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250525.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, May 25, 2025, Vol. 29, No. 144 Headlines 37 CAPITAL 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AGL CLO 41: Fitch Assigns 'BB-sf' Rating on Class E Notes AGL CLO 41: Moody's Assigns B3 Rating to $800,000 Class F Notes AIMCO CLO 24: S&P Assigns Prelim B- (sf) Rating on Class F Notes AMERICAN CREDIT 2024-1: S&P Affirms BB- (sf) Rating on Cl. E Notes AMUR EQUIPMENT XV: Fitch Gives 'BB(EXP)sf' Rating on Class E Notes APIDOS CLO XLIII: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes AVENTIV TECHNOLOGIES: S&P Lowers ICR to 'CCC-', Outlook Negative BBCMS MORTGAGE 2025-5C34: Fitch Assigns B- Rating on Cl. G-RR Certs BENCHMARK 2019-B9: Fitch Affirms 'Bsf' Rating on Two Tranches BENCHMARK 2025-V15: Fitch Assigns 'B-(EXP)sf' Rating on J-RR Certs BMO 2025-5C10: Fitch Assigns 'B-sf' Final Rating on Two Tranches BMO 2025-C12: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BRAVO RESIDENTIAL 2025-NQM4: DBRS Gives B(low) Rating on B-2 Debt BRAVO RESIDENTIAL 2025-NQM5: Fitch Gives B(EXP) Rating on B-2 Certs BX 2023-DELC: DBRS Confirms B(high) Rating on Class HRR Certs BX TRUST 2023-LIFE: Moody's Lowers Rating on Cl. D Certs to Ba3 BX TRUST 2025-TAIL: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes CD 2016-CD1: DBRS Confirms C Rating on 3 Classes CHASE HOME 2025-4: DBRS Finalizes B(low) Rating on B5 Certs CHASE HOME 2025-6: Fitch Assigns B+(EXP)sf Rating on Cl. B-5 Debt CITIGROUP 2015-GC35: Fitch Lowers Rating on Two Tranches to 'Bsf' CITIGROUP 2022-GC48: DBRS Confirms BB(low) Rating on YL-C Certs CLERMONT PARK: S&P Assigns BB- (sf) Rating on Class E Notes COMM 2018-COR3: Fitch Lowers Rating on Class F-RR Certs to 'Csf' CPS AUTO 2025-B: DBRS Gives Prov. BB Rating on Class E Notes CRIBS MORTGAGE 2025-RTL1: DBRS Gives Prov. B Rating on M2 Notes DRYDEN 105: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes DTP COMMERCIAL 2023-STE2: Moody's Cuts Rating on HRR Certs to B1 ELMWOOD CLO 42: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes EMPOWER CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes GCAT 2025-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GCAT TRUST 2023-INV1: Moody's Hikes Rating on Cl. B-5 Certs to Ba1 GS MORTGAGE 2013-G1: S&P Lowers DM Notes Rating to 'CCC- (sf)' GS MORTGAGE 2025-PJ4: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2025-RPL2: DBRS Gives BB Rating on Class B1 Notes IVY HILL XX: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes JP MORGAN 2017-JP5: Fitch Lowers Rating on Class D Certs to 'Bsf' JP MORGAN 2025-CCM2: DBRS Finalizes B(low) Rating on B5 Certs JPMBB COMMERCIAL 2014-C21: DBRS Confirms C Rating on 2 Classes JPMBB COMMERCIAL 2014-C22: DBRS Confirms C Rating on 2 Classes LENDMARK FUNDING 2025-1: S&P Assigns BB (sf) Rating on Cl. E Notes MARINER FINANCE 2025-A: S&P Assigns Prelim 'BB-' Rating on E Notes MENLO CLO II: S&P Assigns B- (sf) Rating on Class F Notes MIDOCEAN CREDIT IX: S&P Affirms BB- (sf) Rating on Class E Notes MORGAN STANLEY 2015-C21: DBRS Confirms B Rating on 2 Classes MORGAN STANLEY 2015-C23: DBRS Confirms B Rating on X-FG Certs MORGAN STANLEY 2018-MP: DBRS Confirms BB Rating on E Certs MORGAN STANLEY 2025-NQM3: S&P Gives Prelim. 'B' Rating on B-2 Certs MORTGAGE EQUITY 2007-FF3: Moody's Cuts Rating on A Certs to Caa1 NASSAU LTD 2018-II: Moody's Cuts Rating on $38.7MM D Notes to Ba1 NYC COMMERCIAL 2025-1155: DBRS Gives Prov. B(low) on F Certs OAKTREE CLO 2025-30: S&P Assigns Prelim BB- (sf) Rating on E Notes OBX TRUST 2025-J1: Moody's Assigns B2 Rating to Cl. B-5 Certs OCP CLO 2025-42: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON 56 LTD: Moody's Cuts Rating on $21MM Cl. E Notes to 'B1' OCTAGON INVESTMENT 44: Moody's Cuts $25MM Class E-R Notes to B1 OCTAGON INVESTMENT 45: S&P Lowers Cl. E-R Notes Rating to 'B (sf)' PALMER SQUARE 2023-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes PENNANTPARK CLO VI: S&P Assigns Prelim BB-(sf) Rating on C-R Notes PMT LOAN 2025-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs PRPM TRUST 2025-NQM2: DBRS Gives Prov. BB(low) Rating on B-1 Certs REPUBLIC FINANCE 2021-A: DBRS Confirms BB(low) Rating on D Notes SANTANDER MORTGAGE 2025-NQM2: S&P Assigns 'B-' Rating on B-2 Notes SEQUOIA MORTGAGE 2025-5: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs SILVER POINT 9: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SIXTH STREET CLO 28: S&P Assigns BB- (sf) Rating on Class E Notes SYMPHONY CLO 48: Fitch Assigns 'BB-sf' Rating on Class E Notes SYMPHONY CLO XIX: Moody's Cuts Rating on $10MM Cl. F Notes to Caa3 TOWD POINT 2025-CES1: Fitch Affirms 'B-(EXP)sf' Rating on B1 Notes TRALEE CLO II: S&P Lowers Class F-R Notes Rating to CC (sf) TRINITAS CLO XXVI: S&P Assigns Prelim B- (sf) Rating on E-R Notes VERUS SECURITIZATION 2025-4: S&P Assigns 'B+' Rating on B-2 Notes VIBRANT CLO III: Moody's Ups Ratings on $31MM C-RR Notes From Ba1 VIBRANT CLO XVI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. D-R Notes WELLS FARGO 2015-C26: Fitch Lowers Rating on Four Tranches to 'Csf' WELLS FARGO 2025-5C4: Fitch Assigns B-(EXP)sf Rating on J-RR Certs WORLDWIDE PLAZA 2017-WWP: DBRS Places Class C B(low) Under Review ZAYO ISSUER 2025-2: Fitch Assigns 'BB-sf' Rating on Class C Notes [] DBRS Reviews 218 Classes From 31 US RMBS Transactions [] DBRS Reviews 55 Classes in 8 US RMBS Transactions [] DBRS Takes Credit Rating Actions on 112 CMBS Transactions [] DBRS Takes Rating Actions on 68 Freddie Mac Transactions [] Moody's Takes Action on 12 Bonds From 6 Scratch & Dent RMBS [] Moody's Takes Action on 20 Bonds From 9 US RMBS Deals [] Moody's Takes Action on 41 Bonds From 15 US RMBS Deals [] Moody's Takes Action on 42 Bonds From 11 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 15 Bonds From 5 US RMBS Deals [] Moody's Upgrades Ratings on 16 Bonds from 7 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds From 19 US RMBS Deals [] Moody's Upgrades Ratings on 36 Bonds From 14 US RMBS Deals [] Moody's Upgrades Ratings on 42 Bonds From 16 US RMBS Deals [] S&P Takes Various Action on 195 Classes From 30 US RMBS Deals ********* 37 CAPITAL 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to 37 Capital CLO 3, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- 37 Capital CLO 3, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating A-L-R LT AAAsf New Rating B 88429RAC2 LT PIFsf Paid In Full AA+sf B-R LT AAsf New Rating C 88429RAE8 LT PIFsf Paid In Full Asf C-1-R LT Asf New Rating C-2-R LT Asf New Rating D 88429RAG3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 883928AA1 LT PIFsf Paid In Full BB+sf E-R LT BB-sf New Rating X-R LT AAAsf New Rating Transaction Summary 37 Capital CLO 3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Franklin Resources, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $348 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 23.07, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.36% versus a minimum covenant, in accordance with the initial expected matrix point of 73.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-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 X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and '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. ESG Considerations Fitch does not provide ESG relevance scores for 37 Capital CLO 3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AGL CLO 41: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 41 Ltd. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 41 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary AGL CLO 41 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $800 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 99.69% first-lien senior secured loans and has a weighted average recovery assumption of 73.74%. 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 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 09 May 2025 ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 41 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. AGL CLO 41: Moody's Assigns B3 Rating to $800,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by AGL CLO 41 Ltd. (the Issuer or AGL CLO 41): US$504,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$800,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. AGL CLO 41 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds or senior secured notes. The portfolio is at least 93% ramped as of the closing date. AGL CLO Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated 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: $800,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2964 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 44.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. AIMCO CLO 24: S&P Assigns Prelim B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 24 Ltd./AIMCO CLO 24 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 Allstate Investment Management Co. The preliminary ratings are based on information as of May 15, 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 AIMCO CLO 24 Ltd./AIMCO CLO 24 LLC Class A-1, $307.80 million: AAA (sf) Class A-2, $17.20 million: NR Class B-1, $50.00 million: NR Class B-2, $5.00 million: NR Class C (deferrable), $29.00 million: NR Class D (deferrable), $31.00 million: NR Class E (deferrable), $18.00 million: NR Class F (deferrable), $0.20 million: B- (sf) Subordinated notes, $51.20 million: NR NR--Not rated. AMERICAN CREDIT 2024-1: S&P Affirms BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on 15 classes of notes and affirmed its ratings on six classes of notes from seven American Credit Acceptance Receivables Trust (ACAR) transactions. These are ABS transactions backed by subprime retail auto loan receivables originated and serviced by American Credit Acceptance LLC (ACA). The rating actions reflect: -- Each transaction's collateral performance to date and its expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's forward-looking view of the U.S. auto finance sector and its most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. S&P said, "ACAR 2022-1, 2022-2, 2022-3, 2022-4, 2023-1, and 2023-2 are performing worse than our prior expectations. As such, we revised and raised our expected CNLs for these series. The ACAR 2024-1 transaction is performing better than our original CNL expectation, and we lowered our expected CNL for this transaction." Table 1 Collateral performance (%)(i) Pool Current 60+ day Series Mo. factor CNL Extensions delinq. 2022-1 39 17.77 29.90 3.50 10.94 2022-2 36 19.49 31.79 4.11 10.95 2022-3 33 23.52 27.22 3.08 10.07 2022-4 30 29.49 26.66 3.39 9.78 2023-1 27 35.88 22.77 3.32 8.92 2023-2 24 40.93 21.37 2.65 8.85 2024-1 15 58.45 11.32 2.57 7.63 (i)As of the May 2025 distribution date. Mo.--Month. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Previous Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2022-1 25.50-26.50 30.00 31.25 2022-2 25.50-26.50 32.50 33.75 2022-3 26.00-27.00 28.25 30.50 2022-4 27.25 29.25 32.00 2023-1 27.25 27.25 29.75 2023-2 27.25 27.25 29.75 2024-1 27.25 N/A 26.50 (i)Revised in April 2024. (ii)As of May 2025. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of overcollateralization, a non-amortizing reserve account, subordination for the more senior classes, and excess spread. As of the May 2025 distribution date, each transaction is at its specified target reserve level and overcollateralization level (except ACAR 2021-1 and ACAR 2022-2, which are below their overcollateralization levels). ACAR 2022-1's current overcollateralization amount is $11.1 million compared to its target floor of $14.4 million. For ACAR 2022-2, the current overcollateralization amount is $7.40 million compared to the target of $11.07 million. Nevertheless, the shortage of $3.67 million in overcollateralization is covered by the excess reserve by the same amount, as intended when ACA made a one-time cash infusion of approximately 2.44% of the initial collateral balance in April 2023, to series 2022-2's reserve account to make up the difference between the actual and target overcollateralization amounts over the life of the transaction. As additional support for ACAR 2022-2, ACA has foregone its servicing fee since November 2022. The raised and affirmed ratings reflect S&P's view that the total credit support as a percentage of the amortizing pool balance as of the collection period ended April 30, 2025, compared to our expected remaining losses, is commensurate with each rating. Table 3 Hard credit support(i)(ii) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2022-1 D 19.70 90.77 2022-1 E 10.35 38.16 2022-1 F 6.50 16.50 2022-2 D 19.90 81.25 2022-2 E 10.70 34.04 2022-2 F 7.50 17.63 2022-3 D 22.25 69.70 2022-3 E 16.25 44.19 2022-3 F 10.50 19.75 2022-4 D 27.75 59.01 2022-4 E 17.60 24.59 2023-1 C 38.10 81.31 2023-1 D 23.65 41.03 2023-1 E 18.00 25.29 2023-2 C 40.15 78.27 2023-2 D 26.40 44.68 2023-2 E 17.30 22.44 2024-1 B 55.45 89.81 2024-1 C 38.90 61.50 2024-1 D 25.90 39.26 2024-1 E 16.90 23.86 (i)As of the May 2025 distribution date. (ii)Calculated as a percentage of the total gross receivable pool balance, which consists of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement and compared it with the remaining expected CNL for those classes where hard credit enhancement alone--without credit to the expected excess spread--was sufficient, in our view, to raise the ratings or affirm the ratings. For other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that, we believe, are appropriate, given each transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted a sensitivity analysis for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended April 30, 2025 (the May 2025 distribution date). "We will continue to monitor the performance of all the outstanding transactions to ensure that credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED American Credit Acceptance Receivables Trust Rating Series Class To From 2022-1 E AAA (sf) A- (sf) 2022-1 F A+ (sf) BBB (sf) 2022-2 D AAA (sf) AA (sf) 2022-2 E AA (sf) BB+ (sf) 2022-2 F BBB- (sf) B (sf) 2022-3 D AAA (sf) AA- (sf) 2022-3 E AA (sf) BBB+ (sf) 2022-4 D AAA (sf) A (sf) 2023-1 C AAA (sf) AA+ (sf) 2023-1 D A (sf) BBB (sf) 2023-1 E BB (sf) BB- (sf) 2023-2 C AAA (sf) AA (sf) 2023-2 D A (sf) BBB (sf) 2024-1 B AAA (sf) AA (sf) 2024-1 C AA+ (sf) A (sf) RATINGS AFFIRMED American Credit Acceptance Receivables Trust Series Class Rating 2022-1 D AAA (sf) 2022-3 F BB+ (sf) 2022-4 E BB+ (sf) 2023-2 E BB- (sf) 2024-1 D BBB (sf) 2024-1 E BB- (sf) AMUR EQUIPMENT XV: Fitch Gives 'BB(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to the Amur Equipment Finance Receivables XV LLC (Series 2025-1) (AXIS 2025-1) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by Amur Equipment Finance, Inc. (Amur). Entity/Debt Rating ----------- ------ Amur Equipment Finance Receivables XV LLC (Series 2025-1) A-1 ST F1+(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 LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance: Consistent with prior AXIS transactions, AXIS 2025-1 is focused on transportation, construction and vocational equipment with low obligor concentration. A high 95.54% of the pool is collateralized by contracts backed by personal guarantees, with a weighted-average (WA) FICO score of 730. These have been trending higher and are at the highest level for the platform, against 725 and 726 for 2024-2 and 2024-1 (NR), respectively. Conventional trucks with sleeper transportation equipment are the largest exposure, at 19.31%, down from 24.30% in 2024-2. The largest equipment type in prior securitizations was long-haul transportation equipment, at 27.46% for 2024-1 and 30.78% for 2023-1 (NR). The transaction is exposed to adverse pool selection risk from prefunding and substitution, which can be as high as 20% and 15% of the initial collateral pool, respectively. Improving Performance; Forward-Looking Approach to Derive Rating-Case Loss Proxy: Amur's managed static pool continues to demonstrate strong and stable cumulative net loss (CNL) performance, with CNLs tracking well below those of peak recessionary vintages. Fitch utilized the 2006-2009 and 2017-2019 managed portfolio vintages, prior ABS performance, deteriorated performance of 2022-2023 vintages and, given the ability to prefund and substitute collateral, stressed portfolio mix to derive the rating case CNL proxy of 5.0%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 41.3% exposure to the transportation sector, though lower than 45.2% for 2024-2, has been under stress for over a year. The top-20 obligors represent 5.35% of the 2025-1 pool, against 6.16% in 2024-2; no obligors represent more than 1.00% of the pool. Initial credit enhancement (CE) to the class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors on a net coverage basis at close under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2025-1 is lower than in 2024-2, 2024-1 and 2023-1, but higher than historical transactions since 2015. Total initial hard CE for AXIS 2025-1 class A, B, C, D and E notes is 27.55%, 22.50%, 17.50%, 11.70% and 9.00%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 8.00% of the initial discounted pool balance. Additionally, all classes benefit from 1.07% per annum of excess spread. At a 5.00% rating case CNL proxy, the transaction structure is able to support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes Amur has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. 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 higher than the rating case and would likely result in declines of CE and the remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Fitch conducted sensitivity analyses by stressing the 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 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 breakeven loss coverage provided by the CE supporting the notes. Additionally, Fitch increased the CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. Fitch also evaluated the impact of stressed recovery rates on an equipment ABS structure and rating impact with a 50% haircut. These analyses are intended to indicate the rating sensitivity of notes to unexpected deterioration of a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and possibly lead to an upgrade. If CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for each of the class B, C and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche. The third-party due diligence described in Form 15E compared or re-computed certain information with respect to 150 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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. APIDOS CLO XLIII: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the Apidos CLO XLIII Ltd reset transaction. Entity/Debt Rating ----------- ------ Apidos CLO XLIII Ltd A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA+(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XLIII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC that originally closed 1Q2023. The CLO's secured notes will be refinanced on June 18, 2025, from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The original secured notes will be paid in full. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', 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% 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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-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, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and '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, 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 Apidos CLO XLIII 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. AVENTIV TECHNOLOGIES: S&P Lowers ICR to 'CCC-', Outlook Negative ---------------------------------------------------------------- S&P Global Ratings lowered its issuer credit rating on Aventiv Technologies LLC to 'CCC-' from 'CCC'. The negative outlook indicates that S&P will lower its rating on Aventiv to 'CC' once it expects the transaction will clear regulatory review and that the exchange is a virtual certainty. Aventiv recently announced it entered into an agreement with 100% of its lenders and financial sponsor, Platinum Equity Group, to restructure most of its outstanding debt via a debt-for-equity exchange. S&P views the proposed transaction as a distressed exchange and expect to lower its rating on Aventiv to 'CC' after it closes. The agreement with its lenders and financial sponsor to restructure its outstanding debt via a debt-for-equity exchange must clear regulatory review. The transaction includes amendments to exchange roughly $1.1 billion of first-lien term loans and the full $331 million of second-lien term loans for new common equity shares in the business. This would eliminate about 70% of the company's existing debt and effectuate a change of control whereby Platinum Equity relinquishes its ownership position and the existing lenders gain control. S&P expects approval from federal and state regulators to take several months and that the transaction would close in December 2025. To support Aventiv's operations during the approval period, the lender group has agreed to provide $360 million of bridge financing (first-lien, second-out term loans), which combined with $25 million of escrow cash will be used to retire the revolving credit facility ($225 million), pay transaction related fees and expenses, and add cash to the balance sheet ($148 million expected). S&P said, "If completed, we would view the proposed transaction as distressed and tantamount to a default because lenders will receive less value than originally promised. They are exchanging secured debt claims for common equity shares. We do not believe lenders would receive adequate compensation to offset these amendments. Participating term loan lenders would receive an upfront premium and backstop premium equal to 2.5% of their pro rata shares in the new money facilities, both payable in kind. "The negative outlook indicates that we will lower our issuer credit rating on Aventiv to 'CC' once we believe the exchange will clear the regulatory review and is a virtual certainty." BBCMS MORTGAGE 2025-5C34: Fitch Assigns B- Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C34 commercial mortgage pass-through certificates. - $1,329,000 class A-1 'AAAsf'; Outlook Stable; - $20,432,000 class A-2 'AAAsf'; Outlook Stable; - $526,438,000 class A-3 'AAAsf'; Outlook Stable; - $548,199,000a class X-A 'AAAsf'; Outlook Stable; - $64,609,000 class A-S 'AAAsf'; Outlook Stable; - $43,072,000 class B 'AA-sf'; Outlook Stable; - $33,284,000 class C 'A-sf'; Outlook Stable; - $140,965,000ab class X-B 'AA-sf'; Outlook Stable; - $18,600,000b class D 'BBBsf'; Outlook Stable; - $8,810,000b class E 'BBB-sf'; Outlook Stable; - $27,410,000ab class X-D 'BBB-sf'; Outlook Stable; - $17,621,000 class F 'BB-sf'; Outlook Stable; - $17,621,000ab class X-F 'BB-sf'; Outlook Stable; - $10,768,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $38,178,473bc class H-RR. (a) Notional amount and interest only. (b) Privately placed pursuant to Rule 144A. (c) Horizontal risk retention interest. Since Fitch published its expected ratings on April 22, 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 to $250,000,000, and the initial aggregate certificate balance of the A-3 class was expected to be in the range of $296,870,000 to $546,870,000. The final class balances for classes A-2 and A-3 are $20,432,000 and $526,438,000, respectively. Class C was finalized as 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 reference tranche whose payable interest has an impact on class X-B, in accordance with Fitch's criteria. The ratings are based on information provided by the issuer as of May 13, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 66 commercial properties having an aggregate principal balance of $748,141,473 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Finance Inc., Citi Real Estate Funding Inc., Argentic Real Estate Finance 2 LLC, UBS AG, KeyBank National Association, Starwood Mortgage Capital LLC, German American Capital Corporation and BSPRT CMBS Finance, LLC. The master servicer is Trimont LLC and the special servicer is Argentic Services Company LP. In addition, KeyBank National Association will act as the primary servicer with respect to the 120 Jericho Turnpike, Florissant Marketplace, Metalmaster Way, Shoppes at Westgate and Coeur d'Alene Self Storage mortgage loans pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator is Computershare Trust Company, National Association. The operating advisor and asset representation reviewer is Pentalpha Surveillance LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans totaling 91.3% of the pool balance. Fitch's aggregate pool net cash flow (NCF) of $70.6 million represents a 12.8% decline from the issuer's underwritten aggregate pool NCF of approximately $81.0 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 105.1% is worse than the YTD 2025 and 2024 averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is weaker than the YTD 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: One loan, representing 4.3% of the pool, received an investment-grade credit opinion. Uber's headquarters received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the YTD 2025 average of 11.7% and the 2024 average of 12.6% for Fitch-rated five-year multiborrower transactions. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 106.6% and 8.9%, respectively. These figures reflect worse Fitch Leverage than the YTD 2025 LTV and DY averages of 103.9% and 9.5%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool comprise 57.9% of the pool, which is lower than the YTD 2025 average of 62.5% and 2024 average of 60.2% for five-year Fitch-rated multiborrower transactions. The resulting effective loan count of 23.5 is higher than the YTD 2025 and 2024 average effective loan count of 22.0 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter Duration Loans: The pool is 100% comprised 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 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 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'/'BB+sf'/'BB-sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An 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'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BENCHMARK 2019-B9: Fitch Affirms 'Bsf' Rating on Two Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Benchmark 2019-B9 Mortgage Trust (BMARK 2019-B9). The Rating Outlooks for eight affirmed classes are Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2019-B9 A-4 08160JAD9 LT AAAsf Affirmed AAAsf A-5 08160JAE7 LT AAAsf Affirmed AAAsf A-AB 08160JAF4 LT AAAsf Affirmed AAAsf A-S 08160JAH0 LT AA-sf Affirmed AA-sf B 08160JAJ6 LT A-sf Affirmed A-sf C 08160JAK3 LT BBB-sf Affirmed BBB-sf D 08160JAY3 LT BBsf Affirmed BBsf E 08160JBA4 LT Bsf Affirmed Bsf F 08160JBC0 LT CCCsf Affirmed CCCsf G 08160JBE6 LT CCsf Affirmed CCsf X-A 08160JAG2 LT AA-sf Affirmed AA-sf X-B 08160JAL1 LT BBB-sf Affirmed BBB-sf X-D 08160JAN7 LT Bsf Affirmed Bsf X-F 08160JAQ0 LT CCCsf Affirmed CCCsf X-G 08160JAS6 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss has increased to 8.9% from 7.5% at the prior rating action. The Negative Outlooks reflect the potential for downgrades given the high concentration of Fitch Loans of Concern (FLOCs), which total 14 loans (39.8% of the pool), including three loans (12.8%) in special servicing, as well as a high concentration of office properties. Office properties comprise 42.6% of the pool with 32.6% being FLOCs. In addition, the Negative Outlooks incorporate an additional sensitivity scenario on the 3 Park Avenue (10.6%) and Fairbridge Office Portfolio (3.7%) FLOCs that assumes a higher probability of default due to declining performance trends and/or weak submarket fundamentals. Downgrades are possible with a prolonged special servicing workout and/or increased exposure on the 3 Park Avenue, and further performance deterioration on the Fairbridge Office Portfolio and Plymouth Corporate Cetner (5.6%), as well as limited performance stabilization on other FLOCs. Largest Loss Contributors: The largest contributor to overall loss expectations is the 3 Park Avenue loan, which is secured by 641,186-sf of office space on floors 14 through 41 and 26,260-sf of multi-level retail space located on Park Avenue and 34th Street in the Murray Hill office submarket of Manhattan. This FLOC was flagged for low occupancy and DSCR. The loan transferred to special servicing in September 2024 for imminent default and the lender is dual tracking the foreclosure process while discussing borrower's request for a loan modification. As of December 2024, property occupancy was 52% compared with 54% at YE 2023, in line with 2022, but remains below 86% at issuance, largely from the departure of TransPerfect Translations (13.7%) in 2019, Icon Capital Corporation (3.4%) in 2023 and several tenants that have downsized their spaces. The largest three tenants are Houghton Mifflin Harcourt (15.2%, through December 2027), P. Kaufman (6.9%, through December 2030) and Return Path, Inc. (3.5%, through July 2025). The servicer-reported NOI DSCR was 0.91x at YE 2023, compared with 0.81x at YE 2022 and significantly below 2.08x based on the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 24.0% (prior to concentration add-ons) reflects an 8.5% cap rate, 10% stress to the September 2024 NOI, and a higher probability of default due to the performance declines and low DSCR. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 32.1% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The second largest contributor to overall loss expectations is the Plymouth Corporate Center loan, which is secured by a 605,767-sf two-story office building in Plymouth, Minnesota, approximately 10 miles west of the Minneapolis central business district. This loan is a FLOC due to significant upcoming rollover risk and exposure to dark tenants. According to the servicer, the largest tenant at the property, Huntington Bank (69.0% of the NRA, December 2025) and the fourth largest tenant, Aetna Health Management LLC (4.3%, March 2029) became dark in 2024 and continue to make rental payments. According to the servicer, the borrower anticipates that Huntington Bank will vacate in full upon lease expiration in December 2025. As Huntington Bank failed to renew its lease 30 months prior to lease expiration, which was by June 2023, a cash flow sweep commenced. Excess cash will be applied towards re-tenanting costs for the Huntington Bank space. As of April 2025, the balance of the cash flow sweep account was $2.6 million, which is approximately $6 psf of the Huntington Bank space. As of the September 2024 rent roll, base rent from Huntington Bank represented 76% of the total building base rent income. Occupancy and NOI DSCR was 91% and 1.55x as of YE 2024, but is expected to decline to 22% with an implied NOI DSCR of 0.52x, once the tenant vacates by YE 2025. Fitch's 'Bsf' rating case loss of 36.5% (prior to concentration add-ons) reflects a 10.25% cap rate, 40% stress to the YE 2024 NOI, and a higher probability of default given the concerns with the imminent departure of the largest tenant. The third largest contributor to overall loss expectations is the Fairbridge Office Portfolio loan, which is secured by a two-property office portfolio located in suburban Chicago, Illinois and totaling 385,525-sf. The Oak Brook Gateway property comprises 233,050 SF of office space and is located approximately 18.4 miles from downtown Chicago and the Cornerstone I at Cantera property comprises 152,475 SF of office space and is located approximately 30.6 miles from downtown Chicago. This FLOC was flagged for low occupancy and DSCR. Performance of the portfolio continues to remain depressed with YE 2024 occupancy reported at 59% with NOI DSCR of 1.02x remaining relatively unchanged from the YE 2023 occupancy and NOI DSCR. According to the servicer, the borrower is in discussions with several tenants on renewals and is in discussion with in-place tenants who comprise a total of approximately 9% of the NRA on the potential expansion of their spaces. As of the April 2025 remittance, the loan remains current. Fitch's 'Bsf' rating case loss of 23.6% (prior to concentration add-ons) reflects an 10.5% cap rate, 10% stress to the YE 2024 NOI, and a higher probability of default given the deteriorating performance and weak submarket fundamentals. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 31.5% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. Increased Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate balance has been reduced by 6.0% to $830.7 million from $883.5 million at issuance. Four loans (3.7% of pool) have been defeased. 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, their position in the capital structure and expected continued paydowns from amortization and loan repayments, but may happen if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably 3 Park Avenue, Plymouth Corporate Center, and Fairbridge Office Portfolio deteriorate further, higher than expected losses on the specially serviced loans and/or more loans than expected default at or prior to maturity; - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the FLOCs with deteriorating performance, and with greater certainty of losses on the specially serviced loan or other FLOCs; - Downgrades to the 'CCCsf' and 'CCsf'' 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 'AAsf' and 'Asf' category rated classes are not expected, but possible with increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of the FLOCs, including 3 Park Avenue, Plymouth Corporate Center, and Fairbridge Office Portfolio; - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' category rated class are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the 'CCCsf' and 'CCsf' category rated classes are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2025-V15: Fitch Assigns 'B-(EXP)sf' Rating on J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2025-V15 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-V15 as follows: Entity/Debt Rating ----------- ------ BMARK 2025-V15 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F-RR LT BB+(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating J-RR LT B-(EXP)sf Expected Rating K-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating - $3,529,000 class A-1 'AAAsf'; Outlook Stable; - $168,215,000a class A-2 'AAAsf'; Outlook Stable; - $341,530,000a class A-3 'AAAsf'; Outlook Stable; - $62,326,000 class A-S 'AAAsf'; Outlook Stable; - $575,600,000b class X-A 'AAAsf'; Outlook Stable; - $38,495,000 class B 'AA-sf'; Outlook Stable; - $30,247,000 class C 'A-sf'; Outlook Stable; - $68,742,000b class X-B 'A-sf'; Outlook Stable; - $15,024,000c class D 'BBBsf'; Outlook Stable; - $7,333,000c class E 'BBB-sf'; Outlook Stable; - $22,357,000bc class X-D 'BBB-sf'; Outlook Stable; - $9,723,000c class F-RR 'BB+sf'; Outlook Stable; - $10,082,000c class G-RR 'BB-sf'; Outlook Stable; - $11,915,000c class J-RR 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $34,829,926cd class K-RR (a) The exact initial certificate balances or notional amounts of classes A-2 and A-3 are unknown and will be determined based on the final pricing of the certificates. However, the initial certificate balances, assumed final distribution dates, weighted average lives and principal windows of classes A-2 and A-3 are expected to be within the applicable ranges reflected in the following chart. The aggregate of the initial certificate balances of classes A-2 and A-3 is expected to be approximately $509,745,000, subject to a variance of plus or minus 5%. The balances above reflect the highest and lowest respective value of each range. (b) Notional Amount and interest only. (c) Privately Placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by the borrowers' fee and leasehold interests in 41 commercial properties having an aggregate principal balance of $733,248,927 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, German American Capital Corporation and Barclays Capital Real Estate Inc. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be Rialto Capital Advisors, LLC. Computershare Trust Company, National Association will act as trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 91.7% by balance. Fitch's resulting net cash flow (NCF) of $72.3 million represents a 18.2% decline from the issuer's underwritten NCF of $88.4 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.1% is higher than both the 2025 YTD and 2024 five-year multiborrower transaction averages of 100.0% and 95.2% respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is slightly higher than the 2025 YTD five-year average of 9.7% but slightly lower than the 2024 average of 10.2%. Investment Grade Credit Opinion Loans: Two loans representing 8.9% of the pool balance received investment-grade credit opinions. 1535 Broadway (6.1% of pool) received an investment-grade credit opinion of 'AAsf*' on a standalone basis. Uber Headquarters (2.7% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 2025 YTD and 2024 averages of 11.0% and 12.6% for Fitch-rated five-year multiborrower transactions respectively. 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 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'/'BB-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+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 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. BMO 2025-5C10: Fitch Assigns 'B-sf' Final Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2025-5C10 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2025-5C10 as follows: - $420,000 class A-1 'AAAsf'; Outlook Stable; - $140,000,000 class A-2 'AAAsf'; Outlook Stable; - $292,963,000 class A-3 'AAAsf'; Outlook Stable; - $433,383,000 (a) class X-A 'AAAsf'; Outlook Stable; - $61,138,000 class A-S 'AAAsf'; Outlook Stable; - $32,503,000 class B 'AA-sf'; Outlook Stable; --$25,539,000 class C 'A-sf'; Outlook Stable; - $119,180,000 (a) class X-B 'A-sf'; Outlook Stable; - $13,930,000 (b) class D 'BBBsf'; Outlook Stable; - $6,191,000 (b) class E 'BBB-sf'; Outlook Stable; - $20,121,000 (a,b) class X-D 'BBB-sf'; Outlook Stable; - $12,383,000 (b,c) class F-RR 'BB-sf'; Outlook Stable; - $12,383,000 (a,b,c) class X-FRR 'BB-sf'; Outlook Stable; - $8,513,000 (b,c) class G-RR 'B-sf'; Outlook Stable; - $8,513,000 (a,b,c) class X-GRR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $25,538,867(b,c) class J-RR; - $25,538,867(a,b,c) class X-JRR; - $8,854,424 (b,d) VRR Interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. (d) Vertical Risk Retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 34 loans secured by 67 commercial properties with an aggregate principal balance of $627,973,292, as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., German American Capital Corporation, Starwood Mortgage Capital LLC, Goldman Sachs Mortgage Company, Greystone Commercial Mortgage Capital LLC, Société Générale Financial Corporation, Zions Bancorporation, N.A. and UBS AG. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Rialto Capital Advisors, LLC. The trustee is Wilmington Savings Fund Society, FSB while the certificate administrator is Citibank, N.A. Park Bridge Lender Services LLC is the operating advisor. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on April 23, 2025, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0 to $200,000,000, and the initial aggregate certificate balance of the class A-3 was expected to be in the range of $232,963,000 to $432,963,000. The final class balances for classes A-2 and A-3 are $140,000,000 and $292,963,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 86.0% by balance. Fitch's resulting net cash flow (NCF) of $63.7 million represents a 17.1% decline from the issuer's underwritten NCF of $76.8 million. Fitch 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 97.1% is in line with the 2025 YTD and higher than 2024 averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.1% is in line with the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. 