250608.mbx

250608.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, June 8, 2025, Vol. 29, No. 158 Headlines ALESCO PREFERRED IV: Moody's Ups Rating on $5MM Ser. I Notes to B1 AMSR 2025-SFR1: DBRS Finalizes BB(low) Rating on 2 Classes ANCHOR MORTGAGE 2025-RTL1: DBRS Gives (P) B(low) Rating on M2 Notes ANCHORAGE CREDIT 3: Moody's Ups Rating on $38MM E-R Notes From Ba3 APIDOS CLO LIII: Fitch Assigns 'BB-sf' Rating on Class E Notes APIDOS CLO LIII: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ARBOR REALTY 2025-BTR1: DBRS Finalizes B(low) Rating on G Notes ARDN 2025-ARCP: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs AVIS BUDGET 2023-4: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2023-6: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2023-8: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2025-1: Moody's Assigns Ba1 Rating to Class D Notes AVIS BUDGET 2025-2: Moody's Assigns Ba1 Rating to Class D Notes BAIN CAPITAL 2023-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes BAMLL 2024-NASH: DBRS Confirms BB(low) Rating on Class E Certs BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms B Rating on XB Certs BANK 2025-BNK50: DBRS Gives Prov. B Rating on Class JRR Certs BARINGS CLO 2023-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BBCMS MORTGAGE 2025-5C34: DBRS Finalizes BB Rating on G-RR Certs BLACKROCK MT. XV: S&P Assigns Prelim BB- sf) Rating on Cl. E Notes BREAN ASSET 2025-RM11: DBRS Finalizes B Rating on Class M5 Notes BRIDGECREST LENDING 2025-2: DBRS Finalizes BB Rating on E Notes BRYANT PARK 2023-20: S&P Assigns B- (sf) Rating on Class E Notes BSPDF 2025-FL2: Fitch Assigns 'B-sf' Final Rating on Class H Notes BSTN COMMERCIAL 2025-1C: Moody's Assigns Ba1 Rating to HRR Certs BX TRUST 2019-IMC: DBRS Confirms B(high) Rating on Class G Certs CAFL 2025-RRTL1: DBRS Finalizes B(low) Rating on Class M2 Notes CARLYLE GLOBAL 2013-1: Moody's Ups Rating on $27MM D-R Notes to Ba3 CARVANA AUTO 2025-P2: S&P Assigns Prelim BB+(sf) Rating on F Notes CFMT 2025-AB3: DBRS Gives Prov. B Rating on Class M5 Notes CHASE HOME 2025-5: DBRS Finalizes B(low) Rating on B5 Certs CHASE HOME 2025-5: Fitch Assigns B-sf Final Rating on Cl. B-5 Debt CHASE HOME 2025-6: DBRS Finalizes B(low) Rating on B5 Certs CHASE HOME 2025-6: Fitch Assigns B+sf Final Rating on Cl. B-5 Certs CIFC FUNDING 2025-III: Fitch Assigns 'BB-sf' Rating on Cl. E Notes CITIGROUP COMMERCIAL 2015-GC33: DBRS Cuts Rating on E Certs to C CITIGROUP MORTGAGE 2025-3: Moody's Assigns B2 Rating to B-5 Certs COLT 2025-5: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs COMM 2015-PC1: DBRS Cuts Class X-C Certs Rating to BB COMM 2016-667M: DBRS Confirms B Rating on Class C Certs COMM 2019-GC44: Fitch Lowers Rating on Class D Certs to 'BBsf' CPS AUTO 2025-B: DBRS Finalizes BB Rating on Class E Notes CRIBS MORTGAGE 2025-RTL1: DBRS Finalizes B Rating on M2 Notes CSAIL 2015-C2: DBRS Confirms C Rating on Class F Certs CSAIL 2016-C7: Fitch Lowers Rating on Class D Notes to 'Bsf' DBSG 2024-ALTA: DBRS Confirms BB(high) Rating on HRR Certs DRYDEN 55 CLO: S&P Lowers Class E Notes Rating to 'B+ (sf)' DWIGHT 2025-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ELMWOOD CLO 41: S&P Assigns B- (sf) Rating on Class F Notes FIGRE TRUST 2025-HE3: S&P Assigns Prelim B- (sf) Rating on F Notes FLAGSHIP CREDIT 2022-4: S&P Lowers Cl. E Notes Rating to CCC (sf) GALAXY 31: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes GCAT 2025-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs GOLUB CAPITAL 66(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes GS MORTGAGE 2013-PEMB: S&P Affirms CCC (sf) Rating on Cl. D Certs GS MORTGAGE 2015-GC28: DBRS Confirms CCC Rating on Class F Certs GS MORTGAGE 2015-GS1: Fitch Affirms 'Bsf' Rating on Two Tranches GS MORTGAGE 2017-GS6: Fitch Lowers Rating on Two Tranches to BB-sf GS MORTGAGE 2025-PJ5: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2025-PJ5: Moody's Assigns B1 Rating to Cl. B-5 Certs GSCG TRUST 2019-600C: DBRS Confirms C Rating on 7 Classes GSMS TRUST 2024-FAIR: DBRS Confirms B(low) Rating on Class F Certs HILTON USA 2016-HHV: DBRS Confirms B Rating on Class F Certs HIT 2022-HI32: DBRS Confirms B(low) Rating on Class G Certs HMH TRUST 2017-NSS: DBRS Confirms Csf Rating on 4 Tranches HOMES 2025-NQM3: S&P Assigns Prelim B(sf) Rating on Cl. B-2 Certs HORIZON AIRCRAFT III: Fitch Hikes Rating on Class B Notes to 'BBsf' ICG US CLO 2016-1: S&P Lowers Class D-RR Notes Rating to 'B- (sf)' IP 2025-IP: DBRS Gives