Rating on B-1 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) issued by Toorak Mortgage Trust 2025-RRTL1 (TRK 2025-RRTL1 or the Issuer) as follows: -- $205.5 million Class A at BBB (low) (sf) -- $189.8 million Class A-1 at A (low) (sf) -- $15.8 million Class A-2 at BBB (low) (sf) -- $16.8 million Class M-1 at BB (low) (sf) -- $18.9 million Class B at B (low) (sf) -- $13.9 million Class B-1 at B (sf) -- $5.0 million Class B-2 at B (low) (sf) Classes A and B are exchangeable notes. These classes can be exchanged for proportionate shares of the exchange notes as specified in the offering documents. The A (low) (sf) credit rating reflects 24.10% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), B (sf), and B (low) (sf) credit ratings reflect 17.80%, 11.10%, 5.55%, and 3.55% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Statistical Calculation Date, the Notes are backed by: -- 364 mortgage loans with a total principal balance of $165,987,386. -- Approximately $84,012,614 in the Funding Account. -- Approximately $1,100,000 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TRK 2025-RRTL1 represents the 11th RTL securitization issued by the Sponsor, Toorak Capital Partners LLC (Toorak). Formed in 2016 and headquartered in Tampa, Florida, Toorak is a mortgage loan aggregator that partners with third-party loan originators to acquire business purpose residential, multifamily, and mixed-use bridge and term loans. Toorak is the named Servicer for the transaction, and the loans will be subserviced by Merchants, BSI, FCI, and RCN. Merchants is the largest originator in the revolving portfolio and will subservice the Merchants-originated loans. The revolving portfolio consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of five to 37 months. The loans also include extension options, which may lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum nonzero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA As-Is Loan-to-Value ratio (LTV) of 85.0%. -- A maximum NZ WA Loan-to-Cost ratio of 85.0%. -- A maximum NZ WA As Repaired LTV of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-used properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the TRK 2025-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TRK 2025-RRTL1 eligibility criteria, unfunded commitments are limited to 35.0% of the portfolio by unpaid principal balance (UPB) and (2) amounts in the Funding Account and the Reserve Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the revolving period, the Notes will generally be IO. After the revolving period, or on the Redemption Date, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month (step up event). There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer, the Subservicers, or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties; -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property; -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions; and -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A-1 and A-2 Note amounts. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account during the revolving period, which is used to fund draws and purchase additional loans. A Reserve Account, which is used to fund purchases of additional loans solely from Merchants, is also available for the transaction. During the revolving period, the Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. The Reserve Account is replenished from the Funding Account from time to time at the direction of the Depositor. Amounts held in the Funding Account and Reserve Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 96.45%, which maintains a minimum level of CE to the most subordinate rated class. Toorak 2025-RRLT1 incorporates the maximum effective advance rate as a Trigger Event. During the revolving period (and prior to September 2027), if CE is not maintained for all tranches, on the third consecutive such month, a Trigger Event will occur, leading to an Amortization event. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover the initial three interest payments to the Notes. Such account is funded upfront in an amount equal to $1,100,000. On the payment dates occurring in March 2025 and April 2025, the Paying Agent will withdraw a specified amount to be included in available funds, and on the payment date in May 2025, any unused related amounts will otherwise be allocated in the payment waterfall. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated historical mortgage repayments relative to draw commitments for Toorak's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related presale report for more details. Other Transaction Features Discretionary Sales The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Optional Redemption On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Optional Repurchase of Delinquent Loans Similar to certain other issuers, each Seller will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a Seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early. U.S. Credit Risk Retention As the Sponsor, Toorak, or one or more majority-owned affiliates, will retain a 5% eligible horizontal residual interest in the securities to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas (such as those affected by the greater Los Angeles wildfires). Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the affected area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with Representations and Warranties (R&W) specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. TRIMARAN CAVU 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and proposed new class X-R debt from Trimaran CAVU 2022-2 Ltd./Trimaran CAVU 2022-2 LLC, a CLO originally issued in 2022 that is managed by Trimaran Advisors LLC. The preliminary ratings are based on information as of March 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 27, 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 27, 2027. -- The reinvestment period will be extended to April 20, 2030. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to April 20, 2038. -- Additional assets will be purchased on the March 27, 2025, refinancing date, and the target initial par amount will be increased to $475,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- Class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first four payment dates in equal installments of $250,000, beginning on the July 2025 payment date and ending April 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trimaran CAVU 2022-2 Ltd./ Trimaran CAVU 2022-2 LLC Class X-R, $1.00 million: AAA (sf) Class A-R, $289.75 million: AAA (sf) Class B-R, $71.25 million: AA (sf) Class C-R (deferrable), $28.50 million: A (sf) Class D-1-R (deferrable), $24.95 million: BBB- (sf) Class D-2-R (deferrable), $6.65 million: BBB- (sf) Class E-R (deferrable), $15.90 million: BB- (sf) Other Debt Trimaran CAVU 2022-2 Ltd./ Trimaran CAVU 2022-2 LLC Subordinated notes, $43.00 million: Not rated UBS COMMERCIAL 2018-C10: Fitch Lowers Rating on E-RR Notes to B --------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 11 classes of UBS Commercial Mortgage Trust 2018-C10 (UBS 2018-C10). Class E-RR has been assigned a Negative Rating Outlook following the downgrade. The Outlook for affirmed class D-RR was revised to Negative from Stable. Fitch has also downgraded one and affirmed 12 classes of UBS Commercial Mortgage Trust 2018-C15 (UBS 2018-C15). The Outlooks for affirmed classes D and D-RR were revised to Negative from Stable. The Outlooks for affirmed classes E-RR and F-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C10 A-3 90276FAV6 LT AAAsf Affirmed AAAsf A-4 90276FAW4 LT AAAsf Affirmed AAAsf A-S 90276FAZ7 LT AAAsf Affirmed AAAsf A-SB 90276FAU8 LT AAAsf Affirmed AAAsf B 90276FBA1 LT AAsf Affirmed AAsf C 90276FBB9 LT A-sf Affirmed A-sf D 90276FAC8 LT BBB-sf Affirmed BBB-sf D-RR 90276FAE4 LT BBB-sf Affirmed BBB-sf E-RR 90276FAG9 LT Bsf Downgrade BB-sf F-RR 90276FAJ3 LT CCCsf Downgrade B-sf X-A 90276FAX2 LT AAAsf Affirmed AAAsf X-B 90276FAY0 LT AAsf Affirmed AAsf X-D 90276FAA2 LT BBB-sf Affirmed BBB-sf UBS 2018-C15 A-3 90278LAX7 LT AAAsf Affirmed AAAsf A-4 90278LAY5 LT AAAsf Affirmed AAAsf A-S 90278LBB4 LT AAAsf Affirmed AAAsf A-SB 90278LAW9 LT AAAsf Affirmed AAAsf B 90278LBC2 LT AA-sf Affirmed AA-sf C 90278LBD0 LT A-sf Affirmed A-sf D 90278LAC3 LT BBB+sf Affirmed BBB+sf D-RR 90278LAE9 LT BBB-sf Affirmed BBB-sf E-RR 90278LAG4 LT BB+sf Affirmed BB+sf F-RR 90278LAJ8 LT B+sf Affirmed B+sf G-RR 90278LAL3 LT CCCsf Downgrade B-sf X-A 90278LAZ2 LT AAAsf Affirmed AAAsf X-B 90278LBA6 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.5% for UBS 2018-C10 and 5.7% for UBS 2018-C15, an increase from 5.1% and 5.5%, respectively at the last rating action. There are 10 Fitch Loans of Concern (FLOCs; 29.9% of the pool) in UBS 2018-C10, including three specially serviced loans (3.2%), and three FLOCs (20.2%) in UBS 2018-C15, with no loans in special servicing. The downgrades for UBS 2018-C10 reflect high loss expectations on FLOCs including 175 Park Avenue loan (6.1%), specially serviced Port Atwater Parking (3.1%), specially serviced Plantation at Crystal River (2.2%) and Sleep Inn SeaTac Airport (1.7%). The Negative Outlooks in UBS 2018-C10 reflect the high concentration of office and FLOCs, which includes six loans (25%) in the top 15, and the potential for increasing expected losses on loans including 175 Park Avenue and Eastmont Town Center (3.7%) due to lease rollover concerns, as well as the potential for lower valuations and high loan exposure on the specially serviced Port Atwater Parking. The downgrade to class G-RR in UBS 2018-C15 reflects high losses on FLOCs including Saint Louis Galleria (9.9%), 435 Tasso Street (6.7%) and 16300 Roscoe Blvd (3.6%). The Negative Outlooks on classes E-RR and F-RR in UBS 2018-C15 reflect the high FLOC concentration 20%, including the potential for increasing expected losses on loans including 435 Tasso Street and 16300 Roscoe Blvd Parkway Center. FLOCs; Largest Loss Contributors: The largest contributor to overall pool loss expectations in the UBS 2018-C10 transaction, Port Atwater Parking loan, is secured by a parking structure located in downtown Detroit, MI. The loan transferred to special servicing in September 2024 due to monetary default. The servicer-reported NOI DSCR has remained below 1.0x since YE 2020, and it has declined consistently between YE 2021 and YE 2023. The special servicer is evaluating potential resolution strategies with the borrower. Fitch's 'Bsf' rating case loss of 40.3% (prior to concentration add-ons) is based on a stress to the recent appraised value. The second largest contributor to overall pool loss expectations, 175 Park Avenue, is secured by a 270,000-sf office building, located in Madison, NJ. It was flagged a FLOC due to the single tenant subleasing significant portion of its space. Per Costar, floors 2 and 3 (180,000sf) are available for sublease. The non-investment grade rated tenant, Anywhere Real Estate (fka Realogy), has a lease expiration in 2029. Fitch's 'Bsf' rating case loss of 17.2% (prior to concentration add-ons) is based on a 10% stress to YE 2023 NOI, a 10% cap rate and increased probability of default given concerns with a default prior to or at maturity. The third largest contributor to overall pool loss expectations, Sleep Inn SeaTac Airport, is secured by a 105- room limited service hotel located in SeaTac, WA. It was flagged as a FLOC due to low DSCR and continued performance declines. Since YE 2022, other income has been steadily declining while operating expenses have been increasing primarily due payroll & benefits. The servicer-reported NOI DSCR was 0.54x as of TTM September 2024 down from 2.35x at YE 2022. Fitch's 'Bsf' rating case loss of 31.6% (prior to concentration add-ons) is based on the TTM Sept 2024 NOI and an 11.5% cap rate. Eastmont Town Center is secured by a 527,588-sf suburban office property located in Oakland, CA. The loan was flagged as a FLOC due to significant upcoming rollover, which includes 18.3% in 2024; 1.6% in 2025, 12.5% in 2026 and 11.8% in 2027. Alameda County Self Sufficiency Center (14.7% and 16% rent) expired in November 2024 and Alameda County Behavioral Health (9.8% and 17% rent) expires in February 2026. Fitch requested a status update on both tenants but did not receive a response. An additional sensitivity scenario was applied which assumed a higher probability of default which contributed to the Negative Outlooks in UBS 2019-C10. The largest FLOC and largest contributor to overall pool loss expectations in the UBS 2018-C15 transaction, Saint Louis Galleria, is secured by a Brookfield-sponsored, super-regional mall located in St. Louis, MO. It was flagged as FLOC due to lagging post-pandemic performance and upcoming rollover concerns. The mall is anchored by Dillard's, Macy's and Nordstrom, which are non-collateral tenants. Property-level NOI has declined since issuance, with the most recent full-year reported YE 2023 NOI remaining approximately 25% below the issuer's underwritten NOI and 7% below YE 2020 NOI. The NOI declines are mainly attributed to the lower revenue since the pandemic, where YE 2023 revenue is 19% below YE 2019. As of September 2024, the YTD servicer-reported NOI DSCR was 1.14x, compared with 1.68x at YE 2021. The loan began to amortize in November 2023. Collateral occupancy declined to 90.2% as of September 2024 from 96% at YE 2021 as a result of several tenants vacating at or ahead of their lease expirations. Total mall occupancy was 95% as of the September 2024 rent roll. As of May 2023, reported TTM in line comparable tenant sales were $525 psf ($411psf excluding Apple), compared with $536 psf ($419 psf excluding Apple) as of TTM September 2022, $523 psf ($401 psf excluding Apple) as of TTM September 2021 and $364 psf ($294 psf excluding Apple) at YE 2020. Fitch requested an updated tenant sales report, but it was not provided. Approximately 23.9% NRA expires in 2025, 22.7% in 2026 and 14.8% in 2027. Fitch's 'Bsf' rating case loss of 11.9% (prior to concentration add-ons) reflects a 7.5% stress to the YE 2022 NOI for rollover concerns and an 11.50% cap rate. The second largest contributor to overall pool loss expectations, 16300 Roscoe Blvd, is secured by a 154,033-sf office building located in Van Nuys, CA. Top three tenants are MGA Entertainment Inc (28.1%; expires December 2033), Concentra Health Services, Inc. (9.3%; expires June 2027) and The Heart Medical Group (5.4%; expires June 2027). The loan was flagged as FLOC due to the largest tenant going dark, although the tenant continues to pay rent. The property is 86% occupied, 58% excluding dark tenant MGA Entertainment Inc. As of TTM March 2024, the servicer-reported NOI DSCR was 1.34x down from 1.38x at YE 2023 and 1.53x at YE 2021 due to increasing operating expenses. Fitch's 'Bsf' rating case loss of 29.2% (prior to concentration add-ons) reflects a 10% stress to the TTM March 2024 NOI, an 10.25% cap rate and an increased probability of default given the higher likelihood of a term or maturity default. The third largest contributor to overall pool loss expectations, 435 Tasso Street, is secured by a 32,128-sf office property located in Palo Alto, CA. Top three tenants are East West Bank (29.6%; expires December 2025), GenBio Inc (13.6%; expires January 2027) and CSAA Insurance Exchange (10%; expires September 2026). The loan was flagged as a FLOC due to continued low occupancy and upcoming rollover concerns. In 2022, East West Bank took over the space previously occupied by Science Exchange at rental rate 6% below the prior tenant. Occupancy declined to 58% as of YE 2023 from 79% the prior year after two tenants, Qlik and Vulcan (combined, 20% of NRA) vacated at their 2023 lease expirations in October and November. Occupancy has since declined further to 45% as of September 2024. Approximately 35% NRA and 63% rent expires in 2025, 10% NRA and 17% rent in 2026 and 14% NRA and 20% rent in 2027. Fitch requested a leasing status update but did not receive a response. Fitch's 'Bsf' rating case loss of 29.2% (prior to concentration add-ons) reflects a 40% stress to the YE 2023 NOI due to upcoming rollover risk and an 9.5% cap rate. Fitch also included an additional sensitivity scenario in its analysis which increased the probability of default given concerns with the lease rollover. This scenario contributed to the Negative Outlooks in UBS 2018-C15. Increased Credit Enhancement (CE): As of the February 2024 remittance report, the aggregate pool balances of UBS 2018- C10 and UBS 2018-C15 have been reduced by 9.6% and 30.8%, respectively, since issuance. The UBS 2018-C10 transaction has six defeased loans (6.3% of the pool) and the UBS 2018-C15 transaction has three defeased loans (5.5% of the pool). Cumulative interest shortfalls of $1.6 million are affecting the non-rated class NR-RR in UBS 2018-C10 and $194,000 are affecting the non-rated NR-RR class in UBS 2018-C15. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf' rated classes are possible with continued performance deterioration of the specially serviced loans or significant increases in exposure, limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs 175 Park Avenue, Re/Max Plaza and Manchester Highlands in UBS 2018-C10 and Saint Louis Galleria, 16300 Roscoe Blvd and 435 Tasso Street in UBS 2018-C15 and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes rated in the 'BBBsf' category are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk loans include 175 Park Avenue and Port Atwater Parking in UBS 2018-C10 and 435 Tasso Street and 16300 Roscoe Blvd Parkway Center in UBS 2018-C15. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs and/or additional loans transfer to special servicing. Downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including 175 Park Avenue and Port Atwater Parking Hudson in UBS 2018-C10 and 435 Tasso Street and 16300 Roscoe Blvd Parkway Center in UBS 2018-C15. Upgrades to classes rated in the 'BBBsf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to '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 and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to the distressed 'CCCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans. 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. UNITED AUTO 2022-2: DBRS Confirms CCC Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. upgraded five credit ratings and confirmed six credit ratings from Four United Auto Credit Securitization Trust Transactions. United Auto Credit Securitization Trust 2022-2 -- Class D Notes BBB(sf) Confirmed -- Class E Notes CCC(sf) Confirmed United Auto Credit Securitization Trust 2023-1 -- Class C Notes AAA(sf) Confirmed -- Class D Notes A(high)(sf) Upgraded -- Class E Notes BB(high)(sf) Upgraded United Auto Credit Securitization Trust 2024-1 -- Class A Notes AAA(sf) Confirmed -- Class B Notes AAA(sf) Upgraded -- Class C Notes AA(high)(sf) Upgraded -- Class D Notes BBB(sf) Confirmed -- Class E Notes BB(high)(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the February 2025 payment date. -- For United Auto Credit Securitization Trust 2022-1, United Auto Credit Securitization Trust 2023-1, and United Auto Credit Securitization Trust 2024-1, although losses are tracking above the Morningstar DBRS initial base-case Cumulative Net Loss (CNL) expectations, the current levels 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. -- United Auto Credit Securitization Trust 2022-2 has amortized to a pool factor of 22.00% and has a current CNL to date of 30.42%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 19.90%. Consequently, the revised base-case loss expectation was increased to 35.50%. As of the June 2024 payment date, the overcollateralization amount is 0.00% relative to the target of 10.50% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.50% of the initial aggregate pool balance. As of the September 2024 payment date, the RA amount is 0.00%. The current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes. Given the insufficient level of CE for the Class E Notes to support the full repayment of interest and principal, the credit rating was downgraded to `CCC' (sf) on October 10, 2024. In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive the full interest and principal payments by the legal final maturity. The Class D Notes, although CNL is tracking above the initial expectation, has benefited from deleveraging and has sufficient CE commensurate with the current credit rating. -- 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. United Auto Credit Securitization Trust 2022-1, United Auto Credit Securitization Trust 2022-2, and United Auto Credit Securitization Trust 2023-1 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. United Auto Credit Securitization Trust 2024-1 Morningstar DBRS's 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 for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Outstanding Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). UNITED AUTO 2025-1: DBRS Finalizes BB(high) Rating on E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by United Auto Credit Securitization Trust 2025-1 (UACST 2025-1 or the Issuer): -- $145,583,000 Class A Notes at AAA (sf) -- $53,110,000 Class B Notes at AA (high) (sf) -- $34,380,000 Class C Notes at A (high) (sf) -- $53,490,000 Class D Notes at BBB (sf) -- $37,440,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION 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 cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The Morningstar DBRS CNL assumption is 21.60% based on the expected Cut-off Date pool composition. -- The pool includes collateral originated by United Auto Credit Corporation (UACC) as well as Vroom collateral. (3) The transaction parties' capabilities with regards to originations, underwriting, and servicing, and the existence of an experienced and capable backup servicer. -- Morningstar DBRS has performed an operational risk review of UACC and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. Additionally, the Transaction has an acceptable backup servicer. -- The UACC senior management team has considerable experience and a successful track record within the auto finance industry. (4) The credit quality of the collateral and performance of UACC's auto loan portfolio. -- UACC originates collateral which generally has shorter terms, higher down payments, lower book values, and higher borrower income requirements than some other subprime auto loan originators. (5) 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. (6) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with UACC, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. UACC is a specialty finance company that has been engaged in the subprime automobile finance business since 1996. UACC purchases motor vehicle retail installment sales contracts from franchise and independent automobile dealerships throughout the U.S. UACST 2025-1 represents the 24th asset-backed securities transaction completed in UACC's history and offers both senior and subordinate rated securities. The receivables securitized in UACST 2025-1 are subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, and vans. The credit rating on the Class A Notes reflects 63.40% of initial hard credit enhancement provided by the subordinated notes in the pool (46.70%), the reserve fund (1.50% as a percentage of the initial collateral balance), and OC (15.20% of the initial pool balance). The credit ratings on the Class B, C, D, and E Notes reflect 49.50%, 40.50%, 26.50%, and 16.70% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. 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 for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. VASA 2021-VASA: DBRS Confirms BB Rating on Class D Certs -------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-VASA issued by VASA Trust 2021-VASA: -- Class A at AAA (sf) -- Class A-IO at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class B at A (high) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) All trends are Stable, with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the overall stable performance of the transaction since the last credit rating action, as evidenced by the annualized net cash flow (NCF) and occupancy rate for the trailing six-month (T-6) period ended June 30, 2024, of $31.6 million and 92.4%, respectively, relatively in line with the YE2023 figures of $32.6 million and 90.5%, respectively. The collateral consists of the borrower's fee and leasehold interest in a 576,921-square-foot (sf) mixed-use office and retail development in the heart of Mountain View, California, which is part of the Silicon Valley. The property was built in 2017 and consists of 456,760 sf (79.2% of the net rentable area (NRA)) of Class A office space and 120,161 sf (20.8% of the NRA) of ground/second-floor retail space. There is also a nine-story parking garage. The property benefits from its location within the highly developed and affluent Mountain View submarket, which has relatively high barriers to entry. Senior mortgage loan proceeds of $506.6 million along with $139.2 million of borrower equity were used to purchase the property at a cost of $603.0 million and fund $4.8 million of upfront reserves, cover outstanding leasing and gap rent shortfalls, and cover closing costs. The loan is structured with a two-year initial term that ended in April 2023 and three 12-month extension options. The floating-rate loan is interest only (IO) through the fully extended loan term. However, commencing after the fully extended anticipated repayment date (ARD) in April 2026, the loan is scheduled to hyper-amortize until the balance is repaid in full, subject to a final maturity date in July 2029. Per the most recent servicer commentary, the borrower does intend to exercise the ARD extension. The collateral's office component was originally 100.0% leased by LinkedIn but following Microsoft's acquisition of LinkedIn in 2016, Microsoft assigned the LinkedIn lease to WeWork and provided a guaranty on the assigned lease that extends through July 2029. The lease has a provision enabling the execution of license agreements instead of formal subleases; WeWork and Amazon have entered into a newly executed license agreement to fully occupy the entire office portion of 401 San Antonio (37.6% of NRA). Other tenants include LaceWork (7.5% of NRA) under a sublease, Earning (7.3% of NRA) under a newly executed license agreement, and Yahoo (13.2% of NRA) under an extended license agreement. The largest retail tenant at the property is ShowPlace ICON Theatre (8.8% of NRA) and has a lease expiration in December 2040. Microsoft is subject to an absolute and unconditional guarantee of the payment and performance of WeWork's covenants, obligations, liabilities, and duties that arise in relation to the leased space through July 2029. Given the stable performance over the past year, in the current review, Morningstar DBRS maintained its analytical approach from the prior credit rating action in April 2024, when Morningstar DBRS updated its value for the collateral buildings from the issuance analysis to reflect an increased capitalization (cap) rate of 7.25%, up from the issuance cap rate of 6.50%. The Morningstar DBRS NCF of $31.3 million derived at issuance was maintained and the resulting value was $432.3 million, a -32.5% variance from the issuance appraised value of $640.0 million and a loan-to-value ratio (LTV) of 117.0%. Morningstar DBRS also maintained positive qualitative adjustments totaling 5.75% to reflect the portfolio's generally low cash flow volatility, good property quality, and strong market fundamentals. For more information regarding the approach and analysis conducted, please refer to the press release for this transaction dated April 15, 2024, on Morningstar DBRS' website. Overall, Morningstar DBRS has a favorable outlook on the property throughout the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE XXIX: Moody's Cuts Rating on $26MM Class E Notes to B1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture XXIX CLO, Limited: US$59,500,000 Class B-R Senior Secured Floating Rate Notes due 2030 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on March 23, 2021 Assigned Aa1 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on August 30, 2022 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on October 30, 2020 Confirmed at Ba3 (sf) Venture XXIX CLO, Limited, originally issued in September 2017 and partially refinanced in March 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in September 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class B-R Notes and the Class C Notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2024. The Class A-R notes have been paid down by approximately 54.1% or $152.1 million since then. Based on the trustee's February 2025 report, the OC ratios for the Class A-R/Class B-R, and Class C notes are reported at 136.11% and 120.82%[1], respectively, versus February 2024 levels of 130.43% and 119.87%[2], respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's February 2025 report, the OC ratio for the Class E notes is reported at 99.41%[3] versus February 2024 level of 103.78%[4]. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3433[5], compared to 2703[6] in February 2024, failing the maximum test level of 2959. Moody's notes that the February 2025 trustee-reported OC ratios do not reflect the February 2025 payment distribution, when $48.3 million of principal and interest proceeds were used to pay down the Class A-R Notes. No actions were taken on the Class A-R and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $286,154,808 Defaulted par: $5,238,257 Diversity Score: 59 Weighted Average Rating Factor (WARF): 3333 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.82% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.21% Weighted Average Life (WAL): 2.85 years Par haircut in OC tests: 4.0% 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, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VIBRANT CLO IX-R: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Vibrant CLO IX-R, Ltd. Entity/Debt Rating ----------- ------ Vibrant CLO IX-R, Ltd. A-1 LT NRsf New Rating A-1 Loan LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Vibrant CLO IX-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.73, versus a maximum covenant, in accordance with the initial expected matrix point of 26.58. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.94% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.15% versus a minimum covenant, in accordance with the initial expected matrix point of 72.47%. 