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. Investment-Grade Credit Opinion Loans: Four loans representing 22.3% of the pool received an investment-grade credit opinion. Muse at Torrey Pines (7.2% of the pool) received a standalone credit opinion of 'BBB-sf*', 1535 Broadway (7.2% of the pool) received a standalone credit opinion of 'AAsf*', Herald Center (4.9% of the pool) received a standalone credit opinion of 'BBB-sf*', and Project Midway (3.0% 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 11.7% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 106.0% and 10.8%, respectively, are slightly worse than the equivalent conduit YTD 2025 LTV and DY averages of 103.9% and 11.0%, respectively. Property Type Diversity: The pool has above average diversity by property type (as designated by Fitch) concentrations. Loans collateralized by multifamily properties have the highest property type concentration at 24.9% of the pool, next is retail properties at 20.0%, office at 19.3%, and hotels at 18.5%. No other property type comprises more than 5.3% of the pool. The Fitch effective property type count is 5.5, which is above both the YTD 2025 and 2024 averages of 4.6 and 4.3, respectively. Pools with a greater concentration by property type are at greater risk of losses, all else equal. Fitch raises the overall loss for pools with effective property type counts below 5.0. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'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 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. BMO 2025-C12: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2025-C12 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2025-C12 as follows: - $9,909,000 class A-1 'AAAsf'; Outlook Stable; - $200,000,000a class A-4 'AAAsf'; Outlook Stable; - $216,456,000a class A-5 'AAAsf'; Outlook Stable; - $13,767,000 class A-SB 'AAAsf'; Outlook Stable; - $440,132,000b class X-A 'AAAsf'; Outlook Stable; - $121,823,000b class X-B 'A-sf'; Outlook Stable - $64,448,000 class A-S 'AAAsf'; Outlook Stable; - $31,439,000 class B 'AA-sf'; Outlook Stable; - $25,936,000 class C 'A-sf'; Outlook Stable; - $20,435,000b class X-D 'BBB-sf'; Outlook Stable; - $13,361,000 class D 'BBBsf'; Outlook Stable; - $7,074,000 class E 'BBB-sf'; Outlook Stable; - $14,147,000c class F-RR 'BB-sf'; Outlook Stable; - $14,147,000bc class XFRR 'BB-sf'; Outlook Stable; - $8,645,000c class G-RR 'B-sf'; Outlook Stable; - $8,645,000bc class XGRR 'B-sf'; Outlook Stable; Fitch is not expected to rate the following class: - $23,579,318 class J-RR. - $23,579,318bc class XJ-RR. - $12,112,516 class V-RR. (a) The exact initial certificate balances of class A-4 and A-5 certificates are unknown but are expected to be $416,456,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-4 balance range is $0 to $200,000,000, and the expected class A-5 balance range is $216,456,000 to $416,456,000. The balance for class A-4 reflects the top point of its range, and the balance for class A-5 reflects the bottom point of its range. In the event the class A-5 certificates are issued at $416,456,000, the class A-4 certificates will not be issued. NR-Not rated (b) Notional amount and interest only. (c) Risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 36 loans secured by 51 commercial properties with an aggregate principal balance of $ 640,873,834 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, German American Capital Corporation, Ladder Capital Finance LLC, LMF Commercial, LLC, KeyBank National Association, Zions Bancorporation, N.A., Societe Generale Financial Corporation, Starwood Mortgage Capital LLC, UBS AG and Natixis Real Estate Capital LLC. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be Rialto Capital Advisors, LLC., KeyBank National Association is expected to serve as the primary servicer with respect to six of the mortgage loans to be sold by itself. The operating advisor is expected to be Pentalpha Surveillance LLC., and Citibank, N.A is expected to be the trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 26 loans totaling 87.8% of the pool balance. Fitch's aggregate pool NCF of $118.7 million represents a 10.2% decline from the issuer's underwritten aggregate pool NCF of $132.2 million. Fitch Leverage: The pool exhibits slightly lower leverage than recent 10-year multiborrower transactions rated by Fitch, with a Fitch loan-to-value (LTV) ratio of 90.2%, compared to the 2025 YTD average of 93.0%. However, the leverage is notably higher than the 2024 average of 84.5%. The pool's Fitch NCF debt yield (DY) of 10.8% is lower the 2025 YTD and 2024 averages of 11.4% and12.3%, respectively. Excluding credit opinion and co-op loans, the pool's Fitch LTV and DY are 91.9% and 10.8%, respectively, compared to the equivalent 2025 YTD LTV and DY averages of 99.3% and 9.9%, respectively. Investment Grade Credit Opinion Loans: One loan, Washington Square, representing 10.0% of the pool by balance received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is considerably lower than the 2025 YTD and 2024 averages of 15.0% and 21.4%, respectively. Higher Loan Concentration: The pool is more concentrated than recent 10-year multiborrower transactions rated by Fitch. The top 10 loans make up 63.6% of the pool, which is higher than the 2025 YTD average of 57.7% and the 2024 average of 63.0%. 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 18.5. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB--sf' / 'BB+sf' / 'BBsf' / ' 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' / 'AAA-sf' / 'AA+sf' / 'Asf' / '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 [XXXX]. The third-party due diligence described in Form 15E focused on [XXXX]. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: [XXXX]. This/These adjustment(s) resulted in [XXXX]. Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by [XXXX]. The third-party due diligence described in Form 15E focused on [XXXX]. 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 RESIDENTIAL 2025-NQM4: DBRS Gives B(low) Rating on B-2 Debt ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-NQM4 (the Notes) issued by BRAVO Residential Funding Trust 2025-NQM4 (the Trust) as follows: -- $294.6 million Class A-1A at AAA (sf) -- $48.9 million Class A-1B at AAA (sf) -- $343.5 million Class A-1 at AAA (sf) -- $32.5 million Class A-2 at AA (high) (sf) -- $37.6 million Class A-3 at A (high) (sf) -- $27.4 million Class M-1 at BBB (high) (sf) -- $17.3 million Class B-1A at BBB (low) (sf) -- $14.2 million Class B-1B at BB (low) (sf) -- $31.5 million Class B-1 at BB (low) (sf) -- $8.8 million Class B-2 at B (low) (sf) Class A-1 and B-1 are exchangeable notes while Class A-1A, A-1B, B-1A, and B-1B are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit rating on the Class A-1A and A-1B Notes reflect 39.70% and 29.70% of credit enhancement provided by subordinated Notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low), and B (low) (sf) credit ratings reflect 23.05%, 15.35%, 9.75%, 6.20%, 3.30%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-NQM4 (the Notes). The Notes are backed by 886 loans with a total principal balance of approximately $488,579,288 as of the Cut-Off Date (March 31, 2025). The pool is, on average, five months seasoned with loan ages ranging from two to eleven months. Arc Home Loans LLC originated 23.2% and the remaining 76.8% were originated by various originators, each comprising less than 10% of the mortgage loans. Approximately 52.6% of the loans will be serviced by Citadel Servicing Corporation, and 47.4% of the loans will be serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing. ServiceMac, LLC (ServiceMac) will sub-service all of the Citadel serviced loans. Nationstar Mortgage LLC (Nationstar) will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS), will act as Indenture Trustee, Paying Agent, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as Custodian. As of the Cut-Off Date, 99.7% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 49.9% of the loans by balance are designated as non-QM. Approximately 39.5% of the loans in the pool made to investors for business purposes or were underwritten by a Community Development Financial Institution (CDFI) and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (9.3%), and QM Rebuttable Presumption (1.3%) by UPB. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The EU/UK Retention Holder will retain 100% of the Class B-2 and Class B-3 Notes and a portion of the Class B-1B Notes, representing at least 5.0% of the aggregate fair value of the Notes (other than the Class SA and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in April 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 note balance, before a similar allocation of funds to the Class A-2 (IPIP). For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A, A-1B, A-2, A-3, and M-1 (and B-1A and B-1B if issued with fixed rates). Of note, the Class A-1A, A-1B, A-2, and A-3 Notes coupon rates step up by 100 basis points on and after the payment date in May 2029. Interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Notes Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Maryland Consumer Purpose Loans In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation (OFR) issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require passive trusts that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, the 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 OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 0.6% of the pool (seven loans) are Maryland consumer-purpose mortgage loans. While the ultimate resolution of this regulation is still unclear, Morningstar DBRS, in its analysis, considered a scenario in which these properties had no recoveries given default. Notes: All figures are in US dollars unless otherwise noted. BRAVO RESIDENTIAL 2025-NQM5: Fitch Gives B(EXP) Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2025-NQM5 (BRAVO 2025-NQM5). Entity/Debt Rating ----------- ------ BRAVO 2025-NQM5 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 SA LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 602 loans with a total balance of approximately $285 million, as of the cutoff date. OCMBC, Inc. d/b/a LoanStream Mortgage (LoanStream) and Guaranteed Rate, Inc. (GRATE) contributed approximately 23.0% and 19.5% of the pool, respectively. No other originator contributed more than 10% of the pool. Most of the collateral (approximately 92.1%) will be serviced by Select Portfolio Servicing (SPS). The remainder will be serviced by Selene Finance LP (Selene) at 7.5% of the pool and Citadel Servicing Corporation (Citadel), with ServiceMac LLC (ServiceMac) as its subservicer, at 0.4%. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch estimates home price values for this pool as 10.7% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 602 loans totaling approximately $285 million and seasoned at about eight months in aggregate, as calculated by Fitch (five months, per the transaction documents). The borrowers have a moderate credit profile, with a 742 model FICO; a 45.7% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI; and moderate leverage, with an 80.5% sustainable loan-to-value ratio (sLTV). Of the pool, 61.5% of the loans are backed by owner-occupied properties, while 38.5% are investor properties or second homes, including loans to foreign nationals or loans with a nonconfirmed residency status. Additionally, 29.3% of the loans were originated through a retail channel. Of the loans, 38.8% are nonqualified mortgages (non-QMs), 33.5% are ATR/QM: Exempt, 26.5% are safe-harbor QM (SHQM) and 1.2% are higher-priced QM (HPQM). Loan Documentation (Negative): Approximately 72.8% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 42.1% were underwritten to a 12-month or 24-month bank statement program for verifying income. This is not consistent with Appendix Q standards and 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 Protections Bureau's (CFPB) ATR (ability to repay), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ATR. Additionally, 24.7% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12-month or 24-month tax returns and written verification of employment (WVOE) products. Separately, 1.2% of the loans by principal balance were originated to foreign nationals. Modified Sequential-Payment Structure (Mixed): The structure distributes 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 a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature whereby the fixed interest rate for classes A-1A, A-1B, A-2 and A-3 will increase by 100 bps, subject to the net weighted average coupon (WAC), after four years. This reduces the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to class B-3 notes on such payment date. Class B-3 notes will not be reimbursed for any amounts paid to the senior classes as cap carryover amounts. While Fitch has previously analyzed transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. On or after the June 2029 payment date, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the principal and interest (P&I) allocation for the senior classes as long as class B-3 is not written down and helps to ensure payment of the 100 bps step-up. No P&I Advancing (Mixed): There will be no servicer advancing of delinquent P&I. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement for timely interest payments to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential for 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 multiple third-party review firms. 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: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 45bps as a result of the diligence review. ESG Considerations BRAVO 2025-NQM5 has an ESG Relevance Score of '3' for Transaction Parties & Operational Risk due to Transaction Parties and Operational Risk, 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. BX 2023-DELC: DBRS Confirms B(high) Rating on Class HRR Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2023-DELC issued by BX 2023-DELC Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations. The transaction is collateralized by the fee-simple and leasehold interests held by the borrower, and the fee-simple interest held by HdC North Beach Development, LLP in the Hotel del Coronado. The full-service luxury hotel consists of 681 guest rooms and 220 third-party owned condominium units on Coronado Island in San Diego. At issuance, it was noted that the sponsor had recently invested approximately $375 million toward a major capital improvement project to renovate the property and had plans to complete more than $165 million in renovations, including the transformation of more than 350 guest rooms in the Victorian building and the modernization of the luxury condominium community known as Beach Village, over a two-year period commencing at the end of 2023. The most recently reported cash flows -- as of YE2024 -- are depressed, reflective of the ongoing renovations that have resulted in a considerable number of rooms being unavailable. Morningstar DBRS notes that cash flow is not expected to stabilize until the completion of the capital improvement project when all guest rooms are fully operational. According to the servicer, a total of 367 rooms were unavailable in 2024 with the borrower having spent approximately $140.0 million on renovations through February 2025. According to the February 10, 2025, SanDiegoUnionTribune.com, larger suites were to be converted into smaller suites, increasing the total suite count by 37 units. The renovated guest rooms in the Victorian building will become available in clusters, beginning in February 2025, and all are expected to be fully operational in June 2025. The landmark, luxury, full-service beachfront hotel and resort (with 1,400 feet of direct ocean frontage), was constructed in 1888 on a 29-acre site. The sponsor, Blackstone Real Estate Partners VIII L.P., owns all 681 guest rooms that serve as direct collateral for the loan. These rooms are spread across the Victorian building, The Cabanas, and The Views. The 220 condominium units in the Share House and Beach Village are owned by third-parties and managed by the sponsor with a revenue-sharing program. The Hotel del Coronado offers premiere amenities, including three outdoor pools, a full-service spa, a fitness center that offers indoor and outdoor classes for guests, a private beach with lounge seating,10 retail outlets, and a multitude of restaurant options. The borrower used whole-loan proceeds to repay existing debt, make an unrelated internal debt repayment for Blackstone, and reinvest equity in the property. The interest-only, floating-rate mortgage loan was structured with an initial two-year loan term with a maturity date in June 2025. Morningstar DBRS received confirmation that the borrower intends to exercise the first of three one-year extension options. There are no performance triggers, financial covenants, or fees required for the borrower to exercise any of the extension options; however, the execution of each option is conditional upon the borrower's purchase of an interest rate cap agreement at the greater of 5.0% or an amount resulting in a debt service coverage ratio of 1.10 times. According to the financial reporting for the trailing 12-month period ended December 31, 2024, the hotel was 37.90% occupied, a decline from the YE2023 figure of 64.30%. Similarly, revenue per available room (RevPAR) declined to $262.59 from $412.72 at YE2023, placing downward pressure on in-place cash flows. As outlined above, guest rooms became unavailable in 2024 as a result of the ongoing renovations and, as such, Morningstar DBRS expected temporary disruptions in operating performance as the borrower works toward completing its business plan. To mitigate the risk associated with the temporary declines in cash flow, at issuance, the borrower funded an upfront lender-controlled cash reserve of $60 million, of which $45 million was allocated to a shortfall reserve, and $15 million to a capital expenditure reserve. Morningstar DBRS inquired about the current balance on the shortfall reserve account, and, as per the servicer, it appears to be mostly depleted. For this review, Morningstar DBRS maintained the as-stabilized value derived at issuance for the underlying property. The Morningstar DBRS value of $1.2 billion was derived using an as-stabilized net cash flow of $86.7 million and a capitalization rate of 7.25% and implies a loan-to-value ratio (LTV) of 79.4%. In addition, Morningstar DBRS maintained total qualitative adjustments of 8.00% in the LTV sizing benchmark to reflect the limited cash flow volatility (when stabilized) given the strong barriers to entry and historical RevPAR penetration rate, strong property quality (further strengthened by the significant capital investment from the sponsor), and superior market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2023-LIFE: Moody's Lowers Rating on Cl. D Certs to Ba3 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes of BX Trust 2023-LIFE, Commercial Mortgage Pass-Through Certificates, Series 2023-LIFE as follows: Cl. A, Downgraded to Aa2 (sf); previously on Feb 22, 2023 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A3 (sf); previously on Feb 22, 2023 Definitive Rating Assigned Aa3 (sf) Cl. C, Downgraded to Baa3 (sf); previously on Feb 22, 2023 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Feb 22, 2023 Definitive Rating Assigned Baa3 (sf) Cl. X*, Downgraded to Baa1 (sf); previously on Feb 22, 2023 Definitive Rating Assigned A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the four P&I classes were downgraded due to an increase in Moody's loan to value (LTV) as a result of decline in occupancy and financial performance. The portfolio's cash flow has declined since securitization driven primarily by a drop in occupancy and an increase in operating expenses. The second largest tenant at securitization, SmartLabs (145,192 SF or 33% of NRA), vacated the property in 2024, and based on the annualized September 2024 financials the property's operating expenses were more than 25% higher than Moody's expectations at securitization. While the loan remains current on monthly debt service payments, the combination of lower revenue and higher expenses has led to the loan's most recent debt service coverage ratio (DSCR) declining to below 1.00X. The five year, interest only, fixed rate loan matures in February 2028 and the borrower has been making efforts to re-lease the property, however, Moody's rating action reflects the combination of the lower occupancy, higher operating expenses and the weaker life science fundamentals due to the amount of new construction completions resulting in significant vacancy increase in the San Francisco life science market. The rating on the interest-only (IO) class, Cl. X, was downgraded due to decline in the credit quality of its referenced classes. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the structure and quality of the collateral, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values and how they could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the April 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $400 million. This securitization is backed by a single, interest only, fixed-rate (5.451%), five-year loan collateralized by a first-lien mortgage that matures in February 2028. The Class A life science office and laboratory property and adjacent parking structure located at 750 and 760 Gateway Boulevard, South San Francisco, CA, is known as Gateway of Pacific Phase II. The two interconnected towers total 440,708 SF, of which is designed to accommodate 60% lab and 40% office, and were completed in 2021. The sponsor is BRE Edison L.P., an affiliate of BioMed Realty, a Blackstone portfolio company. According to CBRE, as of the fourth quarter 2024, the oversupply of life science lab/R&D space will persist, and the overall US vacancy rate rose by 1.2 percentage points to 19.7% due to 3.4 million SF of vacant deliveries. Approximately 12.1 million SF of Lab/R&D space is under construction and the majority of these completions will occur in the Big 3 markets including San Francisco. At securitization, as of third quarter 2022, the San Francisco Peninsula Life Science market had a total inventory of approximately 16.6 million SF with a vacancy rate of 5% according to CBRE. As of fourth quarter 2024, the San Francisco Peninsula market had a total inventory of approximately 22.6 million SF with a vacancy rate of just under 34%. While the overall vacancy rate is expected to increase, the construction pipeline is expected to significantly ease by year-end. The property's net operating income (NOI) for the first nine months of 2024 was $14.6 million compared to $33.7 million achieved in calendar year 2023 and $33.4 million in 2022. The annualized 2024 NOI would represent a 42% decline from that of 2023 due to a combination of the lower occupancy and higher operating expenses. The occupancy was 67% based on the December 2024 rent roll, due to the second largest tenant, SmartLabs (145,192 SF or 33% of NRA), vacating the property. Furthermore, the property's operating expenses have been increasing annually and are well above initial expectations at securitization. The annualized 2024 operating expenses were $2.4 million (or approximately 17%) higher than that of the full year 2023. Servicer commentary indicates the borrower has been making efforts to re-lease the property and has several leases that should be executed in the near future. While this would likely lead to revenue growth, the trend of increased operating expenses and decline in market fundamentals from securitization remains a concern. The loan remains current as of the April 2025 distribution date but had an NOI DSCR of 0.89X compared to 1.55X in 2023. Given the higher market vacancies in combination with the lower occupancy and higher expenses since securitization Moody's have lowered Moody's net cash flow (NCF) to $27.8 million from $32.2 at securitization. Moody's cash flow assumed the lease-up of a portion of the recently vacated space in combination with slow improvement in market fundamentals dampened by increased operating expenses. Moody's LTV ratio for the first mortgage balance is now 119% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 112% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.75X down from 0.87X at securitization. There are no outstanding interest shortfalls or losses as of the current distribution date. BX TRUST 2025-TAIL: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2025-TAIL Commercial Mortgage Pass-Through Certificates, Series 2025-TAIL: - $366,130,000 class A 'AAAsf'; Outlook Stable; - $43,130,000 class B 'AA-sf'; Outlook Stable; - $46,260,000 class C 'A-sf'; Outlook Stable; - $65,270,000 class D 'BBB-sf'; Outlook Stable. - $87,210,000 class E 'BB-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $24,000,000(a) class RR; - $8,000,000(a) RR Interest; (a) Class RR and RR Interest represent a non-offered vertical risk retention interest totaling approximately 5.0% of the fair value of the offered certificates. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $640 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 23 grocery anchored properties located across 12 states. The properties were acquired by affiliates of BREIT Operating Partnership L.P., who will serve as initial borrower sponsor. The properties were acquired through various separate transactions between 2019 and 2022 for a total cost basis of approximately $916.0 million. Mortgage loan proceeds will be used to refinance approximately $493.0 million of existing debt, pay a total of $2.5 million in closing costs, and return approximately $144.5 million in equity to the sponsor. The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan, subject to a loan-to-value (LTV) and debt yield (DY) no worse than closing date, among other provisions outlined in the loan agreement. The loan is expected to be co-originated by German American Capital Corporation, Barclays Capital Real Estate Inc., and Bank of Montreal. KeyBank National Association will act as both the master servicer and special servicer. Computershare Trust Company, National Association will act as the trustee and Deutsche Bank National Trust Company, National Association will be the certificate administrator. Deutsche Bank Trust Company Americas will act as operating advisor. The transaction is scheduled to close on June 5, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $49.8 million. This is 11.3% lower than the issuer's NCF and 9.5% lower than YE24 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of $664.4 million. High Overall Fitch Leverage: The $640.0 million trust loan equates to a debt of $212.83 psf with a Fitch debt service coverage ratio (DSCR) of 0.92x, loan-to-value ratio (LTV) of 96.3% and debt yield of 7.8%. The loan represents around 68.6% of the appraised value of $993.1 million. The Fitch market LTV at 'BB-sf' (the lowest Fitch-rated non-investment grade tranche) is 85.2%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.77%. Geographic Diversity: The portfolio exhibits geographic diversity with 23 grocery anchored properties (3.0 million sf) located across 12 states and 16 markets, per CoStar. The three largest state concentrations are are Illinois (two properties; 17.0% of ALA), New York (one property; 15.7% of ALA), Texas (four properties; 12.4% of ALA). The three largest markets are New York, NY (13.7% of NRA; 20.7% of allocated loan amount [ALA]), Chicago, IL (14.8% of NRA; 17.0% of ALA) and Seattle, WA (10.2% of NRA; 10.6% of ALA). The Fitch effective MSA count for the pool is 9.0. The portfolio also exhibits significant tenant diversity, as it features 314 distinct tenants. Institutional Sponsorship and Management: The loan is sponsored by BREIT Operating Partnership L.P., an affiliate of Blackstone Inc. Blackstone is one of the largest owners of commercial real estate in the world and had approximately $315 billion of assets under management as of February 2025 per the termsheet. The portfolio in this transaction is managed by ShopCore Properties TRS Management LLC, Jones Lang LaSalle Americas, Inc. and Mid-America Asset Management, Inc. ShopCore will manage 20 of the 23 properties and is an affiliate of the borrowers. ShopCore Properties operates over nine million square feet of retail centers. ShopCore Properties' portfolio consists of over 60 shopping centers in various regions across the United States. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-f'/'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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'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 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 the mortgage loan. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. 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. CD 2016-CD1: DBRS Confirms C Rating on 3 Classes ------------------------------------------------ DBRS, Inc. downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2016-CD1 issued by CD 2016-CD1 Mortgage Trust, as follows: -- Class C to CCC (sf) from BB (high) (sf) -- Class X-B to CCC (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AA (low) (sf) -- Class X-A at AA (sf) -- Class B at A (low) (sf) -- Class X-C at CCC (sf) -- Class X-D at C (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) Morningstar DBRS also changed the trends on Class A-M and Class X-A to Stable from Negative. Class B continues to carry a Negative trend while Classes X-B, X-C, X-D, C, D, E, and F 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 May 2024, Morningstar DBRS downgraded 10 classes to reflect increased liquidated loss projections for two of the three loans in special servicing. Negative trends were also placed on five classes because of concerns surrounding the possibility of further value deterioration for the distressed collateral in the pool, as well as susceptibility to additional interest shortfalls. In the analysis for the subject credit rating action, Morningstar DBRS' loss expectations have only increased marginally from the prior year's analysis; however, interest shortfalls have more than doubled since the previous credit rating action, with a cumulative balance of $3.6 million shorted across Classes C through G, as of the April 2025 remittance. Class C has been accruing interest since March 2025 and will likely reach the Morningstar DBRS shortfall tolerance ceiling of six months for the BB (sf) and B (sf) credit rating category in the next few reporting periods, supporting the credit rating downgrade with this review. Further, the classes higher than Class C have a higher propensity for additional shortfalls, which is a major driver for maintaining the Negative trend for Class B with this credit rating action. In the analysis for this review, Morningstar DBRS liquidated both of the specially serviced loans, resulting in an aggregate loss of $43.7 million, which would partially erode the Class D balance and fully erode the balance of Class E, Class F, and nonrated Class G. Morningstar DBRS also stressed several other loans exhibiting signs of distress because of sustained or expected performance declines, resulting in elevated credit risk for Classes B, C, and D. Morningstar DBRS recognizes that the vast majority of outstanding loans in the pool have an upcoming maturity date in 2026, several of which will likely face difficulty obtaining takeout financing, further supporting the credit rating downgrades and Negative trends. The credit rating confirmations and Stable trends for Classes A-3, A-4, A-SB, X-A, and A-M reflect the overall stable performance of the remaining loans in the pool, as exhibited by the healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.38 times (x), based on the most recent year-end financials. As of the April 2025 remittance, 29 of the original 32 loans remain in the pool, representing a collateral reduction of 19.0% since issuance. Defeasance collateral represents 7.0% of the pool balance. Two loans (13.0% of the pool) are in special servicing and 11 loans (42.8% of the pool) are on the servicer's watchlist. Loans secured by office properties represent the greatest property type concentration, accounting for 45.3% of the pool balance. Aside from one specially serviced loan secured by office collateral, the office loans in the pool have generally performed as expected, reporting a WA DSCR and debt yield of 2.89x and 12.5%, respectively, according to the most recent servicer reported figures. This includes two shadow-rated loans described later in this press release. The largest loan in special servicing is secured by Westfield San Francisco Centre (Prospectus ID#3, 10.5% of the pool), which is composed of approximately 553,000 square feet (sf) of retail space and 241,000 sf of office space within a regional mall in San Francisco. The loan transferred to special servicing in June 2023 for imminent monetary default and the loan was last paid through September 2023. Foreclosure was filed in September 2023 and a receiver was appointed in October 2023. The mall was rebranded as Emporium Centre San Francisco, with Jones Lang LaSalle acting as the property manager to stabilize the subject. The occupancy rate was 18.0% as of September 2024, a significant decline from 40.0% as of YE2023 and 53.0% as of YE2022. The only remaining anchor, a noncollateral Bloomingdale's, recently announced the store would close in April 2025 prior to its September 2046 scheduled lease expiration. In the analysis for this review, the loan was liquidated from the trust based on a 15.0% haircut to the most recent appraised value of $290.0 million, resulting in a trust loss of about $30.0 million and a loss severity of nearly 50.0%. Given the very low in-place occupancy rate, Morningstar DBRS expects investor appetite will be low, a factor in the conservative liquidation scenario considered with this review. The other specially serviced loan, 401 South State Street (Prospectus ID#9, 2.5% of the pool), is secured by two Class A office buildings in the East Loop submarket of Chicago. The property has been vacant since its former sole tenant, Robert Morris University, departed and stopped paying rent in April 2020. The asset has been real estate owned since April 2023 and was recently reappraised in May 2024 for $9.2 million, a drastic decline from the issuance appraised value of $76.5 million. In the analysis for this review, the loan was liquidated based on a 15.0% haircut to the most recent value, resulting in a full loss to the trust. At issuance, Morningstar DBRS shadow rated 10 Hudson Yards (Prospectus ID#1, 11.4% of the trust balance) and Vertex Pharmaceuticals HQ (Prospectus ID#9, 5.3% of the trust balance) investment grade, because of investment-grade tenancy, strong sponsorship, and favorable property quality given the high quality finishes. The 10 Hudson Yards loan, which is secured by a Class A office property in the Penn Station submarket of New York, is pari passu to a loan secured in Hudson Yards 2016-10HY Mortgage Trust, which is also rated by Morningstar DBRS. Morningstar DBRS recently reviewed that transaction, with the credit rating actions detailed in a press release dated March 4, 2025. For more information, please see the press release titled "Morningstar DBRS Upgrades Credit Ratings on Three Classes of Hudson Yards 2016-10HY Mortgage Trust" on the Morningstar DBRS website. During the March 4, 2024, review, Morningstar DBRS derived an updated Morningstar DBRS Value for the property and Morningstar DBRS loan-to-value ratio. The updated approach continued to support the investment-grade shadow rating on the loan. Vertex Pharmaceuticals HQ is secured by an office and lab property in Boston and serves as the global headquarters for Vertex Pharmaceuticals as it occupies the majority of the space. According to recent news articles, the tenant recently completed an early renewal of its lease, extending the expiration date by approximately 15 years to June 2044, from its previous expiration date in December 2028. Based on the YE2024 financials, the loan reported a DSCR of 5.38x. With this review, Morningstar DBRS confirmed that the performance of the loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-4: DBRS Finalizes B(low) Rating on B5 Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-4 (the Certificates) issued by Chase Home Lending Mortgage Trust 2025-4 (CHASE 2025-4) as follows: -- $273.0 million Class A-2 at AAA (sf) -- $273.0 million Class A-3 at AAA (sf) -- $273.0 million Class A-3-X at AAA (sf) -- $204.8 million Class A-4 at AAA (sf) -- $204.8 million Class A-4-A at AAA (sf) -- $204.8 million Class A-4-X at AAA (sf) -- $68.3 million Class A-5 at AAA (sf) -- $68.3 million Class A-5-A at AAA (sf) -- $68.3 million Class A-5-X at AAA (sf) -- $163.8 million Class A-6 at AAA (sf) -- $163.8 million Class A-6-A at AAA (sf) -- $163.8 million Class A-6-X at AAA (sf) -- $109.2 million Class A-7 at AAA (sf) -- $109.2 million Class A-7-A at AAA (sf) -- $109.2 million Class A-7-X at AAA (sf) -- $41.0 million Class A-8 at AAA (sf) -- $41.0 million Class A-8-A at AAA (sf) -- $41.0 million Class A-8-X at AAA (sf) -- $38.5 million Class A-9 at AAA (sf) -- $38.5 million Class A-9-A at AAA (sf) -- $38.5 million Class A-9-B at AAA (sf) -- $38.5 million Class A-9-X1 at AAA (sf) -- $38.5 million Class A-9-X2 at AAA (sf) -- $38.5 million Class A-9-X3 at AAA (sf) -- $68.3 million Class A-11 at AAA (sf) -- $68.3 million Class A-11-X at AAA (sf) -- $68.3 million Class A-12 at AAA (sf) -- $68.3 million Class A-13 at AAA (sf) -- $68.3 million Class A-13-X at AAA (sf) -- $68.3 million Class A-14 at AAA (sf) -- $68.3 million Class A-14-X at AAA (sf) -- $68.3 million Class A-14-X2 at AAA (sf) -- $68.3 million Class A-14-X3 at AAA (sf) -- $68.3 million Class A-14-X4 at AAA (sf) -- $379.8 million Class A-X-1 at AAA (sf) -- $6.4 million Class B-1 at AA (low) (sf) -- $6.4 million Class B-1-A at AA (low) (sf) -- $6.4 million Class B-1-X at AA (low) (sf) -- $7.2 million Class B-2 at A (low) (sf) -- $7.2 million Class B-2-A at A (low) (sf) -- $7.2 million Class B-2-X at A (low) (sf) -- $3.6 million Class B-3 at BBB (low) (sf) -- $2.0 million Class B-4 at BB (low) (sf) -- $803.0 thousand Class B-5 at 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 AAA (sf) credit ratings on the Certificates reflect 5.40% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.80%, 2.00%, 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 2025-4 (the Certificates). The Certificates are backed by 358 loans with a total principal balance of $422,626,907 as of the Cut-Off Date (April 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 72.4% 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. CHASE HOME 2025-6: Fitch Assigns B+(EXP)sf Rating on Cl. B-5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-6 (Chase 2025-6). Entity/Debt Rating ----------- ------ Chase 2025-6 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-6 (Chase 2025-6) as indicated above. The certificates are supported by 471 loans with a scheduled balance as of the cutoff date of $575.64 million. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.6% above a long-term sustainable level. This is in contrast to 11% on a national level as of 4Q24, down 0.1% 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 2.9% YoY nationally as of February 2025 despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 471 high-quality, fixed-rate, fully amortizing loans with maturities of 15 years to 30 years and amounting to $575.64 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a WA FICO score of 770, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 767. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 77.8% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 76.1%, which translates to a sustainable LTV ratio (sLTV) of 84.5%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans and 0.00% are rebuttable presumptions QM loans. Of the pool, the borrower for 100% of the loans maintains a primary or secondary residence (86.2% primary and 13.8% secondary). Single-family homes and planned unit developments (PUDs) constitute 90.4% of the pool, condominiums make up 8.5%, co-ops make up 0.6% and the remaining 0.5% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (89.7%), cashout refinances (2.0%) and rate-term refinances (8.2%). None of the loans are for investment properties and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 24.2% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the Los Angeles MSA (8.5%), followed by the Seattle MSA (7.6%) and the San Francisco MSA (7.5%). The top three MSAs account for 23.6% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): 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 of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the nonretained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the nonretained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.25% 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. Additionally, a junior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity 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 rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.13% at the 'AAAsf' stress due to 57.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 57.