Prov. BB(low) Rating on Class F Certs IVY HILL XX: S&P Assigns BB- (sf) Rating on Class E-R Notes JP MORGAN 2025-4: DBRS Gives Prov. B(low) Rating on B-5 Certs JP MORGAN 2025-4: Moody's Assigns B1 Rating to Cl. B-5 Certs JP MORGAN 2025-5MPR: Moody's Assigns Ba1 Rating to Cl. B-2 Certs JP MORGAN 2025-LTV1: Fitch Assigns 'B-sf' Final Rating on B-2 Notes JP MORGAN 2025-NQM2: DBRS Gives Prov. B(low) Rating on B-2 Certs JPMDB COMMERCIAL 2017-C5: Fitch Cuts Rating on 2 Tranches to Bsf KKR CLO 9: Moody's Cuts Rating on $27.9MM Class E-R Notes to B1 KODIAK CLO II: Moody's Upgrades Rating on 2 Tranches From Ba3 KSL TRUST 2025-MAK: DBRS Gives Prov. B(low) Rating on Cl. G Certs LAQ 2023-LAQ MORTGAGE: S&P Lowers Class E Notes Rating to 'B+(sf)' LENDMARK FUNDING 2025-1: DBRS Gives Prov. BB(low) Rating on E Notes MARBLE POINT XXII: Moody's Cuts Rating on $20.25MM E Notes to B1 MARINER FINANCE 2025-A: DBRS Finalizes BB Rating on E Notes MARKET STREET I: Fitch Assigns 'BB-sf' Rating on Class E Notes MF1 2025-FL19: Fitch Assigns 'B-sf' Final Rating on Three Tranches MFA 2025-NQM2: Fitch Gives 'B-sf' Rating on Class B2 Certificates MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs MORGAN STANLEY 2015-C27: DBRS Confirms C Rating on 2 Classes MORGAN STANLEY 2015-MS1: DBRS Cuts Class F Certs Rating to C MORGAN STANLEY 2016-C28: Fitch Lowers Rating on Cl. C Certs to Bsf MORGAN STANLEY 2025-NQM3: S&P Assigns B Rating on Class B-2 Certs MPOWER EDUCATION 2024-A: DBRS Confirms BB Rating on C Notes NCMF TRUST 2025-MFS: Fitch Assigns B-(EXP)sf Rating on Cl. F Certs NEUBERGER BERMAN 61: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes NEUBERGER BERMAN 61: Moody's Gives (P)B3 Rating to $250,000 F Notes NYC COMMERCIAL 2025-1155: DBRS Finalizes B(low) Rating on F Certs OAKTREE CLO 2025-30: S&P Assigns BB- (sf) Rating on Class E Notes OCP CLO 2025-43: S&P Assigns BB- (sf) Rating on Class E Notes PALMER SQUARE 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes POINT 2025-1: DBRS Finalizes B(high) Rating on Class B2 Notes POINT SECURITIZATION 2025-1: DBRS Gives (P) B(high) on B-2 Notes PREFERRED TERM XXV: Moody's Upgrades Rating on 2 Tranches to Caa1 RADIAN MORTGAGE 2025-J2: DBRS Gives Prov. B(high) on B5 Certs RADIAN MORTGAGE 2025-J2: Fitch Gives 'B(EXP)sf' Rating on B-5 Certs ROCKFORD TOWER 2022-2: Fitch Affirms BB+sf Rating on Cl. E-R Notes SMB PRIVATE 2024-D: DBRS Confirms BB Rating on Class E Notes TOWD POINT 2025-CES1: DBRS Confirms Provisional B(low) on B2 Notes TRICOLOR AUTO 2025-2: S&P Assigns Prelim 'BB' Rating on Cl. E Notes TRINITAS CLO XXVI: S&P Assigns B- (sf) Rating on Class F-R Notes TROPIC CDO V: Moody's Ups Rating on $51MM Class A-2L Notes to Ba2 TX TRUST 2024-HOU: DBRS Confirms BB Rating on Class HRR Certs UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs VENTURE 47: S&P Affirms BB- (sf) Rating on Class E Notes VMC FINANCE 2025-PV2: Fitch Gives 'B-sf' Rating on Class G Notes VOYA CLO 2014-2: Moody's Affirms B1 Rating on $23MM Cl. D-R Notes VOYA CLO 2015-1: Moody's Affirms Ca Rating on $13MM Cl. E-R Notes WELLS FARGO 2015-C31: DBRS Confirms B Rating on Class XD Certs WELLS FARGO 2015-SG1: DBRS Cuts Class D Certs Rating to B WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Two Tranches to 'Bsf' WELLS FARGO 2025-5C4: Fitch Assigns 'B-sf' Rating on Cl. H-RR Certs [] DBRS Reviews 127 Classes in 14 US RMBS Transactions [] DBRS Reviews 447 Classes From 14 US RMBS Transactions [] Fitch Upgrades 8 Classes From 12 National Collegiate Trusts [] Moody's Takes Action on 14 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds From 4 US RMBS Deals [] Moody's Upgrades Ratings on 33 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 39 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 41 Bonds from 22 US RMBS Deals [] Moody's Upgrades Ratings on 48 Bonds From 4 US RMBS Deals [] Moody's Upgrades Ratings on 56 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 70 Bonds From 14 US RMBS Deals [] S&P Takes Various Actions on 260 Classes From 34 US RMBS Deals ********* ALESCO PREFERRED IV: Moody's Ups Rating on $5MM Ser. I Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by ALESCO Preferred Funding IV, Ltd.: US$63,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2034 (current rated balance $46,657,620.88), Upgraded to Aaa (sf); previously on February 10, 2020 Upgraded to Aa2 (sf) US$7,000,000 Class A-3 Second Priority Senior Secured Fixed/Floating Rate Notes due 2034 (current rated balance $5,184,180.10), Upgraded