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 resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 2.1-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 six months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'BB-sf' and 'A-sf' for class C-1, between 'B+sf' and 'BBB+sf' for class C-2, 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 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, '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 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 Vibrant CLO IX-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. VOYA CLO 2017-3: S&P Assigns BB- (sf) Rating on Class D-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-RR, A-2a-RR, B-RR, C-RR, and D-RR replacement debt from Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC, a CLO managed by Voya Alternative Asset Management LLC that was originally issued in July 2017 and underwent a reset on April 1, 2021. At the same time, S&P withdrew its ratings on the class A-1-R, A-2a-R, B-R, C-R, and D-R debt following payment in full on the March 21, 2025, refinancing date. S&P also affirmed its ratings on the class A-2b-R and E-R notes, which were not refinanced. S&P did not rate the class X-R note, which was not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to March 21, 2026. Replacement And April 2021 Issuances Replacement debt -- Class A-1-RR, $362.00 million: Three-month CME term SOFR + 1.06% -- Class A-2a-RR, $73.00 million: Three-month CME term SOFR + 1.60% -- Class B-RR, $36.00 million: Three-month CME term SOFR + 2.05% -- Class C-RR, $32.75 million: Three-month CME term SOFR + 3.10% -- Class D-RR, $21.00 million: Three-month CME term SOFR + 5.80% April 2021 debt -- Class A-1-R, $362.00 million: Three-month CME term SOFR + 1.04% -- Class A-2a-R, $73.00 million: Three-month CME term SOFR + 1.55% -- Class B-R, $36.00 million: Three-month CME term SOFR + 2.00% -- Class C-R, $32.75 million: Three-month CME term SOFR + 3.15% -- Class D-R, $21.00 million: Three-month CME term SOFR + 6.95% 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 D-RR and 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 D-RR debt (the same rating as on the class D-R debt prior to withdrawal; see ratings list below) and affirmed our rating on the class E-R note. 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 Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC Class A-1-RR, $362.00 million: AAA (sf) Class A-2a-RR, $73.00 million: AA (sf) Class B-RR, $36.00 million: A (sf) Class C-RR, $32.75 million: BBB- (sf) Class D-RR, $21.00 million: BB- (sf) Ratings Withdrawn Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2a-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Class C-R to NR from 'BBB- (sf)' Class D-R to NR from 'BB- (sf)' Ratings Affirmed Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC Class A-2a-R: AA (sf) Class E-R: B- (sf) Other Debt Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC X-R notes, $1.43 million: NR Subordinated notes, $53.30 million: NR NR--Not rated. VOYA CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2025-1, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2025-1, Ltd. X 92945JAA1 LT NRsf New Rating NR(EXP)sf A-1 92945JAB9 LT NRsf New Rating NR(EXP)sf A-2 92945JAC7 LT AAAsf New Rating AAA(EXP)sf B 92945JAD5 LT AAsf New Rating AA(EXP)sf C 92945JAE3 LT Asf New Rating A(EXP)sf D-1 92945JAF0 LT BBB-sf New Rating BBB-(EXP)sf D-2 92945JAG8 LT BBB-sf New Rating BBB-(EXP)sf E 92945LAA6 LT BB-sf New Rating BB-(EXP)sf Subordinated Notes 92945LAB4 LT NRsf New Rating NR(EXP)sf Transaction Summary Voya CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.27, 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 97.6% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.47% versus a minimum covenant, in accordance with the initial expected matrix point of 69.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 17 March 2025 ESG Considerations Fitch does not provide ESG relevance scores for Voya 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. WELLS FARGO 2016-C33: DBRS Cuts Class X-E Certs Rating to B ----------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C33 issued by Wells Fargo Commercial Mortgage Trust 2016-C33 as follows: -- Class X-D to BB (low) (sf) from BBB (low) (sf) -- Class D to B (high) (sf) from BBB (low) (sf) -- Class X-E to B (sf) from BB (sf) -- Class E to B (low) (sf) from BB (low) (sf) -- Class X-F to CCC (sf) from B (sf) -- Class F to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-3 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 X-B at A (sf) -- Class C at A (low) (sf) Morningstar DBRS changed the trend on Class C to Negative from Stable, and the trends on Classes D, E, X-D, and X-E remain Negative. All other trends are Stable, with the exception of Classes F and X-F, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for the pool, primarily driven by the specially serviced loan, Omni Officentre (Prospectus ID#10, 2.8% of the current pool balance). Morningstar DBRS analyzed the loan with a liquidation scenario based on an updated appraisal showing significant value decline from issuance. Liquidated losses would erode approximately half of the nonrated Class G certificate principal balance, reducing credit support for Classes D, E, and F. Additionally, Morningstar DBRS has concerns regarding the significant concentration of loans collateralized by office properties, which cumulatively comprise 27.2% of the pool balance, a contributing factor for the credit rating downgrades and the Negative trend on Class C. Of particular concern is the second-largest loan on the servicer's watchlist, Brier Creek Corporate Center I & II (Prospectus ID#7, 3.8% of the current pool balance), backed by a portfolio of two Class B office buildings in Raleigh, North Carolina, that have suffered performance declines following the loss of two large tenants in 2020 and 2021. Morningstar DBRS also notes that Business & Research Center at Garden City (Prospectus ID#4, 6.2% of the pool), the pool's second-largest office loan, has two tenants in place through 2029 for just under 95.0% of the net rentable area (NRA); however, Loopnet shows approximately 22.0% of the NRA at the flex (office/industrial) property as available for lease as of March 6, 2025, suggesting there may be some dark space that could complicate a refinance. Morningstar DBRS also notes that interest shortfalls continue to accumulate for the nonrated Class G certificate, attributed primarily to the Brier Creek Corporate Center I & II loan. Although shortfalls are currently contained to the first loss certificate, Morningstar DBRS expects those will increase and move up the capital stack as the maturity dates for the underperforming office loans get closer and as loans that cannot refinance are transferred to special servicing. The credit rating confirmations higher in the capital stack reflect Morningstar DBRS' view that most of the loans in the pool are performing generally in line with issuance expectations, with loans secured by retail, hotel, self-storage, and multifamily property types representing 16.6%, 12.1%, 12.0%, and 10.9% of the pool, respectively. In addition, the pool benefits from 17 defeased loans, which represent 20.5% of the pool balance. Scheduled loan repayments and amortization have reduced the balance of the top two classes at issuance, Classes A-1 and A-2, to zero, with Class A-3 paid down by just over one-third as of the February 2025 remittance. The pool's largest office loan, 225 Liberty Street (Prospectus ID#3, 8.0% of the pool), is shadow-rated investment grade, and loans representing more than 20.0% of the pool are reporting debt service coverage ratios (DSCRs) in excess of 2.0 times. As of the February 2025 remittance, 66 of the original 79 loans remained in the pool, with a current trust balance of $506.9 million, representing a collateral reduction of 28.8% since issuance. The trust has incurred just under $1.0 million in realized losses to date, contained to the nonrated Class G certificate. There are nine loans (24.9% of the current pool balance) on the servicer's watchlist and one loan in special servicing (the aforementioned Omni Officentre loan). Since the previous credit rating action, the Holiday Inn Express & Suites Columbia loan (Prospectus ID#30, previously 1.3% of the pool) has been disposed, with a $100,000 realized loss to the trust. The Omni Officentre loan is secured by two suburban Class B office buildings in Southfield, Michigan, totaling 294,090 square feet (sf). The former largest tenant, Blue Cross Blue Shield (BCBS) (previously 40.0% of the NRA), vacated the property in January 2020 prior to its June 2022 lease expiration. Although the tenant continued paying rent until the end of the lease term, the departure triggered a cash flow sweep. Without BCBS, the property's in-place cash flow fell below breakeven, leading to a transfer to special servicing in August 2022 when the borrower was unwilling to fund shortfalls or otherwise contribute additional capital to the property. A receiver has been appointed, and an auction sale is to be scheduled for the coming months. The servicer's August 2024 site inspection reported an occupancy rate of just 16.9% for the property. Even before BCBS' departure, occupancy had been declining, with the servicer reporting an occupancy rate of 61.4% at YE2021, down from 81.0% at issuance. By means of comparison, the North Southfield submarket had a Q4 2024 average vacancy rate of 27.1%, according to Reis. The property was appraised in September 2024 for $4.8 million, an 80.0% decline from the issuance appraisal value of $24.0 million. Morningstar DBRS analyzed the loan with a liquidation scenario by applying a 30.0% haircut to the September 2024 appraised value, resulting in a full loss to the loan. Brier Creek Corporate Center I & II has been on the servicer's watchlist for low occupancy and DSCR since September 2021, following the departure of the two former largest tenants, Stock Building Supply (previously 25.0% of the NRA) and UCB Biosciences (previously 50.0% of the NRA), in 2020 and 2021, respectively. According to the September 2024 rent roll, the subject was just 36.0% occupied, down from 94.0% at issuance. By comparison, the Research Triangle Park submarket reported a Q4 2024 vacancy rate of 28.4%, according to Reis. Given the performance declines and likely resulting sharp decline in the property's as-is value, Morningstar DBRS considered a stressed scenario in the analysis for this loan. Morningstar DBRS applied a 40.0% probability of default penalty and stressed the loan-to-value ratio based on a 75.0% haircut to the issuance appraised value, resulting in an expected loss that is more than three times the pool average. One loan, 225 Liberty Street, was shadow-rated investment grade by Morningstar DBRS at issuance. The subject, sponsored by Brookfield, is the largest of the four Brookfield Place towers, a development that consists of 7.1 million sf of office space and approximately 340,000 sf of lifestyle-oriented retail and public space. This loan is part of a $900 million whole loan that is secured by a 2.4-million-sf Class A office property in Manhattan's Downtown West submarket. The specific $40.5 million Note A-1F is included in the senior loan amount of $459 million, while the remainder of the whole loan is structured as a subordinate B note securitized in the 225 Liberty Street Trust 2016-225L single-asset/single-borrower transaction, which is also rated by Morningstar DBRS. The collateral property has maintained a stable occupancy rate between 90% and 95% since issuance. With this review, Morningstar DBRS confirmed that the loan's performance remains in line with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2018-C44: Fitch Lowers Rating on Class F Debt to CCCsf ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2018-C43 (WFCM 2018-C43) and has assigned a Negative Outlook to class E following its downgrade. Additionally, Fitch has downgraded seven and affirmed eight classes of Wells Fargo Commercial Mortgage Trust 2018-C44 (WFCM 2018-C44) and has assigned a Negative Outlook to classes A-S, B, X-B, C, D, X-D and E-RR following their downgrades. Fitch also affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2018-C45 (WFCM 2018-C45). The Outlook for classes E-RR, F-RR and G-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Wells Fargo Commercial Mortgage Trust 2018-C45 A-3 95001NAX6 LT AAAsf Affirmed AAAsf A-4 95001NAY4 LT AAAsf Affirmed AAAsf A-S 95001NBB3 LT AAAsf Affirmed AAAsf A-SB 95001NAW8 LT AAAsf Affirmed AAAsf B 95001NBC1 LT AAsf Affirmed AAsf C 95001NBD9 LT A-sf Affirmed A-sf D 95001NAC2 LT BBBsf Affirmed BBBsf E-RR 95001NAE8 LT BBB-sf Affirmed BBB-sf F-RR 95001NAG3 LT BBsf Affirmed BBsf G-RR 95001NAJ7 LT Bsf Affirmed Bsf H-RR 95001NAL2 LT CCCsf Affirmed CCCsf X-A 95001NAZ1 LT AAAsf Affirmed AAAsf X-B 95001NBA5 LT A-sf Affirmed A-sf X-D 95001NAA6 LT BBBsf Affirmed BBBsf WFCM 2018-C43 A-3 95001LAT9 LT AAAsf Affirmed AAAsf A-4 95001LAU6 LT AAAsf Affirmed AAAsf A-S 95001LAX0 LT AAAsf Affirmed AAAsf A-SB 95001LAS1 LT AAAsf Affirmed AAAsf B 95001LAY8 LT AAsf Affirmed AAsf C 95001LAZ5 LT A+sf Affirmed A+sf D 95001LAC6 LT BBB-sf Affirmed BBB-sf E 95001LAE2 LT Bsf Downgrade BB-sf F 95001LAG7 LT CCCsf Downgrade B-sf X-A 95001LAV4 LT AAAsf Affirmed AAAsf X-B 95001LAW2 LT A+sf Affirmed A+sf X-D 95001LAA0 LT BBB-sf Affirmed BBB-sf WFCM 2018-C44 A-2 95001JAT4 LT AAAsf Affirmed AAAsf A-3 95001JAU1 LT AAAsf Affirmed AAAsf A-4 95001JAW7 LT AAAsf Affirmed AAAsf A-5 95001JAX5 LT AAAsf Affirmed AAAsf A-S 95001JBA4 LT AA-sf Downgrade AAAsf A-SB 95001JAV9 LT AAAsf Affirmed AAAsf B 95001JBB2 LT A-sf Downgrade AA-sf C 95001JBC0 LT BBB-sf Downgrade A-sf D 95001JAC1 LT BB-sf Downgrade BBB-sf E-RR 95001JAE LT B-sf Downgrade BB-sf F-RR 95001JAG2 LT CCCsf Affirmed CCCsf G-RR 95001JAJ6 LT CCCsf Affirmed CCCsf X-A 95001JAY3 LT AAAsf Affirmed AAAsf X-B 95001JAZ0 LT A-sf Downgrade AA-sf X-D 95001JAA5 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.9% in WFCM 2018-C43, 9.4% in WFCM 2018-C44 and 6.3% in WFCM 2018-C45. Fitch Loans of Concerns (FLOCs) comprise eight loans (18.4% of the pool) in WFCM 2018-C43, including one loan expected to transfer to special servicing (2.3%); 12 loans (34.5%) in WFCM 2018-C44, including three specially serviced loans (8.9%); and 10 loans (28%) in WFCM 2018-C45, including one specially serviced loan (6.8%). The downgrades and Negative Outlook in WFCM 2018-C43 are due to increased overall pool loss expectations since Fitch's prior rating action, driven mainly by exposure to loans secured by office properties (29.3% excluding defeased loans), particularly FLOCs including Southpoint Office Center (5.5%) and Forest Office Park (2.9%), as well as performance concerns for Galleria Oaks (2.3%). The downgrades and Negative Outlooks in WFCM 2018-C44 are due to increased overall pool loss expectations since Fitch's prior rating action, driven by increased exposure for specially serviced loans Prince and Spring Street Portfolio (4.2%) and 1442 Lexington Ave (1.6%), as well as office exposure (33.2% excluding defeased loans) and performance concerns for FLOCs secured by office properties, particularly Dulaney Center (6.2%) and Re/Max Plaza (4.2%), which were assigned increased probabilities of default. The affirmations in WFCM 2018-C45 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the potential for increased expected losses from specially serviced Parkway Center (6.8%) and performance concerns for Springhill Suites - Lancaster, CA (1.4%). The largest contributor to overall loss expectations in WFCM 2018-C43 is the Southpoint Office Center loan, which is secured by a 14-story, LEED Silver certified office tower in Bloomington, MN with two adjacent east and west buildings, with a total net rentable area of 366,808-sf. The property has granular tenancy as outside of the two largest tenants, United Bankers Bank (11.4% NRA; expiration December 2025) and Marquette Transportation Finance (5.3% NRA; expiration December 2026), no other tenant occupies more than 5.3% of NRA. The loan is a FLOC given the low occupancy and submarket concerns. Wells Fargo (previously 18% of NRA) vacated in 2020 at lease expiration significantly decreasing the base rent for the property. Occupancy