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-6, including strong transaction due diligence. The entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2015-GC35: Fitch Lowers Rating on Two Tranches to 'Bsf' ----------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Citigroup Commercial Mortgage Trust 2015-GC33 commercial mortgage pass-through certificates (CGCMT 2015-GC33). The Rating Outlooks are Negative for five affirmed classes. Fitch downgraded 10 and affirmed three classes of GS Mortgage Securities Trust commercial mortgage pass-through certificates, series 2015-GC34 (GSMS 2015-GC34). In addition, Fitch has assigned Negative Outlooks to four classes following their downgrades. Fitch downgraded six and affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-GC35 commercial mortgage pass-through certificates (CGCMT 2015-GC35). In addition, Fitch has assigned Negative Outlooks to seven classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-GC33 A-3 29425AAC7 LT AAAsf Affirmed AAAsf A-4 29425AAD5 LT AAAsf Affirmed AAAsf A-AB 29425AAE3 LT AAAsf Affirmed AAAsf A-S 29425AAF0 LT AAAsf Affirmed AAAsf B 29425AAG8 LT A-sf Affirmed A-sf C 29425AAH6 LT BB+sf Affirmed BB+sf D 29425AAJ2 LT CCCsf Affirmed CCCsf E 29425AAP8 LT CCsf Affirmed CCsf F 29425AAR4 LT Csf Affirmed Csf PEZ 29425AAN3 LT BB+sf Affirmed BB+sf X-A 29425AAK9 LT AAAsf Affirmed AAAsf X-D 29425AAM5 LT CCCsf Affirmed CCCsf CGCMT 2015-GC35 A-2 17324KAM0 LT AAAsf Affirmed AAAsf A-3 17324KAN8 LT AAAsf Affirmed AAAsf A-4 17324KAP3 LT AAAsf Affirmed AAAsf A-AB 17324KAQ1 LT AAAsf Affirmed AAAsf A-S 17324KAR9 LT BBBsf Downgrade A-sf B 17324KAS7 LT BBsf Downgrade BBB-sf C 17324KAT5 LT Bsf Downgrade BB-sf D 17324KAU2 LT CCCsf Affirmed CCCsf E 17324KAA6 LT CCsf Affirmed CCsf F 17324KAC2 LT Csf Affirmed Csf PEZ 17324KAY4 LT Bsf Downgrade BB-sf X-A 17324KAV0 LT BBBsf Downgrade A-sf X-B 17324KAW8 LT BBsf Downgrade BBB-sf X-D 17324KAX6 LT CCCsf Affirmed CCCsf GSMS 2015-GC34 A-3 36250VAC6 LT AAAsf Affirmed AAAsf A-4 36250VAD4 LT AAAsf Affirmed AAAsf A-AB 36250VAE2 LT AAAsf Affirmed AAAsf A-S 36250VAH5 LT AAsf Downgrade AAAsf B 36250VAJ1 LT BBsf Downgrade BBB+sf C 36250VAL6 LT CCCsf Downgrade BBsf D 36250VAM4 LT CCsf Downgrade CCCsf E 36250VAP7 LT Csf Downgrade CCsf F 36250VAR3 LT Csf Downgrade CCsf PEZ 36250VAK8 LT CCCsf Downgrade BBsf X-A 36250VAF9 LT AAsf Downgrade AAAsf X-B 36250VAG7 LT BBsf Downgrade BBB+sf X-D 36250VAN2 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Upcoming Maturities: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 14.0% in CGCMT 2015-GC33, 18.6% in GSMS 2015-GC34, and 13.9% in CGCMT 2015-GC35, from 11.0%, 15.6%, and 13.6%, respectively, at the prior rating action. The CGCMT 2015-GC33 transaction has 9 Fitch Loans of Concern (FLOCs; 37.5% of the pool), including one loan (12.4%) in special servicing. The GSMS 2015-GC34 transaction has eight FLOCs (40.3% of the pool), including three loans (27.3%) in special servicing. The CGCMT 2015-GC35 transaction has 10 FLOCs (53.3% of the pool), including three loans (12.1%) in special servicing. These pools have significant upcoming maturities as the majority of the loans are scheduled to mature in 2025. Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. CGCMT 2015-GC33: The affirmations reflect the high pool loss expectations, which remain relatively in line with Fitch's prior rating action, driven primarily by continued performance declines and refinance concerns with three office FLOCs, Illinois Center (12.4%), the Decoration and Design Building (8.2%), and Hamilton Landing (8.1%) which account for approximately 79% of the overall pool loss expectations. The Negative Outlooks reflect the elevated concentrations of office (38.8%) and specially serviced loans (12.4%), and possible further downgrades should performance of the three aforementioned office FLOCs, along with other retail, hotel and mixed-use FLOCs, including Pavilion Jenkintown, Mix at Midtown, and Renaissance Faire I, fail to stabilize, deteriorate further or with prolonged specially serviced loan workouts. GSMS 2015-GC34: The downgrades reflect higher pool loss expectations since Fitch's prior rating action driven by the three specially serviced office FLOCs (combined, 27.3% of pool) due to further performance declines on 750 Lexington Avenue (11.3%) and Illinois Center (13.1%), as well as continued limited workout progress on the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9%). Loss expectations for these three specially serviced office FLOCs account for approximately 87% of the overall pool loss expectations. The Negative Outlooks reflect the high office concentration (49.3%), inclusive of three specially serviced office loans (27.3%), and further downgrades that will occur without performance stabilization and workout progress on the aforementioned three specially serviced office FLOCs and/or more loans than expected default at maturity. CGCMT 2015-GC35: The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines and refinance concerns with office and retail FLOCs, including 750 Lexington Avenue (4.6%), Paramus Park (13.0%), Illinois Center (6.0%) and South Plains Mall (10.8%). Loss expectations for these four office and retail FLOCs account for approximately 87% of overall pool loss expectations. The Negative Outlooks reflect the elevated concentrations of office (29.8%) and special serviced loans (12.1%), and potential for further downgrades should performance not stabilize on the office and retail FLOCs and/or more loans than expected default at maturity. The largest contributor to overall loss expectations in CGCMT 2015-GC33, second largest in GSMS 2015-GC34 and fourth largest in CGCMT 2015-GC35 is the Illinois Center loan, secured by two adjoining 32-story office towers totaling 2.1 million sf in the East Loop submarket of the Chicago CBD. The loan transferred to special servicing in April 2024 for payment default. According to the April 2025 reporting, the loan remains 90+ days delinquent. The loan matures in August 2025. Combined occupancy of the two office towers dropped to 36.7% as of the December 2024 rent roll, compared to 47.8% in December 2023. The 111 East Wacker building was 55.1% occupied and the 233 North Michigan building was 18.0% occupied. The Department of Health and Human Services, which previously occupied 8.1% of NRA, vacated in November 2023, and Bankers Life and Casualty, formerly occupying 6.5% of NRA, vacated in August 2023. Recently, several smaller tenants have left following the expiration of their leases. Notably, iHeartMedia + Entertainment reduced their space to 1.4% from 4.6% of NRA, with the lease extending through August 2034. The largest tenants are Taft Stettinius & Hollister (5.1% of NRA through August 2034) and AmTrust (3.3%; June 2026). Upcoming rollover per the December 2024 rent roll includes 5.0% of the NRA rolling in 2025 and 9.8% in 2026. The servicer-reported Q3 2024 NOI DSCR was 1.11x, compared to 1.41x at YE 2023, 1.14x at YE 2022, 1.15x at YE 2021, 1.61x at YE 2020, and 2.19x at YE 2019. Fitch's 'Bsf' rating case loss of 39.2% (prior to concentration add-ons) reflects a 10.0% cap rate and a 30% stress to the annualized Q3 2024 NOI due to rollover concerns and weak submarket fundamentals. The largest increase in loss expectations since the prior rating action in GSMS 2015-GC34 and the second largest increase in CGCMT 2015-GC35 is the 750 Lexington Avenue loan, secured by the leasehold interest in a 361,443-sf office property with ground floor retail located in Manhattan's Plaza District. The loan transferred to special servicing in October 2023 for delinquent payments. According to the April 2025 reporting, the loan remains 90+ days delinquent. The loan matures in October 2025. The property's largest tenants include WeWork (21.6% of NRA leased through February 2029), The Invus Group (5.9%; January 2026), Stemline Therapeutics, Inc. (4.5%; May 2028) and Odeon Capital Group, LLC (3.9%; May 2029). Sephora is largest retail tenant (1.8%; recently extended by 12 years through January 2037). A 7,676-sf portion of the 24,602-sf land parcel is subject to a ground lease until Dec. 31, 2077. The ground rent expense recently increased to $6.4 million, as part of a scheduled rent reset based on 110% of the prior year's rent or 9% of the land value. The ground rent expense increases again in 2030. The WeWork lease was executed to consist of two portions, both at below-market rents and expiring in March 2035, with the tenant receiving a total of 32 months of free rent spread over its lease term. The first portion of the lease (82,500 sf; 21.6% of NRA) commenced in March 2018 at rents of $65 psf, which helped to drive occupancy up to 89.2% in June 2018 from 66% in June 2017. The second portion of the lease, which includes an additional 30,775 sf (8.6% of NRA) on the 10th and 11th floors, was expected to commence in February 2020; these remain vacant. At the prior review, Fitch noted that WeWork was in discussions with the borrower for a rent deduction. Per the December 2024 rent roll, WeWork is now paying $42 psf, compared to their previous rate of $70 psf, which reduces the overall income at the property by approximately $2.3M annually. The servicer-reported YE 2024 NOI DSCR was 0.06x, compared to 0.45x at YE 2024, 0.66x at YE 2022, 1.15x at YE 2021, and 2.26x at YE 2020. The loan began amortizing in November 2020. Fitch's 'Bsf' rating case loss of 75.3% (prior to concentration add-ons) considers the most recent draft appraisal value. The second largest contributor to overall loss expectations in CGCMT 2015-GC33 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 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 41.9% (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 third largest contributor to overall loss expectations in GSMS 2015-GC34 is the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9% of the pool), a portfolio of three office/flex properties located in suburban Buffalo, NY. The loan transferred to special servicing in December 2019 for imminent default and the assets became REO in October 2022. According to the special servicer, the vacant spaces across the portfolio are being marketed for lease. As of June 2025, the assets are not listed for sale as the servicer is continuing to address leasing and capex needs at the properties. Portfolio cash flow has declined since issuance, partially attributed to the rent reduction of the largest tenant, Silipos (16.6% of portfolio NRA leased through April 2028), by nearly 47% as part of its 10-year lease renewal. The portfolio's other largest tenants include Calamar Construction Management, Inc. (14.3%; July 2025) and TDG Transit Design Group (8.4%; August 2029). Portfolio occupancy was 80.3% occupied as of the March 2024 rent roll, compared to 80% in March 2023, 80% in December 2022, 74.8% in May 2021 and 86.3% in April 2020. Upcoming rollover includes 27.2% in 2025. Fitch's 'Bsf' rating case loss of 83.2% (prior to concentration add-ons) considers a stress to a recent appraisal, reflecting a stressed value of $40 psf. The largest increase in overall loss expectations since the prior rating action in in CGCMT 2015-GC35 is the Paramus Park loan, secured by a 302,283-sf portion of a 761,340-sf regional mall located in Paramus, NJ. Non-collateral anchors include Macy's and Stew Leonard's, which took over approximately 100,000-sf portion of the former 169,634-sf Sears box that was vacated in 2019. The loan is scheduled to mature in September 2025. The mall located in a heavily retailed market with three other malls (Westfield Garden State Plaza, Bergen Town Center, and The Shops at Riverside) located within a four-mile radius. At issuance, the property was the worst performing of the four malls based on inline sales as of issuance. Collateral occupancy as of the May 2024 rent roll was 79.4%, compared to 84% in March 2023, 89% at YE 2022, 82% at YE 2021, and 73% at YE 2020. The May 2024 rent roll shows 18 leases totaling 21.5% of NRA are scheduled to expire 2025, and seven leases totaling 8.4% in 2026. Comparable in-line tenant sales for tenants under 10,000 sf was $414 psf as of TTM June 2024, after declining to $233 psf in 2020, and is slightly below $429 psf in 2019. Fitch's 'Bsf' rating case loss of 17.0% (prior to concentration add-ons) reflects a 13% cap rate and no additional stress to the YE 2023 NOI given the increase in yoy sales, along with recent residential development surrounding the subject. The largest contributor to overall loss expectations in CGCMT 2015-GC35 is the South Plains Mall loan, secured by 992,140-sf portion of a 1,135,840-sf super-regional mall located in Lubbock, TX. The loan is sponsored by the Macerich Company and GIC Realty. The loan matures in November 2025. Collateral anchors include Dillard's (26% of collateral NRA; expired April 2024), JCPenney (21%; March 2028), Home Depot (10.4%; December 2040), Premiere Cinemas (16 screens: 6.3%; April 2032) and a non-collateral former Sears (143,700 sf), which closed in late 2018. According to the servicer, Dillard's is still in place at the property and is on a month-to-month (MTM) lease, following its lease expiration in April 2024. In addition, the servicer noted that the tenant will be closing its current location and will be relocating to the former Sears space at the mall. The grand opening of the new store occurred in October 2024. The September 2024 rent roll shows 20 leases totaling 8.1% of the NRA that are expiring by YE 2025. As of the September 2024 rent roll, the overall property was 84.3% occupied, compared to 84% at YE 2023, 96% at YE 2022, 84% at YE 2021 and 79% at YE 2020. The servicer-reported Q2 2024 DSCR was 2.10x as of Q2 2024, compared to YE 2023 NOI DSCR at 2.00x, 1.87x at YE 2022, 1.69x at YE 2021 and 1.77x at YE 2020. Fitch's 'Bsf' rating case loss of 34.9% (prior to concentration add-ons) reflects a 15% cap rate and 15% stress to the YE 2023 NOI and factors a heighted probability of default given its asset quality, declining performance and anticipated refinance concerns. Improved Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate balance for CGCMT 2015-GC33 has been reduced by 22.6% to $741.7 million from $958.5 million at issuance. Eighteen loans (18.1% of pool) have been defeased. Five loans (25%) are full-term interest-only (IO) and the remaining 75% of the pool is amortizing. Scheduled loan maturities include 54 loans (92%) in 2025 and one loan (8%) in 2026. As of the April 2025 distribution date, the pool's aggregate balance for GSMS 2015-GC34 has been reduced by 16.8% to $705.9 million from $848.4 million at issuance. Nineteen loans (23.0% of pool) have been defeased. Five loans (31%) are full-term IO and the remaining 69% of the pool is amortizing. All remaining loans are scheduled to mature in 2025. As of the April 2025 distribution date, the pool's aggregate balance for CGCMT 2015-GC35 has been reduced by 16.2% to $925.8 million from $1.1 billion at issuance. Sixteen loans (9.3% of pool) have been defeased. Eleven loans (59%) are full-term IO and the remaining 41% of the pool is amortizing. 54 loans (93%) are scheduled to mature in 2025, with one loan, Doubletree Jersey City (7%), maturing in 2027. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior classes rated 'AAAsf' in CGCMT 2015-GC33 and GSMS 2015-GC34 and classes A-2, A-3 and A-AB in CGCMT 2015-GC35 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 the junior 'AAAsf' rated class in CGCMT 2015-GC33 and CGCMT 2015-GC35 is possible with continued performance deterioration and increased loss expectations of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to classes rated in the 'AAsf' and 'Asf' rated classes could occur should performance of the FLOCs, most notably Illinois Center (all three transactions), 750 Lexington (GSMS 2015-GC34 and CGCMT 2015-GC35), the Decoration & Design Building (CGCMT 2015-GC33), South Plains Mall (CGCMT 2015-GC35) and Paramus Park (CGCMT 2015-GC35), deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades in the 'BBBsf', 'BBsf, 'Bsf' rated categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, as losses be realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE, coupled with stable to improved pool-level loss expectations and performance stabilization on the FLOCs, including Illinois Center (all three transactions), 750 Lexington (GSMS 2015-GC34 and CGCMT 2015-GC35), the Decoration & Design Building (CGCMT 2015-GC33), South Plains Mall (CGCMT 2015-GC35) and Paramus Park (CGCMT 2015-GC35); - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; - Upgrades to the 'CCCsf', 'CCsf' and 'Csf' category rated classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. 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 2022-GC48: DBRS Confirms BB(low) Rating on YL-C Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Yorkshire & Lexington Towers Loan-Specific Certificates issued by Citigroup Commercial Mortgage Trust 2022-GC48 as follows: -- Class YL-A at A (sf) -- Class YL-B at BBB (low) (sf) -- Class YL-C at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the two underlying multifamily properties, which are in the Upper East Side submarket of Manhattan, New York. The 21-story Yorkshire Towers property is significantly larger, with 681 residential units and 63,778 square feet (sf) of commercial space. In comparison, the 15-story Lexington Towers property consists of 127 residential units and approximately 17,000 sf of commercial space. At issuance, there were 503 market-rate units (62.3% of the total) and 305 rent-stabilized units (37.7% of the total) across the two properties. The $221.5 million subject transaction consists of the two junior B notes that are part of a larger $714.0 million whole loan. The whole loan consists of 18 senior A notes totaling $318.0 million, two junior B notes totaling $221.5 million, and four mezzanine loans totaling $174.5 million. Whole-loan proceeds were used to refinance $550.0 million of existing debt, return $55.3 million of borrower equity, fund $20.3 million of various upfront reserves, and cover closing costs. The fixed-rate loan is interest only throughout its five-year term and is scheduled to mature in June 2027, with no extension options available. The loan, which is currently performing, transferred to special servicing in November 2024 after the borrower defaulted on its obligation to fund a supplemental income reserve as prescribed in the loan documents. The reserve funding requirement is based on failing to achieve a 5.0% debt-yield on the whole-loan amount of $714.0 million (including the four mezzanine loans). According to the most recent financial reporting, the current debt yield as of YE2024 was approximately 4.0%. The borrower has yet to replenish the reserve account; however, the servicer has confirmed receipt of a workout proposal from the borrower and noted the mezzanine lenders have expressed an interest in negotiating cure scenarios. At issuance, it was noted that the sponsor had completed 57-unit renovations with plans to carry out an additional $6.5 million project to renovate another 311 units over a three-year period. More specifically, the business plan contemplated 283 traditional renovations and 28 major renovations involving the combination of multiple units into a single floorplan, or materially altering floorplans (post-renovation, the combined unit count was expected to decrease to 793 units, consisting of 492 market-rate and 301 rent-stabilized units). The sponsor intended to take advantage of existing state regulations at the time, which allowed for the rent-stabilized legal rent to be reset to the first rent achieved following the renovation, however the State of New York changed the regulations in 2023 restricting the landlord's ability to increase rents on renovated units. According to the servicer, the borrower has halted its business plan in light of the recent changes. As of April 2024, 65.0% of the units were designated as market-rate while 35.0% of the units were designated as rent-stabilized, relatively in line with issuance. According to year-end (YE) 2024 financial reporting, the property generated a net cash flow (NCF) of $29.3 million and a debt service coverage ratio (DSCR) of 1.76 times (x), an improvement from the YE2023 figure of $28.9 million (a DSCR of 1.61x), and in line with the Morningstar DBRS NCF of $29.4 million (a DSCR of 1.77x) derived at issuance. At issuance, Morningstar DBRS noted the inherent risk in the sponsor's business plan and, as such, the Morningstar DBRS NCF figure noted above does not include any stabilization credit. According to the March 2025 rent roll, the residential portion of the property had an occupancy rate of 91.6%, an improvement from the YE2023 figure of 87.5%. Market rent units achieved an average rental rate of approximately $5,860 while rent stabilized units achieved an average rental rate of approximately $2,840, an improvement from YE2023, when the average rental rates for those unit types was $5,620 and $2,795, respectively. According to Reis, the Upper East Side submarket reported an average vacancy rate of 1.8% with an average asking rental rate of $5,464 per unit, as of Q4 2024. The commercial portion of the property was 98.6% occupied as of March 2025 with minimal tenant rollover projected over the next 12 months. The Morningstar DBRS value of $511.4 million derived at issuance, was based on the Morningstar DBRS NCF as noted above, and a 5.75% capitalization rate. This results in a Morningstar DBRS loan-to-value ratio (LTV) of 105.5% on the secured debt balance of $539.5 million and 139.6% on the total debt of $714.0 million. The Morningstar DBRS concluded value estimate represents a -46.4% variance from the as-is appraised value ($954.0 million) at issuance. The appraiser's as-stabilized value estimate of $1.1 billion was largely reliant on the sponsor's ability to successfully carry out its business plan. Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmark, totaling 8.5% to reflect the low cash flow volatility, favorable property quality, and strong market fundamentals. Although the sponsor failed to achieve its business plan, in-place cash flows remain in line with Morningstar DBRS' expectations. In addition, the property benefits from a substantial floor value based on its desirable location within Manhattan. The appraiser's concluded land value at issuance was approximately $365.0 million, or approximately $451,733 per unit, which covers approximately 66.7% of the secured senior and subordinate loan balances. In addition, while the loan's transfer to special servicing is noteworthy, Morningstar DBRS expects there remains significant incentive for the sponsor to continue to work toward a resolution in the near to moderate term, given the positive factors outlined above. Notes: All figures are in U.S. dollars unless otherwise noted. CLERMONT PARK: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Clermont Park CLO Ltd./Clermont Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies 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 Clermont Park CLO Ltd./Clermont Park CLO LLC Class A-1L loans, $210.00 million: AAA (sf) Class A-2L loans, $105.00 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $48.00 million: NR NR--Not rated. COMM 2018-COR3: Fitch Lowers Rating on Class F-RR Certs to 'Csf' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of COMM 2018-COR3 Mortgage Trust, commercial mortgage pass-through certificates. Fitch has also assigned Negative Rating Outlooks to classes A-M, X-A, B, and X-B following their downgrades. In addition, Fitch has assigned a Negative Outlook to affirmed class C. Entity/Debt Rating Prior ----------- ------ ----- COMM 2018-COR3 A-2 12595VAC1 LT AAAsf Affirmed AAAsf A-3 12595VAD9 LT AAAsf Affirmed AAAsf A-M 12595VAF4 LT Asf Downgrade AA-sf A-SB 12595VAB3 LT AAAsf Affirmed AAAsf B 12595VAG2 LT BBBsf Downgrade A-sf C 12595VAH0 LT BBsf Affirmed BBsf D 12595VAN7 LT CCCsf Affirmed CCCsf E-RR 12595VAQ0 LT CCsf Downgrade CCCsf F-RR 12595VAS6 LT Csf Downgrade CCsf G-RR 12595VAU1 LT Csf Affirmed Csf X-A 12595VAE7 LT Asf Downgrade AA-sf X-B 12595VAJ6 LT BBBsf Downgrade A-sf X-D 12595VAL1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 11.8% from 10.2%. Eleven loans (36.9% of the pool) were identified as Fitch Loans of Concern (FLOCs), including three loans (13.7%) in special servicing. The downgrades reflect higher pool loss expectations, driven primarily by the specially serviced loans, including 315 West 36th Street (4.8%), Kingswood Center (6.7%) and 644 Broadway (2.2%), along with a deterioration in performance of the 2857 West 8th Street FLOC (1.5%). The Negative Outlooks reflect possible further downgrades with lower than expected recoveries and/or prolonged workouts of the specially serviced loans, additional performance declines of the FLOCs or more loans than anticipated fail to refinance. Largest Increase and Contributors to Loss Expectations: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations is the 315 West 36th Street loan, secured by a 142,762-sf office building with ground floor retail located in Midtown Manhattan. Floors 11 and above in the building are residential and not part of the collateral. The loan transferred to special servicing in June 2023 for payment default. WeWork leased 97% of the collateral under two separate leases through February 2032 and May 2031, but vacated in 2023 after declaring bankruptcy, resulting in collateral occupancy dropping to 2%. A receiver was appointed in April 2024, and JLL was retained by the receiver and approved by the court in October 2024 as the leasing broker. The special servicer continues to move forward with the foreclosure process in New York. The servicer-reported YE 2024 NOI DSCR fell to -0.60x from 1.50x at YE 2023 and 1.48x at YE 2022. Fitch's 'Bsf' rating case loss of 80.7% (prior to concentration adjustments) reflects a stressed value of $148 psf, which is based on a discount to the most recent November 2024 appraisal value and factors the loan's increasing exposure. The second largest increase in loss since the prior rating action and the second largest contributor to overall loss expectations is the Kingswood Center loan, secured by a 130,218-sf mixed-use (office/retail/parking) property located in an infill location in Brooklyn, NY. The loan transferred to special servicing in May 2023 for imminent monetary default. The largest tenant, Visiting Nurse Services of New York (44% of the NRA), vacated at YE 2023, resulting in occupancy declining to 35% and the sponsor no longer willing to fund operating shortfalls. The asset became REO in June 2024. The special servicer continues to work with the leasing agent to lease up the vacant spaces prior to taking the asset to market. As of YE 2023, the servicer-reported occupancy was 35%, with DSCR at -0.84x. Fitch's 'Bsf' rating case loss of 44.4% (prior to concentration add-ons) reflects a stressed value of $304 psf, which is based on a discount to the most recent May 2024 appraisal value and factors in the increasing loan exposure. The third largest increase in loss since the prior rating action is the 2857 West 8th Street loan, secured by a 52,302-sf mixed-use property located in Brooklyn, NY. The loan was flagged as a FLOC due to declining performance. As of Q1 2025, the property was 59% occupied, which includes the re-tenanting of the Blink Fitness space that was vacated since the prior rating action. The former Blink Fitness space was re-leased to PureFitness, but at a rent 27% lower than the prior tenant. In addition, the space formerly occupied by New York City (41% of the NRA) remains vacant. The servicer-reported NOI DSCR was 0.71x as of Q3 2024, compared to 0.70x at YE 2023 and 1.42x at YE 2022. Fitch's 'Bsf' rating case loss of 39.4% (prior to concentration add-ons) reflects a 9.25% cap rate to Fitch's stressed cash flow of approximately $399,000 that incorporates the lower PureFitness rent. The fourth largest increase in loss since the prior rating action and the third largest contributor to overall loss expectations is the 644 Broadway loan (2.2%), secured by a 47,436-sf mixed-use property located in San Francisco, CA. The loan transferred to special servicing in July 2020 due to payment default. Due to the eviction moratorium, the largest tenant, China Live (58.5% of the NRA), withheld rental payments, but resumed payments once the eviction moratorium was lifted. The tenant has refused to pay back rent that is outstanding. A receiver was appointed in 2024 and litigation continues with China Live regarding outstanding rental amounts. As of Q1 2025, the servicer-reported occupancy of the property was 88%, with an NOI DSCR of -0.23x. Fitch's 'Bsf' rating case loss of 50% (prior to concentration add-ons) reflects a stressed value of $333 psf, which is based on a stress to the most recent appraisal value and factors the growing loan exposure. Minimal Change to Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate balance has been reduced by 2.9% to $976.81 million from $1.0 billion at issuance. Four loans (2.9% of the pool) have been defeased. Twenty-five loans (82%) are full-term interest-only (IO), and the remainder (18%) of the pool is amortizing. Losses to date of $14.6 million are affecting the non-rated class H-RR. Interest shortfalls are affecting classes H-RR, G-RR, F-RR, and E-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to their increasing CE from expected continued amortization and loan repayments, and their position in the capital structure. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls affect these classes. Downgrades to classes rated 'Asf' and 'BBBsf' with Negative Outlooks may occur if FLOC performance and/or recovery expectations deteriorate further, particularly for the specially serviced 315 West 36th Street, Kingswood Center and 644 Broadway loans, as well as the 2857 West 8th Street FLOC. Downgrades to classes rated 'BBsf' may occur with further performance declines or special servicing transfers of the FLOCs, outsized losses of the loans in special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Further downgrades to the distressed 'CCCsf', 'CCsf', and 'Csf' 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 classes rated 'Asf' may be possible with significantly increased CE, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs, particularly the specially serviced 315 West 36th Street, Kingswood Center and 644 Broadway loans, as well as the 2857 West 8th Street FLOC. 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 classes rated 'BBsf' 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. CPS AUTO 2025-B: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by CPS Auto Receivables Trust 2025-B (the Issuer) as follows: -- $191,520,000 Class A Notes at (P) AAA (sf) -- $58,430,000 Class B Notes at (P) AA (sf) -- $70,280,000 Class C Notes at (P) A (sf) -- $40,640,000 Class D Notes at (P) BBB (sf) -- $59,080,000 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. -- The Series 2025-B will not include a CNL trigger. -- The Series 2025-B will not include a prefunding feature. -- The Series 2025-B will not include called collateral from the previous transaction. (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 20.75% based on the Cutoff Date 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: March 2025 Update," published on March 26, 2025. 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 capabilities of CPS with regards to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, 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." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 57.40% of initial hard credit enhancement provided by the subordinated notes in the pool (52.00%), the reserve account (1.00%), and OC (4.40%). The ratings on the Class B, C, D, and E Notes reflect 44.10%, 28.10%, 18.85%, and 5.40% 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. CRIBS MORTGAGE 2025-RTL1: DBRS Gives Prov. B Rating on M2 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by CRIBS Mortgage Trust 2025-RTL1 (CRIBS 2025-RTL1 or the Issuer) as follows: -- $167.9 million Class A1 at (P) A (low) (sf) -- $14.9 million Class A2 at (P) BBB (low) (sf) -- $16.2 million Class M1 at (P) BB (low) (sf) -- $13.2 million Class M2 at (P) B (sf) The (P) A (low) (sf) credit rating reflects 25.40% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 18.80%, 11.60%, and 5.75% 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 24-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: -- 346 mortgage loans with a total principal balance of approximately $169,631,405; and -- Approximately $55,368,595 in the Accumulation Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. CRIBS 2025-RTL1 represents the first RTL securitization issued by the Sponsor, Colchis RBLF L.P. (Colchis RBLF). Formed in 2020, Colchis RBLF is a Delaware limited partnership headquartered in San Francisco, California. Colchis RBLF invests primarily in short term residential transition loans collateralized by single-family homes. Colchis Capital Management, L.P. (CCMLP), a SEC registered investment adviser formed in 2012, is an alternative investment firm that leverages technology, analytics, and operating experience to invest in residential credit, single family rental, and specialty finance. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity primarily 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 non-zero weighted-average (NZ WA) FICO score of 730. -- A maximum WA Loan-to-Cost ratio (LTC) of 85.0% (Non-Ground Up Construction). -- A maximum WA LTC of 75.0% (Ground Up Construction). -- A maximum NZ WA As Repaired Loan-to-Value ratio (ARV 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 revolving portfolio in Morningstar DBRS rated securitizations), 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 Collateral Manager. In the CRIBS 2025-RTL1 revolving portfolio, RTLs may be: -- Fully funded with no obligation of further advances to the borrower, 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 CRIBS 2025-RTL1 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 November 2027, the Class A1 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, Asset Managers or Collateral Manager, as applicable, 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, Asset Manager or Collateral Manager on behalf of the Issuer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Asset Managers, Servicers, or subservicers, as applicable, will satisfy Rehabilitation Disbursement Requests for loans with unfunded commitments by advancing funds from their own funds (Rehabilitation Advance) or from funds advanced or prefunded by the Sponsor or its affiliates on behalf of the Issuer (Rehabilitation Advance Shortfall Amount). The advancing party will ultimately be entitled to reimbursements for Rehabilitation Disbursement Requests from the Accumulation Account after the Collateral Manager's satisfactory evaluation of the Rehabilitation Disbursement Request. 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 5.75% 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 Pre-funding Interest Account is in place to help cover the first three months of interest payments to the Notes. Such account will be funded upfront in an amount to be determined at the time of pricing. On the payment dates occurring in June, July, and August 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 Colchis Asset Management, LLC'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 presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any 60 days or more 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 applicable Cut-Off Date (as increased by any approved Rehabilitation Disbursement Requests, satisfied by the related Servicer or Asset Manager). 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. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to purchase a loan that has a material representations and warranties (R&W) breach, a material document defect, a diligence defect, or is a non-real estate mortgage investment conduit qualified mortgage loan, -- The Depositor elects to exercise its Repurchase Option, -- An optional redemption occurs, or -- A Participant exercises its option to purchase a defaulted Participation Loan. U.S. Credit Risk Retention As the Sponsor, Colchis RBLF 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, Asset Managers, and Collateral Manager 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. DRYDEN 105: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Dryden 105 CLO Ltd./Dryden 105 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in March 2023. The preliminary ratings are based on information as of May 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 22, 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 class A, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement 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 April 15, 2027. -- The reinvestment period will be extended to April 15, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 15, 2038. -- Additional assets will be purchased on the May 22, 2025 refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- The class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first six payment dates in equal installments of $250,000, beginning on the first payment date Oct. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- $2.44 million 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 Dryden 105 CLO Ltd./Dryden 105 CLO LLC Class X-R, $1.50 million: AAA (sf) 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-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Dryden 105 CLO, Ltd./Dryden 105 CLO, LLC Subordinated notes, $35.91 million: Not rated DTP COMMERCIAL 2023-STE2: Moody's Cuts Rating on HRR Certs to B1 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on five classes and downgraded the rating on one class in DTP Commercial Mortgage Trust 2023-STE2, Commercial Mortgage Pass-through Certificates, Series 2023-STE2, as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 29, 2023 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 29, 2023 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 29, 2023 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 29, 2023 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba1 (sf); previously on Dec 29, 2023 Definitive Rating Assigned Ba1 (sf) Cl. HRR, Downgraded to B1 (sf); previously on Dec 29, 2023 Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were affirmed because of the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, are within acceptable ranges. The rating on the most junior outstanding P&I class, Cl. HRR, was downgraded to reflect the outstanding interest shortfalls impacting this class. As of the April 2025 remittance statement, Cl. HRR had outstanding interest shortfalls of $1,714 due to interest on prior servicer advances. The principal balance of the advances was repaid in January 2025, however, the interest shortfalls from the interest on advances occurred in the January 2025 remittance and remain outstanding. While Moody's don't expect the shortfalls to materially increase (the loan is performing and remains current on its debt service payments), Moody's believes they are unlikely to be recouped upon the ultimate refinance or payoff of the loan and could cause a loss to the class. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the April 2025 distribution date, the transaction's certificate balance was $380.6 million, the same as at securitization. The fixed-rate interest-only loan is secured by a portfolio consisting of 10 anchored retail centers. The portfolio is geographically diverse as the 10 properties are located in 10 distinct MSA's across nine states. Arizona is the largest state concentration at 31.0% of the allocated loan amount ("ALA"). The state contains the portfolio's largest asset, Ahwatukee Foothills Towne Center (31.0% of ALA), located in the Phoenix MSA. North Carolina is second largest concentration at 18.2% of ALA, and is the only state with more than one property. University Center in Wilmington, NC and Poyner Place in Raleigh, NC represent 9.2% and 9.0% of the ALA, respectively. Together, the properties offer approximately 3,393,341 square feet (SF) of aggregate net rentable area (NRA). The properties were either developed or re-developed at various points between 1978 and 2015. The sponsor acquired the properties between 1993 and 2012 and invested a total of $29.0 million into the portfolio. The sponsor is a JV between SITE Centers Corp and Frontier JV Investor, which is a JV between China Merchants Group Limited and China Life Insurance Company. SITE Centers Corp, formerly known as DDR Corp., is a publicly traded real estate investment trust in the business of acquiring, owning, developing, redeveloping, expanding, leasing, financing and managing shopping centers. All of the portfolio assets are either anchored and/or shadow anchored by high quality discount retailers and mass merchandisers. Five properties (56.1% of NRA) are anchored by traditional or specialty grocers. Four properties (32.5% of NRA) are shadow anchored by non-collateral Target and Sam's Clubs stores, all of which have grocer components. As of December 2024, the portfolio was 92% leased, compared to 93% leased as of December 2023. The portfolio's reported 2024 net operating income (NOI) was $46.7 million, in line with the underwritten level at securitization. Moody's capitalization rate and Moody's NCF remain unchanged from securitization. Moody's LTV ratio is 94% based on Moody's Value. The Adjusted Moody's LTV ratio is 89% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed debt service coverage ratio (DSCR) is 1.07X. ELMWOOD CLO 42: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 42 Ltd./Elmwood CLO 42 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+' and lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of May 15, 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 Elmwood CLO 42 Ltd./Elmwood CLO 42 LLC Class A, $217.00 million: AAA (sf) Class B, $49.