to Aaa (sf); previously on February 10, 2020 Upgraded to Aa2 (sf) US$5,000,000 Series I Combination Notes due 2034 (current rated balance $1,397,639), Upgraded to B1 (sf); previously on February 10, 2017 Upgraded to B3 (sf) ALESCO Preferred Funding IV, Ltd., issued in May 2004, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-2 notes and Class A-3 notes, which are pari passu, and the corresponding increase in the transaction's over-collateralization (OC) levels. The Series I Combination notes have benefitted from ongoing reduction in Combination Notes Rated Balances. The Series I Combination Notes Rated Balances have decreased by 8.4% or $127.9 thousand, since May 2024. The Class A-1 notes have paid off in full and the Class A-2 and A-3 notes have paid down by approximately 26% each, or $16.3 million and $1.8 million respectively, since May 2024. Based on Moody's calculations, the OC ratio for both Class A-2 and Class A-3 notes, which are pari passu, have improved to 269.6% from May 2024 levels of 220.0%. The Class A-2 notes and Class A-3 notes will continue to benefit from the diversion of excess interest and the use of proceeds from repayments of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $139.8 million Defaulted/deferring par: $38.8 million Weighted average default probability: 6.60% (implying a WARF of 854) Weighted average recovery rate upon default of 10.0%. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class B-1, Class B-2 and Class B-3 notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. AMSR 2025-SFR1: DBRS Finalizes BB(low) Rating on 2 Classes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by AMSR 2025-SFR1 Trust: -- $228.5 million Class A at AAA (sf) -- $40.1 million Class B at AA (sf) -- $31.5 million Class C at A (low) (sf) -- $44.3 million Class D at BBB (sf) -- $13.5 million Class E1 at BBB (sf) -- $18.8 million Class E2 at BBB (low) (sf) -- $15.0 million Class F1 at BB (high) (sf) -- $16.9 million Class F2 at BB (low) (sf) -- $16.9 million Class F3 at BB (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A certificates reflects 53.89% of credit enhancement provided by subordinate certificates. The AA (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (high) (sf) and BB (low) (sf) credit ratings reflect 45.81%, 39.45%, 27.78%, 23.99%, 20.96% and 14.14%, respectively, of credit enhancement. The AMSR 2025-SFR1 certificates are supported by the income streams and values from 1,659 rental properties. The properties are distributed across 14 states and 37 metropolitan statistical areas (MSAs) in the U.S. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 67.9% of the portfolio is concentrated in three states: Florida (26.9%), Georgia (22.2%), and North Carolina (18.8%). The average BPO value is $301,754. The average age of the properties is roughly 34 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $495.6 million. Morningstar DBRS finalized its provisional credit ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria. (For more details, see https://dbrs.morningstar.com). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. Morningstar DBRS finalized its provisional credit ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure (capex) data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio (DSCR) of higher than 1.0 times (x). (For more details, see the Morningstar DBRS' Analysis section of the related presale report.) Furthermore, Morningstar DBRS reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. ANCHOR MORTGAGE 2025-RTL1: DBRS Gives (P) B(low) Rating on M2 Notes ------------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by Anchor Mortgage Trust 2025-RTL1 (the Issuer) as follows: -- $183.4 million Class A1 at (P) A (low) (sf) -- $17.0 million Class A2 at (P) BBB (low) (sf) -- $19.0 million Class M1 at (P) BB (low) (sf) -- $18.1 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 26.65% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.85%, 12.25%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by -- 191 mortgage loans with a total unpaid principal balance (UPB) of approximately $227,610,880 -- Approximately $22,389,120 in the Accumulation Account. -- Approximately $1,280,222 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. ANCHR 2025-RTL1 represents the 3rd RTL securitization issued from the ANCHR shelf. Founded in 1998 and headquartered in Thousand Oaks, California, Anchor Loans is a business purpose lender that provides financing to primarily experienced real estate investors engaged in acquiring, rehabilitating, and either reselling or holding for investment purposes residential properties. The revolving portfolio 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 include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 87.5%. -- A maximum NZ WA As Is Loan-to-Value (AIV LTV) ratio of 75.