decreased to 66% at YE 2021 and has recovered marginally to 72% as of September 2024. Per CoStar, the I-494 Corridor submarket in Bloomington, MN had 13.4% vacancy and 23% availability rates. Fitch's 'Bsf' rating case loss of 31% (prior to concentration add-ons) reflects the YE 2023 NOI with no stress and an 11% cap rate, as well as a heightened probability of default. The Galleria Oaks loan is the second largest contributor to overall loss expectations and shows the second largest increase since Fitch's previous rating action. It is a FLOC due to low occupancy and is 60 days delinquent, as reported by the servicer. Located in Austin, TX, the retail property's occupancy dropped to 67% in September 2024, down from 84% at the end of 2022 and 85% at underwriting. Texas Card House | Austin Card Room LLC (5.6% NRA) vacated at their lease expiration in September 2024, further reducing occupancy to 61.2%. The loan was transferred to special servicing in April 2020 due to non-monetary default but returned to the master servicer as a corrected mortgage in April 2023. Fitch's 'Bsf' rating case loss of 32% (prior to concentration add-ons) reflects the YE 2023 NOI with a 7.50% stress and an 10.50% cap rate as well as a heightened probability of default. The Forest Office Park loan is the third largest contributor to overall loss expectations and largest increase in loss expectations since Fitch's previous review. The loan is a FLOC as, according to the servicer, the largest tenant, Commonwealth of VA (occupying 53.4% NRA and contributing 59% of the rent, with a lease expiring in June 2025), is planning to reduce its footprint at the property. Although the extent of the reduction is currently unknown, the tenant is expected to retain at least 50% of their space. The loan is secured by a 229,065-square-foot suburban office park located in Richmond, VA. Constructed in 1975, the five collateral properties are part of an office park comprising approximately 20 buildings. Fitch's 'Bsf' rating case loss of 24% (prior to concentration add-ons) reflects the YE 2023 NOI with a 25% stress and an 10.25% cap rate as well as a heightened probability of default. The largest contributor to overall loss expectations in WFCM 2018-C44 is the Dulaney Center loan which is a FLOC given the recent trip to special servicing, low occupancy and low NOI DSCR. The loan returned to the master servicer in October 2024 after previously transferring to special servicing in October 2023 for imminent monetary default. The loan is secured by a 316,348-sf, two-building suburban office center located in Towson, MD, approximately eight miles north of the Baltimore CBD. Occupancy and cash flow have been declining since 2019 because of lease rollovers. The YE 2023 NOI is 16% below the Fitch issuance NCF and as of September 2024 the property was 69% occupied compared to 86% at YE 2020 and 90% at underwriting. Occupancy is expected to decline further given that, per the servicer, Shumaker Williams (1.5%, expires September 2025) and Casey Overseas (0.7%, expires September 2025) have vacated ahead of lease expiration. Eyecare Services (3.7%, expires December 2027) has also vacated the space and is actively seeking a sublessor. Fitch's 'Bsf' rating case loss of 29% (prior to concentration add-ons) reflects the YE 2022 NOI with a 10% stress and an 10% cap rate as well as a heightened probability of default. The two specially serviced loans, 1442 Lexington Ave and Prince and Spring Street Portfolio, represent the second and third largest contributors to overall loss expectations, respectively. The loans both transferred to special servicing in 2020 due to pandemic related hardships. The 1442 Lexington Ave loan is secured by a 17-unit, seven story multifamily property located on the Upper East Side/Carnegie Hill in Manhattan and became REO in December 2024. The Prince and Spring Street Portfolio loan is secured by three mixed-use retail/multifamily properties located in the NoLita neighborhood of Manhattan, just east of SoHo. The lender continues to pursue foreclosure after the lender's motion for summary judgment was granted in May 2023 following the sponsor's appeal regarding a receivership order. Fitch's 'Bsf' rating case loss of 87% (prior to concentration add-ons) for 1442 Lexington Ave and 31% (prior to concentration add-ons) for Prince and Spring Street Portfolio reflects a stress to the most recently reported appraised value for each property. The Re/Max Plaza loan is the largest increase in expected losses since Fitch's prior review and the fourth largest driver of expected losses. It is classified as a FLOC due to increased sublease space and deteriorating vacancy and availability rates in the submarket. The property is a 12-story office building in Denver, CO, built in 2006, and is fully leased to Re/Max, with the lease set to expire simultaneously with the loan's maturity in April 2028. Per media reports from 2021, Re/Max was expected to vacate four floors at the property to allow for flexible work arrangements for employees. Per Fitch research, Re/Max has vacated 86,920 square feet (35.8% of NRA) compared to 65,190 square feet (26%) at Fitch's prior review. Comparable office properties in the Denver Tech Center office submarket have a 21.5% vacancy rate and a 27% availability rate, an increase from the previous review, which saw a 17.1% vacancy rate and 22% availability rate. Fitch's 'Bsf' rating case loss of 15% (prior to concentration add-ons) reflects a 25% stress to YE 2022 NOI and a 10% cap rate, as well as an elevated probability of default. The largest contributor to overall loss expectations in WFCM 2018-C45 is the specially serviced Parkway Center loan, secured by a six-building, 588,913-sf suburban office park near downtown Pittsburgh, PA. The loan was transferred to special servicing in November 2022 following a borrower's loan modification proposal and went into payment default as of the August 2024 remittance report, currently 90+ days delinquent. A foreclosure complaint has been filed, and a receiver is being sought. As of September 2024, occupancy was 54.9%, down from 58% at YE 2022 and 80% at YE 2021. However, a new 40,000-sf lease with Allegheny County is expected to increase occupancy to approximately 62%. Fitch's 'Bsf' rating case loss of 37% (prior to concentration add-ons) reflects the most recently reported appraised value. The Springhill Suites - Lancaster, CA loan represents the second largest contributor to overall loss expectations and shows the second largest increase in loss expectations since Fitch's previous review. It is a FLOC due to declining NOI since 2021, with NOI DSCR falling below 1.0x for the first time in the nine months ending September 2024. This decline is primarily due to reduced room revenue from falling ADR and occupancy rates, which dropped to 62% in September 2024 from 73% at YE 2021. Annualized September 2024 room revenue decreased by 21% compared to both YE 2021 and the issuer's underwritten amount, while expenses increased by 20% and 17%, respectively. Fitch's 'Bsf' rating case loss of 36% (prior to concentration add-ons) reflects the annualized Sept 2024 NOI with no stress and an 11.50% cap rate. Defeasance: Respective defeasance percentages in the WFCM 2018-C43, WFCM 2018-C44, and WFCM 2018-C45 transactions include 12.5% (11 loans), 5.5% (four loans) and 5.6% (six loans). Increased Credit Enhancement (CE): As of the February remittance report, the aggregate balances of the WFCM 2018-C43, WFCM 2018-C44, and WFCM 2018-C45 transactions have been reduced by 14.9%, 6.5%, and 10.5%, respectively, since issuance. Loan maturities are concentrated in 2028 with 46 loans for 87.3% of the pool in WFCM 2018-C43, 40 loans for 97.4% of the pool in WFCM 2018-C44, and 43 loans for 99.7% of the pool in WFCM 2018-C45. Cumulative interest shortfalls for the WFCM 2018-C43, WFCM 2018-C44, and WFCM 2018-C45 transactions are $68,500, $2.9 million, and $603,100, respectively; in all transactions, they are affecting the non-rated class G, H-RR, J-RR and VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, especially those with Negative Outlooks, 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 Southpoint Office Center, Forest Office Park and Galleria Oaks in in WFCM 2018-C43, Prince and Spring Street Portfolio, 1442 Lexington Ave, Dulaney Center and Re/Max Plaza in WFCM 2018-C44, and Parkway Center and Springhill Suites - Lancaster, CA in in WFCM 2018-C45. 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 of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Southpoint Office Center, Forest Office Park and Galleria Oaks in in WFCM 2018-C43, Prince and Spring Street Portfolio, 1442 Lexington Ave, Dulaney Center and Re/Max Plaza in WFCM 2018-C44, and Parkway Center and Springhill Suites - Lancaster, CA in in WFCM 2018-C45. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. 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 and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-VTT: DBRS Gives Prov. B Rating on HRR Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VTT (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-VTT (the Trust or the Issuer): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (high) (sf) -- Class HRR at (P) B (sf) All trends are Stable. The portfolio consists of six recently delivered Class A market-rate rental apartment buildings located throughout the Charleston metropolitan statistical area. The portfolio totals 1,643 units with a weighted-average (WA) in-place rent of $2,055 and WA unit size of 924 square feet (sf). The sponsor injected considerable investment since 2019 with capital improvements totaling more than $11.7 million, or $7,135 per unit. Upgrades include items such as clubhouse/common area painting, common area and fitness equipment, and cosmetic interior unit upgrades. Per the Issuer, approximately $1.4 million of additional capital for improvements at the properties such as exterior painting, replacement of hallway carpeting and interior unit upgrades on items such as cabinets, painting, and fixtures. The sponsor's primary business plan across the portfolio is to continue to stabilize occupancy while increasing rents. The sponsor acquired the portfolio assets one at a time through strategic off market transactions between 2019-22. The prior owners were mismanaging the properties and not maximizing potential. Starting in December 2022, the sponsor began increasing rents across its portfolio to market levels. Between December 2022 and December 2023, occupancy decreased 18.0%. However, the portfolio currently has an occupancy of 93.6% as of the January 2025 rent roll. Additionally, rental rates have increased 15.3% on average since December 2022, with some properties experiencing a 20% to 30% increase in rents. The limited seasoning of the portfolio is mitigated by two up-front reserves. The first reserve is a $1.06 million reserve, which will be released to the borrower upon the portfolio exceeding various occupancy hurdles. The second reserve totals $455,596 and is directly tied to the former condominium units at Parker Point, which will be used to pay debt service during the lease-up phase of these units. Since the acquisitions, the sponsorship injected considerable investment with capital improvements totaling more than $11.7 million, or $7,135 per unit. Upgrades include items such as clubhouse/common area painting, common area and fitness equipment, and cosmetic interior unit upgrades. Per the Issuer, approximately $1.4 million of additional capital was used for improvements at the properties such as exterior painting, replacement of hallway carpeting, and interior unit upgrades on items such as cabinets, painting, and fixtures. The overall portfolio appraised value is $521.4 million, which equates to a moderate appraised total debt loan-to-value ratio (LTV) of 67.4% (66.0% LTV based on the $532.5 million bulk sale value). The Morningstar DBRS-concluded value of $366.3 million ($222,946 per key) represents a significant 29.7% discount to the appraised value and results in a Morningstar DBRS whole-loan LTV of 96.0%, which is indicative of high-leverage financing; however, the Morningstar DBRS value is based on a capitalization rate (cap rate) of 6.70%, which represents a significant stress over current prevailing market cap rates. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-LC14: DBRS Cuts Rating on 3 Tranches to CCC ----------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC14 issued by WFRBS Commercial Mortgage Trust 2014-LC14 as follows: -- Class E to CCC (sf) from BB (sf) -- Class F to CCC (sf) from B (sf) -- Class X-C to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at BBB (low) (sf) -- Class X-B at BBB (sf) The trends on Classes D and X-B are Negative. Classes E, F, and X-C have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades on Classes E and F reflect ongoing accumulated interest shortfalls, which have persisted since July 2024 and exceed Morningstar DBRS' maximum tolerance of six months for the BB (sf) or B (sf) credit rating categories. As of the February 2025 remittance, the trust had accumulated approximately $3.7 million in interest shortfalls. Interest shortfalls continue to accrue each month, as three of the four remaining loans in the transaction are in default. As of the February 2025 remittance, the entirety of the scheduled interest due on Classes E, F, and G was not being advanced. The Negative trend on Class D reflects Morningstar DBRS' concern that, in the event the servicer deems loans nonrecoverable, interest shortfalls may increase to Class D. In its previous credit rating action in April 2024, Morningstar DBRS changed the trends on Classes D, X-B, E, F, and X-C to Negative from Stable to reflect liquidated loan loss expectations upon resolution, as well as the expectation that interest shortfalls would continue to increase as the pool became more concentrated with defaulted loans. Since April 2024, four loans have been repaid or liquidated from the trust. Three of the four remaining loans, representing 65.6% of the pool, are in special servicing. All three loans were specially serviced at the prior review. In its analysis for this review, Morningstar DBRS received updated appraisals for the collateral securing all three loans. To test the credit ratings' durability, Morningstar DBRS' analysis for this review maintained a liquidation scenario for these loans based on various stresses to the most recent appraised values. While the recoverability analysis indicates that losses are expected to be contained to the unrated Class G certificate, the credit ratings are constrained by Morningstar DBRS' tolerance for outstanding interest shortfalls as noted above. The largest loan, Williams Center Towers (Prospectus ID#6, 41.8% of the pool), is secured by an office complex totaling 765,809 square feet (sf) of space in the central business district (CBD) of Tulsa, Oklahoma. Occupancy began to decline at the subject in 2018, when the loan transferred to the special servicer following the bankruptcy of large tenant Samson Investment Company. By June 2023, occupancy had declined to 61.0%. Two updated appraisals were reported in 2024, with the March 2024 appraisal valuing the property at $40.6 million and the November 2024 appraisal valuing the property at $41.5 million following a slight increase in occupancy. As of the October 2024 rent roll, occupancy had improved slightly to 67.5%, with the debt service coverage ratio (DSCR) for the trailing three months ended March 31, 2024, reported at 0.91 times (x), also a slight increase from the YE2023 figure (which was 0.88x). While the submarket