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable), $11.20 million: BB- (sf) Class F (deferrable), $6.30 million: B- (sf) Subordinated notes, $30.00 million: NR NR--Not rated. EMPOWER CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Empower CLO 2025-1 Ltd./Empower CLO 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Empower Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Empower CLO 2025-1 Ltd./Empower CLO 2025-1 LLC Class A(i), $206.00 million: AAA (sf) Class A-L loans(i), $50.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D-1, $24.00 million: BBB- (sf) Class D-2, $4.00 million: BBB- (sf) Class E, $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated (i)All or a portion of the class A-L loans can be converted into class A notes. Upon such conversion, the class A-L loans will be decreased by such converted amount with a corresponding increase in the class A notes. No class A note or any other class of notes may be converted into class A-L loans. GCAT 2025-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2025-NQM2 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien and fixed- and adjustable-rate residential mortgage loans, some with interest-only periods. The loans are secured by single-family residential properties, planned-unit developments, a townhouse, condominiums, and two- to four-family residential properties. The asset pool has 810 mortgage loans, which are primarily non-qualified mortgage (non-QM) loans (69.96% by balance) and ability-to-repay (ATR) exempt (42.12% by balance). The principal balance is approximately $459.46 million as of the cutoff date. The preliminary ratings are based on information as of May 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 pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage IV LLC, the transaction-specific review on the mortgage originator, Arc Home LLC, and any S&P Global Ratings reviewed mortgage originators; and Our economic outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) GCAT 2025-NQM2 Trust Class A-1A(ii), $312,894,000: AAA (sf) Class A-1B(ii), $45,946,000: AAA (sf) Class A-1(ii), $358,840,000: AAA (sf) Class A-2, $18,379,000: AA (sf) Class A-3, $51,000,000: A (sf) Class M-1, $12,176,000: BBB (sf) Class B-1, $8,270,000: BB (sf) Class B-2, $6,662,000: B (sf) Class B-3, $4,135,885: NR Class A-IO-S, notional(iii): NR Class X, notional(iii): NR Class R, not applicable: NR (i)The preliminary ratings address our expectation for the ultimate payment of interest and principal. (ii)Initial exchangeable certificates can be exchanged for the exchangeable certificates, and vice versa. The class A-1 certificates are entitled to receive a proportionate share of all payments otherwise payable to the initial exchangeable certificates. (iii)The notional amount equals the aggregate stated principal balance of the loans. NR--Not rated. GCAT TRUST 2023-INV1: Moody's Hikes Rating on Cl. B-5 Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 12 bonds issued by GCAT 2023-INV1 Trust. 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(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2023-INV1 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X-14*, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 17, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jul 17, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 17, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jul 17, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 17, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 17, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 17, 2024 Upgraded to Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jul 17, 2024 Upgraded to Aa2 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jul 17, 2024 Upgraded to A1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continues to display strong collateral performance, with no cumulative loss to date and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly as the pool has prepaid at a faster rate than originally anticipated. The credit enhancement since closing has grown, on average, by 21.1% for the tranches upgraded. No actions were taken on the remaining rated classes in this deal because their expected losses on the 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. GS MORTGAGE 2013-G1: S&P Lowers DM Notes Rating to 'CCC- (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from GS Mortgage Securities Trust 2013-G1, a U.S. CMBS transaction. The transaction is backed by one remaining fixed-rate mortgage whole loan secured by the borrower's fee-simple interest in a portion (343,910 sq. ft.) of the 1.04-million-sq.-ft. Deptford Mall in Deptford, N.J. The loan matures on April 3, 2026. Rating Actions The downgrades on the classes B, C, D, and DM, despite higher model-indicated ratings for the classes B and C, reflect: -- S&P said, "Our revised expected-case value, which is 22.6% lower than the value we derived in our last published review in April 2023 and gets partially offset by the loan's amortization. The trust loan balance has been paid down 14.3% since our last review and 33.0% from issuance. The special servicer had previously received broker's opinions of value that are materially below the appraised value at issuance. Our updated valuation is in the range of the updated brokers' opinions of value received by the special servicer." -- S&P's qualitative consideration that, given the loan's weak credit metrics, the borrower is likely to encounter difficulty in refinancing the loan again upon its extended modified maturity in April 2026 if the sponsors do not invest additional capital and the property's performance does not materially improve. The borrower previously failed to refinance the loan at its original maturity in April 2023, resulting in the loan being modified and its maturity date extended in exchange for a $10 million repayment of principal from the sponsor. Based on the transaction documents, the loan will not extend beyond the maturity date in April 2026, as that is five years prior to the deal's rated final distribution date of April 2031. -- Since S&P's last review in April 2023, the property's performance has not improved and remains well below pre-pandemic levels. The servicer has reported an overall declining cash flow in recent reporting periods, and the borrower's 2025 budget projects continued deterioration. The property also faces a concentrated lease rollover in 2025 and 2026, which may further depress the its cash flow in case the tenants vacate. -- The downgrades on class D to 'CCC (sf)' and class DM to 'CCC- (sf)' also reflect S&P's qualitative consideration that their repayment is dependent upon favorable business, financial, and economic conditions and that the classes are vulnerable to default. S&P said, "We will continue to monitor for updates on the loan's status. If we receive information that differs materially from our expectations, such as an updated appraisal value that is substantially below our expected-case value, property performance that is materially below our assumptions, and/or a workout strategy that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take further rating actions." Property-Level Analysis The collateral property consists of a portion (343,910 sq. ft.) of Deptford Mall, a 1.04-million-sq.-ft. two-story regional mall in Deptford, N.J., which is 12 miles southeast of Philadelphia. The property was built in 1975 and last renovated in 2021. The mall's anchors include Macy's (202,610 sq. ft.), Boscov's (161,350 sq. ft.), JCPenney (143,995 sq. ft.), Dick's Sporting Goods and Round One Bowling and Amusement (159,887 sq. ft., former Sears space), which are all noncollateral. Since S&P's April 2023 review, the collateral property has experienced occupancy, and its net cash flow (NCF) levels have deteriorated. According to the December 2024 rent roll, the collateral property was 81.8% occupied, adjusting for known tenant movements, such as the recent closure of Forever 21 that makes up 5.9% of the net rentable area (NRA). The five largest collateral tenants comprised 21.9% of NRA and included: -- H&M (6.5% of NRA; 5.5% of gross rent as calculated by S&P Global Ratings; January 2026 lease expiration); -- Forever 21 (5.9%; 2.9%; January 2027). S&P considered the tenant to be vacated in our analysis because it is no longer listed on the mall's directory; -- Foot Locker (3.7%; 3.1%; January 2034); -- Victoria's Secret (3.2%, 3.3%, March 2035); and -- American Eagle Outfitters (2.6%, 3.0%, January 2027). The mall faces a concentrated tenant rollover in 2025 (24.7% of NRA; 28.3% of gross rent, as calculated by S&P Global Ratings), 2026 (23.8%; 24.8%), 2027 (9.9%; 16.4%), and 2028 (8.6%; 10.1%). S&P said, "In our current analysis, using an 81.8% occupancy rate, a $67.93-per-sq.-ft. S&P Global Ratings gross rent, a 46.1% operating expense ratio, and higher tenant improvement costs assumptions, we derived an S&P Global Ratings NCF of $12.5 million, which is 11.9% lower than the full-year 2024 servicer reported NCF and 5.9% lower than the borrower's 2025 budget of $13.3 million. Utilizing a capitalization rate of 11.0% (up by 175 basis points from our last review to reflect our observed higher market risk premium required for nondominant class B malls in the current environment), we arrived at an S&P Global Ratings expected-case value of $114.0 million, which is 22.6% lower than our last review value and 66.5% below the issuance appraisal value. This yielded an S&P Global Ratings loan-to-value ratio of 120.2% on the whole loan balance." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 89.2 89.6 89.2 Net cash flow (mil. $) 14.2 15.6 14.9 Debt service coverage (x) 1.25 1.37 1.31 Appraisal value (mil. $)(ii) 340.0 340.0 340.0 (i)Reporting period. (ii)At issuance. Table 2 S&P Global Ratings' key assumptions Current Last published review review At issuance (April 2025)(i) (April 2023)(i) (Feb 2013)(i) Occupancy rate (%) 81.8 91.7 99.2 Net cash flow (mil. $) 12.5 13.6 17.4 Capitalization rate (%) 11.00 9.25 6.75 Value (mil. $) 114.0 147.3 241.6 Value per sq. ft. ($) 331 428 703 Loan-to-value ratio (%)(ii) 120.2 108.5 84.6 (i)Review period. (ii)On the whole loan balance. Transaction Summary S&P said, "As of the May 12, 2025, trustee remittance report, the transaction consists of one loan with a pooled trust balance of $120.2 million and a total trust balance, inclusive of the nonpooled loan component, of $137.0 million. The loan amortizes on a 30-year schedule, pays an annual fixed interest rate of 3.73%, and matures on April 3, 2026. The pooled trust has not incurred principal losses to date. However, the nonpooled class DM had a reported realized principal loss of $8,650 that occurred in February 2024. While we have already inquired the servicer about the nature of the loss, we are yet to receive a response. The pooled class D had a reported cumulative interest shortfall of $0.21 as of the May 2025 remittance report, which we view as de minimus." Ratings Lowered GS Mortgage Securities Trust 2013-G1 Class B to 'A+ (sf)' from 'AA- (sf)' Class C to 'BB+ (sf)' from 'BBB (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Class DM to 'CCC- (sf)' from 'CCC (sf)' GS MORTGAGE 2025-PJ4: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2025-PJ4 (the Notes) issued by GS Mortgage-Backed Securities Trust 2025-PJ4 (the Issuer): -- $259.6 million Class A-1 at AAA (sf) -- $259.6 million Class A-2 at AAA (sf) -- $259.6 million Class A-3 at AAA (sf) -- $194.7 million Class A-4 at AAA (sf) -- $194.7 million Class A-5 at AAA (sf) -- $194.7 million Class A-6 at AAA (sf) -- $155.8 million Class A-7 at AAA (sf) -- $155.8 million Class A-8 at AAA (sf) -- $155.8 million Class A-9 at AAA (sf) -- $38.9 million Class A-10 at AAA (sf) -- $38.9 million Class A-11 at AAA (sf) -- $38.9 million Class A-12 at AAA (sf) -- $103.8 million Class A-13 at AAA (sf) -- $103.8 million Class A-14 at AAA (sf) -- $103.8 million Class A-15 at AAA (sf) -- $64.9 million Class A-16 at AAA (sf) -- $64.9 million Class A-17 at AAA (sf) -- $64.9 million Class A-18 at AAA (sf) -- $19.5 million Class A-19 at AAA (sf) -- $19.5 million Class A-20 at AAA (sf) -- $19.5 million Class A-21 at AAA (sf) -- $279.2 million Class A-22 at AAA (sf) -- $279.2 million Class A-23 at AAA (sf) -- $279.2 million Class A-24 at AAA (sf) -- $279.2 million Class A-25 at AAA (sf) -- $279.2 million Class A-X-1 at AAA (sf) -- $259.6 million Class A-X-2 at AAA (sf) -- $259.6 million Class A-X-3 at AAA (sf) -- $259.6 million Class A-X-4 at AAA (sf) -- $194.7 million Class A-X-5 at AAA (sf) -- $194.7 million Class A-X-6 at AAA (sf) -- $194.7 million Class A-X-7 at AAA (sf) -- $155.8 million Class A-X-8 at AAA (sf) -- $155.8 million Class A-X-9 at AAA (sf) -- $155.8 million Class A-X-10 at AAA (sf) -- $38.9 million Class A-X-11 at AAA (sf) -- $38.9 million Class A-X-12 at AAA (sf) -- $38.9 million Class A-X-13 at AAA (sf) -- $103.8 million Class A-X-14 at AAA (sf) -- $103.8 million Class A-X-15 at AAA (sf) -- $103.8 million Class A-X-16 at AAA (sf) -- $64.9 million Class A-X-17 at AAA (sf) -- $64.9 million Class A-X-18 at AAA (sf) -- $64.9 million Class A-X-19 at AAA (sf) -- $19.5 million Class A-X-20 at AAA (sf) -- $19.5 million Class A-X-21 at AAA (sf) -- $19.5 million Class A-X-22 at AAA (sf) -- $279.2 million Class A-X-23 at AAA (sf) -- $279.2 million Class A-X-24 at AAA (sf) -- $279.2 million Class A-X-25 at AAA (sf) -- $279.2 million Class A-X-26 at AAA (sf) -- $14.9 million Class B-1 at AA (low) (sf) -- $14.9 million Class B-1A at AA (low) (sf) -- $14.9 million Class B-X-1 at AA (low) (sf) -- $3.9 million Class B-2 at A (low) (sf) -- $3.9 million Class B-X-2 at A (low) (sf) -- $3.9 million Class B-2A at A (low) (sf) -- $3.6 million Class B-3 at BBB (low) (sf) -- $1.9 million Class B-4 at BB (low) (sf) -- $611,000 Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. 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, and A-18 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 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. The AAA (sf) credit ratings on the Notes reflect 8.60% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.70%, 2.40%, 1.20%, 0.55%, and 0.35% 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 Notes. The Notes are backed by 247 loans with a total principal balance of $305,502,708 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 rule subject to the average prime offer rate designation. The mortgage loans are originated by PennyMac Loan Services, LLC (21.4%); CMG Mortgage, Inc. doing business as (dba) CMG Financial (12.2%); and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by PennyMac Loan Services, LLC (51.7%); Newrez LLC dba Shellpoint Mortgage Servicing (48.1%); and United Wholesale Mortgage, LLC (0.2%). Nationstar Mortgage LLC dba Mr. Cooper Master Servicing will act as the Master Servicer. Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian and Collateral Trustee. Computershare Delaware Trust Company will act as Delaware 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 the Class A-1L, A-2L, and A-3L Loans, which are the equivalent of ownership of Class 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. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-RPL2: DBRS Gives BB Rating on Class B1 Notes ------------------------------------------------------------- DBRS, Inc. assigned credit ratings to the Mortgage-Backed Securities, Series 2025-RPL2 (the Notes) issued by GS Mortgage-Backed Securities Trust 2025-RPL2 (the Trust) as follows: -- $364.9 million Class A-1 at AAA (sf) -- $33.8 million Class A-2 at AA (high) (sf) -- $398.6 million Class A-3 at AA (high) (sf) -- $428.8 million Class A-4 at A (high) (sf) -- $452.4 million Class A-5 at BBB (high) (sf) -- $30.1 million Class M-1 at A (high) (sf) -- $23.6 million Class M-2 at BBB (high) (sf) -- $17.7 million Class B-1 at BB (sf) -- $11.4 million Class B-2 at B (high) (sf) Classes A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Notes reflects 29.80% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (high) (sf) credit ratings reflect 23.30%, 17.50%, 12.95%, 9.55%, and 7.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This Trust is a securitization of a portfolio of seasoned performing and reperforming, first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 3,041 loans with a total principal balance of $547,101,696 as of the Cut-Off Date (March 31, 2025). The portfolio is approximately 165 months seasoned and contains 68.3% modified loans. The modifications happened more than two years ago for 79.5% of the modified loans. Within the pool, 963 mortgages have non-interest-bearing deferred amounts, which equate to approximately 36.2% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 95.4% of the loans in the pool are current. Approximately 1.2% of the loans are in bankruptcy (72.7% of them are performing), and 4.6% are 30 days delinquent. Approximately 36.5% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method, and 67.2% have been 0x30 for at least the past 12 months under the MBA delinquency method. Approximately 66.1% of the pool is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (33.9%). The Mortgage Loan Seller, Goldman Sachs Mortgage Company (GSMC) acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The mortgage loans will all be serviced by Select Portfolio Servicing, Inc. (SPS). Approximately 44.2% of the mortgage loans being serviced by an interim servicer will be transferred to SPS on or about May 15, 2025. There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related Servicer is obligated to make advances with respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable). On or after the Payment Date on which the aggregate Unpaid Principal Balance of the Mortgage Loans is less than 25% of the Aggregate Cut-Off Date Unpaid Principal Balance, the Controlling Holder will have the option to purchase all remaining property of the Issuer at the Minimum Price (Optional Clean-Up Call). The Controlling Holder will be the beneficial owner of more than 50% of the Class B-5 Notes (if no longer outstanding, the next most subordinate Class of Notes, other than Class X). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class A-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties fees, Net Weighted-Average Coupon (WAC) shortfalls, and making deposits on to the breach reserve account. Notes: All figures are in U.S. dollars unless otherwise noted. IVY HILL XX: S&P Assigns Prelim BB- (sf) Rating on Class 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 and proposed new class X-R debt from Ivy Hill Middle Market Credit Fund XX Ltd./Ivy Hill Middle Market Credit Fund XX LLC, a CLO managed by Ivy Hill Asset Management L.P. that was originally issued in March 2023. The preliminary ratings are based on information as of May 19, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 5, 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 class A, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement 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-1R, A-2R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The original class A debt will be split into class A-1R and A-2R debt. The stated maturity will be extended by 2.25 years. The reinvestment period and non-call period will be extended by 2.13 years. -- New class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during 12 payment dates beginning with the payment date in January 2026. 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 Ivy Hill Middle Market Credit Fund XX Ltd./ Ivy Hill Middle Market Credit Fund XX LLC Class X-R, $4.00 million: AAA (sf) Class A-1-R, $232.00 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-R, $30.00 million: AA (sf) Class C-R (deferrable), $32.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $24.00 million: BB- (sf) Other Debt Ivy Hill Middle Market Credit Fund XX Ltd./ Ivy Hill Middle Market Credit Fund XX LLC Subordinated notes, $63.23 million: NR NR--Not rated. JP MORGAN 2017-JP5: Fitch Lowers Rating on Class D Certs to 'Bsf' ----------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed five classes of JP Morgan Chase Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates 2017-JP5 (JPMCC 2017-JP5). Following their downgrades, classes B, C, D, X-B, X-C were assigned Negative Rating Outlooks. The Outlooks for the affirmed classes A-S and A-X remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2017-JP5 A-4 46647TAR9 LT AAAsf Affirmed AAAsf A-5 46647TAS7 LT AAAsf Affirmed AAAsf A-S 46647TAX6 LT AAAsf Affirmed AAAsf A-SB 46647TAT5 LT AAAsf Affirmed AAAsf B 46647TAY4 LT Asf Downgrade AA-sf C 46647TAZ1 LT BBB-sf Downgrade A-sf D 46647TAA6 LT Bsf Downgrade BB-sf D-RR 46647TAC2 LT CCCsf Downgrade B-sf E-RR 46647TAE8 LT CCsf Downgrade CCCsf X-A 46647TAU2 LT AAAsf Affirmed AAAsf X-B 46647TAV0 LT Asf Downgrade AA-sf X-C 46647TAW8 LT BBB-sf Downgrade A-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' ratings case losses have increased to 11.9% from 9.6% at the prior rating action. Fitch Loans of Concern (FLOCs) total 10 loans (42.1% of the pool), including three loans in special servicing (13.2%). The downgrades in the transaction reflect the higher pool loss expectations, driven primarily by FLOCs 55 Hawthorne, (8.1%), Riverway (7.4%), and Reston EastPointe (5%). The Negative Outlooks reflect the high office concentration of 45.2% and the potential for downgrades should performance of the FLOCs, particularly Riverway, 55 Hawthorne, Reston Eastpointe, and Montgomery Triangle Gateway, fail to stabilize, and/or with additional declines in performance or prolonged workouts of the loans in special servicing. Largest Contributors to Loss: The largest contributor to loss and largest increase in loss since the prior rating action is the Riverway loan (7.4%), secured by a four-building suburban office property totaling 869,120-sf located in Rosemont, IL (1.5 miles from O'Hare International Airport). The property consists of three office buildings and a 10,409-sf daycare center. As of the June 2024 rent roll the property was 58% occupied with the largest tenant, U.S. Foods, Inc. (33.9% of NRA) expiring in February 2029. Occupancy has struggled to recover after the departure of Central States Pension Fund which vacated 22% of the NRA in 2019. Cash flow has been insufficient to service the debt since 2020. The loan transferred to special servicing in May of 2023 for imminent default due to cash flow issues and the borrower has stopped funding shortfalls. The servicer is dual tracking foreclosure and workout discussions with the borrower. Fitch's 'Bsf' rating case loss of 60.7% (prior to concentration adjustments) reflects a discount to a recent appraisal value reflecting a stressed value of $80 psf. The 55 Hawthorne loan is the second largest contributor to loss. This loan is backed by a 136,432-square-foot single-tenant office building in San Francisco's CBD, fully leased to Yelp until July 31, 2025, one year before the loan matures. Yelp has announced plans to reduce its nationwide footprint, including at its San Francisco headquarters location at 350 Mission Street, as it adopts a fully remote work policy. Currently, the sponsor (CIM Group, LLC) is engaged in leasing activities aimed at achieving over 50% occupancy after Yelp's lease ends, focusing on securing short-term renewals with current sublease tenants with minimal leasing costs. Due to the tenant concentration, the loan included an upfront gap rent reserve of roughly $1.5 million at issuance. The loan reported $1.4 million (or $10.22 psf) in total reserves as of the April 2025 loan level reserve report. Fitch's 'Bsf' rating case loss of 30.6% (prior to concentration adjustments) reflects a discount to the YE 2023 NOI due to the pending lease expiration and a 10% cap rate. The resulting Fitch stressed value of $41.9 million ($307 psf) is in line with recent comparable sales in the market for similar quality assets. Another FLOC is the Reston Eastpointe loan (5.0%), secured by a 195,230-sf suburban office property in Reston, VA. The loan transferred to special servicing in November 2023 and subsequently defaulted at loan maturity in December 2023. Performance at the property was affected by the departure of the largest tenant Perspecta (55% of NRA) at lease expiration in November 2020, with occupancy falling to 56% in 2020 from 98% in 2019. As of September 2024, occupancy was reported to be 60.0% with an NOI DSCR of 1.72x. Transwestern was appointed receiver in October of 2024 and the servicer reports that it is pursuing enforcement of remedies as well as continuing discussions with the borrower. Fitch's 'Bsf' rating case loss of 43.8% (prior to concentration adjustments) reflects a discount to a recent appraisal reflecting a stressed value of $109 psf and factors in an increased probability of default due to the loan's failure to repay at maturity and specially serviced status. Changes in Credit Enhancement (CE): As of the April 2025 distribution date, the aggregate balance has been paid down by 30.5% since issuance. The transaction has three loans (2.3% of the pool) that have fully defeased. Cumulative interest shortfalls of $25,828 are affecting non-rated class D-RR. 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 position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class and classes rated in the 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs (Riverway, 55 Hawthorne, Reston Eastpointe, Montgomery Triangle Gateway) deteriorate further or if more loans than expected default at or prior to maturity. Downgrades to classes rated in the 'BBBsf' and 'Bsf' categories, all of which have Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to classes with distressed ratings 'CCCsf' and 'CCsf' are expected should additional loans transfer to special servicing or 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 '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 the '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 but would be possible with better-than-expected recoveries on specially serviced loans or significantly improved performance 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. JP MORGAN 2025-CCM2: DBRS Finalizes B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-CCM2 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-CCM2 (JPMMT 2025-CCM2): -- $408.6 million Class A-1 at AAA (sf) -- $366.9 million Class A-2 at AAA (sf) -- $366.9 million Class A-3 at AAA (sf) -- $366.9 million Class A-3-X at AAA (sf) -- $275.2 million Class A-4 at AAA (sf) -- $275.2 million Class A-4-A at AAA (sf) -- $275.2 million Class A-4-X at AAA (sf) -- $91.7 million Class A-5 at AAA (sf) -- $91.7 million Class A-5-A at AAA (sf) -- $91.7 million Class A-5-X at AAA (sf) -- $220.1 million Class A-6 at AAA (sf) -- $220.1 million Class A-6-A at AAA (sf) -- $220.1 million Class A-6-X at AAA (sf) -- $146.8 million Class A-7 at AAA (sf) -- $146.8 million Class A-7-A at AAA (sf) -- $146.8 million Class A-7X at AAA (sf) -- $55.0 million Class A-8 at AAA (sf) -- $55.0 million Class A-8-A at AAA (sf) -- $55.0 million Class A-8-X at AAA (sf) -- $41.7 million Class A-9 at AAA (sf) -- $41.7 million Class A-9-A at AAA (sf) -- $41.7 million Class A-9-X at AAA (sf) -- $408.6 million Class A-X-1 at AAA (sf) -- $408.6 million Class A-X-2 at AAA (sf) -- $408.6 million Class A-X-3 at AAA (sf) -- $408.6 million Class A-X-4 at AAA (sf) -- $408.6 million Class A-X-5 at AAA (sf) -- $7.8 million Class B-1 at AA (low) (sf) -- $7.1 million Class B-2 at A (low) (sf) -- $3.7 million Class B-3 at BBB (low) (sf) -- $2.2 million Class B-4 at BB (low) (sf) -- $647.5 thousand Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-5, A-6, A-7, A-7-A, A-8, A-9, A-X-1, and A-X-5 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, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.35% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 3.55%, 1.90%, 1.05%, 0.55%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-CCM2 (the Certificates). The Certificates are backed by 322 loans with a total principal balance of $431,652,570 as of the Cut-Off Date (April 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 79.4% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 20.6% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. CrossCountry Mortgage, LLC (CrossCountry) is the originator for all of the loans in pool. Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as the Interim Servicer. As of the Servicing Transfer Date (June 1, 2025), JPMorgan Chase Bank, N.A. will service all the loans. For this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC 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. JPMBB COMMERCIAL 2014-C21: DBRS Confirms C Rating on 2 Classes -------------------------------------------------------------- DBRS Limited downgraded credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by JPMBB Commercial Mortgage Securities Trust 2014-C21 as follows: -- Class D to B (sf) from BB (sf) -- Class E to C (sf) from CCC (sf) -- Class X-C to C (sf) from CCC (sf) Morningstar DBRS also confirmed the credit ratings on the following classes: -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class F at C (sf) -- Class X-D at C (sf) In addition, Morningstar DBRS changed the trends on Classes C, D, and EC to Stable from Negative. The remaining classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect Morningstar DBRS' loss projections for the remaining loans in the pool. 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, realized losses would be contained to the Class E certificate. However, the transaction is more exposed to adverse selection and an increased propensity for interest shortfalls given only seven loans remain in the pool, six of which (representing 96.3% of the current pool balance) are in special servicing for maturity default. During the prior credit rating action in May 2024, Morningstar DBRS flagged the majority of those loans (most of which are secured by retail and office collateral) for increased refinance risk, noting that sustained performance declines from issuance and/or lower end-user demand would likely complicate borrowers' efforts to secure replacement financing. To date, the trust has incurred losses of approximately $30.9 million, which has been contained to the nonrated (NR) certificate. With this review, Morningstar DBRS considered liquidation scenarios for all six specially serviced loans, resulting in total implied losses exceeding $57.0 million, which would deplete the remaining NR certificate balance, wipe out the entirety of the Class F certificate balance, and erode approximately 44.0% of the Class E balance, supporting the credit rating downgrade to C (sf) from CCC (sf) on that certificate. Moreover, those losses would significantly reduce the credit support to the lowest-rated principal bonds in the transaction, particularly the Class D certificate, supporting the credit rating downgrade on that class to B (sf) from BB (sf). Given the current credit rating downgrades and Morningstar DBRS' expectation that the performance of most loans of concern should remain relatively static through the next 12 months, Morningstar DBRS changed the trends on Classes C, D, and EC to Stable from Negative Since the prior credit rating action in May 2024, 26 loans have successfully repaid in full. The current trust balance of $160.5 million, as of the April 2025 remittance, represents a collateral reduction of 87.3% from issuance. The only loan not in special servicing, NAL Building (Prospectus ID#44, 3.7% of the current pool balance), is secured by a 75,286-square-foot (sf) suburban office property in Farmington Hills, Michigan. The loan had an anticipated repayment date in May 2024 with a final maturity date in May 2026. The property is currently 100.0% occupied by North American Lighting, Inc. and covering debt service at 2.21 times (x); however, Morningstar DBRS notes that the sole tenant has a lease expiration in February 2026, prior to the loan's fully extended maturity date. The One Dallas Center loan (Prospectus ID#13, 18.1% of the current pool balance) is secured by the 278,496-sf office component of a 651,000-sf mixed-use office/multifamily property in the central business district (CBD) of Dallas. The loan transferred to special servicing in April 2024 for maturity default ahead of its July 2024 maturity date. The property's operating performance began to deteriorate in 2022 when the former largest tenant, Greyhound Lines (Greyhound; 34.9% of the net rentable area (NRA)), vacated at lease expiration, bringing occupancy to down to approximately 65.0% from 100.0%. Efforts to backfill the vacant space have been unsuccessful, and the borrower has been unable to cover debt service obligations. The most recent servicer commentary notes the borrower is unwilling to provide an equity injection and has requested a deed in lieu of foreclosure with negotiations in process to transfer the title to the lender. The loan has been cash managed since Greyhound's departure, with more than $5.0 million in reserves as of the April 2025 reporting. The Dallas CBD submarket reported an average vacancy rate of 34.1% as of Q4 2024, according to Reis, while office properties built between 1970 and 1979 averaged 39.7% for the same period. An October 2024 appraisal valued the property at $27.5 million, more than 40.0% below the issuance appraised value of $48.3 million. In its analysis for this review, Morningstar DBRS maintained a conservative approach given the factors outlined above and applied a 40.0% haircut to the most recent appraised value, resulting in an implied loss of $15.3 million and a loss severity of 53.0%. The 200 West Monroe loan (Prospectus ID#18, 14.0% of the pool balance) is secured by a 23-story, Class B office property in Chicago. The loan initially transferred to special servicing in February 2024 following the borrower's unwillingness to fund operating shortfalls. The loan was last paid in December 2023, and the special servicer is reportedly working to appoint a receiver to help stabilize the property for an eventual sale. According to the June 2024 rent roll, the property was 67.2% occupied, in line with the YE2023 figure of 68.3% but below the issuance figure 84.2%. Cash flow continues to decline year over year, with the loan reporting a YE2023 debt service coverage ratio (DSCR) of 0.21x, a further decline from 0.49x at YE2022. The in-place tenant roster is relatively granular, with no tenant representing more than 5.3% of the NRA. Tenant rollover is minimal with leases representing 6.7% of the NRA, scheduled to expire prior to YE2025. According to a Q4 2024 Reis report, office properties within the Central Loop submarket reported an average vacancy rate of 20.4%, up from 14.1% in Q4 2023. Although an updated appraisal has not been provided, Morningstar DBRS believes the property's value has declined significantly since issuance given the high in-place vacancy, depressed cash flow, weak submarket fundamentals, and lack of leasing activity. Morningstar DBRS' analysis included a liquidation scenario based on a conservative 75.0% haircut to the issuance appraised value. When considering the outstanding advances and expected servicer expenses, Morningstar DBRS' analysis suggests a loan loss severity exceeding 65.0%, or approximately $16.0 million could be realized at disposition. The largest remaining loan in the pool, Miami International Mall (Prospectus ID#3, 35.7% of the current pool balance), is secured by a 307,000-sf portion of a 1.1 million-sf super-regional mall, 14 miles from the Miami CBD. The loan transferred to special servicing after failing to repay at maturity in February 2024. The lender and borrower agreed to a 12-month forbearance period where the interest rate was reduced to 2.5%, with a one-time, 12-month extension option to extend to February 2026, at an interest rate of 3.5%. The borrower was required to make an initial $2.0 million equity injection to execute the forbearance, with an additional $3.0 million contribution in the event the extension option is exercised. The loan was cash managed throughout the forbearance period where half the funds were used to pay down the loan with the remaining amount being held in reserve. Based on the servicer's commentary, the loan is pending its return to the master servicer. Noncollateral anchors at the mall include Macy's and JCPenney. According to various online sources, Easton Group purchased the JCPenney space for $12.2 million, following the retailer's bankruptcy, and has disclosed that the tenant will remain at the property until lease expiration in 2040. The former noncollateral Sears and Kohl's vacated the subject in 2018 and early 2024, respectively. The former Sears space was also purchased by Easton Group, which plans to build 500 market-rate apartments on the existing site; however, those plans are pending city approval. The former Kohl's space is currently leased to Elev8 Fun. As of September 2024, the mall's total occupancy was 94.0%, while the collateral portion was 80.0% occupied. Although there has been some volatility in occupancy, the loan reported a healthy DSCR of 3.84x as of the September 2024 financial reporting. One of the challenges for the property is nearby competition, including from Dolphin Mall and Dadeland Mall (with the latter also owned by the same sponsor of the loan, Simon Property Group). The property was last appraised in July 2024 at a value of $159.0 million, approximately 50.0% below the issuance appraised value. Morningstar DBRS elected to analyze the loan with a liquidation scenario based on a 20.0% haircut to the most recent appraised value, which resulted in an implied loss slightly above $13.0 million and a loss severity of 23.0%. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C22: DBRS Confirms C Rating on 2 Classes -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C22 issued by JPMBB Commercial Mortgage Securities Trust 2014-C22 as follows: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at A (high) (sf) -- Class C at BB (high) (sf) -- Class EC at BB (high) (sf) -- Class D at C (sf) -- Class E at C (sf) In addition, Morningstar DBRS changed the trends on Classes B, C, and EC to Negative from Stable. All other trends are Stable, except Classes D and E, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The Negative trends are reflective of the reduced credit support implied by Morningstar DBRS' increased-loss projections for the specially serviced assets in the pool, all of which are in default and missed their respective maturity dates. All seven of those loans were analyzed with liquidation scenarios, with cumulative projected losses of $68.8 million that would fully erode the Class E and F certificate balances and approximately half of the Class D balance, currently rated C (sf). The projected liquidated losses are approximately double the $37.1 million figure analyzed at the previous credit rating action. Morningstar DBRS notes that the Negative trend on the Class B certificate is primarily tied to the uncertainty regarding the two largest specially serviced assets, Queens Atrium (Prospectus ID#1, 32.1% of the current pool balance) and One Met Center (Prospectus ID#2, 30.1% of the pool). Although the two loans--which collectively account for 62.2% of the remaining pool balance--are expected to be fully recovered based on conservative haircuts to the most recent appraised values, both loans exhibit significantly increased risks; a factor which could manifest in value and performance volatility over the remainder of the workout period. The Negative trend on the Class C certificate is also reflective of the continued accumulation of interest shortfalls, having increased to $7.8 million as of the March 2025 remittance, with shortfalls through Class D (which is receiving partial interest), currently outstanding. This is an increase from total interest shortfalls of $6.0 million at last review, as monthly shortfalls have increased by more than $40,000 since April 2024, as of the March 2025 reporting. Morningstar DBRS expects shortfalls will continue to accumulate on the Class D certificate, given the recent transfer to special servicing for six defaulted loans. The Negative trend on the Class C certificate is suggestive of the propensity for interest shortfalls to affect that class in the near to moderate term. The credit rating confirmations reflect the recoverability prospects for the nonspecially serviced loan, U-Haul Self Storage (Prospectus ID#11, 4.0% of the remaining pool balance), which continues to exhibit healthy credit metrics and a far out maturity date in 2034, as well as the implied proceeds in the liquidation scenarios for the specially serviced loans in the pool, which would repay Classes A-S and B in full. Since the prior credit rating action in April 2024, 39 loans have successfully repaid in full. The current trust balance of $267.7 million represents a collateral reduction of 76.4% from issuance. Of the eight loans remaining in the pool, seven loans (96.0% of the pool balance) are in special servicing, flagged for maturity default. While the U-Haul Self Storage loan is on the servicer's watchlist for deferred maintenance, it's performing above issuance expectations. All remaining loans are past their respective maturity dates except for the U-Haul Self Storage loan, which has a maturity date in August 2034. The largest contributor to the increased liquidated loss projections is Laurel Park Place (Prospectus ID#10, 8.4% of the current pool balance), secured by a 356,500-square-foot (sf) Class B suburban mixed-use building in Livonia, Michigan, approximately 20.0 miles west of the Detroit central business district. The subject consists primarily of office space, with 43,000 sf dedicated to a 10-screen theatre. The loan transferred to special servicing in August 2024 for maturity default. The loan has struggled since the 2020 departure of the previous largest tenant, Tower Automotive (21.6% of the net rentable area (NRA)). Vacancy was reported at 44.6% as of the June 2024 rent roll, with slow leasing traction likely related to the softened West Wayne County submarket, which reported a Q4 2024 average vacancy rate of 25.2%, according to Reis. The property was appraised in October 2024 for $19.1 million, approximately 50% less than the issuance appraised value of $37.4 million. Morningstar DBRS analyzed the loan with a liquidation scenario by applying a 40.0% haircut to the October 2024 appraised value, resulting in a total loss of $13.4 million and a loss severity of 63.0%. The third largest loan in special servicing, 10333 Richmond (Prospectus ID#7, 12.4% of the current pool balance), is secured by a 218,700-sf suburban office property in Houston. The loan originally transferred to special servicing in December 2017 after the occupancy rate fell significantly; payments have not been made on the loan since August 2023. The property was just 42.4% occupied as of the December 2024 rent roll with a debt service coverage ratio close to zero. Over the next 12 months, 10 tenants, representing 21.3% of the NRA are scheduled to roll, including several recently expired leases. According to Reis, the Westchase/Westheimer submarket reported a Q4 2024 vacancy rate of 25.9%, having widened considerably from the Q4 2023 figure of 16.1%. Morningstar DBRS analyzed the loan with a liquidation scenario, resulting in a full loss of $31.4 million to the trust. The three smallest specially serviced assets are flagged for maturity default. The first, 120 Mountain View Blvd (Prospectus ID#18, 6.3% of the pool), is backed by a suburban New Jersey office property that was 46.0% occupied as of the September 2024 rent roll and was liquidated with a total loss of $12.7 million and a loss severity of 80.0%. The two remaining loans, 244 Jackson Street (Prospectus ID#22, 5.4% of the pool) and 630 Forest Avenue (Prospectus ID#65, 1.2% of the pool), are backed by mixed-use office/retail and retail properties, respectively. Both properties are fully dark after key tenants vacated over the last two years. The loans were analyzed with liquidation scenarios with conservative haircuts to the most recent appraised values, resulting in a 61.0% loss severity for the 244 Jackson Street loan and a full loss to the trust for the 630 Forest Avenue loan. The total projected loss across both loans was $11.3 million. Notes: All figures are in U.S. dollars unless otherwise noted. LENDMARK FUNDING 2025-1: S&P Assigns BB (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Lendmark Funding Trust 2025-1's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of initial hard enhancement of approximately 36.80%, 28.90%, 20.10%, 11.50%, and 2.50% for the class A, B, C, D, and E notes, respectively, excluding the non-amortizing reserve account; -- The fully funded, non-amortizing reserve account of $1.79 million (approximately 0.50% of the initial loan pool). -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period; -- S&P's worst-case, weighted average base-case loss for this transaction of 12.04%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Its base-case also accounts for historical volatility observed in annualized gross loss rates for Lendmark Financial Services LLC's managed loan portfolio over time; -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings; -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 2, 2024; -- The transaction's fully sequential payment structure, which is designed to maintain a target overcollateralization of approximately $8.97 million (approximately 2.50% of the initial loan pool); and -- The transaction's legal structure. Ratings Assigned Lendmark Funding Trust 2025-1 Class A, $228.66 million: AAA (sf) Class B, $28.36 million: AA+ (sf) Class C, $31.59 million: A+ (sf) Class D, $30.87 million: BBB (sf) Class E, $32.31 million: BB (sf) MARINER FINANCE 2025-A: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Mariner Finance Issuance Trust 2025-A's asset-backed notes. The note issuance is ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of May 19, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- Initial hard enhancement of approximately 37.85%, 30.35%, 21.90%, 15.70%, and 7.75% for the class A, B, C, D, and E notes, respectively. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $25.4 million (approximately 7.25% of the initial loan pool). -- The fully funded, non-amortizing reserve account of $1.75 million (approximately 0.50% of the initial loan pool). -- S&P's worst-case, weighted average base-case loss for this transaction of 17.44%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Its base-case also accounts for historical volatility observed in annualized gross loss rates for Mariner Finance LLC (Mariner) managed loan portfolio over time. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 2, 2024. -- The transaction's legal structure. Preliminary Ratings Assigned Mariner Finance Issuance Trust 2025-A Class A, $219.52 million(i): AAA (sf) Class B, $26.28 million(i): AA (sf) Class C, $29.61 million(i): A-(sf) Class D, $21.73 million(i): BBB- (sf) Class E, $27.86 million(i): BB- (sf) (i)The actual sizes and interest rates of the tranches will be determined on the pricing date. MENLO CLO II: S&P Assigns B- (sf) Rating on Class F Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Menlo CLO II Ltd./Menlo CLO II LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Permira US CLO Manager 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 Menlo CLO II Ltd./Menlo CLO II LLC Class A(i), $121.00 million: AAA (sf) Class A loans(i), $127.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class D-3 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Class F (deferrable), $3.00 million: B- (sf) Subordinated notes, $33.20 million: NR (i)The balance of the class A notes may be increased upon a conversion of all or a portion of the class A loans. No class A notes may be converted into class A loans. NR--Not rated. MIDOCEAN CREDIT IX: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, and D debt from MidOcean Credit CLO IX and removed the class B and C debt from CreditWatch, where it placed them with positive implications on March 14, 2025. At the same time, S&P lowered its rating on the class F debt and removed it from CreditWatch, where it had placed it with negative implications on March 14, 2025. S&P also affirmed its rating on the class E debt from the same transaction. At the same time, S&P discontinued its rating on the class A-1 debt after it received full payment of the principal and interest due on the April 21, 2025, payment date. The transaction is a U.S. CLO that was issued in August 2018 and managed by MidOcean Credit Fund Management L.P., a subsidiary of MidOcean Partners. The rating actions follow its review of the transaction's performance using data from both the March and April 2025 trustee reports, as well as the recently published April 21, 2025, payment report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses (which decreased the junior credit support). Prior to the April 21 paydown of $58.20 million, the class A-1 debt had been paid down by $189.01 million since our September 2020 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the July 2020 trustee report, which S&P used for its previous rating actions (current ratios do not reflect the April 21, 2025, paydowns): -- The class A/B O/C ratio improved to 186.84% from 137.02%. -- The class C O/C ratio improved to 138.04% from 122.17%. -- The class D O/C ratio improved to 115.61% from 113.07%. -- The class E O/C ratio declined to 106.31% from 108.71%. While the senior O/C ratios experienced positive movement due to the lower balances of the senior debt, the junior O/C ratio(s) declined primarily due to par losses. The upgrades reflect the improved credit support available to the debt at the prior rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C and D debt. However, S&P's rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that considered exposure to both 'CCC' assets along with assets trading at low market values. The lowered rating reflects deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class F debt. The downgrade reflects our view that the class is currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and, thus, meets S&P's definition of 'CCC' risk. S&P said, "Though cash flows indicated that it was not passing at the 'CCC' rating category, our rating action considered the current level of credit enhancement and aggregate balance of assets backing the debt, and, hence, we do not yet consider it a virtual certainty of default. However, any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative rating actions on the debt in the future." S&P said, "The affirmation of the class E debt reflects our view that it has adequate credit support at the current rating level. Though our cash flows indicated a one-notch downgrade, our action considers its current credit-enhancement, exposure to 'CCC'/'CCC-' assets and the likelihood that its O/C could improve once the April 21, 2025, paydowns are considered. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the class E debt in the future. "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 And Removed From CreditWatch Positive MidOcean Credit CLO IX Class B to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C to 'AA+ (sf)' from 'A (sf)/Watch Pos' Rating Raised MidOcean Credit CLO IX Class D to 'BBB+ (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Negative MidOcean Credit CLO IX Class F to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Rating Affirmed MidOcean Credit CLO IX Class E: BB- (sf) Rating Discontinued MidOcean Credit CLO IX Class A-1 to NR from 'AAA (sf)' NR--Not rated. MORGAN STANLEY 2015-C21: DBRS Confirms B Rating on 2 Classes ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class 555A at A (sf) -- Class 555B at BBB (sf) -- Class C at B (sf) -- Class PST at B (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS changed the trends on Classes A-S, X-A, X-B, and B to Stable from Negative. While the trend on Class 555A remains Stable, Morningstar DBRS changed the trend on Class 555B to Negative from Stable because of specific concerns about the associated rake loan, 555 11th Street NW (Prospectus ID#2, 28.9% of the pool) discussed further below. The trends on Classes C and PST remain Negative because of the liquidation analysis for the specially serviced loans while Classes D, E, F, and G have credit ratings that generally do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. Given the concentration of defaulted and underperforming assets, Morningstar DBRS' analysis considered conservative liquidation scenarios for all specially serviced loans based on stresses to the most recent appraised values to determine the recoverability of the remaining bonds. The credit rating confirmations and trend change on Classes A-S, X-A, B, and X-B to Stable reflect Morningstar DBRS' expectation that a full recovery of principal is likely. As of the April 2025 remittance, Classes A-S and B had a cumulative outstanding balance of approximately $50 million, and Morningstar DBRS expects that there will be sufficient proceeds available to repay the outstanding balances on those two certificates. The credit rating confirmations on Classes C, PST, D, E, F, and G are supported by the liquidation analysis, which suggests that losses will erode up to the Class D certificate. Classes D, E, F, and G are already in credit rating categories that imply expected losses while Class C is in a credit rating category that implies high susceptibility to loss in the near term, as suggested by the liquidation analysis. In the event of further value declines to the loans in special servicing, Class C could be subject to future credit rating downgrades, supporting the Negative trend. Interest shortfalls as of the April 2025 remittance totaled $3.5 million, up from $2.3 million at the last credit rating action in May 2024. Unpaid interest continues to accrue month over month, driven primarily by interest shortfalls deemed nonrecoverable from the specially serviced Stone Ridge Plaza (Prospectus ID#12, 8.2% of the pool) and Fairfield Inn - Morgantown (Prospectus ID#18, 4.7% of the pool) loans. Morningstar DBRS approached both loans with a liquidation analysis, suggesting loss severities exceeding 90%. Morningstar DBRS' credit ratings are constrained by the expectation of accruing interest shortfalls prior to repayment, and Morningstar DBRS could take further credit rating action if full interest to the Class C certificate remains unpaid for an extended period, further supporting the Negative trend. Classes D through G are already at credit ratings that imply high expected losses and do not carry a trend. As of the April 2025 remittance, only 10 of the original 64 loans remained outstanding with a total pool balance of $207.7 million, representing a collateral reduction of 76.2% since issuance. Since the last credit rating action, an additional 46 loans were successfully repaid from the trust. Eight of the 10 outstanding loans, representing approximately 90% of the pool balance, are in special servicing and the two remaining loans remain with the master servicer with extended maturity dates in January 2035 and January 2030. The largest loan in the pool, Westfield Palm Desert (Prospectus ID#1, 30.1% of the pool) is secured by a 572,724-square foot (sf) portion of The Shops at Palm Desert (formerly Westfield Palm Desert), a regional mall in Palm Desert, California. The $125.0 million whole loan, which ranks pari passu with the Morningstar DBRS-rated Wells Fargo Commercial Mortgage Trust 2015-C27, transferred to special servicing in July 2020 for payment default. Pacific Retail Capital Partners assumed the loan in November 2023, upon which a modification was executed to extend the loan's maturity to March 2027 with two one-year extension options. The loan will also be cash managed through the extended maturity date. Although the property's performance remains well below issuance expectations, the borrower is planning to redevelop the property and has been engaging in discussions with the special servicer and various stakeholders regarding the budget and execution. Net cash flow (NCF) was $6.7 million and the property was 79.7% occupied as of YE2024 compared with NCF of $12.7 million and occupancy of 96.0% at issuance. A February 2025 appraisal valued the property at $68.5 million, which is an improvement from the August 2023 value of $57.4 million, but well below the issuance value of $212.0 million. Despite the increase in value, which Morningstar DBRS believes was driven by the impending redevelopment, Morningstar DBRS expects the property's performance to remain stagnant through the extended term because of the recovery lag that may arise once the redevelopment is in progress. As such, Morningstar DBRS maintained a 25% haircut to the February 2025 value, resulting in a total loss of nearly $40.0 million and a loss severity of approximately 65%. The second-largest loan in the pool is 555 11th Street NW, which is secured by a 414,204-sf Class A office property known as Lincoln Square, less than a mile from the White House in Washington, D.C. The loan did not pay off at its initial maturity date in November 2024 and subsequently transferred to the special servicer. The loan received a loan modification in December 2024, which extended the loan until November 2027 with a one-year extension option. The modification was also subject to a capital injection from the loan's sponsor and an additional injection will be needed if the sponsor elects to use its final extension option. The whole loan encompasses two pari passu senior notes totaling $90.0 million as well as three subordinate B notes with a total balance of $87.0 million. The $60.0 million subject loan represents the controlling A note of the $90.0 million senior component, and the remaining balance is secured in a transaction that Morningstar DBRS does not rate. The nonpooled rake bonds, which Morningstar DBRS does also rates, are backed by the nonpooled $30.0 million 555 11th Street NW senior B note. The loan's nonpooled $57.0 million junior B notes are subordinate to both the rake bonds and the $90.0 million pooled A note. The subject, originally constructed in 2001, underwent a $25.0 million renovation in 2015 associated with the lease renewal for the largest tenant the property, Latham & Watkins LLP, which represents 58.0% of the net rentable area (NRA) with a lease that expires in January 2031. According to the most recent financials, the subject reported an occupancy rate of 77% as of June 2024, which declined from 85.3% as of September 2023. The most recent decline in occupancy is attributable to the second-largest tenant, Silver Cinemas Acquisition Co. (10.0% of the NRA) which, according to several online news outlets, vacated in March 2025. According to the most recent financials, the subject reported a debt service coverage ratio of 1.40 times (x) as of the trailing six-month period ended June 30, 2024, compared with 1.68x at YE2023. According to a Reis report, the East End submarket reported a vacancy rate of 16.9% as of Q4 2024, which increased slightly from 16.3% as of Q4 2023. The subject was appraised at a value of $309 million at issuance, which declined by approximately 45% to $171 million as of January 2025. Previously, Morningstar DBRS concluded an updated value of $165 million in April 2024. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 20% haircut to the January 2025 appraised value as well as the outstanding advances and expected servicer expenses totaling approximately $3 million. This analysis suggested no loss to the whole-loan pooled debt of $90 million or to the subordinate nonpooled rake bonds, with losses eroding approximately $12.0 million of the nonrated nonpooled $47.0 million junior B note. Support for the junior nonpooled rake bond, Class 555B, eroded and in the event of future declines in performance or value declines, this class may be susceptible to loss, supporting the Negative trend. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-C23: DBRS Confirms B Rating on X-FG Certs ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C23 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-FG at B (sf) -- Class PST at A (sf) The trends on Classes E, F, G, and X-FG remain Negative. All other trends are Stable. The credit rating confirmations reflect the continued stable performance of the pool, supported by a healthy weighted-average (WA) pool debt service coverage ratio (DSCR) of 1.72 times (x) and minimal exposure (5.3% of the outstanding pool amount) to loans secured by office properties. The Negative trends on Classes E, F, G, and X-FG are the result of the transaction's exposure to 10 loans, representing 22.5% of the pool, about which Morningstar DBRS has concerns because of increased refinance risk as a result of performance concerns, increased rollover risk prior to maturity, and/or general market issues as a majority of the remaining loans are scheduled to mature in the next three months. The WA expected loss (EL) for these loans is over 60% greater than the WA pool EL. Since the transaction's last review in April 2024, 20 loans have successfully repaid from the trust, and the majority of the remaining loans in the pool have upcoming scheduled maturities within the next three months. As of the April 2025 remittance, 46 of the original 75 loans remain in the pool, representing a collateral reduction of 34.9% since issuance. The pool also benefits from six loans, representing 9.1% of the pool, that have been fully defeased. Only one loan, Hilton Garden Inn W 54th Street (Prospectus ID#7, 5.7% of the pool) is in special servicing, and Morningstar DBRS analyzed it under a liquidation scenario with this review. There are 35 loans, representing 68.4% of the pool, on the servicer's watchlist; however, the majority of these loans are flagged for upcoming maturity with only seven loans (totaling 9.3%) flagged for occupancy or performance-related concerns. Hilton Garden Inn W 54th Street is secured by a 401-room select-service hotel in Manhattan, New York. The loan is pari passu with the MSC 2015-MS1 (Morningstar DBRS-rated) and MSBAM 2015-C22 transactions. The subject transferred to special servicing in February 2025 for imminent monetary default after the borrower was unable repay the loan at the scheduled maturity on March 1, 2025. According to the servicer commentary, the borrower's ability to refinance the loan was exacerbated by an unresolved civil litigation. According to news sources, the case stems from an injury suffered by a hotel guest in September 2015. As a result of the original trial, Hilton and the sponsor were ordered to pay the plaintiff $30.0 million in punitive damages, which is currently being disputed. Outside of the ongoing litigation, performance at the subject property remains stable. According to the YE2024 financials, the subject reported a net cash flow and DSCR of $15.6 million and 2.46x, respectively, which is generally in line with the YE2023 and pre-pandemic figures, but slightly below issuance figures. Furthermore, the December 2024 STR, Inc. report noted occupancy, average daily rate, and revenue per available room (RevPAR) figures of 92.6%, $263.33, and $243.77, respectively. The RevPAR penetration at December 2024 was reported at 101.3%, which was a decline of 114.0% from the prior year. Given the below-issuance performance, the borrower's inability to refinance or repay the loan, and the ongoing litigation, Morningstar DBRS analyzed the loan through a liquidation. Morningstar DBRS' analysis for this loan included a 50.0% haircut to the issuance appraised value, in addition to including the outstanding advances and expected servicer expenses, which totaled nearly $2.9 million. This analysis suggested a loss severity in excess of 25.0%, or approximately $10.5 million. The largest of the loans with elevated refinance risk is the Fairfax Corner loan (Prospectus ID#3; 7.3% of the pool), which is secured by a 182,331-square-foot (sf) open-air mixed-use retail/office space across 10 buildings in Fairfax, Virginia. The collateral is situated in a larger development (noncollateral) of outdoor retail and office space that totals approximately 900,000 sf, with the office component comprising nearly 15% of the net rentable area (NRA). At last review, Morningstar DBRS highlighted concerns regarding rollover and low performance metrics, with the YE2023 DSCR reported at 1.09x. As of the YE2024 financials, the subject reported a DSCR of 1.42x and was able to retain a large portion of rolling tenants, with occupancy decreasing only to 90% compared with 92% the prior year. The largest tenant is REI (12.5% of the NRA, lease expiry in September 2033), and three of the top five tenants are restaurants that each occupy between 4.0% and 5.0% of the NRA and have lease expiries beyond the loan's scheduled maturity. While the performance improvements are positive, performance remains below issuance and, according to the December 2024 rent roll, there is still 8.4% rollover prior to the loan's scheduled maturity in June 2025. Furthermore, the office vacancy in the Fair Oaks submarket remains elevated with Reis, Inc. reporting 28.1% vacancy as of Q4 2024. Given the office exposure, below-issuance performance, and upcoming maturity, Morningstar DBRS maintained an elevated probability of default (POD) adjustment for this loan, resulting in an EL that is approximately 10% higher than the pool's WA EL. At issuance, Morningstar DBRS shadow-rated the 32 Old Slip Fee loan (Prospectus ID#2; 9.4% of the pool) as investment grade. With this review, Morningstar DBRS confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. Despite concerns surrounding the office sector, the loan continues to benefit from the property owner's substantial investment of $69.0 million prior to issuance to improve the property, which has maintained its high quality. The loan benefits from the structure of the ground lease; in the event of a default, the improvements can revert to the borrower if the ground lessee were to stop making ground-rent payments. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2018-MP: DBRS Confirms BB Rating on E Certs ---------------------------------------------------------- DBRS, Inc. confirmed credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-MP issued by Morgan Stanley Capital I Trust 2018-MP as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends are reflective of the underlying loan collateral's consistently stable performance over the past several years, with a healthy debt service coverage ratio (DSCR) and year-over-year net cash flow (NCF) growth reported for the last several years. In 2020, the portfolio cash flows fell sharply below the Issuer's underwritten figures, a factor of the coronavirus pandemic's travel and other restrictions, according to the sponsor. Although cash flows continue to lag the issuance figures, year-over-year revenue growth has been consistently reported since the YE2021 reporting period and occupancy had generally hovered near 100% until YE2024, when the servicer reported the overall occupancy rate fell to 88.0%, from 96.0% at YE2023. However, the sponsor has made leasing strides that are expected to improve the overall occupancy rate by YE2025, according to the servicer. The transaction also benefits from the collateral portfolio's geographic diversity and consistent occupancy and strong sponsorship in Millennium Partners, which owns and operates a diverse commercial real estate portfolio valued in excess of $5.0 billion. The loan is securitized by the fee-simple and leasehold interests in the Millennium Partners Portfolio, which includes eight properties with both office and retail components across four states and Washington, D.C. The properties are in the central hubs of New York; Boston; San Francisco; Washington, D.C.; and Miami. The collateral consists of approximately 1.55 million square feet of commercial space at the Millennium Tower Boston, the Lincoln Square Retail portfolio, the Four Seasons San Francisco, the Four Seasons Miami, the Ritz-Carlton Georgetown, and the Ritz-Carlton Washington, D.C. The subject properties are in dense, urban locations with little room for additional developments. The subject whole loan is fixed-rate, interest only for the full 10-year loan term with a $710.0 million first mortgage and $280.2 million of mezzanine debt held outside the trust. Of the first mortgage amount, $225.9 million consists of nonpooled pari passu notes that were securitized in the following Morningstar DBRS-rated commercial mortgage-backed securities (CMBS) transactions: BANK 2019-BNK16, Morgan Stanley Capital I Trust 2018-L1, and BANK 2018-BNK14. The loan is also securitized in the non-Morningstar DBRS-rated transaction BANK 2018-BNK15. The borrower is permitted to release properties subject to certain conditions, including payment of a release amount that is 115% of the allocated loan amount for the released property. There have been no property releases to date. The servicer reported a YE2024 NCF figure of $60.3 million, with a DSCR of 1.95 times (x), up from the YE2023 NCF figure of $58.0 million and a DSCR of 1.88x. The Issuer's NCF and DSCR were $70.4 million and 2.28x, respectively; and the Morningstar DBRS NCF derived when credit ratings were assigned in 2020 was $55.9 million, with an implied DSCR of 1.81x. Although cash flows have improved from the Morningstar DBRS NCF figure, the recent drop in occupancy suggests cash flows could decline in 2025, at least temporarily. As such, the Morningstar DBRS Value of $801.6 million derived at the last credit rating action in May 2024 was maintained for this review. That value is based on the Morningstar DBRS NCF figure of $55.9 million and a capitalization (cap) rate of 7.0%, which was increased from the 6.8% cap rate used in 2020 to reflect generally increased volatility for the office property types within the collateral portfolio. Based on the Morningstar DBRS Value, the whole-loan, loan-to-value (LTV), inclusive of the mezzanine debt of $280.2 million, is 124.1%, and the LTV based on the total mortgage debt is 89.0%. Morningstar DBRS maintained its qualitative adjustments, totaling 1.50% for cash flow volatility because of stable occupancy; 2.50% for property quality because of the concentration of high-end hotels and well-positioned commercial properties benefiting from high traffic; and 2.0% for market fundamentals because of the concentrations in strong submarkets. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM3: S&P Gives Prelim. 'B' Rating on B-2 Certs ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned unit developments, condominiums, and two- to four-family residential properties. The pool consists of 977 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of May 16, 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 (R&W) framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA); -- The mortgage originators, including reviewed originator HomeXpress Mortgage Corp.; -- The 100% due diligence results consistent with represented loan characteristics; 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, which is updated if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Class A-1-A, $275,585,000: AAA (sf) Class A-1-B, $42,726,000: AAA (sf) Class A-1, $318,311,000: AAA (sf) Class A-2, $30,977,000: AA- (sf) Class A-3, $42,940,000: A- (sf) Class M-1, $13,672,000: BBB- (sf) Class B-1, $7,691,000: BB (sf) Class B-2, $8,332,000: B (sf) Class B-3, $5,340,860: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $21,366,860: NR Class PT, $405,897,000: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $427,263,860. NR--Not rated. MORTGAGE EQUITY 2007-FF3: Moody's Cuts Rating on A Certs to Caa1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating of one bond from Mortgage Equity Conversion Asset Trust 2007-FF3, backed by Home Equity Conversion Mortgages (HECM). The collateral backing HECM transaction consists primarily of HECM reverse mortgages that benefit from mortgage insurance protection from the Federal Housing Administration, a federal agency in the Department of Housing and Urban Development (HUD). The complete rating action is as follows: Issuer: Mortgage Equity Conversion Asset Trust 2007-FF3 Cl. A, Downgraded to Caa1 (sf); previously on May 27, 2015 Downgraded to B2 (sf) RATING RATIONALE The rating downgrade is driven by the revised loss projection and the depletion of credit enhancement of the transaction. The deal showed a downward trend in the Over-Collateralization Percentage since Moody's last reviews as the ending balance of the HECMs plus the funding account is now less than the remaining balance of the certificates, causing the deal to be under-collateralized. The collateral pool has seen a 37% reduction since the previous review as the number of loans assigned to HUD , which have reached or exceeded 98% of their Maximum Claim Amount (MCA), has accelerated. Even though the mortgages are insured by HUD, they could be exposed to losses if the properties backing them are not liquidated within six months of entering real- estate-owned (REO) status. If the servicer does not sell the home within six months of it entering REO status, the FHA requires that the servicers obtain an appraisal of the property from a Department of Housing and Urban Development (HUD) approved appraiser, and the FHA will only guarantee the deficiency up to the appraisal value. Therefore, if the home is subsequently sold for less than the appraisal value, the FHA covers the difference between the outstanding value of the loan and the appraisal value, resulting in a loss equal to the difference between the appraisal value and the actual sale price of the home. Principal Methodology The principal methodology used in this rating was "Reverse Mortgage Securitizations" published in May 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. NASSAU LTD 2018-II: Moody's Cuts Rating on $38.7MM D Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Nassau 2018-II Ltd.: US$29,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa2 (sf); previously on November 18, 2024 Upgraded to Aa3 (sf) Moody's have also downgraded the ratings on the following notes: US$38,700,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on August 18, 2020 Confirmed at Baa3 (sf) US$30,300,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on November 18, 2024 Downgraded to Caa1 (sf) Nassau 2018-II Ltd. issued in November 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 October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in their over-collateralization (OC) ratios since November 2024. The Class A notes have been paid down by approximately 41.4% or $93.9 million since then. Based on Moody's calculations, the OC ratio for the Class C notes is currently 127.99% versus November 2024 level of 123.19%. The downgrade rating actions on the Class D and E notes reflect the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred a par loss of approximately $12.7 million or 3.2% of the portfolio since November 2024, primarily due to sales of credit risk assets and the default of WW International, Inc due to chapter 11 filing in May 2025. The deal's exposure to WW International, Inc. is approximately $4.2 million. No actions were taken on the Class A and Class B 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: $295,917,763 Defaulted par: $6,835,070 Diversity Score: 51 Weighted Average Rating Factor (WARF): 2702 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.25% Weighted Average Recovery Rate (WARR): 46.70% Weighted Average Life (WAL): 3.6 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 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. NYC COMMERCIAL 2025-1155: DBRS Gives Prov. B(low) on F Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1155 (the Certificates) to be issued by NYC Commercial Mortgage Trust 2025-1155: -- 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 (low) (sf) All trends are Stable. The NYC Commercial Mortgage Trust 2025-1155 single-asset/single-borrower transaction is collateralized by the borrower's leasehold and fee interest in 1155 Avenue of the Americas, a 42-story, 797,891-square-foot (sf) office tower and retail property on Sixth Avenue between 44th Street and 45th Street in Midtown Manhattan, New York. The office tower was constructed in 1984 and has since seen major renovations, not only to the ground-floor lobby area and top of the building, but also to the facade of the building, which benefits the interiors by providing floor-to-ceiling window views from each of the corners. These major renovations started in 2017, after a major tenant vacated approximately 300,000 sf, and were completed in 2020 for a total cost of $330.0 million. The collateral also consists of 10,766 sf of ground-floor retail. The subject is encumbered by a ground lease for 17,786 sf of the total 33,639 sf of land, amounting to 52.9% of the land under a ground lease; this lease extends until 2104. As of April 1, 2025, the property was 88.9% leased to 32 unique tenants. Property performance had been suppressed given the prior largest tenant vacating and the renovations; however, leasing remained slow for several years after the renovations were completed. Leasing picked up over the past two years, primarily because of the sponsor moving an affiliate's (Royal Realty Corp.) headquarters to the collateral from One Bryant Park. Royal Realty Corp. is now the largest tenant at the property, representing approximately 122,948 sf or 15.4% of the total net rentable area (NRA). Royal Realty Corp. moved into the building in 2024 and has a lease that expires in 2034. The collateral is now viewed as the headquarters of the Sponsor group, The Durst Organization. The second largest tenant at the property is Global Relay USA, which accounts for 9.6% of the total NRA and occupies the two-story penthouse suite on the 41st and 42nd floors of the building. In total, 24.3% of the NRA will roll through 2030, which is the final year of the fully extended loan maturity; however, there are no reserves to combat this risk beyond ongoing monthly deposits. As the property was renovated in 2020, with continued maintenance done throughout the building, the Sponsor has no plans for future capital expenditure programs. The sponsor has continued to invest in the building as evidenced through its extensive renovation projects and tenant improvement packages. The Sponsor for this transaction is The Durst Organization. The Durst Organization was founded in 1915 and is one of New York City's oldest family-run commercial and real estate companies. It currently has a portfolio of more than 13 million sf of Class A Manhattan office and retail space and 6,000 apartment units. The company focuses on a long-term asset strategy that is evidenced through its commitment to maintain the status of, and to continue to improve, the assets it holds. The company has invested a large amount of money into the property and, as of 2024, the subject will serve as the headquarters for The Durst Organization after its relocation from One Bryant Park. Notes: All figures are in U.S. dollars unless otherwise noted. OAKTREE CLO 2025-30: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2025-30 Ltd./Oaktree CLO 2025-30 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 Oaktree CLO Management Co. LLC. The preliminary ratings are based on information as of May 19, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the 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 Oaktree CLO 2025-30 Ltd./Oaktree CLO 2025-30 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $27.50 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB+ (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $41.27 million: Not rated OBX TRUST 2025-J1: Moody's Assigns B2 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by OBX 2025-J1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (90.5% by balance) and GSE-eligible (9.5% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators MAXEX Clearing LLC (MAXEX; 11.5% by loan balance) and Onslow Bay Financial LLC (Onslow Bay; 9.1%). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) is the servicer of the pool. The complete rating actions are as follows: Issuer: OBX 2025-J1 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned 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-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa(sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-2A Loans and Class A-3A Loans, assigned on May 05, 2025, because the Class A-2A Loans and Class A-3A 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 0.36%, in a baseline scenario-median is 0.16% and reaches 5.37% 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. OCP CLO 2025-42: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2025-42 Ltd./OCP CLO 2025-42 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and 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 2025-42 Ltd./OCP CLO 2025-42 LLC Class A, $243.0 million: NR Class A-L loans(i), $103.5 million: NR Class B-1, $61.5 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C (deferrable), $33.0 million: A (sf) Class D-1 (deferrable), $33.0 million: BBB- (sf) Class D-2 (deferrable), $5.5 million: BBB- (sf) Class E (deferrable), $16.5 million: BB- (sf) Subordinated notes, $55.0 million: NR (i)All or a portion of the class A-L loans can be converted into class A notes. Upon such conversion, the class A-L loans will be decreased by such a converted amount with a corresponding increase in class A notes. The class A notes cannot be converted into class A-L loans. NR--Not rated. OCTAGON 56 LTD: Moody's Cuts Rating on $21MM Cl. E Notes to 'B1' ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Octagon 56, Ltd.: US$31,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Downgraded to Ba1 (sf); previously on October 22, 2021 Assigned Baa3 (sf) US$21,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on October 22, 2021 Assigned Ba3 (sf) Octagon 56, Ltd., 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 October 2026. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class D and E notes reflect the specific risks to the notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[1], the OC ratios for the Class D and E notes are reported at 110.06% and 104.97%, versus April 2024 levels[2] of 111.80% and 106.64%, respectively. Based on Moody's calculations, the transaction has incurred the loss of 3.0% or $14.8 million compared to its Aggregate Ramp-Up Par Amount. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[3] is 3.40% compared to 3.67% in April 2024[4], failing the trigger of 3.54%. No actions were taken on the Class A, 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: $480,845,532 Defaulted par: $8,298,995 Diversity Score: 88 Weighted Average Rating Factor (WARF): 2895 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Recovery Rate (WARR): 45.81% Weighted Average Life (WAL): 5.5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology 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. OCTAGON INVESTMENT 44: Moody's Cuts $25MM Class E-R Notes to B1 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Octagon Investment Partners 44, Ltd.: US$30,400,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Downgraded to Ba1 (sf); previously on September 15, 2021 Assigned Baa3 (sf) US$25,600,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on September 15, 2021 Assigned Ba3 (sf) Octagon Investment Partners 44, Ltd., originally issued in July 2019 and refinanced in September 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2026. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class D-R and E-R notes reflect the specific risks to the notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[1], the OC ratios for the Class D-R and E-R notes are reported at 110.26% and 104.12%, versus April 2024 levels[2] of 111.99% and 105.76%, respectively. Based on Moody's calculations, the transaction has incurred the loss of 4.1% or $20.3 million compared to its Aggregate Ramp-Up Par Amount. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[3] is 3.23% compared to 3.65% in April 2024[4]. No actions were taken on the Class A-R, Class B-R and Class C-R 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: $478,003,408 Defaulted par: $3,829,247 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2852 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.01% Weighted Average Recovery Rate (WARR): 46.08% Weighted Average Life (WAL): 5.7 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. OCTAGON INVESTMENT 45: S&P Lowers Cl. E-R Notes Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class E-R debt from Octagon Investment Partners 45 Ltd. and the class D-R and E-R debt from Octagon Investment Partners 46 Ltd. and removed them from CreditWatch, where S&P placed them with negative implications on March 14, 2025. At the same time, S&P affirmed its ratings on the eight other classes from the two transactions. The transactions are broadly syndicated U.S. CLOs managed by Octagon Credit Investors LLC. The rating actions follow its review of the transactions' performance using data from their respective April 2025 trustee reports. Octagon Investment Partners 45 Ltd. This transaction closed in 2019 and was subsequently reset in March 2022. The transaction is still reinvesting and will exit its reinvestment period in April 2027. Since the deal is still reinvesting, no payments have been made to the notes. Though all the overcollateralization (O/C) ratios are above their respective triggers and passing, they declined across all categories since the last rating action (LRA) in March 2022. The decline in O/C levels can be attributed to increased par losses since the LRA. Additionally, defaults have increased to $3.35 million in April 2025, compared with zero at the LRA. Collateral obligations rated in the 'CCC' category have increased to $43.11 million of the total collateral reported as of the April 2025 trustee report, from $37.58 million of the total collateral reported in the April 2022 trustee report. A combination of these factors led to a decline in credit support, and the failure of the class E-R debt cash flows at its previous rating level. As a result, the rating was downgraded by two notches to 'B (sf)'. Additionally, the class D-R debt from this transaction was passing cash flows with minimal cushion. Should there be any further decline in credit quality or a reduction in credit support for the class D-R debt, it may result in a potential downgrade in the future. S&P said, "Though our cash flow analysis indicates the potential for a higher rating for some of the senior classes on Octagon Investment Partners 45 Ltd., our actions consider that, as the CLO continues to reinvest, there is potential for a change in the composition and room for volatility. As a result, we are not considering any upgrades at this time." Octagon Investment Partners 46 Ltd. This transaction closed in 2020 and was subsequently reset in August 2021. The transaction is still reinvesting and will exit its reinvestment period in July 2026. Since the deal is still reinvesting, no payments have been made to the notes. Similar to Octagon Investment Partners 45 Ltd., though the O/Cs are passing, they have declined across all categories since the LRA in August 2021. The decline in O/C levels can be attributed to increased par losses since the LRA. Additionally, defaults have increased to $4.16 million in April 2025, compared with zero at the LRA. Collateral obligations rated in 'CCC' category have increased to $35.57 million of the total collateral reported as of the April 2025 trustee report, from $29.87 million of the total collateral reported in the September 2021 trustee report. A combination of these factors led to a decline in credit support, and the cash flows in the class A-R, C-R, D-R, and E-R debt were failing at their previous rating levels. S&P said, "We lowered the ratings on the class D-R and E-R debt to 'BB+ (sf)' and 'B-(sf)', respectively, based on their cash flows and decline in their credit support. Though our cash flow analysis indicated a lower rating for the class E-R debt, we believe, given its current O/C level and exposure to 'CCC'/'CCC-' assets, that the class does not represent our definition of 'CCC' risk as it is not dependent on favorable conditions for repayment yet. However, any increase in defaults or par losses could lead to negative rating actions in the future. "Though the cashflows for the class A-R and C-R debt pointed to a one-notch downgrade, we affirmed their ratings considering the margin of failure at their current rating, cushion at the trustee-reported O/C levels, exposure to 'CCC'/'CCC-' rated assets, potential for a par build-up based on recent purchases, and the potential of any 'CC'/'SD' obligors to return to performing status. "We affirmed the rating on the class B-R debt based on its passing cash flows and current credit support. "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 Lowered And Removed From CreditWatch Negative Octagon Investment Partners CLO 45 Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Octagon Investment Partners CLO 46 Ltd. Class D-R to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R to 'B- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners CLO 45 Ltd. Class A-1-R: AAA (sf) Class B-R: AA (sf) Class C-1-R: A+ (sf) Class C-2-R: A (sf) Class D-R: BBB- (sf) Octagon Investment Partners CLO 46 Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) PALMER SQUARE 2023-2: S&P Assigns Prelim 'BB-' 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 from Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC, a CLO managed by Palmer Square Capital Management LLC that was originally issued in June 2023. The preliminary ratings are based on information as of May 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 22, 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 class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R 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 will be issued at a lower spread over three-month SOFR than the original debt. -- The non-call period will be extended to July 2027. -- The reinvestment period will be extended to July 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to July 2038. -- 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 Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC Subordinated notes, $35.64 million: Not rated PENNANTPARK CLO VI: S&P Assigns Prelim BB-(sf) Rating on C-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R loans and class A-R, B-R, and C-R notes from PennantPark CLO VI LLC, a CLO managed by PennantPark Senior Secured Loan Fund I LLC that was originally issued in April 2023. The preliminary ratings are based on information as of May 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 22, 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 class A-R loans and class A-R, B-R, and C-R notes are expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity and reinvestment period date will be extended by two years. -- The non-call period will be extended by approximately two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 PennantPark CLO VI LLC Class A-R loans(i), $228.00 million: A- (sf) Class A-R, $0.00: A- (sf) Class B-R (deferrable), $18.00 million: BBB- (sf) Class C-R (deferrable), $18.00 million: BB- (sf) Other Debt PennantPark CLO VI LLC Subordinated notes, $51.80 million: NR (i)All or a portion of the class A-R loans can be converted into class A-R notes. Upon such conversion, the class A-R loans will decrease by the converted amount and the class A-R notes will increase by a corresponding amount. No class of notes may be converted into class A-R loans. NR--Not rated. N/A--Not applicable. PMT LOAN 2025-INV5: 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-INV5, 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-INV5 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 May 1, 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 0.81%, in a baseline scenario-median is 0.48% and reaches 8.86% 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. PRPM TRUST 2025-NQM2: DBRS Gives Prov. BB(low) Rating on B-1 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM2 (the Certificates) to be issued by PRPM 2025-NQM2 Trust as follows: -- $271.1 million Class A-1 at (P) AAA (sf) -- $26.3 million Class A-2 at (P) AA (high) (sf) -- $27.1 million Class A-3 at (P) A (high) (sf) -- $26.3 million Class M-1A at (P) BBB (high) (sf) -- $15.0 million Class M-1B at (P) BBB (low) (sf) -- $9.5 million Class B-1 at (P) BB (low) (sf) The (P) AAA (sf) credit rating on the Class A-1 Certificates reflects 31.35% of credit enhancement provided by the subordinated certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), and (P) BB (low) (sf) credit ratings reflect 24.70%, 17.85%, 11.20%, 7.40%, and 5.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 886 mortgage loans with a total principal balance of $394,953,992 as of the Cut-Off Date (March 31, 2025). PRPM 2025-NQM2 Trust represents the 10th securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP-LB VI AIV, LLC, a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. OCMBC, Inc. doing business as (dba) LoanStream Mortgage (LoanStream; 16.2%) is the largest originator of the mortgage loans, 83.8% of the loans were originated by other various originators, each of which originated less than 10% of the loans. Fay Servicing, LLC (53.3%); NewRez LLC dba Shellpoint Mortgage Servicing (42.2%); and SN Servicing Corporation (4.5%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as Custodians. For 37.3% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Approximately 5.2% of the pool are investment property loans underwritten using debt-to-income ratios. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 40.8% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (6.3%), and QM Rebuttable Presumption (0.9%) by unpaid principal balance (UPB). The Sponsor or the Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in May 2028 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on Classes A-1, A-2, and A-3 before being applied sequentially to amortize the balances of the senior and subordinate Notes. After a Trigger Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 class balance, before a similar allocation of funds to the Class A-2 and more subordinate certificates (IPIP). Monthly Excess Cash Flow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Classes A-1, A-2, A-3, M-1A, M-1B, B-1, B-2, and B-3 (if applicable). For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in June 2029. On or after June 2029, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. REPUBLIC FINANCE 2021-A: DBRS Confirms BB(low) Rating on D Notes ---------------------------------------------------------------- DBRS, Inc. confirmed twelve credit ratings from three Republic Finance Issuance Trust transactions. Republic Finance Issuance Trust 2021-A -- Class A Notes AA (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (low) (sf) Confirmed Republic Finance Issuance Trust 2024-A -- Class A Notes AA (sf) Confirmed -- Class B Notes A (sf) Confirmed -- Class C Notes BBB (sf) Confirmed -- Class D Notes BB (sf) Confirmed Republic Finance Issuance Trust 2024-B -- Class A Notes AA (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (low) (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Republic Finance Issuance Trust 2021-A began to amortize on the payment date which took place in December 2024. Republic Finance Issuance Trust 2024-A and Republic Finance Issuance Trust 2024-B are currently within the initial revolving terms. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). SANTANDER MORTGAGE 2025-NQM2: S&P Assigns 'B-' Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2025-NQM2's mortgage-backed notes. The note issuance is an RMBS transaction backed by 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 secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, two- to four-family residential properties, and a condotel. The pool consists of 679 loans, which are non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on May 8, 2025, the sponsor removed two mortgage loans from the pool and provided an updated structure. After analyzing the final coupons and updated structure, we assigned final ratings that are consistent with the preliminary ratings, except for the class B-2, which we rated 'B- (sf)', one notch lower than the assigned preliminary rating of 'B (sf)'." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2025-NQM2 Class A-1, $209,522,000: AAA (sf) Class A-1A, $180,722,000: AAA (sf) Class A-1B, $28,800,000: AAA (sf) Class A-2, $22,465,000: AA (sf) Class A-3, $22,032,000: A+ (sf) Class M-1, $15,120,000: BBB (sf) Class B-1, $8,064,000: BB (sf) Class B-2, $6,768,000: B- (sf) Class B-3, $4,032,802: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $288,003,802: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SEQUOIA MORTGAGE 2025-5: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-5 (SEMT 2025-5). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-5 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 AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 523 loans with a total balance of approximately $645.7 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 Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included updated balances and three loan drops from the prior pool. Fitch re-ran its asset analysis using its updated Loan Loss Model incorporating Q4 SHP data and the proposed levels did not change. Additionally, Fitch received an updated structure based off the new deal balance and confirmed there were no changes to its expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 523 loans totaling approximately $645.7 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 780 and a 35.9% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 77.7% sustainable loan-to-value ratio (sLTV) and a 69.0% mark-to-market combined loan-to-value ratio (cLTV). Overall, 93.8% of the pool loans are for a primary residence, while 6.2% are loans for second homes; 71.9% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as safe-harbor APOR 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 11.0% on a national level as of 4Q24, down 0.1% 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 2.9% yoy nationally as of February 2025, 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 2025-5 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S 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 41.9% 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 21bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-5 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-5 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. SILVER POINT 9: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Silver Point CLO 9, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 9, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Silver Point CLO 9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 98.5% first-lien senior secured loans and has a weighted average recovery assumption of 73.6%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. 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 Silver Point CLO 9, 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. SIXTH STREET CLO 28: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sixth Street CLO 28 Ltd./Sixth Street CLO 28 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 Sixth Street Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sixth Street CLO 28 Ltd./Sixth Street CLO 28 LLC Class A loans, $227.50 million: AAA (sf) Class A notes, $80.00 million: AAA (sf) Class B-1 notes, $55.70 million: AA (sf) Class B-2 notes, $7.30 million: AA (sf) Class C (deferrable), $39.50 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $50.00 million: NR NR--Not rated. SYMPHONY CLO 48: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 48, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 48, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf Issuer Loans LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Symphony CLO 48, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.97, 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 99.84% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.92% versus a minimum covenant, in accordance with the initial expected matrix point of 69.8%. 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 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 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 'BB+sf' for class D-3 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'Asf' for class D-2, and 'A-sf' for class D-3 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 08 May 2025 ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 48, 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. SYMPHONY CLO XIX: Moody's Cuts Rating on $10MM Cl. F Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by Symphony CLO XIX, Ltd.: US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on August 27, 2024 Downgraded to Caa2 (sf) Symphony CLO XIX, Ltd., originally 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 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 $5.2 million since August 2024. Additionally, based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and is currently 3329 compared to 3298 in August 2024, failing the trigger of 2978. No actions were taken on the Class A, Class B, Class C, Class D 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: $349,282,091 Defaulted par: $11,486,697 Diversity Score: 68 Weighted Average Rating Factor (WARF): 3329 Weighted Average Spread (WAS): 3.21% Weighted Average Recovery Rate (WARR): 46.99% Weighted Average Life (WAL): 3.45 years Par haircut in OC tests and interest diversion test: 1.37% 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. TOWD POINT 2025-CES1: Fitch Affirms 'B-(EXP)sf' Rating on B1 Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the expected ratings for Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-CES1 A1 LT AAA(EXP)sf Affirmed AAA(EXP)sf A2 LT AA-(EXP)sf Affirmed AA-(EXP)sf M1 LT A-(EXP)sf Affirmed A-(EXP)sf M2A LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2B LT BB-(EXP)sf Affirmed BB-(EXP)sf B1 LT B-(EXP)sf Affirmed B-(EXP)sf B2 LT NR(EXP)sf Affirmed NR(EXP)sf B3 LT NR(EXP)sf Affirmed NR(EXP)sf AX LT NR(EXP)sf Affirmed NR(EXP)sf XS1 LT NR(EXP)sf Affirmed NR(EXP)sf XS2 LT NR(EXP)sf Affirmed NR(EXP)sf X LT NR(EXP)sf Affirmed NR(EXP)sf A2A LT AA-(EXP)sf Affirmed AA-(EXP)sf A2AX LT AA-(EXP)sf Affirmed AA-(EXP)sf A2B LT AA-(EXP)sf Affirmed AA-(EXP)sf A2BX LT AA-(EXP)sf Affirmed AA-(EXP)sf A2C LT AA-(EXP)sf Affirmed AA-(EXP)sf A2CX LT AA-(EXP)sf Affirmed AA-(EXP)sf A2D LT AA-(EXP)sf Affirmed AA-(EXP)sf A2DX LT AA-(EXP)sf Affirmed AA-(EXP)sf M1A LT A-(EXP)sf Affirmed A-(EXP)sf M1AX LT A-(EXP)sf Affirmed A-(EXP)sf M1B LT A-(EXP)sf Affirmed A-(EXP)sf M1BX LT A-(EXP)sf Affirmed A-(EXP)sf M1C LT A-(EXP)sf Affirmed A-(EXP)sf M1CX LT A-(EXP)sf Affirmed A-(EXP)sf M1D LT A-(EXP)sf Affirmed A-(EXP)sf M1DX LT A-(EXP)sf Affirmed A-(EXP)sf M2AA LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2AAX LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2AB LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2ABX LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2AC LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2ACX LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2AD LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2ADX LT BBB-(EXP)sf Affirmed BBB-(EXP)sf M2BA LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BAX LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BB LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BBX LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BC LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BCX LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BD LT BB-(EXP)sf Affirmed BB-(EXP)sf M2BDX LT BB-(EXP)sf Affirmed BB-(EXP)sf Transaction Summary Following the presale published on March 31, updated collateral data and structure were provided, leading to revised bond balances and credit enhancement (CE) levels for each class. Fitch re-evaluated the asset and cashflow analyses and confirmed that there are no changes to the expected ratings for each tranche. The transaction is expected to close on May 22, 2025. The notes are supported by 5,100 seasoned and newly originated, closed-end second lien (CES loans with a total balance of $429 million as of the cutoff date). Spring EQ, LLC, Rocket Mortgage and Nationstar originated approximately 65%, 17% and 18% of the loans, respectively. Shellpoint Mortgage Servicing (SMS), Rocket Mortgage and Nationstar will service the loans. Shellpoint and Nationstar will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis given its projected loss severities on the second lien collateral. Distributions of 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. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior IO class (class AX), which represents a senior interest strip of 1.50%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 10.4% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Closed Second Liens (Negative): The entire collateral pool comprises newly originated or recently seasoned second lien mortgages. 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. Strong Credit Quality (Positive): The pool primarily consists of new-origination and recently seasoned second lien mortgages, seasoned at approximately thirteen months (as calculated by Fitch), with a relatively strong credit profile. This includes a weighted average (WA) model credit score of 734, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 79%. All of the loans were treated as full documentation in Fitch's analysis. Approximately 48.1% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most 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' and 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Regarding any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the lesser of the respective step-up rate, the adjusted net WAC, and the AFC, after four years. Additionally, the structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.50% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Notably, the inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire interest-bearing collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to other second lien transactions, this transaction has less excess spread available, and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicers will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method as long as such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.8%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. 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 (AMC) and Consolidated Analytics. A third-party due diligence review was completed on 83.0% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with only 23 loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 68bps. 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. TRALEE CLO II: S&P Lowers Class F-R Notes Rating to CC (sf) ----------------------------------------------------------- S&P Global Ratings raised its ratings on the class C-R and D-R debt from Tralee CLO II Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on March 14, 2025. At the same time, S&P lowered its ratings on the class E-R and F-R debt and removed the ratings from CreditWatch with negative implications from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 7, 2025, trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns, which increased the senior credit support, and faced a decline in credit quality, which decreased the junior credit support. The transaction has paid down $91.03 million in collective paydowns to the class A-R, B-R, and C-R debt since S&P's March 2024 rating actions, with the A-R and B-R debt being paid in full as a result. The changes in the reported overcollateralization (O/C) ratios since the Feb. 8, 2024, trustee report, which we used for our previous rating actions follow: -- The class C O/C ratio improved to 308.84% from 140.14%. -- The class D O/C ratio improved to 137.54% from 115.90%. -- The class E O/C ratio declined to 93.47% from 101.04%. -- The class F O/C ratio declined to 80.56% from 94.96%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratios declined due to increased haircuts following an increase in the portfolio's exposure to 'CCC' rated or lower quality assets. Collateral obligations with ratings in the 'CCC' category are at $19.81 million as of the April 2025 trustee report, compared with $28.65 million reported as of the February 2024 data that S&P used at its last rating actions. Though the dollar value of the 'CCC' exposure has declined, the CLO's portfolio has amortized significantly since S&P's last rating action and has become more concentrated with only 34 unique obligors. Consequently, the percentage exposure of the 'CCC' balance increased, and is further elevated beyond the maximum limit allowed by the documents. As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess. Without considering this haircut, the class E-R O/C ratio slightly increased since our March 2024 rating action. Given that the CLO is facing increasing concentration risks, S&P's analysis and rating decisions also examined other metrics and qualitative factors besides the cash flow results. The upgraded ratings reflect the improved credit support available to the debt at the prior rating levels. The upgraded rating on the class D-R debt was affected by the application of the largest obligor default test from our corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. Despite cash flow runs that suggested higher ratings, the largest obligor default test constrained S&P's rating on the class D-R notes at 'A+ (sf)'. The top five largest obligors in the transaction currently make up more than 34% of the portfolio's performing collateral balance. The lowered ratings reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R and F-R debt. Both classes are failing their respective interest coverage and O/C ratio tests, continue to defer interest, and have accrued a payment-in-kind balance, further increasing the outstanding balance. The cash flows of both classes do not pass at their respective prior rating. S&P said, "The downgrade on the class E-R debt reflects our view that the class is currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus meets our definition of 'CCC' risk. Though cash flows indicated that it was not passing at the 'CCC' rating category, our rating action considered the current level of credit enhancement and aggregate balance of assets backing the debt, and hence we do not yet consider it a virtual certainty of default. However, any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative rating actions on the debt in the future. "The downgrade on the class F-R debt reflects our view that this class fulfills our 'CC' rating definition of virtual certainty of default. Based on the April 2025 trustee report, the aggregate balance of the transaction's assets is $46.89 million, which comprises $41.17 million performing assets and $5.72 million defaults (carried at full par). However, the outstanding aggregate balance of the rated debt (including the class E-R and F-R deferred interest) is currently $53.78 million, which is $6.88 million higher than the value of the total assets, even assuming defaults will fully recover. Furthermore, the CLO does not have other significant assets that could be monetized. As a result, we lowered our rating on the class F-R debt to 'CC (sf)'. "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 And Removed From CreditWatch Positive Tralee CLO II Ltd. Class C-R to AAA (sf) from AA (sf) Class D-R to A+ (sf) from BBB+ (sf) Ratings Lowered And Removed From CreditWatch Negative Tralee CLO II Ltd. Class E-R to CCC- (sf) from B- (sf) Class F-R to CC (sf) from CCC- (sf) TRINITAS CLO XXVI: S&P Assigns Prelim B- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-1-R, C-2-R, D-R, and E-R debt and proposed new class F-R debt from Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC, a CLO originally issued in January 2024 that is managed by Trinitas Capital Management LLC. The preliminary ratings are based on information as of May 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 3, 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 and proposed new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The original class C debt will be split into two classes, a floating-rate class C-1-R and a fixed-rate C-2-R, with an aggregate principal balance equal to that of the original class C debt. -- New class F-R debt will be issued in connection with this refinancing and will be the most junior class in the capital structure. -- The non-call period for the refinancing debt will end on June 3, 2027. -- The reinvestment period will end on July 20, 2030, and the legal final maturity date is July 20, 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 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 Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC Class A-R, $310.00 million: AAA (sf) Class B-R, $70.00 million: AA (sf) Class C-1-R (deferrable), $25.00 million: A (sf) Class C-2-R (deferrable), $5.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $16.25 million: BB- (sf) Class F-R (deferrable), $4.95 million: B- (sf) Other Debt Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC Subordinated notes, $42.95 million: NR NR--Not rated. VERUS SECURITIZATION 2025-4: S&P Assigns 'B+' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-4's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, manufactured homes and five- to 10-unit multifamily residences. The pool has 1,006 loans backed by 1,009 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption loans, non-QM/ability-to-repay (ATR)-compliant loans, and ATR-exempt loans. Of the 1,006 loans, one loan is a cross-collateralized loan backed by four properties. S&P said, "After we assigned preliminary ratings on May 6, 2025, eight loans were removed from the collateral pool and certain loan balances were updated along with changes to bond sizes to reflect the updated loan balances. The resized bonds reflect a slight increase in credit enhancement levels for class A-1, A-3 and B-2. In addition, the class B-1 notes were priced to receive a coupon rate equal to the net weighted average coupon. After analyzing the updated collateral pool, structure, and final coupons, we assigned ratings to the classes that are unchanged from the preliminary ratings we assigned." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) Verus Securitization Trust 2025-4 Class A-1, $ 377,833,000: AAA (sf) Class A-2, $ 30,053,000: AA (sf) Class A-3, $ 50,086,000: A (sf) Class M-1, $ 19,778,000: BBB (sf) Class B-1, $ 15,925,000: BB (sf) Class B-2, $ 9,247,000: B+ (sf) Class B-3, $ 10,788,331: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will be equal to the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. VIBRANT CLO III: Moody's Ups Ratings on $31MM C-RR Notes From Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Vibrant CLO III, Ltd.: US$57,500,000 Class A-2-RR Senior Secured Floating Rate Notes due 2031 (the "Class A-2-RR Notes"), Upgraded to Aaa (sf); previously on October 2, 2023 Upgraded to Aa1 (sf) US$27,500,000 Class B-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B-RR Notes"), Upgraded to Aa2 (sf); previously on October 22, 2018 Definitive Rating Assigned A2 (sf) US$31,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-RR Notes"), Upgraded to Baa3 (sf); previously on August 4, 2020 Downgraded to Ba1 (sf) Vibrant CLO III, Ltd., originally issued March 2015 and refinanced in December 2016 and in October 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 October 2023. 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 April 2024. Class A-1-RR notes have been paid down by approximately 45.5% or $145.4 million since then. Based on the trustee's April 2025 report, the OC ratios for the Class A-2-RR, Class B-RR, and Class C-RR notes are reported at 155.09%, 134.38%, and 116.80%[1], respectively, versus April 2024 levels of 128.60%, 119.45%, and 110.59%[2], respectively. Moody's notes that the April 2025 trustee-reported OC ratios do not reflect the April 2025 payment distribution, when $28.5 million of principal proceeds were used to pay down the Class A-1-RR Notes. No actions were taken on the Class A-1-RR and Class D-RR 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: $247,698,614 Defaulted par: $2,266,260 Diversity Score: 48 Weighted Average Rating Factor (WARF): 3033 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Recovery Rate (WARR): 46.71% Weighted Average Life (WAL): 3.3 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. VIBRANT CLO XVI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. D-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Vibrant CLO XVI, Ltd.'s reset transaction. Entity/Debt Rating ----------- ------ Vibrant CLO XVI, Ltd. A-1A-R LT NR(EXP)sf Expected Rating A-1A-L LT NR(EXP)sf Expected Rating A-1B-R LT AAA(EXP)sf Expected Rating A-2-R LT AA(EXP)sf Expected Rating B-R LT A(EXP)sf Expected Rating C-1-R LT BBB(EXP)sf Expected Rating C-2-R LT BBB-(EXP)sf Expected Rating D-R LT BB-(EXP)sf Expected Rating Transaction Summary Vibrant CLO XVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Vibrant Credit Partners, LLC. The transaction originally closed in 2023. On May 23, 2025, all the existing secured notes will be paid in full. Net proceeds from the issuance of the secured notes, along with the existing 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 23.99, 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 98.66% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.61% versus a minimum covenant, in accordance with the initial expected matrix point of 69.6%. 