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Asset Manager. In the ANCHR 2025-RTL1 revolving portfolio, RTLs may be (1) Fully funded -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds held back by the Servicers for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (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 ANCHR 2025-RTL1 eligibility criteria, unfunded commitments are limited to 60.0% of the portfolio by the assets of the issuer (UPB plus 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 will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances, which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicers will be entitled to reimbursements for Servicing Advances from available funds prior to any payments on the Notes. The Servicers will satisfy Disbursement Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer (Rehabilitation Advances) or (b) directing the release of funds from the Accumulation Account. The Servicers will be entitled to reimbursements for Rehabilitation Advances from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.00% to the most subordinate rated class. The structure maintains this CE through a Maximum Effective Advance Rate Test, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account. 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 for the first two months of the securitization to help cover one month of interest payment to the Notes. Such account is funded upfront in an amount equal to $1,280,222. On the payment dates occurring in June and July 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Anchor Loans RTL originations have generated robust mortgage repayments, which have exceeded unfunded commitments within the same portfolio. 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 Anchor Loans' historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the Payment Date in June 2027, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Depositor Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. 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 Sponsor is required to repurchase a loan because of a material breach, a material diligence defect, or a material document defect -- The Depositor elects to exercise its Repurchase Option -- An optional redemption occurs. U.S. CREDIT RISK RETENTION As the Sponsor, RCHF REIT, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. NATURAL DISASTERS/WILDFIRES The pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTL have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow a standard protocol, which includes a review of the impacted area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. NOTES: All figures are in U.S. dollars unless otherwise noted. ANCHORAGE CREDIT 3: Moody's Ups Rating on $38MM E-R Notes From Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 3, Ltd.: US$63,750,000 Class B-R Senior Secured Fixed Rate Notes due 2039 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on January 28, 2021 Definitive Rating Assigned Aa3 (sf) US$27,500,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on January 28, 2021 Definitive Rating Assigned A3 (sf) US$23,750,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class D-R Notes"), Upgraded to A3 (sf); previously on January 28, 2021 Definitive Rating Assigned Baa3 (sf) US$38,750,000 Class E-R Junior Secured Deferrable Fixed Rate Notes due 2039 (the "Class E-R Notes"), Upgraded to Baa3 (sf); previously on January 28, 2021 Definitive Rating Assigned Ba3 (sf) Anchorage Credit Funding 3, Ltd., originally issued in August 2016 and refinanced in January 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in January 2026. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the portfolio's weighted average life (WAL) since January 2021, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the transaction will be exiting its reinvestment period in January 2026, which increases the likelihood that the transaction will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the transaction currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the transaction's exposure to approximately 34% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.36%. Moody's also noted that based on Moody's calculations, the transaction has a significantly lower weighted average rating factor of 2714, compared to its current covenant of 3450. No actions were taken on the Class A-1-R and Class A-2-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CBO'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 coupon, 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: $500,000,000 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3450 Weighted Average Spread (WAS): 4.36% Weighted Average Coupon (WAC): 5.46% Weighted Average Recovery Rate (WARR): 34.76% Weighted Average Life (WAL): 6.6 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. APIDOS CLO LIII: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LIII. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO LIII A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C-1 LT Asf New Rating A(EXP)sf C-2 LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO LIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $475 million of primarily first lien senior secured leveraged loans. Class A-1 Loans were absorbed into class A-1 after expected ratings were assigned. 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 97.71% first-lien senior secured loans and has a weighted average recovery assumption of 72.25%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and '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, 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. Date of Relevant Committee 20 May 2025 ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LIII. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. APIDOS CLO LIII: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to two classes of notes issued by Apidos CLO LIII (the Issuer or Apidos CLO LIII): US$299,250,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed above are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos CLO LIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bonds, high yield bonds and senior secured notes. The portfolio is approximately 98% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $475,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.0% 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. ARBOR REALTY 2025-BTR1: DBRS Finalizes B(low) Rating on G Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by Arbor Realty Commercial Real Estate Notes 2025-BTR1, LLC (the Issuer). -- Class A at AAA (sf) -- Class A-1R at AAA (sf) -- Class A-1T at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 21 floating-rate mortgage loans totaling $551.9 million. The collateral interest is secured by mortgages on build-to-rent (BTR) multifamily communities. The underlying properties are in various stages of completion with total funding commitments ranging from 39.8% to 100.0%. As of the cut-off date, the pool has a 78.5% funded amount, with remaining future funding obligations of $204.3 million. The properties are generally in the later stages of development, with horizontal construction complete and vertical construction initiated or fully complete. During the reinvestment period, the loans added will be required to have, at a minimum, a 25.0% loan funded amount. In addition, the weighted-average (WA) funding percentage for the pool must be at least 50.0% at all times. The 25.0% loan funded amount and 50.0% WA funding percentage thresholds provide guardrails on future loans added to the pool, ensuring the horizontal risk is eliminated and properties have or can begin vertical construction. The transaction is a managed vehicle, which includes a 24-month reinvestment period. As part of the reinvestment period, the transaction includes a 180-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $50.0 million to a total target collateral principal balance of $801.8 million. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool WA loan expected losses. The A-1R note was assumed to be sized with similar credit characteristics as the existing collateral interests, with no consideration for further construction completion or performance improvement. Reinvestment of principal proceeds during the reinvestment period is subject to Eligibility Criteria, which, among other criteria, include a no-downgrade rating agency confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations exceeding $500,000. The eligibility criteria indicates that only BTR can be brought into the pool during the stated ramp-up acquisition period and reinvestment period. BTR for purposes of the Eligibility Criteria means real property that consists of (A) detached single family residences, two- or four-family dwellings, five or more residential units and mixed-use properties (at least 50% square feet residential) and (B) designed and constructed with the intention of being operated as rental residences. Additionally, the eligibility criteria establish maximum loan-to-value ratio (LTV) and minimum debt yield requirements. The loans are secured by properties which are in a period of transition with plans to stabilize and improve the asset value. In total, 17 loans, representing 85.5% of the pool, have remaining future funding participations totaling $204.3 million, which the Issuer may acquire in the future, of which $172.6 million will be acquired by the Issuer with the remaining $31.6 million to be held by Arbor Realty SR, Inc. outside the transaction. Please see the related presale report for the participations that the Issuer will be able to acquire. After closing, the transaction will be monitored for performance concerns and No Downgrade Confirmation requests, as part of the addition of new collateral during the reinvestment period. Morningstar DBRS reviews the request to confirm if the proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit rating. The Issuer is required to obtain RAC for all acquisitions of companion participations exceeding $500,000. All of the loans in the pool have floating interest rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow (NCF), the Morningstar DBRS Stabilized NCF for 18 of 21 loans, representing 91.0% of the pool, was below 1.00 times, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. The sponsor for the transaction, Arbor Realty SR, Inc., is a majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; New York Stock Exchange: ABR) and an experienced CRE collateralized loan obligation (CLO) issuer and collateral manager. The ARCREN 2025-BTR1 transaction will be Arbor's 20th CRE CLO securitization after the global financial crisis. In total, Arbor has been an issuer and manager of 19 CRE CLO securitizations after the global financial crisis totaling more than $10 billion. Additionally, Arbor will purchase and retain 100.0% of the most subordinate classes, including the Class F Notes, the Class G Notes, and the Income Notes, which total approximately $119.3 million. Arbor is a market leader in the BTR space and has been active in the BTR space since 2019. Arbor's BTR team comprises 39 dedicated professionals across five offices. All aspects of BTR are run by this team including sourcing, underwriting, credit, loan administration, and servicing. Since the program's inception, Arbor has originated 122 BTR loans amounting to $4.60 billion, which highlights its expertise in the space. In 2024, Arbor closed 40 BTR loans amounting to approximately $1.6 billion. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. ARDN 2025-ARCP: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to ARDN 2025- ARCP Mortgage Trust, commercial mortgage pass-through certificates: - $369,000,000 class A 'AAAEXPsf'; Outlook Stable; - $58,200,000 class B 'AA-EXPsf'; Outlook Stable; - $45,600,000 class C 'A-EXPsf'; Outlook Stable; - $64,400,000 class D; 'BBB-EXPsf'; Outlook Stable; - $98,600,000 class E; 'BB-EXPsf'; Outlook Stable; - $29,200,000 class F; 'B+EXPsf'; Outlook Stable; - $35,000,000a class HRR. 'BEXPsf'; Outlook Stable; (a) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $700.0 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 24 flex industrial centers, comprising approximately 7.2 million sf located across eight states and nine markets. The borrower sponsors, Arden Real Estate Partners III, L.P. and Arcapita Group Holdings Limited, acquired the majority of the industrial properties in the portfolio in 2021; the portfolio was financed through a $446.0 million CMBS transaction (GSMS 2021-ARDN) and a revolving acquisition facility. In 2022, they acquired 27 additional assets, known as the Greater Boston Infill and Greater Dallas Infill properties, which were not included in the previous CMBS transaction. The mortgage loan is expected to repay existing debt of $654.2 million and pay closing costs of $16.7 million, fund upfront leasing costs and fund full reserves of $22.8 million, and return to equity $6.3 million. The loan is expected to be co-originated by German American Capital Corporation and Barclays Capital Real Estate Inc. KeyBank National Association, a national banking association, is expected to be the servicer, with 3650 REIT Loan Servicing LLC as the special servicer. Computershare Trust Company, N.A. is expected to act as the trustee and Deutsche Bank National Trust Company will serve as the certificate administrator. Park Bridge Lender Services LLC, a New York limited liability company, will act as operating advisor. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. To the extent no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. The transaction is scheduled to close on June 17, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $46.7 million. This is 12.7% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $622.8 million. High Fitch Leverage: The $700.0 million whole loan equates to debt of approximately $97 psf with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 112.4% and 6.7%, respectively. The loan represents approximately 70.3% of the appraised value of $995.5 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 24 properties and 167 buildings (7.2 million sf) located across eight states and nine MSAs. The three largest state concentrations are Georgia (1,607,620 sf; seven properties including 40 buildings), Texas (1,106,710 sf; four properties including 30 buildings) and Indiana (1,104,698 sf; one property including 18 buildings). The three largest MSAs are Atlanta-GA (22.2% of NRA; 23.3% of allocated loan amount [ALA]), Dallas-Fort Worth - TX (14.5% of NRA; 13.6% of ALA) and Indianapolis - IN (15.2% of NRA; 13.0% of ALA). The portfolio also exhibits significant tenant diversity, as it features over 700 distinct tenants, with no tenant occupying more than 6.6% of NRA. Institutional Sponsorship: The sponsorship is a joint venture between Arden Logistics Park and Arcapita. Arden Logistics Park, is owned by Arden Group. Arden Logistics Park owns approximately 11.0 million sf of industrial commercial real estate, covering 258 buildings and 1,077 tenants. Arcapita, founded in 1997, is a global alternative investment manager headquartered in Bahrain, with additional offices in the U.S., the U.K., Saudi Arabia and Singapore. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf''/BBsf'/'Bsf'/'B-sf'/'CCC+sf';. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf''/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 the mortgage loan. . Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASHF issued by Ashford Hospitality Trust 2018-ASHF as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-EXT at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' outlook for the loan. Although the underlying collateral continues to deleverage, following the release of the largest property in the portfolio, Courtyard by Marriott Boston Downtown (10.5% of the allocated loan amount (ALA) at issuance) as of the February 2025 payment period, and the $35.8 million principal curtailment that was paid to exercise the loan's fifth and final extension option, the loan surpassed its fully extended maturity date in April 2025. Per the servicer's most recent commentary, a two-month forbearance has been granted to give the borrower more time to close its pending refinancing. Additionally, although the YE2024 weighted-average (WA) revenue per available room (RevPAR) for the unreleased properties surpassed the issuance level by 16.8%, the consolidated net cash flow (NCF) declined year over year, to $71.3 million, as of YE2024, from $78.9 million at YE2023, and is also below the issuance NCF of $76.9 million. At issuance, the subject interest-only (IO), floating-rate loan was collateralized by a portfolio of 22 hotel properties, totaling 5,269 keys, with multiple formats, including all-suite, full-service, limited-service, and extended-stay hotels, across 12 states. There is also additional senior and junior mezzanine financing, which had an initial balance of $202.3 million and is coterminous with the trust debt. As of the May 2025 remittance, there are 18 properties remaining in the pool following the release of four properties since issuance (previous ALA of $136.2 million (17.4%) at issuance). The current trust balance is $560.8 million, which reflects a collateral reduction of 24.6% since issuance. Individual assets can be released at a price of 115.0% of the ALA as outlined in the loan documents. The loan is sponsored by Ashford Hospitality Trust, Inc., an experienced hotel investment company and