also showed improvement in 2024, with the submarket's vacancy dropping 2.0% to 20.1% as of Q4 2024 Reis reporting, the likelihood of a significant rebound remains low. Given the continued low occupancy, soft submarket, and limited investor appetite, Morningstar DBRS continues to expect a higher loss severity than indicated by the updated appraisals. For these reasons, Morningstar DBRS liquidated the loan in its current analysis, applying a 40% haircut to the November 2024 appraised value, resulting in a loss severity over 45.0%. The second-largest loan, Canadian Pacific Plaza (Prospectus ID#8, 34.5% of the pool), is secured by a 394,000-sf Class B office property in the Minneapolis CBD. The loan has been on the servicer's watchlist since June 2020 because of a significant drop in occupancy. For the trailing nine-month period ended September 30, 2024, the DSCR and occupancy were reported at 0.28x and 60.0%, respectively. While both figures are above the prior year's reporting, the poor performance remains a concern. The loan had an anticipated repayment date in November 2023 and is now scheduled to hyper-amortize through November 2028. According to the servicer's commentary, the loan is in cash management but remains current on payments as the borrower continues to fund out of pocket. The loan's continued deleveraging mitigates some of the above-noted concerns. The current loan-to-value ratio (LTV) is 62.2% based on the issuance appraised value, down from the issuance LTV of 74.3%; however, given the significantly depressed performance and soft submarket, Morningstar DBRS expects that the property value has declined since issuance, increasing the default risk for this loan. Notes: All figures are in U.S. dollars unless otherwise noted. WHITNEY FUNDING: DBRS Confirms Provisional B(low) on Class E Loans ------------------------------------------------------------------ DBRS, Inc. confirmed its provisional credit ratings on the Class A Loan, the Class B Loan, the Class C Loan, the Class D Loan, and the Class E Loan (collectively, the Loans) issued by Whitney Funding, LLC, pursuant to the terms of the Second Amended and Restated Loan Agreement (the Loan Agreement) dated December 15, 2022, among Whitney Funding, LLC as Borrower; Delaware Life Insurance Company as a Lender and the Managing Lender; and Alter Domus (US) LLC as the Paying Agent and Calculation Agent: -- Class A Loan: (P) AA (low) (sf) -- Class B Loan: (P) A (low) (sf) -- Class C Loan: (P) BBB (sf) -- Class D Loan: (P) BB (low) (sf) -- Class E Loan: (P) B (low) (sf) The provisional credit rating on the Class A Loan addresses the timely payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034. The provisional credit ratings on the Class B Loan, Class C Loan, Class D Loan, and Class E Loan address the ultimate payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034. A provisional credit rating is not a final rating with respect to the Loans and may change or be different than the final rating assigned or may be discontinued. The assignment of final ratings on the Loans is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the ratings, including, for the Loans: completion of the funding period, up to the Maximum Commitment Amount (as defined in the Loan Agreement) and satisfaction of the Portfolio Criteria (as defined in the Loan Agreement). Failure by the Borrower to complete the above conditions, as described in the Loan Agreement, may result in the provisional ratings not being finalized or being finalized at different ratings than the assigned provisional ratings. Should a Distribution Event (as defined in the Loan Agreement) occur, the Designated Lender (as defined in the Loan Agreement) shall have the right at any time, upon written notice to the Borrower, the Paying Agent, and the Rating Agency, to instruct the Paying Agent to distribute the Borrower's assets to the Designated Lenders. In consideration therefor, the Aggregate Loan Balance of the Loans will be reduced to zero and all obligations of the Borrower (except those that expressly survive the termination of the Loan Agreement) shall be deemed satisfied. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. The Borrower is a bankruptcy-remote special-purpose vehicle set up by Delaware Life Insurance Company as the Managing Lender and Servicer. At the time of this rating action, Morningstar DBRS understands that Delaware Life Insurance Company is the sole Lender to the Borrower (though Delaware Life Insurance Company may sell or assign the Loans following the closing). As such, as of this date, certain key parties to this transaction are related parties. In addition, Delaware Life Insurance Company engaged Morningstar DBRS for the determination of the credit ratings on the Loans. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024). The Scheduled Reinvestment Period Termination Date is three years following the DBRS Final Ratings Effective Date (as defined in the Loan Agreement). The Legal Final Maturity Date is December 18, 2034. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of March 14, 2025, the Borrower is in compliance with all performance metrics. In its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review. The Loans issued by the Borrower are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Whitney Funding, LLC is managed by Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company an acceptable collateralized loan obligation (CLO) manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination. (3) The ability of the Tranche Amounts and the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (5) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Notes: All figures are in U.S. dollars unless otherwise noted. WOODMONT 2023-11: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt debt from Woodmont 2023-11 Trust, a CLO managed by MidCap Financial Services Capital Management LLC, a subsidiary of Apollo Global Management Inc. that was originally issued in May 2023. The preliminary ratings are based on information as of March 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 23, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The replacement class C-R and D-R debt is expected to be assigned ratings one notch below the original corresponding debt. -- The stated maturity, reinvestment period, and non-call period will all be extended two years. -- A maximum of 10.00% of the loans in the collateral pool can be covenant-lite. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Woodmont 2023-11 Trust Class A-1-R, $522.00 million: AAA (sf) Class A-2-R, $36.00 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R, $72.00 million: A (sf) Class D-R, $54.00 million: BBB- (sf) Class E-R, $54.00 million: BB- (sf) Other Debt Woodmont 2023-11 Trust Certificates, $113.28 million: NR NR--Not rated. [] DBRS Confirms Ratings on All 39 Classes Over 8 Transactions -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all 39 classes across eight data center transactions. All trends are Stable. The Affected Ratings are available at https://bit.ly/41XgdMR The Issuers are: Compass Datacenters Issuer II, LLC Series 2024-2 CONE Trust 2024-DFW1 DATA Trust 2024-CTR2 DC Commercial Mortgage Trust 2023-DC BX Commercial Mortgage Trust 2021-VOLT BX Commercial Mortgage Trust 2023-VLT3 J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-DATA Compass Datacenters Issuer II, LLC Series 2024-1 The credit rating confirmations reflect the overall stable performance of the transactions, which have remained in line with Morningstar DBRS' expectations. Of these eight data center transactions, four were reviewed as part of Morningstar DBRS' last bulk credit rating action, published on March 20, 2024, when Morningstar DBRS finalized the "Rating and Monitoring Data Center Transactions" methodology. Since then, six additional data center transactions have closed and are being reviewed as part of the current credit rating action, with the exception of Switch ABS Issuer, LLC, Series (Switch) 2024-1 and Switch 2024-2. Within the eight transactions, all of the underlying loans, which are interest only (IO), are current on their debt service payments as of the February 2025 reporting, with no loans on the servicer's watchlist nor in special servicing. Two loans (within BX Commercial Mortgage Trust (BX) 2021-VOLT and BX 2023-VLT3) are set to mature in the second half of 2025 and both have one-year extension options available to which Morningstar DBRS remains cautiously optimistic about its execution. The full list of the credit ratings on the classes in these eight transactions can be found at the end of this press release. The eight transactions are secured by 29 data center properties located in various states across the U.S., with prevalent concentration in Northern Virginia, Texas, and Georgia, among others. The majority of the loans are secured by hyperscale data centers, which require power usage greater than five megawatt and are designed for large capacity storage and processing of information. Only one loan, within CONE Trust 2024-DFW1, is collateralized by a co-location center, which typically acts as an on-ramp for users to gain access to a wider network, or for information from the network to be routed back to users. Five transactions are backed by portfolios that consist of three to 10 data center properties. Individual property releases are permitted via release premiums ranging from 105.0% to 115.0% on various portions of the allocated loan amount across these transactions. In general, Morningstar DBRS applies a penalty to the loan-to-value ratio (LTV) Sizing Benchmarks of the portfolio transactions that have release premiums below the Morningstar DBRS credit-neutral standard of 115.0%. To date, there have been no property releases reported. Additional penalties were also applied to account for the lack of warm body guarantors for applicable transactions. At large, Morningstar DBRS takes a positive view on the credit profile of the subject transactions based on the centers' strong property qualities, experienced operators, high historical occupancy rates with investment-grade tenant exposure, desirable efficiency metrics, and stable redundancy. There are three loans secured by single tenant data center properties (within BX 2023-VLT3, JPMCC Mortgage Securities Trust 2022-DATA, Compass Datacenters Issuer II LLC (Compass) 2024-1 and Compass 2024-2), that are each occupied by an investment-grade tenant on a long-term lease. Although these tenants have termination options available, they are subject to conservative termination penalties, including termination fees and/or cash flow sweep triggers. As such, Morningstar DBRS believes these tenants are materially motivated to remain at their respective data centers during their initial lease terms. To date, Morningstar DBRS has not received any updates regarding the execution of the termination options. Given the stable performance of the underlying properties over the past year, per the most recent financials that Morningstar DBRS has on file, as well as the recent vintage of the transactions that closed in 2024, Morningstar DBRS maintained its analytical approach from the prior credit rating actions, which incorporated the Morningstar DBRS "Rating and Monitoring Data Center Transactions" methodology and the Morningstar DBRS Data Center - Base LTV Sizing Benchmarks. The Morningstar DBRS net present values (NPVs) for the underlying properties were determined based on the Morningstar DBRS Periodic net cash flows (NCFs) that were projected for each year through the loans' respective expected maturity dates. Reversionary cap rates ranging from 7.0% to 7.50% were then applied, to reflect the location, data center type, and the current interest rate environment, while discount rates ranging from 7.75% to 9.0% were assumed, to derive the Morningstar DBRS reversion values and NPVs. The resulting LTVs for the subject transactions ranged between 50.0% and 90.1%. Additionally, Morningstar DBRS maintained the net positive qualitative adjustments to the LTV sizing benchmarks for all of the transactions, which ranged between 5.5% and 7.0%, to reflect the centers' strong power capabilities, stable connectivity, varying levels of redundancy, and/or the credit-positive deal structure. Morningstar DBRS did not give benefit to the LTV Sizing Benchmarks regarding renewable energy for any of the subject transactions. For more information on the approach and analysis conducted, please refer to the press release of the last data center bulk credit rating action, as mentioned above, and the provisional press releases of the individual transactions that closed in 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Hikes 10 Ratings From 10 Flagship Trust Transactions ------------------------------------------------------------ DBRS, Inc. upgraded 10 credit ratings and confirmed 14 credit ratings from ten Flagship Credit Auto Trust transactions. The Affected Ratings are available at https://tinyurl.com/mr77z75n The Issuers are: Flagship Credit Auto Trust 2021-1 Flagship Credit Auto Trust 2020-4 Flagship Credit Auto Trust 2020-2 Flagship Credit Auto Trust 2021-2 Flagship Credit Auto Trust 2020-1 Flagship Credit Auto Trust 2019-4 Flagship Credit Auto Trust 2020-3 Flagship Credit Auto Trust 2019-3 Flagship Credit Auto Trust 2021-3 Flagship Credit Auto Trust 2021-4 The credit rating actions are based on the following analytical considerations: -- For Flagship Credit Auto Trust 2019-3 through Flagship Credit Auto Trust 2021-2, current losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For Flagship Credit Auto Trust 2021-3 and Flagship Credit Auto Trust 2021-4, 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). [] DBRS Hikes 8 Ratings From 8 Flagship Trust Transactions ---------------------------------------------------------- DBRS, Inc. upgraded eight credit ratings, confirmed 31 credit ratings and downgraded three credit ratings from eight Flagship Credit Auto Trust transactions. The Affected Ratings are available at https://tinyurl.com/yku9tk2a The Issuers are: Flagship Credit Auto Trust 2022-2 Flagship Credit Auto Trust 2024-1 Flagship Credit Auto Trust 2022-4 Flagship Credit Auto Trust 2022-1 Flagship Credit Auto Trust 2023-3 Flagship Credit Auto Trust 2023-2 Flagship Credit Auto Trust 2023-1 Flagship Credit Auto Trust 2022-3 The credit rating actions are based on the following analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the February 2025 payment date. -- Flagship Credit Auto Trust 2022-1 has amortized to a pool factor of 28.72% and has a current cumulative net loss (CNL) to date of 13.62%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 16.50%. The current level of hard Credit Enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- Flagship Credit Auto Trust 2022-2 has amortized to a pool factor of 33.70% and has a current CNL to date of 17.24%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.60%. Consequently, the revised base-case loss expectation was increased to 23.50%. The current overcollateralization amount is 0.00% relative to the target of 7.25% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.05% of the initial aggregate pool balance. The RA amount has declined since OC has been fully depleted. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class D Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class A-3 Notes, the Class B Notes and the Class C Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- For the Class E Notes in Flagship Credit Auto Trust 2022-2, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf) on September 16, 2024. In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive the full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2022-3 has amortized to a pool factor of 37.55% and has a current CNL to date of 16.63%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 23.75%. The current overcollateralization amount is 1.20% relative to the target of 6.70% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.00% of the initial aggregate pool balance. The RA amount has increased to 4.39% of the current pool balance. The current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class A-3 Notes, the Class B Notes, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- Flagship Credit Auto Trust 2022-4 has amortized to a pool factor of 43.60% and has a current CNL to date of 14.16%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.15%. Consequently, the revised base-case loss expectation was increased to 21.75%. The current overcollateralization amount is 7.75% relative to the target of 9.90% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.00% of the initial aggregate pool balance. The RA amount has increased to 3.24% of the current pool balance. The current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class A-3 Notes, the Class B Notes, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- For Flagship Credit Auto Trust 2023-1, Flagship Credit Auto Trust 2023-2, Flagship Credit Auto Trust 2023-3, and Flagship Credit Auto Trust 2024-1, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread is sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- 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. Flagship Credit Auto Trust 2022-1, Flagship Credit Auto Trust 2022-2, Flagship Credit Auto Trust 2022-3, Flagship Credit Auto Trust 2022-4, Flagship Credit Auto Trust 2023-1, Flagship Credit Auto Trust 2023-2 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. Flagship Credit Auto Trust 2023-3 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 for each of the rated notes are the related Accrued Note Interest and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the interest on unpaid Accrued Note Interest for each of the rated notes. 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. Flagship Credit Auto Trust 2024-1 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 for each of the rated notes are the related Accrued Note Interest 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). [] DBRS Reviews 214 Classes From 31 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 214 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, 16 are classified as non-qualified mortgage transactions, and 15 are classified as seasoned or re-performing loans. Of the 214 classes reviewed, Morningstar DBRS upgraded its credit ratings on 62 classes and confirmed its credit ratings on 152 classes. The Affected Ratings are available at https://bit.ly/4hMQVpm The Issuers are: MFA 2021-NQM1 Trust RUN 2022-NQM1 Trust MFA 2022-INV1 Trust PRPM 2024-NQM1 Trust Visio 2021-1R Trust GCAT 2019-RPL1 Trust A&D Mortgage Trust 2023-NQM3 Verus Securitization Trust 2021-2 Verus Securitization Trust 2021-4 Legacy Mortgage Asset Trust 2020-RPL1 Mill City Mortgage Loan Trust 2023-NQM2 Grove Funding III Trust 2024-1 MetLife Securitization Trust 2019-1 MetLife Securitization Trust, 2017-1 Verus Securitization Trust 2020-5 Verus Securitization Trust 2023-5 Verus Securitization Trust 2020-4 Verus Securitization Trust 2021-R3 Mill City Mortgage Loan Trust 2017-2 Mill City Mortgage Loan Trust 2018-1 Mill City Mortgage Loan Trust 2018-3 Mill City Mortgage Loan Trust 2019-1 Mill City Mortgage Loan Trust 2018-2 Mill City Mortgage Loan Trust 2017-3 Mill City Mortgage Loan Trust 2018-4 Starwood Mortgage Residential Trust 2021-2 Verus Securitization Trust 2024-INV1 Mill City Mortgage Loan Trust 2019-GS1 Mill City Mortgage Loan Trust 2019-GS2 Mill City Mortgage Loan Trust 2016-1 Mill City Mortgage Loan Trust 2017-1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 266 Classes From 33 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 266 classes from 33 U.S. residential mortgage-backed securities (RMBS) transactions. All 33 transactions reviewed are classified as re-performing loans. Of the 266 classes reviewed, Morningstar DBRS upgraded its credit ratings on 62 classes and confirmed its credit ratings on 204 classes. The Affected Ratings are available at https://tinyurl.com/ypcn4fze The Issuers are: PRET 2024-RPL1 Towd Point Mortgage Trust 2017-5 Towd Point Mortgage Trust 2015-5 Towd Point Mortgage Trust 2015-3 Towd Point Mortgage Trust 2019-3 Towd Point Mortgage Trust 2017-6 Towd Point Mortgage Trust 2015-6 Towd Point Mortgage Trust 2017-3 Towd Point Mortgage Trust 2015-2 Towd Point Mortgage Trust 2018-2 Towd Point Mortgage Trust 2017-4 Towd Point Mortgage Trust 2019-1 Towd Point Mortgage Trust 2019-4 Towd Point Mortgage Trust 2015-4 Towd Point Mortgage Trust 2018-6 Towd Point Mortgage Trust 2018-3 Towd Point Mortgage Trust 2019-2 Towd Point Mortgage Trust 2019-HY2 Towd Point Mortgage Trust 2019-HY3 Towd Point Mortgage Trust 2019-HY1 Towd Point Mortgage Trust 2022-SJ1 Towd Point Mortgage Trust 2016-1 Towd Point Mortgage Trust 2016-4 Towd Point Mortgage Trust 2017-1 Towd Point Mortgage Trust 2016-2 Towd Point Mortgage Trust 2015-1 Towd Point Mortgage Trust 2018-1 Towd Point Mortgage Trust 2016-5 Towd Point Mortgage Trust 2017-2 Towd Point Mortgage Trust 2016-3 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 71 Classes From 14 U.S. RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 71 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 14 transactions reviewed, eight are classified as synthetic RMBS and six are ReREMICs of legacy RMBS. Morningstar DBRS confirmed its credit ratings on 71 classes. The Affected Ratings are available at https://bit.ly/4kT106K The Issuers are: RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2 BCAP LLC 2008-RR2 Trust Morgan Stanley Resecuritization Trust 2015-R2 J.P. Morgan Resecuritization Trust, Series 2010-1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS3 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Takes Credit Rating Actions on 9 Real Estate Transactions ----------------------------------------------------------------- DBRS Limited conducted its surveillance review of nine small-balance commercial real estate (CRE) transactions, which included 111 classes. Morningstar DBRS confirmed the credit ratings on 75 classes across all of the transactions and upgraded the credit ratings on 36 classes between the Silver Hill Trust 2019-SBC1 (SHT 2019-SBC1), Bayview Financing SBC Trust 2021-5F (BVRT 2021-5F), Sutherland 2029-SBC8 (SCMT 2019-SBC8), Sutherland 2021-SBC10 (SCMT 2021-SBC10), and Oceanview Mortgage Loan Trust 2020-SBC1 (OMLT 2020-SBC1) transactions. The trends on Classes B and C of SCMT 2021-SBC10 were changed to Stable from Positive. All other trends are Stable. The Issuers are: Angel Oak SB Commercial Mortgage Trust 2020-SBC1 BAMLL 2024-LB1 Sutherland Commercial Mortgage Trust 2021-SBC10 Cherrywood SB Commercial Mortgage Loan Trust 2016-1 Oceanview Mortgage Loan Trust 2020-SBC1 Sutherland Commercial Mortgage Trust 2019-SBC8 Silver Hill Trust 2019-SBC1 Oceanview Mortgage Trust 2022-SBC1 Bayview Financing SBC Trust 2021-5F The Affected Ratings are available at https://bit.ly/421CmIG The credit rating confirmations reflect the overall stable to improved performance of the transactions since Morningstar DBRS' prior review, while the credit rating upgrades generally reflect growth in credit support levels whether through principal repayments, increased prepayments, or increased defeasance. Excluding BAMLL 2024-LB1 (a recently closed transaction) and BVRT 2021-5F (a resecuritization of SHT 2019-SBC1), these transactions have experienced collateral reductions ranging between 19.9% and 88.7%, with a weighted-average (WA) figure of approximately 47.0% since issuance, compared with approximately 40.5% at the prior review. The concentration of delinquent loans has increased slightly, as did the WA coupon rate, which increased by just over 20 basis points. Prepayment figures slowed moderately on a trailing 12-month (T-12) basis but saw a significant uptick on a trailing three-month (T-3) basis. The majority of the loans are fully amortizing, with the exception of the SCMT 2021-SBC10 transaction, in which less than half the loans are fully amortizing; however, that transaction has experienced the largest collateral reduction since the prior review, increasing by 9.8%. According to the February 2025 reporting, 2,757 loans are secured across the transactions (excluding BVRT 2021-5F), with an aggregate outstanding balance of $2.7 billion. Of the 133 delinquent loans (6.9% of the aggregate outstanding balance), 49 loans (3.4% of the aggregate outstanding balance) were 120+ days delinquent, in foreclosure, real estate owned, or with borrowers in bankruptcy. The delinquent loans were analyzed with elevated probability of default (POD) penalties, with incrementally more punitive treatment applied, based on the length of delinquency or workout strategy to appropriately reflect the credit risk profile. Certain POD adjustments were also considered for loans secured by nontraditional property types, as well as amortization and loan prepayment, in addition to certain loss given default (LGD) penalties considered for the lack of environmental reporting, where applicable. Most of the loans that have repaid since issuance across all transactions were paid in advance of the respective maturity dates, with the most recent repayments including applicable prepayment penalties. Based on the most recent reporting available, these pools had WA life, T-12, and T-3 constant prepayment rates (CPRs) of 10.3%, 10.7%, and 14.5%, respectively. While the WA life and T-12 metrics generally reflected a decline from the previous years, the T-3 figure reflected a significant increase when compared with the February 2024 figure of 4.3%; likely a result of the recent decline in interest rates following the Federal Reserve's third cut in 2024. The "North American CMBS Insight Model" (CMBS Model) does not contemplate the ability to prepay loans, which is generally considered credit positive because prepaid loans cannot default. As a result, Morningstar DBRS applied the fully adjusted default assumptions and model-generated severity figures from the CMBS Model to the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model" (RMBS Model), which considers sequential and pro rata structures, for all transactions with the exception of Angel Oak SB Commercial Mortgage Trust 2020-SBC1 (AOMT 2020-SBC1) and Cherrywood SB Commercial Mortgage Loan Trust 2016-1 (Cherrywood 2016-1). Morningstar DBRS did not run an updated model for BAMLL 2024-LB1 given the transaction's recent close in December 2024. As part of the RMBS Model analysis, Morningstar DBRS incorporated four CPR stresses: 5.0%, 10.0%, 15.0%, and 20.0%. In addition, a 22-month recovery lag period (excluding SCMT 2021-SBC10, which assumed a recovery lag of six months given the seasoning of the deal), 100% servicer advancing, and two default curves (front and back) were considered. The shape and duration of the default curves were based on the RMBS loss curves. Lastly, interest rates were stressed upward and downward, based on the respective loan indexes. Generally, these pools are well-diversified, a factor that combines with the increased credit support to the rated classes from issuance (excluding SCMT 2021-SBC10, which has a pro rata structure) to generally reduce the loan-level event risk of the transaction. There are noteworthy risks for the transactions, however, in that property quality is generally considered to be Average -/Below Average based on those properties' samples and that the loan sponsors are generally less sophisticated operators of CRE with limited real estate portfolios and experience. These risks are partially mitigated by borrower or guarantor recourse, regardless of credit history. Morningstar DBRS notes that ongoing property financials are not provided as part of the surveillance reviews. Notes: All figures are in U.S. dollars unless otherwise noted. [] Fitch Affirms 47 FFELP Student Loan ABS From 20 Transactions --------------------------------------------------------------- Fitch Ratings has affirmed 47 Federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 20 transactions at their current levels. The Rating Outlooks remain unchanged for the classes of notes affirmed, except for SLM 2006-7 classes A-6A, A-6B and A-6C notes, whose Outlook was revised to Negative from Stable. Fitch has also downgraded seven FFELP SLABS ratings from six transactions. The class B notes of SLM 2006-5 were downgraded to 'BBsf' from 'Asf' and assigned a Negative Outlook. The class B notes of SLM 2006-9 were downgraded to 'BBsf' from 'BBBsf' and assigned a Negative Outlook, while the class A-5 notes of SLM 2007-4 were downgraded to 'BBBsf' from 'Asf' and assigned a Negative Outlook. The class B-2 notes of SLM 2007-5 were downgraded to 'BBsf' from 'BBBsf' and assigned a Negative Outlook. The class A-5 notes of SLM 2007-6 notes, and the classes A-5 and B notes of SLM 2007-8 were downgraded as to 'Bsf' from 'BBsf' and assigned a Stable Outlook. The affirmations of ratings in the 'Bsf' category are supported by qualitative factors such as the ability of the sponsor to call the notes upon reaching 10% pool factor, or evidence of sponsor support such as a revolving credit agreement, which allows the servicer to purchase loans from the trusts. Although the sponsor has the option but not the obligation to lend to the trust, Fitch does not give quantitative credit to these agreements. However, these agreements provide qualitative comfort that the sponsor is committed to limiting investors' exposure to maturity risk. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2003-11 A-7 78442GJT4 LT Bsf Affirmed Bsf B 78442GJY3 LT Bsf Affirmed Bsf SLM Student Loan Trust 2003-4 A-5A 78442GGD2 LT Bsf Affirmed Bsf A-5B 78442GGE0 LT Bsf Affirmed Bsf A-5C 78442GGF7 LT Bsf Affirmed Bsf A-5D 78442GGG5 LT Bsf Affirmed Bsf A-5E 78442GGN0 LT Bsf Affirmed Bsf B 78442GGM2 LT Bsf Affirmed Bsf SLM Student Loan Trust 2006-10 A-6 78443BAG1 LT AA+sf Affirmed AA+sf B 78443BAK2 LT Asf Affirmed Asf SLM Student Loan Trust 2005-4 A-4 78442GPH3 LT AA+sf Affirmed AA+sf B 78442GPL4 LT Asf Affirmed Asf SLM Student Loan Trust 2006-7 A-6A 78443GAF2 LT AA+sf Affirmed AA+sf A-6B 78443GAG0 LT AA+sf Affirmed AA+sf A-6C 78443GAH8 LT AA+sf Affirmed AA+sf B 78443GAJ4 LT Asf Affirmed Asf SLM Student Loan Trust 2007-1 A-6 78443VAG7 LT AAsf Affirmed AAsf B 78443VAJ1 LT Asf Affirmed Asf SLM Student Loan Trust 2007-6 A-5 78444CAE3 LT Bsf Downgrade BBsf B 78444CAF0 LT Bsf Affirmed Bsf SLM Student Loan Trust 2003-12 A-6 78442GKF2 LT AA+sf Affirmed AA+sf B 78442GKD7 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2003-14 A-7 78442GKG0 LT AA+sf Affirmed AA+sf B 78442GKP0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2006-8 A-6 78443HAF0 LT AAsf Affirmed AAsf B 78443HAJ2 LT Asf Affirmed Asf SLM Student Loan Trust 2007-8 A-5 78444XAE7 LT Bsf Downgrade BBsf B 78444XAF4 LT Bsf Downgrade BBsf SLM Student Loan Trust 2003-1 A-5A 78442GFK7 LT Bsf Affirmed Bsf A-5B 78442GFL5 LT Bsf Affirmed Bsf A-5C 78442GFM3 LT Bsf Affirmed Bsf B 78442GFJ0 LT Bsf Affirmed Bsf SLM Student Loan Trust 2007-4 A-5 78444AAE7 LT BBBsf Downgrade Asf B-2A 78444AAH0 LT Bsf Affirmed Bsf B-2B 78444AAJ6 LT Bsf Affirmed Bsf SLM Student Loan Trust 2003-10 A-4 78442GJH0 LT AA+sf Affirmed AA+sf B 78442GJF4 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2006-2 A-6 78442GRX6 LT AAsf Affirmed AAsf B 78442GRY4 LT Asf Affirmed Asf SLM Student Loan Trust 2006-6 A-4 83149FAE4 LT AA+sf Affirmed AA+sf B 83149FAD6 LT Asf Affirmed Asf SLM Student Loan Trust 2003-7 A-5A 78442GHH2 LT Bsf Affirmed Bsf A-5B 78442GHJ8 LT Bsf Affirmed Bsf B 78442GHK5 LT Bsf Affirmed Bsf SLM Student Loan Trust 2005-5 A-5 78442GPR1 LT AA+sf Affirmed AA+sf B 78442GPS9 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2007-5 A-6 78443FAF4 LT Asf Affirmed Asf B-2 78443FAJ6 LT BBsf Downgrade BBBsf SLM Student Loan Trust 2006-5 A-6A 83149EAH0 LT AAsf Affirmed AAsf A-6B 83149EAJ6 LT AAsf Affirmed AAsf A-6C 83149EAK3 LT AAsf Affirmed AAsf B 83149EAG2 LT BBsf Downgrade Asf SLM Student Loan Trust 2006-9 A-6 78443KAF3 LT Asf Affirmed Asf B 78443KAK2 LT BBsf Downgrade BBBsf Transaction Summary For SLM 2006-5 class B notes, the downgrade to 'BBsf' from 'Asf' reflects an increase in both credit and maturity risks, with a flat remaining term of 177 months compared to 179 months last year. The change in Outlook to Negative from Stable reflects Fitch's expectations of tighter cushions in the model for future reviews at the current rating level. For SLM 2006-9 class B notes, the downgrade to 'BBsf' from 'BBBsf' reflects a persistent deterioration of the portfolio with an increasing pressure on maturity risk, with a remaining term of 186 months and displaying lower cushions in lower rating categories. The Outlooks remain Negative for both classes given Fitch's expectations of tighter cushions in the model for future reviews at the current rating level. For classes A-6A, A-6B and A-6C notes of SLM 2006-7, the Outlook was revised to Negative from Stable given a tightening in both credit and maturity cushions in the model, which could further deteriorate in future reviews. For class A-5 notes of SLM 2007-4, the downgrade to 'BBBsf' from 'Asf' reflects continued deteriorating performance as expected since the prior review, with increasingly tighter maturity cushions and moderate credit risk. The Negative Outlook on the notes reflects expectations of tighter cushions in the model for future reviews at the current rating level. For class B-2 notes of SLM 2007-5, the downgrade to 'BBsf' from 'BBBsf' reflects an increase in both credit and maturity risk, with a flat remaining term of 177 months compared to 179 months last year. The change in Outlook to Negative from Stable reflects Fitch's expectations of tighter cushions in the model for future reviews at the current rating level. For the class A-5 notes of SLM 2007-6 and both classes of SLM 2007-8, the downgrade to 'Bsf' from 'BBsf' is due to the notes facing increased maturity risk and sensitivity to the remaining term, causing them to miss their legal final maturity dates. The Outlook following the downgrade is Stable in order to give credit to potential support from the servicer at maturity. 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 2006-10 to 3.00% from 2.50%; - SLM 2006-2 to 2.50% from 2.00%; - SLM 2006-7 to 2.50% from 2.40%; - SLM 2006-9 to 3.00% from 2.50%; - SLM 2007-1 to 3.00% from 2.50%; - SLM 2007-4 to 4.00% from 3.20%; - SLM 2007-5 to 4.00% from 3.00%; - SLM 2007-6 to 4.00% from 3.70%; - SLM 2007-8 to 4.00% from 3.00%. For the remaining transactions, Fitch is maintaining the sCDR assumptions ranging from 2.50% to 3.00%. Fitch is revising the sustainable constant prepayment rates (sCPRs) for the following transactions: - SLM 2006-10 to 9.00% from 7.70%; - SLM 2006-2 to 9.00% from 6.00%; - SLM 2006-5 to 9.00% from 7.70%; - SLM 2006-6 to 9.00% from 9.50%; - SLM 2007-4 to 9.00% from 8.50%; - SLM 2007-5 to 9.00% from 8.50%; - SLM 2007-6 to 9.00% from 9.20%; - SLM 2007-8 to 9.00% from 8.50%. For the remaining transactions, Fitch is maintaining the sCPR assumptions at 9.00%. The 'AA+sf' default rates range from approximately 42.74% to 94.33%, and the 'Bsf' default rates range from 14.25% to 31.50%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 2.09% to 4.12%, 10.32% to 18.59%, and 16.26% to 37.46%, 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 0.01% to 0.22%, 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 (SAP) 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 99.52% to 102.62%. 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 2003-1, 2003-4, 2003-7, 2003-11, 2003-12, and 2003-14, which have fallen below 10% of their initial pool balances. 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. Navient transitioned 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 of 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 rate 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 Takes Action on 11 Bonds From 4 US RMBS Deals -------------------------------------------------------- Moody's Ratings, on March 19, 2025, upgraded the ratings of 10 bonds and downgraded one bond 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: Renaissance Home Equity Loan Trust 2007-1 Cl. AF-1, Upgraded to Caa3 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Cl. AF-1A, Upgraded to Caa3 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Cl. AF-1B, Upgraded to Caa3 (sf); previously on Jun 10, 2013 Downgraded to C (sf) Cl. AF-1Z, Upgraded to Caa3 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2007-2 Cl. AF-1, Upgraded to Caa3 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Issuer: Salomon Mortgage Loan Trust, Series 2002-CB3 C-BASS Mortgage Loan Asset-Backed Certificates Cl. B-2, Downgraded to Caa2 (sf); previously on Jan 26, 2018 Upgraded to Caa1 (sf) Issuer: Saxon Asset Securities Trust 2007-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 27, 2014 Downgraded to Ca (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Oct 27, 2014 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa2 (sf); previously on Oct 27, 2014 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Confirmed at Ca (sf) Cl. A-2d, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Confirmed at 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 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 21 Bonds From 5 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 20 bonds and downgraded the rating of 1 bond from five US residential mortgage-backed transactions (RMBS), backed by Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2005-8 Cl. I-1A-2, Downgraded to Caa1 (sf); previously on May 28, 2024 Upgraded to B1 (sf) Cl. I-2A-1, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa2 (sf) Cl. I-2A-2, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa2 (sf) Cl. II-1A-1, Upgraded to Caa1 (sf); previously on Jul 2, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns Alt-A Trust 2006-4 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. I-2A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. I-3A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. III-1A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. III-2A-1, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-OPX1 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-3A, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-3B, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-4A, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-4B, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-5A, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Cl. A-5B, Upgraded to Caa2 (sf); previously on Jan 9, 2017 Downgraded to Ca (sf) Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Affirmed Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2008-RR1 Cl. A-1A1, Upgraded to Ba2 (sf); previously on Jun 4, 2019 Upgraded to Caa1 (sf) Cl. A-1A2, Upgraded to Caa2 (sf); previously on Apr 18, 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. The rating upgrades for Cl. I-2A-1 and Cl. I-2A-2 from Bear Stearns ALT-A Trust 2005-8 are a result of an increase in credit enhancement available to these bonds. Credit enhancement grew by 15.5% for each of these bonds over the past 12 months. Bear Stearns Structured Products Inc. Trust 2007-R6 and Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2008-RR1 are resecuritized or repackaged transactions and Moody's upgrades are driven by upgraded ratings on the underlying bonds. The rest 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all deals except Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2008-RR1 and Bear Stearns Structured Products Inc. Trust 2007-R6 was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 23 Bonds from 7 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 16 bonds and downgraded the ratings of seven bonds from seven 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 8, 2018 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 10, 2011 Downgraded to C (sf) Issuer: GSAMP Trust 2007-HE1 Cl. A-2C, Downgraded to Caa1 (sf); previously on May 20, 2024 Downgraded to B3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH1, Asset-Backed Pass-Through Certificates, Series 2007-CH1 Cl. AF-5, Upgraded to Aaa (sf); previously on Jun 29, 2023 Upgraded to A3 (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on Jun 29, 2023 Upgraded to A2 (sf) Cl. MF-1, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Cl. MV-6, Downgraded to Caa1 (sf); previously on May 25, 2017 Upgraded to B1 (sf) Cl. MV-7, Downgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to B1 (sf) Cl. MV-8, Downgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to B1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 21, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on May 28, 2024 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 21, 2011 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE1 Cl. B-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. B-3, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on May 30, 2024 Downgraded to B2 (sf) Issuer: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Cl. I-A-1, Upgraded to Aaa (sf); previously on Jun 10, 2022 Upgraded to Aa3 (sf) Cl. II-A-3, Upgraded to Aa1 (sf); previously on May 28, 2024 Upgraded to A2 (sf) Cl. II-A-4, Upgraded to Aa2 (sf); previously on May 28, 2024 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: PHH Alternative Mortgage Trust, Series 2007-3 Cl. A-3, Upgraded to Aa1 (sf); previously on Jun 29, 2023 Upgraded to Baa2 (sf) Cl. A-4, Upgraded to Aa2 (sf); previously on May 16, 2024 Upgraded to Baa2 (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. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement since 12 months ago has grown, on average, by 14% for the tranches upgraded. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of the downgraded bonds, except for Class A-2C from GSAMP Trust 2007-HE1, has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The downgraded bonds also 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 expectation 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 the/their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 32 Bonds From 12 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on March 19, 2025, upgraded the ratings of 31 bonds and downgraded the rating of one bond from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option ARM and Subprime mortgages. 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: First Franklin Mortgage Loan Trust 2006-FF13 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Feb 13, 2018 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Feb 13, 2018 Downgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2007-FF1 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 4, 2012 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Sep 4, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: First Franklin Mortgage Loan Trust Mortgage Loan Asset-Backed Certificates, Series 2007-FF2 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: GreenPoint Mortgage Funding Trust 2006-OH1 Cl. A-2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: Greenpoint MTA Trust 2005-AR2 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2007-2 Cl. 1A-1A, Upgraded to Caa3 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2007-2 Cl. 1-A1-A, Upgraded to Caa1 (sf); previously on Jul 22, 2010 Downgraded to Caa2 (sf) Issuer: MASTR Alternative Loan Trust 2005-6 Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Apr 15, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Jun 7, 2019 Downgraded to Caa2 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Downgraded to Caa2 (sf) Cl. 1-A-6, Upgraded to Ca (sf); previously on Apr 15, 2010 Downgraded to C (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Apr 15, 2010 Downgraded to Ca (sf) Cl. 2-A-2*, Upgraded to Caa3 (sf); previously on Apr 15, 2010 Downgraded to Ca (sf) Cl. 30-PO, Upgraded to Caa1 (sf); previously on Apr 15, 2010 Downgraded to Caa2 (sf) Issuer: MASTR Asset Backed Securities Trust 2006-AM2 Cl. A-3, Upgraded to Caa1 (sf); previously on Jun 28, 2018 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-FRE2 Cl. A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2007-HE2 Cl. A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Jan 30, 2018 Upgraded to Caa2 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-D Cl. M-1, Upgraded to Caa2 (sf); previously on Nov 17, 2017 Upgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. All 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. 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 34 Bonds From 13 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 33 bonds and downgraded the rating of one bond from 13 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: J.P. Morgan Alternative Loan Trust 2006-A2 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-A4 Cl. A-8, Upgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-A6 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 22, 2019 Upgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa3 (sf); previously on May 22, 2019 Upgraded to Ca (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-S1 Cl. 3-A-3, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. 