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 3.1-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-1B-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, and 'A-sf' for class C-2-R and 'BBB+sf' for class D-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 Vibrant CLO XVI, 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. WELLS FARGO 2015-C26: Fitch Lowers Rating on Four Tranches to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed two classes of Wells Fargo Commercial Mortgage Trust 2015-C26 (WFCM 2015-C26) commercial mortgage pass-through certificates. Classes D, E, X-C, F and X-D were placed on Rating Watch Evolving following their downgrades. The Rating Outlooks for classes C and PEX were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-C26 C 94989CBD2 LT Asf Affirmed Asf D 94989CAG6 LT Bsf Downgrade BBB-sf E 94989CAJ0 LT Csf Downgrade BB-sf F 94989CAL5 LT Csf Downgrade B-sf PEX 94989CBE0 LT Asf Affirmed Asf X-C 94989CAA9 LT Csf Downgrade BB-sf X-D 94989CAC5 LT Csf Downgrade B-sf KEY RATING DRIVERS Servicer Holdback; Realized Losses: The downgrades to classes E and F, and their associated interest-only classes X-C and X-D, to 'Csf' from 'BB-sf' and 'B-sf', respectively, reflect realized losses applied to the transaction due to a recent special servicer holdback. The holdback was requested by the special servicer as a result of continuing litigation surrounding the originator's repurchase of the Aloft Houston by the Galleria loan in January 2024. The balances of classes F and X-D have decreased to zero, and classes E and X-C have decreased to $2.2 million. However, a 'Csf' rating for these classes is consistent with Fitch's Rating Definitions because the agency believes the write-down may be temporary and the loss written up again in future. The downgrade of class D to 'Bsf' from 'BBB-sf' reflects the erosion in credit enhancement (CE) since the last rating action due to the holdback. The class is also now highly exposed to potential additional losses from the disposition of the pool's remaining loans, each of which are specially serviced, prior to the resolution of the litigation and reimbursement of the holdback. The class would also be subject to further reduction of CE should additional funds be requested to be held back by the special servicer due to the ongoing litigation. Additionally, Fitch has placed classes D, E, F, X-C and X-D on Rating Watch Evolving to reflect the potential for further rating actions. The litigation regarding the loan repurchase remains outstanding, and the timing and ultimate outcome is uncertain. If the write-downs to the bonds are reversed following resolution of the litigation, and proceeds held in reserve are released for distribution to the bondholders, the ratings on these classes may be affirmed, upgraded or downgraded. The rating level would depend on the underlying pool composition and expected recoveries and funds available from the holdback reimbursement and recoveries on the remaining assets. Should the write-downs be deemed irreversible or there are insufficient proceeds for distribution to bondholders, the ratings would be downgraded. Classes E, F, X-C and X-D would be downgraded to 'Dsf'. Class D may be affirmed or downgraded based on the expected recoveries for the remainder of the pool. Fitch has affirmed class C and its exchangeable class PEX as the classes are expected to receive pay down as the specially serviced loans are liquidated. The Outlook for classes C and PEX is revised to Negative due to the uncertain disposition timeline for the remaining specially serviced assets and application of proceeds from dispositions to the bondholders. Special Servicer Holdback Details: The special servicer, Midland Loan Services (Midland), has requested a holdback of trust principal proceeds, now totaling approximately $66.6 million, that began with the February 2025 reporting period. A total of $65.6 million, has been held back as of the April 2025 remittance. Per the master servicer, the holdback funds are held in a trust level reserve account. The holdback requested by Midland is the result of ongoing litigation around the 2024 repurchase of the Aloft Houston by the Galleria loan by the loan's originator, Argentic Real Estate Finance LLC (Argentic), in January 2024, with net proceeds to the trust of approximately $51.3 million. The Aloft Houston by the Galleria loan had transferred to special servicing in May 2020 due to a coronavirus-related relief request and imminent default. The special servicer filed a repurchase claim in the New York Supreme Court against Argentic in January 2021 related to defective origination documents. The court granted summary judgment in favor of the WFCM 2015-C26 trust in July 2023 and held that Argentic was required to repurchase the subject loan. Argentic repurchased the loan in January 2024 and subsequently filed an appeal, which was dismissed in April 2024. In August 2024, Argentic filed a motion in the New York State Court of Appeals to reverse the dismissal of their appeal, which the trust opposed. The litigation remains ongoing; however, per Midland, the trust's motion to dismiss the appeal is being evaluated. If the trust is ultimately successful in the repurchase litigation and holdback funds are released, there could be proceeds available, net of expenses, to repay principal and interest to the classes affected by the holdback. Specially Serviced Loans: As of the April 2025 remittance, the remaining six loans in the pool are all specially serviced; these loans were not repaid at their scheduled maturity dates. The largest specially servicing loan is 44 Plaza (41.4% of the pool), which is secured by a 167,686-sf grocery anchored retail center located in Poughkeepsie, NY. The loan transferred to special servicing in January 2025 for maturity default. The largest tenant is Stop & Shop (43% of the NRA, lease expiration in 2030). The second largest tenant was Big Lots (19.5%, lease expiration in 2032), which filed for bankruptcy in September 2024 and is dark. The servicer indicated the borrower is working to re-tenant the Big Lots box. Fitch's 'Bsf' rating case loss of 27% reflects a stressed value of $116 psf and factors in the loan's defaulted status. The second largest specially serviced loan is Roseville Square (40.7% of the pool), which is secured by a 218,309-sf grocery anchored retail center located outside of Sacramento in Roseville, CA. The loan transferred to special servicing in December 2024 for maturity default. The center is anchored by Trader Joe's, Grocery Outlet and Smart & Final. Rite Aid (10% of the NRA) has filed for bankruptcy and store closures are expected; Fitch is unaware if this location is on the store closure list. Fitch's 'Bsf' rating case loss of 24% reflects a stressed value of $145 psf and factors in the loan's defaulted status. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'Asf' and 'Bsf' rated classes are possible if losses on the remaining specially serviced loans occur prior to any potential reimbursement of the holdback and if losses are higher than currently expected. Downgrades to these classes are also possible if Midland requests additional holdback funds and additional bond write-downs occur. Downgrades to the classes rated 'Csf' would occur if the write-down of the bonds are considered irrecoverable. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'Asf' rated classes are unlikely given the specially serviced status of the remaining loans in the pool, in addition to the uncertainty of the timing of application of proceeds from disposition of specially serviced assets or the release of funds, if any, from the holdback reserve. Upgrades to the 'Bsf' rated class is possible if expected recoveries from the release of the holdback reserve occurs and will be based on the class' CE and expected recoveries of the remaining specially serviced assets. Upgrades to classes rated 'Csf' are possible if holdback funds are released and will be based on the amount of reimbursement as well as the expected recoveries of the remaining specially serviced assets. 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 2025-5C4: Fitch Assigns B-(EXP)sf Rating on J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C4 commercial mortgage pass-through certificates, series 2025-5C4 as follows: - $4,006,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $203,091,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $407,097,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $58,156,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $29,079,000 class B 'AA-(EXP)sf'; Outlook Stable; - $21,808,000 class C 'A-(EXP)sf'; Outlook Stable; - $109,043,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $11,312,000 (c) class D 'BBB(EXP)sf'; Outlook Stable; - $11,312,000 (b)(c) class X-D 'BBB(EXP)sf'; Outlook Stable; - $8,316,000 (c)(d) class E-RR 'BBB-(EXP)sf'; Outlook Stable; - $9,451,000 (c)(d) class F-RR 'BB(EXP)sf'; Outlook Stable; - $5,815,000(c)(d) class G-RR 'B+(EXP)sf'; Outlook Stable; - $5,816,000(c)(d) class H-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $24,717,144(c)(d) class J-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $403,091,000 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 to $200,000,000, and the expected class A-3 balance range is $203,091,000 to $403,091,000. Fitch's certificate balances for classes A-2 and A-3 reflect the highest and lowest respective value of each range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes E-RR, F-RR, G-RR, H-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of May 12, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 82 commercial properties with an aggregate principal balance of $581,567,144 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Citi Real Estate Funding Inc., LMF Commercial LLC, Argentic Real Estate Finance 2 LLC, and JPMorgan Chase Bank, National Association. The master servicer is expected to be Trimont LLC and the special servicer is expected to be Rialto Capital Advisors, LLC. The trustee and certificate administrator are expected to be Computershare Trust Company, N.A. Pentalpha Surveillance LLC is expected to be the operating advisor. The certificates will follow a sequential paydown structure. The transaction's closing date is expected to be May 29, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 87.8% by balance. Fitch's resulting net cash flow (NCF) of $56.6 million represents a 14.0% decline from the issuer's underwritten NCF of $65.9 million. Fitch Leverage: The pool leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 100.3% is worse than the 2025 YTD 2024 averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.7% is in line with the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. 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. High Pool Concentration: The pool is concentrated; the top 10 loans in the pool make up 59.0% of the pool, which is only slightly lower than the 2025 YTD and 2024 averages of 63.0% and 60.2%, respectively. The pool's effective loan count is 21.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Average Property Type Concentration: The pool has similar property type concentration when compared with other recent Fitch rated multiborrower transactions. Loans collateralized by multifamily properties have the highest property type concentration at 34.0% of the pool, and after that is office properties at 21.8%, retail at 17.4%, and hotels at 11.5%. No other property type comprises more than 5.7% of the pool. The Fitch effective property type count is 4.7, which is in line with the YTD 2025 and 2024 averages of 4.7 and 4.2, respectively. Pools with a greater concentration by property type are at greater risk of losses, all else being equal. Fitch raises the overall loss for pools with effective property type counts below 5.0. 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'/'BBsf'/'B+sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/'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'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B+sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'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 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. WORLDWIDE PLAZA 2017-WWP: DBRS Places Class C B(low) Under Review ----------------------------------------------------------------- DBRS Limited placed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-WWP issued by Worldwide Plaza Trust 2017-WWP Under Review with Negative Implications as follows: -- Class A at BBB (low) (sf) -- Class X-A at BBB (sf) -- Class B at BB (low) (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) There are no trends for these credit rating actions. The underlying loan for this transaction is secured by a Class A office property in Manhattan. At the previous credit rating action in July 2024, Morningstar DBRS downgraded its credit ratings across the capital stack to reflect increased risks for the loan due to the then upcoming departure of the second-largest tenant at the property, Cravath, Swaine & Moore LLP (Cravath; 30.1% of the net rentable area (NRA)), who departed at lease expiration in August 2024. The loan subsequently fell delinquent and was transferred to the special servicer in September 2024. These developments were contemplated as part of the analysis for the July 2024 credit rating action, which also resulted in Negative trends being placed on Classes X-A, A, B and C. For further information on that credit rating action, please see the press release dated July 24, 2024, on the Morningstar DBRS website. The largest remaining tenant, Nomura Holding America, Inc. (Nomura; 34.3% of the NRA, has a lease expiry in September 2033) and has already downsized once since issuance, with a remaining option to further downsize or terminate its lease entirely in January 2027 (notice must be given by July 1, 2025). On March 26, 2025, Bloomberg released an article noting that Nomura has been in talks for space at the Penn 2 tower, which is also owned by the subject loan sponsor. According to the most recent servicer commentary, the servicer does note Nomura is working with the sponsor for either a renewal and lease extension at the subject property or a move to another location within the sponsor's portfolio. Given these developments which suggest the collateral property could be nearly fully vacant within the next few years (barring any further leasing activity) Morningstar DBRS has placed all rated classes Under Review - Negative Implications. Whole-loan proceeds of $940.0 million and $260.0 million of mezzanine debt facilitated the recapitalization financing of the collateral. The whole loan consists of $616.3 million of senior debt and $323.7 million of junior debt, of which the entirety of the junior debt and $381.3 million of the senior debt is held in the trust. The fixed-rate loan is interest only (IO) through its 10-year term and is sponsored by a joint venture between SL Green Realty Corporation and RXR Realty LLC. The property totals 1.8 million square feet (sf) and occupies an entire block between 49th Street and 50th Street at 825 Eighth Avenue in New York City's Midtown West submarket. The property also includes 10,592 sf of ground-level retail space, and the C and E subway lines are accessible via a station beneath the building. Following the transfer to special servicing in September 2024, the loan received a modification in January 2025 which allowed for the use of all reserve funds to be utilized to fund operating shortfalls through the earlier of Nomura providing notice of its lease termination or July 1, 2025. Since that time, the sponsor and the special servicer have been engaged in ongoing discussion regarding the workout strategy, but nothing has been finalized to date. According to the most recent financials, the subject reported a June 2024 occupancy rate of 90.1%; however, when factoring in the departure of Cravath, the occupancy rate drops to approximately 60% with the largest tenant, Nomura occupying just over half of the currently leased space. The remaining tenancy outside of Nomura is quite granular with minimal rollover concerns outside of Nomura's termination option in July 2025. According to the property's website, approximately 38.0% of the NRA listed as available for lease. At issuance, Nomura occupied 819,906 sf (40.0% of NRA)but exercised a termination option for part of its space in January 2022. The tenant gave back two floors and paid a termination fee of $11.2 million, which is currently held by the servicer, outside of the reserve accounts. As of the trailing six-month financials for the period ended June 30, 2024, the subject property reported a net cash flow (NCF) and debt service coverage ratio (DSCR) of $76.8 million and 2.23 times (x), respectively, in line with historical figures. The most recent financials do not capture the departure of Cravath, which is expected to push the DSCR below break even. During the July 2024 rating action, Morningstar DBRS conducted a dark value analysis for the subject given the possibility that the property could become nearly fully vacant within the next few years for the reasons as described above. Morningstar DBRS assumed that, at the time of the loan maturity, the property would be fully vacant, and after two years of downtime, the property would be re-leased to a market occupancy. The concluded market rent for the space was $70.00 psf and a stabilized vacancy rate of 15.0%, which recognizes the current vacancy level of the submarket. An expense ratio of 45.6% was applied, based on the YE2023 figure, resulting in a Morningstar DBRS stabilized NCF of $79.0 million. A cap rate of 9.0% was applied, supported by market trends and incorporating a 100 basis point dark value adjustment to account for the time and risk to re-tenant the space. Tenant improvements of $90 psf and leasing commissions of 4.0% were assumed, based on available comparable leases on file with Morningstar DBRS. The total leasing cost to stabilize was $374.6 million, based on a two-year downtime adjustment given the size of the property, resulting in a dark value of $503.6 million and a whole-loan LTV of 186.6%. Based on the whole loan amount of $940.0 million, a 1.0% liquidation fee, and one year of principal and interest advances, the total trust exposure could reach approximately $980.0 million. The results of liquidation analysis suggested a loss severity exceeding 45%, which would fully reduce the balance of Class C through the unrated Class HRR and nearly 50% of Class B, supporting the credit rating downgrades. At the time of the July 2024 rating action, Morningstar DBRS gave credit to in-place reserves in its liquidation analysis; however, following the loan modification in January 2025, which allows the borrower to utilize reserve funds to fund operating shortfalls, Morningstar DBRS removed that credit in the analysis for this credit rating action. Excluding that amount increases the loss severity to approximately 51%, with the realized losses contained to the same place in the capital stack, Class B and below. Although losses could be realized as high as Class B, Morningstar DBRS does note that there is a two year gap between now and the scheduled loan maturity, providing the sponsor some time to secure tenants and stabilize the property. However, recent leasing trends at the subject property, declining submarket dynamics and upcoming potential termination option for Nomura in July 2025, do suggest the credit risk profile for the transaction is heightened from the July 2024 action, supporting the Under Review - Negative Implications designation with this credit rating action. Notes: All figures are in U.S. Dollars unless otherwise noted. ZAYO ISSUER 2025-2: Fitch Assigns 'BB-sf' Rating on Class C Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-2. Fitch has also affirmed the ratings on Zayo Issuer, LLC, Series 2025-1. The Rating Outlooks remain Stable. Fitch has assigned final ratings and Rating Outlooks as follows: - $1,101.9(a) million 2025-2 class A-2 'A-sf'; Outlook Stable; - $177.7(a) million 2025-2 class B 'BBB-sf'; Outlook Stable; - $248.8(a) million 2025-2 class C 'BB-sf'; Outlook Stable. The following class is not rated by Fitch: - $82.8 million(b) series 2025-2, class R. Entity/Debt Rating Prior ----------- ------ ----- Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-2 A-2 LT A-sf New Rating A-(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf R LT NRsf New Rating NR(EXP)sf Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-1 A-1-L LT Asf Affirmed Asf A-2 98919WAA1 LT A-sf Affirmed A-sf B 98919WAC7 LT BBB-sf Affirmed BBB-sf C 98919WAE3 LT BB-sf Affirmed BB-sf (a) The class A-2, B and C notes include prefunding amounts of $71.3 million, $11.5 million and $16.0 million, respectively. Draws upon these accounts shall be subject to the sponsor transferring to its fiber network assets and associated contracts located in the State of Nebraska (1.0% of monthly recurring revenue [MRR]) to the asset entities once necessary regulatory approvals have been obtained. (b) Horizontal credit risk retention interest representing 5% of the 2025-2 notes. Transaction Summary Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-2 is a securitization of contract payments derived from an existing enterprise fiber network. Collateral assets include conduits, cables, network-level equipment, access rights, customer contracts and transaction accounts. Debt is secured by net cash flow (NCF) from operations and benefits from a perfected security interest in the securitized assets. The collateral network consists of the sponsor's enterprise fiber network of approximately 62,000 fiber route miles (FRM) that serves 4,992 on-net buildings across 21 states and Washington D.C. in the Northeast and Midwest regions of the U.S. The network supports 29,174 contracts that provide lit and dark fiber data transport, at 74.4% of monthly recurring revenue (MRR) as of February 2025, as well as lit network connectivity (25.6%). The series 2025-2 notes issuance will be backed by the sponsor's fiber network and associated contracts located in 21 states and Washington, D.C. in the Northeast and Midwest regions of the U.S. Collateral-level attributes in these regions broadly reflect the series 2025-1 issuance. The total pool's concentration in the wireless, wireline carrier sector grew by 4.4% of MRR, while finance sector concentration fell by 4.6%. Metro dark fiber service exposure fell by 6.8% with small increases in long-haul dark fiber, ethernet and private line services. The weighted average (WA) contract remaining term for the asset pool increased to 3.1 years, from 2.6 years at prior issuance. The expected ratings reflect Fitch's structured finance analysis of cash flow from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the parent, Zayo Group, LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: The pool's Fitch NCF is $264.6 million in the base case, implying a 15.7% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.8x, compared with debt/issuer NCF leverage of 9.1x. Including full draw prefunding accounts, Fitch NCF for the pool is $274.0 million, implying a 15.5% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.8x, compared with the debt/issuer NCF leverage of 9.1x. Based on the Fitch NCF and assumed annual revenue growth of 2.0%, and following the transaction's anticipated repayment date (ARD), the notes would be repaid 18.3 years from closing. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral network, low historical churn, the creditworthiness of contract counterparties, market position, market diversity, capability of the operator and the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow because of higher expenses, customer churn, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. - Fitch's base case NCF was 15.7% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'BBB-sf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; class C to 'B-sf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow from rate increases, additional customers, or contract amendments could lead to upgrades. - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf'; class B to 'BBBsf' from 'BBB-sf'; class C to 'BBsf' from 'BB-sf'. - Upgrades, however, are unlikely given the issuer's ability to issue additional notes pari passu notes. In addition, the senior classes are capped in the 'Asf' category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] DBRS Reviews 218 Classes From 31 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 218 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, two are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, two are classified as re-performing mortgage transactions, and the remaining 27 deals are classified as Non-QM. Of the 218 classes reviewed, Morningstar DBRS upgraded its credit ratings on 64 classes and confirmed its credit ratings on 154 classes. The Affected Ratings are available at https://bit.ly/3F5HZhv The Issuers are: MFA 2022-NQM2 Trust GCAT 2020-NQM2 Trust Visio 2019-2 Trust PRKCM 2022-AFC1 Trust CHNGE Mortgage Trust 2023-2 Angel Oak Mortgage Trust 2020-4 MFA 2020-NQM2 Trust MFA 2020-NQM1 Trust Barclays Mortgage Loan Trust 2022-INV1 HOMES 2023-NQM2 Trust Imperial Fund Mortgage Trust 2021-NQM1 Angel Oak Mortgage Trust 2020-5 Angel Oak Mortgage Trust 2020-6 Angel Oak Mortgage Trust 2020-3 Velocity Commercial Capital Loan Trust 2023-2 Visio 2020-1 Trust BRAVO Residential Funding Trust 2021-NQM1 A&D Mortgage Trust 2023-NQM2 Residential Mortgage Loan Trust 2020-2 Vista Point Securitization Trust 2020-1 Vista Point Securitization Trust 2020-2 Imperial Fund Mortgage Trust 2020-NQM1 Bunker Hill Loan Depositary Trust 2020-1 Starwood Mortgage Residential Trust 2021-3 Velocity Commercial Capital Loan Trust 2022-3 BRAVO Residential Funding Trust 2020-NQM1 MFA 2023-NQM2 Trust GS Mortgage-Backed Securities Trust 2020-NQM1 New Residential Mortgage Loan Trust 2024-RPL1 GS Mortgage-Backed Securities Trust 2024-RPL3 TRK 2022-INV2 Trust 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 March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604).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), "North American CMBS Surveillance Methodology," published on February 28, 2025 (https://dbrs.morningstar.com/research/448963). Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 55 Classes in 8 US RMBS Transactions ---------------------------------------------------- DBRS, Inc. reviewed 55 classes in eight U.S. residential mortgage-backed securities (RMBS) transactions. Of the eight transactions reviewed, three are classified as reperforming mortgages and five are classified as seasoned mortgages. Of the 55 classes reviewed, Morningstar DBRS upgraded its credit ratings on 10 classes and confirmed its credit ratings on the remaining 45 classes. The Affected Ratings are available at https://bit.ly/3ZwEmb9 The Issuers are: CIM Trust 2019-R5 CIM Trust 2018-R3 PRPM 2024-RCF3, LLC Citigroup Mortgage Loan Trust 2015-PS1 BRAVO Residential Funding Trust 2019-2 BRAVO Residential Funding Trust 2019-1 Mello Mortgage Capital Acceptance 2024-SD1 Chase Home Lending Mortgage Trust 2023-RPL1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. 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 March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). 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 US Dollars unless otherwise noted. [] DBRS Takes Credit Rating Actions on 112 CMBS Transactions ------------------------------------------------------------ DBRS, Inc. finalized an update to its North American CMBS Multi-Borrower Rating Methodology (the Methodology), and updates to the North American CMBS Insight Model (the Model) on April 9, 2025. This Methodology and Model present the criteria by which commercial mortgage-backed securities (CMBS) transactions, including multiborrower conduit (MB Conduit), agency, commercial real estate collateralized loan obligation (CRE CLO), small balance commercial (SBC), single-family rental (SFR), and other transactions secured by pools of commercial mortgage loans credit ratings are assigned and/or monitored. To identify those transactions whose credit ratings were potentially affected by these updates, Morningstar DBRS conducted an analysis that considered a model-to-model comparison across the impacted transaction types within the rated book, as well as an analysis to identify transactions with meaningful changes in the pool composition or risk profile since the last credit rating action. As part of the application of the Methodologies and Model, 1,378 classes of 112 public MB Conduit, CRE CLO, SBC, and SFR transactions were reviewed; this press release covers those transactions. The agency transactions were addressed in a separate press release. For further information on those credit rating actions, please see the press release titled “Morningstar DBRS Takes Credit Rating Actions on 68 Freddie Mac Transactions and Nine ReRemic Transactions” published on April 30, 2025. The Affected Ratings are available at https://bit.ly/4keac56 The Issuers are: CoreVest American Finance 2020-1 Trust Angel Oak SB Commercial Mortgage Trust 2020-SBC1 MF1 2022-B1 LLC BAMLL 2024-LB1 MF1 2022-FL9 LLC MF1 2022-FL8 Ltd. BANK 2022-BNK41 BANK 2019-BNK22 BANK 2020-BNK30 BANK 2019-BNK16 BANK 2021-BNK32 BANK5 2024-5YR7 BANK 2022-BNK39 MF1 2024-FL15 LLC MF1 2024-FL16 LLC BDS 2022-FL11 LLC MF1 2024-FL14 LLC BDS 2022-FL12 LLC MF1 2021-FL7, Ltd. KREF 2022-FL3 Ltd. KREF 2021-FL2 Ltd. BDS 2021-FL10 Ltd. BANK5 2024-5YR10 BANK5 2024-5YR11 LCCM 2021-FL3 Trust AREIT 2022-CRE7 LLC MF1 2021-FL6, Ltd. AREIT 2022-CRE6 Ltd. ACREC 2023-FL2 LLC GPMT 2021-FL3, Ltd. ACREC 2021-FL1 Ltd. BXMT 2020-FL2, Ltd. GPMT 2021-FL4, Ltd. BRSP 2021-FL1, Ltd. RIAL 2022-FL8 Issuer, Ltd. TRTX 2022-FL5 Issuer, Ltd. BSPRT 2022-FL8 Issuer, Ltd. BSPRT 2021-FL7 Issuer, Ltd. BANK 2017-BNK7 LoanCore 2021-CRE6 Issuer Ltd. MF1 2022-FL10 LLC BANK 2019-BNK21 STWD 2022-FL3, Ltd. FS Rialto 2021-FL3 Issuer, Ltd. MF1 2020-FL4, Ltd. MF1 2021-FL5, Ltd. H.I.G. RCP 2023-FL1, LLC HGI CRE CLO 2022-FL3, LLC HGI CRE CLO 2021-FL2, Ltd. HGI CRE CLO 2021-FL1, LTD. BSPRT 2022-FL9 Issuer, LLC BBCMS Mortgage Trust 2017-C1 BSPDF 2021-FL1 Issuer, Ltd. Wells Fargo Commercial Mortgage Trust 2021-C60 LoanCore 2022-CRE7 Issuer Ltd. FS Rialto 2022-FL4 Issuer, LLC Key Commercial Mortgage Trust 2018-S1 Key Commercial Mortgage Trust 2019-S2 Morgan Stanley Capital I Trust 2018-H3 Sutherland Commercial Mortgage Trust 2021-SBC10 Ready Capital Mortgage Trust 2019-6 LSTAR Commercial Mortgage Trust 2016-4 COMM 2015-CCRE26 Mortgage Trust A10 Revolving Asset Financing I, LLC Canadian Commercial Mortgage Origination Trust 5 CSAIL 2016-C5 Commercial Mortgage Trust CSAIL 2015-C4 Commercial Mortgage Trust Oceanview Mortgage Loan Trust 2020-SBC1 BSPRT 2021-FL6 Issuer, Ltd. CoreVest American Finance 2018-1 Trust CoreVest American Finance 2018-2 Trust CoreVest American Finance 2019-1 Trust CoreVest American Finance 2019-3 Trust Ready Capital Mortgage Trust 2018-4 Hamlet Securitization Trust 2020-CRE1 Citigroup Commercial Mortgage Trust 2016-C2 Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd. A10 Permanent Asset Financing 2017-II, LLC Benchmark 2019-B11 Commercial Mortgage Trust Real Estate Asset Liquidity Trust, Series 2017 Ready Capital Mortgage Financing 2021-FL7, LLC Ready Capital Mortgage Financing 2022-FL9, LLC Wells Fargo Commercial Mortgage Trust 2016-C33 Wells Fargo Commercial Mortgage Trust 2017-RC1 Wells Fargo Commercial Mortgage Trust 2017-RB1 Wells Fargo Commercial Mortgage Trust 2018-C45 Wells Fargo Commercial Mortgage Trust 2015-C30 Sutherland Commercial Mortgage Trust 2019-SBC8 Citigroup Commercial Mortgage Trust 2020-GC46 Ready Capital Mortgage Financing 2023-FL12, LLC Wells Fargo Commercial Mortgage Trust 2016-NXS6 Wells Fargo Commercial Mortgage Trust 2015-NXS3 LoanCore 2021-CRE5 Issuer Ltd. COMM 2016-CCRE28 Mortgage Trust Real Estate Asset Liquidity Trust, Series 2021-1 GS Mortgage Securities Corporation Trust 2019-GC40 JPMBB Commercial Mortgage Securities Trust 2015-C33 JPMCC Commercial Mortgage Securities Trust 2015-JP1 Arbor Multifamily Mortgage Securities Trust 2021-MF3 Arbor Multifamily Mortgage Securities Trust 2021-MF2 Arbor Multifamily Mortgage Securities Trust 2020-MF1 Silver Hill Trust 2019-SBC1 Oceanview Mortgage Trust 2022-SBC1 BBCMS Mortgage Trust 2020-C7 CoreVest American Finance 2020-3 Trust Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. Arbor Realty Commercial Real Estate Notes 2021-FL3, Ltd. Institutional Mortgage Securities Canada Inc., Series 2016-7 Canadian Commercial Mortgage Origination Trust 6 SBALR Commercial Mortgage 2020-RR1 Trust Bayview Financing SBC Trust 2021-5F Arbor Multifamily Mortgage Securities Trust 2022-MF4 The updates to the Methodology and Model follow a review of the historical data that is used to calibrate the probability of default (POD) and loss given default (LGD) regressions and include updated performance data following the coronavirus pandemic. The framework for the Model largely remains the same; however, Morningstar DBRS has also expanded some of the categories or bins within the variables and/or removed variables that were identified as no longer impactful. For more information on updates to the Methodology and Model, please refer to the press released titled “Morningstar DBRS Publishes Final North American CMBS Multi-Borrower Rating Methodology and CMBS Insight Model,” published on April 9, 2025. The Methodology and Model supersede the prior versions (the previous Methodology and/or the previous Model) published on December 13, 2024. For the 115 reviewed MB Conduit, CRE CLO, SBC, and SFR transactions, 71.1% of credit ratings on those transactions' classes were confirmed with Stable trends. Credit ratings were upgraded on 24.4% of the classes, most often reflecting a combination of increased credit support, whether through principal repayments or increased defeasance, and a lower pool-level expected loss with the updated Model result. A relatively small number of credit ratings were downgraded (6.0%), and on more than half of those classes downgraded, Morningstar DBRS had previously placed a Negative trend to signal the possibility of further deterioration in performance. The analysis and credit rating actions taken as part of this review reflected both the impact of the updated Model and the impact of transaction-specific risks and pool composition. Morningstar DBRS placed or maintained Positive and Negative trends on certain classes within a small number of transactions as part of these rating actions. In general, Morningstar DBRS endeavors to resolve Positive or Negative trends within 12 months, but some cases may require a longer resolution period. Following this bulk credit rating action, Morningstar DBRS will continue to conduct periodic reviews of each transaction as the monthly remittance reports are released, which may prompt an expanded review to occur before 12 months of this action. Morningstar DBRS may also elect to conduct an expanded review at any time within the 12 months following this action. As noted above, Morningstar DBRS considered a model-to-model comparison wherein the class-level results with the previous Model and the updated Model were compared. Those MB Conduit transactions that showed a material deviation from the credit ratings implied by the Model were considered to have a potential credit ratings impact and were reviewed. Morningstar DBRS also reviewed transactions identified as exhibiting a meaningful change in pool composition or credit characteristics since the last review. When the resulting analysis showed a material deviation from the credit ratings implied by the updated Model, those transactions were also considered to have a potential credit ratings impact. MB Conduit transactions indicating a nonmaterial deviation based on a model-to-model comparison, or considered to be in wind-down, where the predictive model is no longer a primary driver for credit view, were not considered to have potential credit ratings impact and will be reviewed separately as part of Morningstar DBRS' periodic and expanded review processes as outlined in the "North American CMBS Surveillance Methodology," (the Surveillance Methodology). The process described above for the MB Conduit transactions was also followed for the CRE CLO transactions, except in the case of those transactions that did not show potential credit ratings impact based on the described approach. Given that most CRE CLO deals included one or more classes showing a potential credit ratings impact, Morningstar DBRS elected to review all CRE CLO transactions (except for six transactions that are in wind-down) as part of this credit rating action. For transactions identified as having a potential credit ratings impact, the credit rating actions taken as outlined in this press release generally reflect Morningstar DBRS' expanded review process as outlined in the Surveillance Methodology. Based on the February and March 2025 remittance reports, the affected transactions were analyzed to identify changes including loan repayment and/or defeasance, realized losses, updated appraised values, and, for large loans, changes in performance since the most recent Morningstar DBRS rating action for each. For loans exhibiting increased risks, analytical adjustments were applied to increase the POD and/or LGD or, in some cases, a liquidation analysis was considered to forecast realized losses and recoveries for significantly impaired loans. The analysis generally reflected that: (1) all defeased loans were excluded from the Model runs and were liquidated at 100% recovery and (2) specially serviced loans that were expected to be resolved with a loss to the respective trusts were also excluded from the Model runs and were liquidated based on recent information, such as updated appraised values. This analysis produced a liquidated credit enhancement for the bond stacks that was compared with the multiple ranges referred to in the Methodology. Morningstar DBRS adjustments, such as sponsor strength, property quality, or the Morningstar DBRS Haircut, were generally maintained from issuance. If the review of the February and March 2025 remittance reports showed a development in the full repayment of a rated class, the credit rating was discontinued. MB CONDUIT For transactions issued within the past 12 months, specifically BANK5 2024-5YR7, BANK5 2024-5YR10, BANK5 2024-5YR11, and Canadian Commercial Mortgage Origination Trust 6, Morningstar DBRS upgraded credit ratings, constrained to the model output, to reflect the favorable pool composition and loan-to-value ratios (LTVs). Where applicable, material deviations were maintained as Morningstar DBRS could not assess sustainability in loan performance trends given the limited seasoning to date. Two transactions (BBCMS 2020-C6 and GSMS 2020-GC45) are structured with asset-specific certificates (rake bonds) for which credit ratings are determined by the "North American Single-Asset/Single-Borrower Ratings Methodology," however, Morningstar DBRS did not perform updated LTV Sizings for these bonds as their performance remained generally in line with Morningstar DBRS' expectations. CRE CLO Morningstar DBRS reviewed 49 CRE CLO transactions. Most of these transactions are considered to be static, either having seasoned beyond their stated reinvestment periods or having been originated without a ramp or reinvestment period. For the purposes of this review, Morningstar DBRS conducted a model-to-model comparison based on the previous Model result as part of the most recent expanded review and/or the most recent Rating Agency Confirmation analysis. Loan-level adjustments were introduced or maintained from previous analyses, based on the most recently reported information in the February and March 2025 remittance reports, as applicable. The majority of the classes within the identified set of CRE CLO transactions were confirmed (67.0%) while Morningstar DBRS upgraded the credit ratings on 156 classes (32.2%) as part of the review. The credit rating upgrades were generally located in the middle to the upper part of the capital stacks and generally reflective of increased credit support as a result of loan repayments. However, Morningstar DBRS notes that the credit ratings across a number of classes, particularly at Class C and below, were affected by structural features stemming from the issuer's ability to defer interest on those classes to the extent that interest proceeds are not sufficient on a given payment date. The credit ratings across the classes were capped at A (high) (sf) given Morningstar DBRS' very limited interest shortfall tolerance at the AA and AAA rating categories. Additionally, Morningstar DBRS downgraded the credit ratings for four classes (0.8%); these downgrades were the result of a combination of factors including credit support erosion following loan liquidations and/or accumulated interest shortfalls. SBC The 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 Model to the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model" (the RMBS Model), which considers sequential and pro rata structures, to all transactions with the exception of Angel Oak SB Commercial Mortgage Trust 2020-SBC1 (AOMT 2020-SBC1) and BAMLL 2024-LB1.Generally, these pools are well diversified, a factor that, when combined with the increased credit support to the rated classes from issuance (excluding SCMT 2021-SBC10, which has a pro rata structure), generally reduces the loan-level event risk of the transaction. There are noteworthy risks for the transactions, however, in that property quality is typically considered to be Average–/Below Average based on those properties' samples. In addition, 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 review. The credit ratings assigned to 16 classes (noted below) show a material deviation (to the positive) from the credit ratings implied by the updated Model or RMBS Model. When evaluating the potential for credit rating upgrades, Morningstar DBRS generally maintains a conservative approach, given the factors outlined above with additional consideration given to the complexity and structure of the pools. For more information on these transactions and the analytical approach, please refer to the press release detailing the previous credit rating actions on the SBC transactions titled "Morningstar DBRS Takes Credit Rating Actions on Nine Small-Balance Commercial Real Estate Transactions," published March 3, 2025. SFR The pools of single-family rental properties reviewed with this credit rating action were generally granular in nature. Material deviations (to the positive) were maintained for 17 classes across five transactions resulting from asset-specific challenges, including less sophisticated sponsors with smaller real estate portfolios, lower liquidity, and an overall lack of experience. In addition, deferred maintenance and life-safety concerns were common, generally a result of lower average property quality. Morningstar DBRS notes that ongoing property financials and/or other means of reporting are not routinely provided as part of the surveillance review, a consideration for the more conservative treatment and positive material deviations, as outlined below. NOTES: All figures are in U.S. dollars unless otherwise noted. [] DBRS Takes Rating Actions on 68 Freddie Mac Transactions ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS), on April 9, 2025, finalized an update to its "North American CMBS Multi-Borrower Rating Methodology" (the Methodology) and updates to its North American CMBS Insight Model (the Model). The Methodology and Model present the criteria for which credit ratings on commercial mortgage-backed security (CMBS) transactions, including multi-borrower conduit (MB Conduit), agency, commercial real estate collateralized loan obligation (CRE CLO), small balance commercial (SBC), single-family rental (SFR), and other transactions secured by