3-A-5, Upgraded to Caa1 (sf); previously on Feb 12, 2015 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-S2 Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-S3 Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa2 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-S4 Cl. A-4, Upgraded to Caa2 (sf); previously on Jul 19, 2018 Upgraded to Caa3 (sf) Cl. A-5, Downgraded to Ca (sf); previously on Jul 19, 2018 Upgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa2 (sf) Issuer: NovaStar Mortgage Funding Trust 2007-1 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Caa3 (sf) Cl. A-2A1, Upgraded to Caa1 (sf); previously on Dec 2, 2013 Downgraded to Ca (sf) Cl. A-2A2, Upgraded to Caa1 (sf); previously on Dec 2, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: NovaStar Mortgage Funding Trust Series 2006-4 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Jan 27, 2014 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2006-2 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Caa3 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 11, 2014 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2006-3 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2006-5 Cl. A-1A, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on May 23, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2006-6 Cl. A-1A, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 41 Bonds From 11 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on March 19, 2025, upgraded the ratings of 39 bonds and downgraded the ratings of two bonds from 11 US residential mortgage-backed transactions (RMBS), backed by 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: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 8, 2010 Downgraded to C (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-4 Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 23, 2013 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Dec 23, 2013 Downgraded to Caa3 (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-6 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-2*, Upgraded to Caa1 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-3, Upgraded to Caa1 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-4, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-5, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-6, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. I-A-PO, Upgraded to Caa1 (sf); previously on Jun 16, 2010 Downgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa2 (sf); previously on Jun 16, 2010 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Jun 16, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Jun 16, 2010 Downgraded to Ca (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AF1 Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Ca (sf); previously on Sep 8, 2010 Downgraded to C (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR6 Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 8, 2010 Downgraded to C (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR1 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Ca (sf); previously on Sep 8, 2010 Downgraded to C (sf) Issuer: Deutsche Alt-B Securities Mortgage Loan Trust, Series 2007-AB1 Cl. PO, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Confirmed at Ca (sf) Issuer: Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-AB2 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 15, 2012 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Aug 15, 2012 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Aug 15, 2012 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-8, Upgraded to Caa2 (sf); previously on Aug 15, 2012 Downgraded to Ca (sf) Cl. A-5A, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-5B, Upgraded to Caa3 (sf); previously on Aug 15, 2012 Downgraded to Ca (sf) Issuer: First Horizon Alternative Mortgage Securities Trust 2005-FA6 Cl. A-1, Upgraded to Caa1 (sf); previously on Feb 24, 2014 Downgraded to Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Feb 24, 2014 Downgraded to Caa2 (sf) Cl. A-5, Downgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Cl. A-9*, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Cl. A-10, Downgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Cl. A-PO, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Issuer: First Horizon Alternative Mortgage Securities Trust 2006-AA3 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: First Horizon Alternative Mortgage Securities Trust 2007-FA3 Cl. A-5, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to C (sf) Cl. A-8, Upgraded to Ca (sf); previously on Jul 5, 2018 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 Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 94 Bonds From 15 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on March 19, 2025, upgraded the ratings of 90 bonds and downgraded the ratings of four bonds from 15 US residential mortgage-backed transactions (RMBS). Citigroup Mortgage Loan Trust 2009-7, Resecuritization Trust Certificates, Series 2009-7 is backed by an underlying certificate, which is backed by Alt-A mortgages. The collateral backing the remaining 14 deals consists of Alt-A mortgages issued by CWALT, Inc. Mortgage Pass-Through Certificates between 2004 and 2005. 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 2004-32CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. 2-A-4, Downgraded to Caa2 (sf); previously on Sep 21, 2016 Confirmed at Caa1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-36CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-23CB Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-9, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-26CB Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-8*, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-9, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-29CB Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-3*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-30CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-6, Downgraded to Caa3 (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-9*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-10*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-33CB Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-35CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-40CB Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-42CB Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. A-7*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to 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 2005-46CB Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-13*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-17*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-21, Downgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-22, Downgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-47CB Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-3*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-60T1 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-4*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-9, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-67CB Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust 2009-7, Resecuritization Trust Certificates, Series 2009-7 Cl. 5A2, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed 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. The rating upgrade on Class 5A2 from the repackaged transaction, Citigroup Mortgage Loan Trust 2009-7, Resecuritization Trust Certificates, Series 2009-7, reflects the rating action on the underlying bond from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-60T1. No actions were taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all deals except Citigroup Mortgage Loan Trust 2009-7, Resecuritization Trust Certificates, Series 2009-7 and 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 14 Bonds From 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 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: Accredited Mortgage Loan Trust 2007-1 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: CIT Home Equity Loan Trust 2002-1 Cl. AF-5, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) Cl. AF-7, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) Cl. MF-1, Upgraded to Caa2 (sf); previously on May 18, 2017 Downgraded to C (sf) Cl. MV-2, Upgraded to Caa2 (sf); previously on Apr 13, 2018 Upgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-10 Cl. AF-5, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa1 (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa1 (sf) Cl. MF-1, Upgraded to Caa1 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF18 Cl. A-1, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Baa1 (sf) Cl. A-2B, Upgraded to Baa1 (sf); previously on May 28, 2024 Upgraded to B3 (sf) Cl. A-2C, Upgraded to Baa1 (sf); previously on May 28, 2024 Upgraded to B3 (sf) Cl. A-2D, Upgraded to Baa1 (sf); previously on May 28, 2024 Upgraded to B3 (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. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to 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. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. 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 14 Bonds From 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from nine US residential mortgage-backed transactions (RMBS), backed by Jumbo 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: Provident Bank Home Equity Loan Trust 1999-3 A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) A-3, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Issuer: Provident Bank Home Equity Loan Trust 2000-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Issuer: Provident Bank Home Equity Loan Trust 2000-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Issuer: Terwin Mortgage Trust 2006-17HE Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 15, 2010 Confirmed at Ca (sf) Cl. A-2B1, Upgraded to Caa3 (sf); previously on Oct 15, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Feb 20, 2009 Downgraded to C (sf) Issuer: Terwin Mortgage Trust 2006-9HGA Cl. A-3, Upgraded to Ca (sf); previously on Feb 20, 2009 Downgraded to C (sf) Issuer: Terwin Mortgage Trust 2007-2ALT Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 15, 2010 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR15 Cl. A-1C3, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. A-1C4, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-9 Trust Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-AR7 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 5, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 4 Bonds From 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings, on March 18, 2025, upgraded the ratings of four bonds from two US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2018-CH2 Cl. B-4, Upgraded to Aaa (sf); previously on May 31, 2024 Upgraded to Aa1 (sf) Issuer: UWM Mortgage Trust 2021-1 Cl. B-2, Upgraded to A1 (sf); previously on May 31, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 4, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 4, 2021 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative loss under 0.03% 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 5.9x for the tranche upgraded in Sequoia Mortgage Trust 2018-CH2, and 25.6% on average for tranches upgraded in UWM Mortgage Trust 2021-1. 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, and credit enhancement. 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 Upgrades Ratings on 45 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 45 bonds from ten US residential mortgage-backed transactions (RMBS), backed by Prime Jumbo, Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=QEcaLp 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: GreenPoint Mortgage Funding Trust 2006-AR5 Cl. 1-A3A1, Upgraded to Caa3 (sf); previously on Jan 14, 2011 Confirmed at Ca (sf) Cl. 1-A3A2, Upgraded to Caa3 (sf); previously on Jan 14, 2011 Confirmed at Ca (sf) Cl. 1-A3A2U, Upgraded to Caa3 (sf); previously on Jan 14, 2011 Confirmed at Ca (sf) Cl. 1-A4, Upgraded to Caa3 (sf); previously on Oct 9, 2009 Downgraded to C (sf) Cl. 2-A, Upgraded to Caa2 (sf); previously on Jan 14, 2011 Confirmed at Ca (sf) Issuer: GSAMP Trust 2005-HE1 Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 4, 2013 Upgraded to Ca (sf) Issuer: GSAMP Trust 2005-HE2 Cl. M-2, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2005-WMC2 Cl. M-1, Upgraded to Caa2 (sf); previously on Feb 21, 2014 Upgraded to Ca (sf) Issuer: GSC Capital Corp. Mortgage Trust 2006-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: GSC Capital Corp. Mortgage Trust 2006-2 Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Ca (sf) Issuer: GSR Mortgage Loan Trust 2006-6F Cl. 1A-1, Upgraded to Caa1 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Cl. 4A-1, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Cl. 4A-2*, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2006-9F Cl. 3A-1, Upgraded to Caa1 (sf); previously on Mar 18, 2015 Downgraded to Caa2 (sf) Cl. 4A-1, Upgraded to Caa1 (sf); previously on Apr 27, 2010 Downgraded to Caa2 (sf) Cl. 4A-2, Upgraded to Caa1 (sf); previously on Apr 27, 2010 Downgraded to Caa2 (sf) Cl. 4A-3*, Upgraded to Caa1 (sf); previously on Apr 27, 2010 Downgraded to Caa2 (sf) Cl. 4A-4, Upgraded to Caa1 (sf); previously on Apr 27, 2010 Downgraded to Caa2 (sf) Cl. 4A-5, Upgraded to Caa1 (sf); previously on Apr 27, 2010 Downgraded to Caa2 (sf) Cl. 5A-1, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Downgraded to Caa2 (sf) Cl. 5A-2*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Cl. 5A-3, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Downgraded to Caa2 (sf) Cl. 6A-1, Upgraded to Caa2 (sf); previously on Jan 10, 2013 Downgraded to Caa3 (sf) Cl. 6A-2*, Upgraded to Caa2 (sf); previously on Jan 10, 2013 Downgraded to Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2007-2F Cl. 3A-1, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 3A-2, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Cl. 3A-3, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Cl. 3A-9, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Cl. 3A-10, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Cl. 4A-1, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-2*, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2007-3F Cl. 1A-1, Upgraded to Caa1 (sf); previously on Oct 31, 2017 Downgraded to Caa3 (sf) Cl. 1A-2, Upgraded to Caa1 (sf); previously on May 18, 2015 Confirmed at Caa2 (sf) Cl. 1A-3, Upgraded to Caa1 (sf); previously on May 18, 2015 Confirmed at Caa2 (sf) Cl. 1A-4, Upgraded to Caa1 (sf); previously on Oct 31, 2017 Downgraded to Caa2 (sf) Cl. 2A-1, Upgraded to Caa1 (sf); previously on Oct 31, 2017 Downgraded to Caa2 (sf) Cl. 3A-1, Upgraded to Caa1 (sf); previously on Oct 31, 2017 Downgraded to Ca (sf) Cl. 3A-2, Upgraded to Caa1 (sf); previously on Nov 13, 2020 Reinstated to Caa3 (sf) Cl. 3A-3, Upgraded to Caa1 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Cl. 3A-4, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Cl. 3A-5, Upgraded to Caa2 (sf); previously on Nov 13, 2020 Reinstated to Caa3 (sf) Cl. 3A-6, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Caa3 (sf) Cl. 3A-7, Upgraded to Caa1 (sf); previously on Oct 31, 2017 Downgraded to Caa3 (sf) Cl. 4A-1, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Ca (sf) Cl. 4A-2*, Upgraded to Caa2 (sf); previously on May 18, 2015 Confirmed at Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. 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 Ups Ratings on 7 Bonds From 6 Scratch & Dent US RMBS --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven from six US residential mortgage-backed transactions (RMBS), backed by Scratch and Dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2004-X2 Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2004-X3 Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed Ca (sf) Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-C Cl. B, Upgraded to Ba1 (sf); previously on Oct 19, 2018 Upgraded to Caa2 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-4 Cl. M-1, Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2007-SD3 Cl. A, Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAAC 2006-SP2 Trust Cl. M-2, Upgraded to Caa2 (sf); previously on May 4, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The 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 Action on 759 Classes From 33 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 759 classes from 33 U.S. RMBS issued between 2013 and 2021. The review included 103 ratings that were placed under criteria observation (UCO) on Feb. 21, 2025, following changes in our U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed on UCO. The review yielded 24 upgrades and 735 affirmations. S&P also removed 103 ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/3pwy6zb2 Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a reduction in the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Tail risk; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect the application of our updated criteria and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect S&P's projected credit support on these classes, which it believes are sufficient to cover its projected losses for those rating scenarios. ********* 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. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. 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