pools of commercial mortgage loans, are assigned and/or monitored. To identify transactions for which these updates could potentially affect credit ratings, Morningstar DBRS conducted an analysis that included a model-to-model comparison across the affected transaction types within its rated book and an identification of transactions with meaningful changes in the pool composition or risk profile since the last credit rating action. This press release addresses the credit rating actions resulting from the analysis on the agency transactions; for further information on the credit rating actions on the MB Conduit, CRE CLO, SBC, and SFR transactions, please see the press release titled "Morningstar DBRS Takes Credit Rating Actions on 112 CMBS Transactions Affected by the Finalization of the North American CMBS Multi-Borrower Rating Methodology and Updates to the CMBS Insight Model," published on May 1, 2025. The Affected Ratings are available at https://bit.ly/4dvB39Z The Issuers are: Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1 Freddie Mac Structured Pass-Through Certificates, Series K-145 Freddie Mac Structured Pass-Through Certificates, Series K-144 Freddie Mac Structured Pass-Through Certificates, Series K-158 Freddie Mac Structured Pass-Through Certificates, Series K-746 Freddie Mac Structured Pass-Through Certificates, Series K-098 Freddie Mac Structured Pass-Through Certificates, Series K-081 Freddie Mac Structured Pass-Through Certificates, Series K-048 Freddie Mac Structured Pass-Through Certificates, Series K-057 Freddie Mac Structured Pass-Through Certificates, Series K-063 Freddie Mac Structured Pass-Through Certificates, Series K-069 Freddie Mac Structured Pass-Through Certificates, Series K-084 Freddie Mac Structured Pass-Through Certificates, Series K-052 Freddie Mac Structured Pass-Through Certificates, Series K-055 Freddie Mac Structured Pass-Through Certificates, Series K-078 Freddie Mac Structured Pass-Through Certificates, Series K-734 CFMT 2021-FRR1 BMD2 RE-REMIC Trust 2019-FRR1 BAMLL Re-REMIC Trust 2024-FRR4 NW RE-REMIC TRUST 2021-FRR1 RFM RE-REMIC TRUST 2022-FRR1 GAM RE-REMIC TRUST 2022-FRR3 GAM RE-REMIC TRUST 2021-FRR2 FREMF 2017-K61 Mortgage Trust, Series 2017-K61 BAMLL Re-REMIC Trust 2024-FRR3 FREMF 2022-K747 Mortgage Trust, Series 2022-K747 FREMF 2020-K118 Mortgage Trust, Series 2020-K118 FREMF 2022-K143 Mortgage Trust, Series 2022-K143 FREMF 2021-K742 Mortgage Trust, Series 2021-K742 FREMF 2024-K164 Mortgage Trust, Series 2024-K164 FREMF 2022-K152 Mortgage Trust, Series 2022-K152 FREMF 2021-K136 Mortgage Trust, Series 2021-K136 FREMF 2021-K131 Mortgage Trust, Series 2021-K131 FREMF 2025-K168 Mortgage Trust, Series 2025-K168 FREMF 2021-K133 Mortgage Trust, Series 2021-K133 FREMF 2022-K145 Mortgage Trust, Series 2022-K145 FREMF 2023-K158 Mortgage Trust, Series 2023-K158 FREMF 2023-K751 Mortgage Trust, Series 2023-K751 GAM RE-REMIC TRUST 2021-FRR1 FREMF 2017-K64 Mortgage Trust, Series 2017-K64 FREMF 2020-K122 Mortgage Trust, Series K-122 FREMF 2019-K90 Mortgage Trust, Series 2019-K90 FREMF 2019-K92 Mortgage Trust, Series 2019-K92 FREMF 2019-K93 Mortgage Trust, Series 2019-K93 FREMF 2017-K63 Mortgage Trust, Series 2017-K63 FREMF 2017-K69 Mortgage Trust, Series 2017-K69 FREMF 2015-K51 Mortgage Trust, Series 2015-K51 FREMF 2015-K48 Mortgage Trust, Series 2015-K48 FREMF 2016-K55 Mortgage Trust, Series 2016-K55 FREMF 2018-K84 Mortgage Trust, Series 2018-K84 FREMF 2016-K57 Mortgage Trust, Series 2016-K57 FREMF 2016-K52 Mortgage Trust, Series 2016-K52 FREMF 2018-K78 Mortgage Trust, Series 2018-K78 FREMF 2018-K81 Mortgage Trust, Series 2018-K81 FREMF 2019-K88 Mortgage Trust, Series 2019-K88 FREMF 2019-K89 Mortgage Trust, Series 2019-K89 FREMF 2018-K74 Mortgage Trust, Series 2018-K74 FREMF 2020-K114 Mortgage Trust, Series 2020-K114 FREMF 2020-K738 Mortgage Trust, Series 2020-K738 FREMF 2020-K106 Mortgage Trust, Series 2020-K106 FREMF 2022-K141 Mortgage Trust, Series 2022-K141 FREMF 2021-K134 Mortgage Trust, Series 2021-K134 FREMF 2021-K128 Mortgage Trust, Series 2021-K128 FREMF 2021-K132 Mortgage Trust, Series 2021-K132 FREMF 2020-K739 Mortgage Trust, Series 2020-K739 FREMF 2021-K125 Mortgage Trust, Series 2021-K125 FREMF 2024-K163 Mortgage Trust, Series 2024-K163 FREMF 2020-K115 Mortgage Trust, Series 2020-K115 FREMF 2021-K741 Mortgage Trust, Series 2021-K741 FREMF 2022-K748 Mortgage Trust, Series 2022-K748 FREMF 2022-K144 Mortgage Trust, Series 2022-K144 FREMF 2019-K734 Mortgage Trust, Series 2019-K734 FREMF 2021-K129 Mortgage Trust, Series 2021-K129 FREMF 2019-K735 Mortgage Trust, Series 2019-K735 FREMF 2020-K112 Mortgage Trust, Series 2020-K112 FREMF 2024-K166 Mortgage Trust, Series 2024-K166 FREMF 2020-K117 Mortgage Trust, Series 2020-K117 FREMF 2021-K127 Mortgage Trust, Series 2021-K127 FREMF 2020-K113 Mortgage Trust, Series 2020-K113 FREMF 2020-K105 Mortgage Trust, Series 2020-K105 FREMF 2019-K101 Mortgage Trust, Series 2019-K101 FREMF 2021-K746 Mortgage Trust, Series 2021-K746 FREMF 2020-K107 Mortgage Trust, Series 2020-K107 FREMF 2021-K123 Mortgage Trust, Series 2021-K123 FREMF 2019-K736 Mortgage Trust, Series 2019-K736 Freddie Mac Structured Pass-Through Certificates, Series K-747 Freddie Mac Structured Pass-Through Certificates, Series K-122 Freddie Mac Structured Pass-Through Certificates, Series K-127 Freddie Mac Structured Pass-Through Certificates, Series K-061 Freddie Mac Structured Pass-Through Certificates, Series K-051 Freddie Mac Structured Pass-Through Certificates, Series K-077 FREMF 2018-K79 Mortgage Trust, Series 2018-K79 FREMF 2018-K86 Mortgage Trust, Series 2018-K86 FREMF 2018-K75 Mortgage Trust, Series 2018-K75 FREMF 2018-K77 Mortgage Trust, Series 2018-K77 FREMF 2018-K82 Mortgage Trust, Series 2018-K82 Freddie Mac Structured Pass-Through Certificates, Series K-132 Freddie Mac Structured Pass-Through Certificates, Series K-101 Freddie Mac Structured Pass-Through Certificates, Series K-164 Freddie Mac Structured Pass-Through Certificates, Series K-163 Freddie Mac Structured Pass-Through Certificates, Series K-168 Freddie Mac Structured Pass-Through Certificates, Series K-166 Freddie Mac Structured Pass-Through Certificates, Series K-742 Freddie Mac Structured Pass-Through Certificates, Series K-748 Freddie Mac Structured Pass-Through Certificates, Series K-152 Freddie Mac Structured Pass-Through Certificates, Series K-131 Freddie Mac Structured Pass-Through Certificates, Series K-751 Freddie Mac Structured Pass-Through Certificates, Series K-106 Freddie Mac Structured Pass-Through Certificates, Series K-134 Freddie Mac Structured Pass-Through Certificates, Series K-090 Freddie Mac Structured Pass-Through Certificates, Series K-118 Freddie Mac Structured Pass-Through Certificates, Series K-136 Freddie Mac Structured Pass-Through Certificates, Series K-133 Freddie Mac Structured Pass-Through Certificates, Series K-100 Freddie Mac Structured Pass-Through Certificates, Series K-112 Freddie Mac Structured Pass-Through Certificates, Series K-113 Freddie Mac Structured Pass-Through Certificates, Series K-105 Freddie Mac Structured Pass-Through Certificates, Series K-107 Freddie Mac Structured Pass-Through Certificates, Series K-735 FREMF 2019-K98 Mortgage Trust, Series 2019-K98 Freddie Mac Structured Pass-Through Certificates, Series K-088 FREMF 2019-K100 Mortgage Trust, Series 2019-K100 Freddie Mac Structured Pass-Through Certificates, Series Q-001 Freddie Mac Structured Pass-Through Certificates, Series K-141 Freddie Mac Structured Pass-Through Certificates, Series K-736 Freddie Mac Structured Pass-Through Certificates, Series K-738 Freddie Mac Structured Pass-Through Certificates, Series K-128 Freddie Mac Structured Pass-Through Certificates, Series K-739 Freddie Mac Structured Pass-Through Certificates, Series K-125 Freddie Mac Structured Pass-Through Certificates, Series K-115 Freddie Mac Structured Pass-Through Certificates, Series K-741 Freddie Mac Structured Pass-Through Certificates, Series K-129 Freddie Mac Structured Pass-Through Certificates, Series K-117 Freddie Mac Structured Pass-Through Certificates, Series K-114 Freddie Mac Structured Pass-Through Certificates, Series K-079 Freddie Mac Structured Pass-Through Certificates, Series K-086 Freddie Mac Structured Pass-Through Certificates, Series K-075 Freddie Mac Structured Pass-Through Certificates, Series K-082 Freddie Mac Structured Pass-Through Certificates, Series K-064 Freddie Mac Structured Pass-Through Certificates, Series K-123 Freddie Mac Structured Pass-Through Certificates, Series K-074 Freddie Mac Structured Pass-Through Certificates, Series K-089 Freddie Mac Structured Pass-Through Certificates, Series K-093 Freddie Mac Structured Pass-Through Certificates, Series K-092 Freddie Mac Structured Pass-Through Certificates, Series K-143 The updates to the Methodology and Model follow a review of historical data used to calibrate the probability of default (POD) and loss given default (LGD) regressions as well as updated performance data following the coronavirus pandemic. The framework for the Model remains largely the same; however, Morningstar DBRS expanded certain categories or bins within the variables and/or removed variables that were no longer impactful. For more information on updates to the Methodology and Model, please refer to the press released titled "Morningstar DBRS Publishes Final North American CMBS Multi-Borrower Rating Methodology and CMBS Insight Model," published on April 9, 2025. The Methodology and Model supersede the prior version published on December 13, 2024. Morningstar DBRS conducted a model-to-model comparison of the class-level results with the previous Model and the updated Model. Based on that analysis, Morningstar DBRS identified a total of 138 classes in 39 transactions in its rated book of agency transactions that have potential credit ratings impact related to the updates to the Methodology and Model. The threshold for potential credit ratings impact was a material deviation from the credit ratings implied by the Model when compared against the updated capital stacks for each transaction to reflect repayment, defeasance and, where applicable, liquidated losses as further described below. Given that the most recent bulk surveillance credit rating action for agency transactions occurred in October 2024, Morningstar DBRS elected to address all agency transactions, including those showing no potential credit ratings impact, with this credit rating action. In total, Morningstar DBRS addressed 401 classes from 68 Freddie Mac CMBS transactions (Freddie Mac K-Series transactions), 250 classes from 68 Freddie Mac Structured Pass-Through Certificate transactions, and 93 classes from nine ReREMIC transactions. Of the 744 classes across the three transaction types, Morningstar DBRS confirmed its credit ratings on 547 classes, upgraded 187 classes, and discontinued 10 classes because of repayment. In one ReREMIC transaction, Morningstar DBRS also changed the trends on three classes to Stable from Negative. All other trends are Stable. The full list of the credit ratings on each class, along with the performance metrics for these transactions, is available at the end of this press release. The credit rating actions reflect Morningstar DBRS' expanded review process as outlined in the "North American CMBS Surveillance Methodology" (the Surveillance Methodology), published on February 28, 2025. Based on the March 2025 remittance reports, Morningstar DBRS analyzed the affected transactions to identify changes since the most recent Morningstar DBRS credit rating action for each. Applicable changes included developments such as loan repayments, increased defeasance, cash flow and/or occupancy changes for the collateral properties, new values for loans in special servicing, or additions to the servicer's watchlist. Morningstar DBRS also incorporated a stressed refinance analysis scenario for all loans, which considered the property's performance trajectory as well as interest rates in the current lending environment to identify loans that may have increased maturity default risk. Where loans were exhibiting performance declines from issuance and/or were reporting metrics that suggested increased refinance risk in the analysis, Morningstar DBRS made POD adjustments on a sliding scale, with the severity of the POD penalty increasing based on the specifics of the increased risks. In certain cases, Morningstar DBRS also made LGD adjustments to reflect concerns surrounding potential performance-based value declines since issuance. The analysis generally reflected that (1) all defeased loans were excluded from the Model runs and were liquidated at 100% recovery; and (2) specially serviced loans that were expected to be resolved with a loss to the respective trusts were also excluded from the Model runs and were liquidated based on recent information, such as updated appraised values. The combination of these two exclusions resulted in a liquidated credit enhancement for the bond stack, which Morningstar DBRS compared with the multiple ranges referred to in the Methodology. Morningstar DBRS then overlaid this analysis with the stressed refinance analysis scenario on a cumulative basis to measure each transaction's exposure to potential increased refinance risk. The credit rating actions included nine ReREMIC transactions collateralized by underlying Freddie Mac K-Series transactions, some of which Morningstar DBRS does not rate. The credit ratings depend on the performance of the underlying transactions. In general, the Freddie Mac K-Series transactions exhibited healthy performance metrics evidenced by a weighted-average (WA) debt service coverage ratio (DSCR) exceeding 2.05 times (x) based on the most recent financials. Based on the March 2025 remittance reports, only five Freddie Mac K-Series transactions had delinquent and/or specially serviced loans, with the largest concentration representing 2.4% of the subject pool balance. In addition, realized losses across all transactions have been minimal to date and total defeasance was approximately 10.7% of the aggregate principal amount, with transaction-level defeasance concentrations ranging from 0.0% to 52.8%. Loans on the servicer's watchlist totaled approximately 9.7% of the aggregate principal amount, ranging from 0.0% and 47.8% for the respective transaction pool balance. The two deals with the largest concentrations of loans on the servicer's watchlist are FREMF 2015-K48 Mortgage Trust, Series 2015-K48 and FREMF 2019-K734 Mortgage Trust, Series 2019-K734. The majority of loans on the servicer's watchlist in each transaction have been flagged for upcoming maturity. Morningstar DBRS expects transactions with upcoming concentrations of loans scheduled to mature throughout 2025 to similarly result in increased numbers of loans on the servicer's watchlist; however, Morningstar DBRS does not deem this to be an increased credit risk for transactions as a whole because most borrowers are expected to successfully execute loan exit strategies by selling properties or securing refinance debt. For more information of the performance metrics for each deal, please refer to Appendix B at the end of this press release. Morningstar DBRS also applied its criteria for rating CMBS interest-only (IO) certificates (referenced in the previously stand-alone "Rating North American CMBS Interest-Only Certificates" methodology, which was incorporated into the Methodology, the Surveillance Methodology, and the "North American Single-Asset/Single-Borrower Ratings Methodology" in December 2024). Credit rating changes on the applicable reference obligations may have also triggered a credit rating action on the CMBS IO certificate. A summary of the credit rating actions, along with the credit rating action for each class, is available at the following link: https://dbrs.morningstar.com/research/453248 A summary of the performance metrics for each rated Freddie Mac K-Series transaction along with nonrated Freddie Mac K-Series transactions tied to ReREMICs is available at the following link: https://dbrs.morningstar.com/research/453249 Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Takes Action on 12 Bonds From 6 Scratch & Dent RMBS -------------------------------------------------------------- Moody's Ratings, on May 13, 2025, upgraded nine ratings and downgraded three ratings 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: Bear Stearns Asset Backed Securities Trust 2005-SD1 Cl. I-M-6, Upgraded to Caa1 (sf); previously on Mar 18, 2019 Upgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-3 Cl. M-1, Downgraded to Caa1 (sf); previously on Dec 28, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 28, 2018 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 24, 2009 Downgraded to C (sf) Issuer: EMC Mortgage Loan Trust 2002-A Cl. B, Upgraded to Caa2 (sf); previously on May 26, 2011 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Dec 6, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 26, 2011 Downgraded to C (sf) Issuer: EMC Mortgage Loan Trust 2003-B Cl. A-1, Upgraded to Aaa (sf); previously on May 20, 2011 Downgraded to A1 (sf) Issuer: MASTR Specialized Loan Trust 2006-03 Cl. A, Upgraded to A1 (sf); previously on Jul 18, 2024 Upgraded to A2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded to C (sf) Issuer: Quest Trust 2005-X1 Cl. M-4, Downgraded to Caa1 (sf); previously on Mar 15, 2017 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The remaining rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, or, for Cl. A of MASTR 2006-3, an increase in credit enhancement available to the bond. Credit enhancement for this bond grew by 6.8% over the past 12 months. Cl. A-1 of EMC 2003-B is supported by ample credit enhancement over 87%. No action was taken on the other rated class in these deals because their expected loss remains commensurate with their current rating, 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 20 Bonds From 9 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 18 bonds and downgraded the ratings of two bonds from nine US residential mortgage-backed transactions (RMBS), backed by subprime and option ARM 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 2007-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Confirmed at Caa2 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-7 Cl. 1A, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-9 Cl. 1A-1A, Upgraded to Caa2 (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: Renaissance Home Equity Loan Trust 2006-1 Cl. AF-4, Downgraded to C (sf); previously on May 9, 2014 Downgraded to Ca (sf) Cl. AF-5, Downgraded to C (sf); previously on May 9, 2014 Downgraded to Ca (sf) Issuer: Renaissance Home Equity Loan Trust 2006-2 Cl. AF-2, Upgraded to Caa3 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Cl. AV-2, Upgraded to Caa1 (sf); previously on Mar 10, 2015 Downgraded to Ca (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC1 Cl. A-1, Upgraded to Ba3 (sf); previously on Jan 14, 2020 Upgraded to Caa1 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 4, 2012 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Confirmed at Ca (sf) Issuer: SG Mortgage Securities Trust 2006-FRE2 Cl. A-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2006-1 Cl. M-1, Upgraded to Ca (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2007-OPT2 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. II-A-3, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa1 (sf); previously on Jun 17, 2010 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 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 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 15 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 16, 2025, upgraded the ratings of 40 bonds and downgraded the rating of one bond from 15 US residential mortgage-backed transactions (RMBS), backed by scratch and dent, 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: AFC Mtg Loan AB Notes 2000-3 Cl. 1A, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 03, 2024) Issuer: Carrington Mortgage Loan Trust, Series 2006-NC5 Cl. A-3, Upgraded to Caa1 (sf); previously on Jun 4, 2018 Upgraded to Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Jun 4, 2018 Upgraded to Caa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-5 Cl. M-2, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-BC5 Cl. 1-A, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Nov 20, 2018 Upgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-6 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Upgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Oct 17, 2016 Upgraded to Ca (sf) Issuer: GSAMP Trust 2006-FM1 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 11, 2020 Downgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2006-FM3 Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Confirmed at Ca (sf) Issuer: GSAMP Trust 2006-HE1 Cl. M-3, Upgraded to Ca (sf); previously on Sep 17, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2007-FM1 Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Confirmed at Ca (sf) Issuer: GSAMP Trust 2007-FM2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2007-H1 Cl. A-1B, Upgraded to Caa2 (sf); previously on Sep 11, 2012 Downgraded to Ca (sf) Cl. A-1C, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Sep 11, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2007-HE2 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 7, 2019 Upgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Dec 11, 2018 Upgraded to Caa2 (sf) Issuer: GSAMP Trust 2007-NC1 Cl.A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl.A-2A, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl.A-2B, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl.A-2C, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Confirmed at Ca (sf) Cl.A-2D, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Confirmed at Ca (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2007-A Cl. A-3, Upgraded to Baa2 (sf); previously on Aug 26, 2016 Upgraded to B3 (sf) Issuer: PPT ABS LLC Asset-Backed Certificates, Series 2004-1 Cl. A, Downgraded to B1 (sf); previously on Jul 19, 2024 Upgraded to Ba1 (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 upgrade of Class A-3 from Popular ABS Mortgage Pass-Through Trust 2007-A is a result of the improving performance of the related pool and an increase in credit enhancement available to the bond. Credit enhancement grew by 2.5% for this bond over the past 12 months. The rating downgrade of Class A from PPT ABS LLC Asset-Backed Certificates, Series 2004-1 is due to outstanding interest shortfall and the uncertainty of whether the shortfalls will be reimbursed. The interest shortfall, which has persisted since 2017, has increased over the past 12 months, amounting to 0.25% of its original balance as of April 2025. Although the bond features a strong interest reimbursement mechanism, the likelihood of reimbursement can be limited due to the transaction's lack of overcollateralization, with interest shortfalls being recouped from the interest funds. 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 42 Bonds From 11 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 16, 2025, upgraded the ratings of 42 bonds and downgraded the ratings of 3 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by Alt A and resecuritized mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Alt-A Trust 2006-2 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Alt-A Trust 2006-5 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC8 Cl. A-1, Upgraded to Caa2 (sf); previously on Mar 21, 2013 Affirmed Caa3 (sf) Cl. A-2*, Upgraded to Caa2 (sf); previously on Mar 21, 2013 Affirmed Caa3 (sf) Cl. A-3*, Upgraded to Caa2 (sf); previously on Mar 21, 2013 Affirmed Caa3 (sf) Cl. A-8, Downgraded to C (sf); previously on Mar 21, 2013 Affirmed Ca (sf) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-2 Cl. I-A-2, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed Caa2 (sf) Issuer: Impac CMB Trust Series 2005-7 Cl. A-1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2005-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jan 27, 2015 Downgraded to Caa3 (sf) Cl. A-1W, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2C, Upgraded to Caa2 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-5 Cl. 1-A1-C, Upgraded to Caa1 (sf); previously on Jul 22, 2010 Confirmed at Caa3 (sf) Issuer: Residential Asset Securitization Trust 2005-A15 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. 1-A-4, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. 1-A-6*, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-2*, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-7, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-10, Upgraded to Caa2 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-11*, Upgraded to Caa2 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-12, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 2-A-X*, Upgraded to Caa2 (sf); previously on Jan 16, 2019 Upgraded to Caa3 (sf) Cl. 3-A-1, Upgraded to Caa2 (sf); previously on Apr 1, 2010 Downgraded to Caa3 (sf) Cl. 4-A-1, Upgraded to Caa3 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. 5-A-1, Upgraded to Caa2 (sf); previously on Sep 21, 2018 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 21, 2018 Downgraded to Caa3 (sf) Issuer: Residential Asset Securitization Trust 2006-A1 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Cl. 1-A-2, Upgraded to Ca (sf); previously on Nov 12, 2010 Downgraded to C (sf) Cl. 1-A-3, Upgraded to Caa3 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Cl. 1-A-5*, Upgraded to Caa2 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Cl. 1-A-6, Upgraded to Caa2 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Cl. 1-A-7*, Upgraded to Caa2 (sf); previously on Apr 8, 2020 Downgraded to Ca (sf) Issuer: Residential Asset Securitization Trust 2006-A14CB Cl. 2-A-3, Downgraded to C (sf); previously on Nov 12, 2010 Confirmed at Ca (sf) Cl. 2-A-4, Downgraded to C (sf); previously on Nov 12, 2010 Confirmed at Ca (sf) Issuer: Residential Asset Securitization Trust 2006-R2 Cl. A-2, Upgraded to Caa3 (sf); previously on Apr 8, 2020 Downgraded 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. 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 Methodologies The principal methodology used in rating all deals except Residential Asset Securitization Trust 2006-R2 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. 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 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on May 16, 2025, upgraded the ratings of 14 bonds from 10 US residential mortgage-backed transactions (RMBS), backed by second liens and scratch & 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: Bear Stearns Mortgage Funding Trust 2006-SL1 Cl. A, Upgraded to Caa3 (sf); previously on Dec 26, 2018 Upgraded to Ca (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-SL2 Cl. A, Upgraded to Caa3 (sf); previously on Apr 20, 2018 Upgraded to Ca (sf) Issuer: Bear Stearns Second Lien Trust 2007-1 Cl. I-A, Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. II-A, Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. III-A, Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 26, 2018 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-RP1 Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4 Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-SPS2 Cl. A, Upgraded to Caa1 (sf); previously on May 16, 2018 Upgraded to Caa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-QX1 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 13, 2016 Downgraded to Ca (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INDS 2006-2B Cl. A, Upgraded to Caa1 (sf); previously on Nov 29, 2010 Downgraded to C (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-H3 Cl. A, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Confirmed at Ca (sf) Issuer: Irwin Home Equity Loan Trust 2006-2 Cl. IIA-3, Upgraded to Caa3 (sf); previously on Jun 30, 2010 Downgraded to Ca (sf) Cl. IIA-4, Upgraded to Caa1 (sf); previously on Jun 30, 2010 Confirmed at Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 15 Bonds From 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on May 16, 2025, upgraded the ratings of 15 bonds from five 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: Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ 2007-HE2 Cl. A1, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Caa3 (sf) Cl. A2, Upgraded to Caa1 (sf); previously on Jan 27, 2014 Downgraded to Ca (sf) Cl. A3, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Downgraded to Ca (sf) Cl. A4, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Confirmed at Ca (sf) Cl. A5, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Confirmed at Ca (sf) Issuer: Asset Backed Securities Corporation, Series AMQ 2006-HE7 Cl. A1, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Caa3 (sf) Cl. A3, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A4, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Downgraded to Ca (sf) Cl. A5, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Confirmed at Ca (sf) Issuer: CSFB Home Equity Asset Trust 2006-8 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2007-1 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2007-2 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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 16 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on May 13, 2025, upgraded the ratings of 16 bonds from seven US residential mortgage-backed transactions (RMBS), backed by 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=uh4SJX 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: CHL Mortgage Pass-Through Trust 2003-53 Cl. M, Upgraded to Caa1 (sf); previously on Mar 3, 2011 Downgraded to C (sf) Issuer: CHL Mortgage Pass-Through Trust 2004-HYB6 Cl. M, Upgraded to Ca (sf); previously on Mar 3, 2011 Downgraded to C (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2002-4 Cl. M-1, Upgraded to Aaa (sf); previously on Feb 13, 2020 Upgraded to Aa3 (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on May 26, 2009 Downgraded to C (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Issuer: HomeBanc Mortgage Trust 2004-1 Cl. II-A, Upgraded to Ba1 (sf); previously on Mar 4, 2015 Downgraded to B3 (sf) Cl. II-M1, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Impac CMB Trust Series 2005-3 Collateralized Asset-Backed Bonds, Series 2005-3 Cl. A-2, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Ca (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2005-7N Cl. 1-A1B, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A2A, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1 Cl. A-1, Upgraded to B1 (sf); previously on May 9, 2018 Downgraded to B3 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Dec 13, 2011 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 8, 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 for each bond. 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. 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 27 Bonds From 19 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 27 bonds from 19 US residential mortgage-backed transactions (RMBS), backed by second lien 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 2006-SL1 Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. A-2, Upgraded to Ca (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. A-3, Upgraded to Ca (sf); previously on Nov 3, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Mortgage Trust 2005-4 Cl. M-1, Upgraded to A1 (sf); previously on Jul 30, 2024 Upgraded to Baa1 (sf) Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S7 Cl. A-5, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Downgraded to C (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Confirmed at Ca (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, 2007-C Cl. A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H Cl. 2-A, Upgraded to A1 (sf); previously on Jul 30, 2024 Upgraded to Baa1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-C Cl. 1-A, Upgraded to Caa1 (sf); previously on May 18, 2018 Upgraded to Caa2 (sf) Cl. 2-A, Upgraded to Caa1 (sf); previously on May 18, 2018 Upgraded to Caa2 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-H Cl. 1-A, Upgraded to B1 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. 2-A-1A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Cl. 2-A-1B, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: Fieldstone Mortgage Investment Trust 2006-S1 Cl. A, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust Series 2007-FFA Cl. A-1, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2006-S1 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-S3 Cl. A-1, Upgraded to Ca (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-S4 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. A-2, Upgraded to Ca (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. A-3, Upgraded to Ca (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-S5 Cl. A-1, Upgraded to Ca (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-A Cl. A-2, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-SL2 Cl. A, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust, Series 2007-SL1 Cl. A-1, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-10SL Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 4, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-14SL Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-4SL Cl. A, Upgraded to Caa1 (sf); previously on Jun 4, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 38% on average for these bonds upgraded over the past 12 months. Some of the upgraded bonds benefit from a financial guaranty insurance policy. In most instances, the bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, each of the upgrades reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 36 Bonds From 14 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 36 bonds from 14 US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A, and prime jumbo 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: Banc of America Funding 2006-8T2 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Banc of America Funding 2006-I Trust Cl. 6-A-1, Upgraded to Caa1 (sf); previously on Aug 30, 2013 Confirmed at Caa2 (sf) Issuer: Banc of America Funding 2007-1 Trust, Mortgage Pass-Through Certificates, Series 2007-1 Cl. T-A-1A, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-1B, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Banc of America Funding 2007-2 Trust Cl. T-A-1A, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Caa3 (sf) Cl. T-A-1B, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Caa3 (sf) Cl. T-A-2, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-3, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-4, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-5, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Banc of America Funding 2007-4 Trust Cl. T-A-1A, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-1B, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-2, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-3, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-4, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-5, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-7, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T-A-P1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Banc of America Funding 2007-B Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 27, 2013 Confirmed at Caa3 (sf) Issuer: Banc of America Funding 2007-D Trust Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 27, 2013 Confirmed at Caa2 (sf) Cl. 1-A-5, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Ca (sf) Issuer: Banc of America Mortgage 2007-2 Trust Cl. A-5, Upgraded to Caa1 (sf); previously on Nov 24, 2014 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Apr 11, 2013 Downgraded to Caa3 (sf) Issuer: Bear Stearns Alt-A Trust 2006-7 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Confirmed at Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AC5 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AC2 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Cl. X*, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AC3 Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. A-2*, Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ1 Cl. A-2, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. A-3, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ2 Cl. A-3, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. A-4, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 Upgrades Ratings on 42 Bonds From 16 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on May 16, 2025, upgraded the ratings of 42 bonds from 16 US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option ARM and Subprime mortgages issued by various 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 2005-2 Cl. I-M-2, Upgraded to Caa2 (sf); previously on Jul 2, 2010 Downgraded to C (sf) Issuer: Bear Stearns Alt-A Trust 2006-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Chase Funding Trust, Series 2003-1 Cl. IA-5, Upgraded to Aaa (sf); previously on Aug 14, 2024 Upgraded to Aa1 (sf) Cl. IM-1, Upgraded to Aaa (sf); previously on Aug 14, 2024 Upgraded to A2 (sf) Cl. IM-2, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Oct 25, 2018 Upgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 25, 2018 Upgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Oct 25, 2018 Upgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 25, 2018 Upgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR12 Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-AR11 Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Ca (sf) Cl. 1-X*, Upgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX5 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Issuer: Lehman XS Trust 2006-19 Cl. A3, Upgraded to Caa3 (sf); previously on Dec 17, 2018 Upgraded to Ca (sf) Cl. A4, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust 2007-6 Cl. 1-A1, Upgraded to Caa3 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to Caa3 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 3-A2, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 3-A3-1, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 3-A3-2, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 3-A4, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 3-A5, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 3-A6, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-3 Cl. 2-A3, Upgraded to Caa3 (sf); previously on Mar 15, 2019 Upgraded to Ca (sf) Issuer: Lehman XS Trust Series 2005-4 Cl. 2-A5A, Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Caa2 (sf) Cl. 2-A4, Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Lehman XS Trust Series 2006-13 Cl. 1-A3, Upgraded to Caa2 (sf); previously on Jul 15, 2019 Upgraded to Caa3 (sf) Cl. 1-A4, Upgraded to Caa1 (sf); previously on Jul 15, 2019 Upgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-18N Cl. A3, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. A4, Upgraded to Ca (sf); previously on Oct 9, 2009 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2006-20 Cl. A3, Upgraded to Caa3 (sf); previously on Aug 20, 2012 Upgraded to Ca (sf) Cl. A4, Upgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-3 Cl. A1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. A3, Upgraded to Caa1 (sf); previously on Dec 24, 2018 Upgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2007-11 Cl. A3, Upgraded to Caa3 (sf); previously on Aug 20, 2012 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 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 upgrades of Cl. IA-5 and Cl. IM-1 from Chase Funding Trust, Series 2003-1 are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Credit enhancement grew by 15.6% on average for these bonds upgraded over the past 12 months. 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 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. [] S&P Takes Various Action on 195 Classes From 30 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 195 classes from 30 U.S. RMBS transactions issued between 2019 and 2024. The review included 150 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 60 upgrades and 135 affirmations. S&P also removed all 150 ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/yxk4aauh 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; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions S&P said, "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 ratings list provides more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our 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. Our objective is to share information, not make markets in publicly traded securities. 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