publicly traded real estate investment trust, which had invested $227.5 million into the portfolio since its acquisition in 2013. For the 18 properties remaining in the portfolio, the WA occupancy rate, average daily room, and RevPAR were 67.6%, $189, and $128, respectively, according to the YE2024 financials, slightly below the metrics reported at YE2023 of 69.9%, $185, and $130, respectively. The issuance figures were 74.6%, $146, and $109, respectively. Given the significant principal paydown of 13.8% since Morningstar DBRS' last credit rating action in June 2024, Morningstar DBRS updated the loan-to-value ratio (LTV) sizing benchmarks as part of this review. Morningstar DBRS analyzed the cash flow under both a base-case and stressed scenario to test the durability of the credit ratings. In both scenarios, a 9.25% capitalization rate was applied. The base-case scenario, which is based on a standard surveillance haircut to the consolidated YE2024 NCF for the remaining properties, results in a base-case Morningstar DBRS value of $755.7 million (trust LTV of 78.1%). In the stressed scenario, which included a 20% haircut to the YE2024 NCF, Morningstar DBRS derived a stressed value of $616.9 million, resulting in a trust LTV of 95.7% (whole loan LTV of 128.4%). In addition, Morningstar DBRS maintained the positive qualitative adjustments to the LTV sizing benchmarks considered at issuance, which total 4.0% to reflect the property's cash flow volatility, property quality, and market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. AVIS BUDGET 2023-4: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the series 2023-4 class D rental car asset backed notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-4 Series 2023-4 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating assigned to the series 2023-4 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-4 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.75% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-4 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-4 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-6: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the series 2023-6 class D rental car asset backed notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-6 Series 2023-6 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating assigned to the series 2023-6 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-6 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-6 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the rating of the series 2023-6 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-8: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the series 2023-8 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-8 Series 2023-8 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating assigned to the series 2023-8 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-8 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations", published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-8 class D notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the rating of the series 2023-8 class D notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2025-1: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental, LLC. Moody's also announced that the issuance of the Series 2025-1, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2025-1 Series 2025-1 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-1 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2025-1 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-1 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive ratings on the series 2025-1 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The total credit enhancement requirement for the series 2025-1 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 13.80% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 29.8%, 19.3% and 11.8% of the outstanding balance of the series 2025-1 notes, respectively. The series 2025-1 notes have an expected final maturity of approximately 38 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-1 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2025-1 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2025-2: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental, LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2025-2 Series 2025-2 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-2 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive ratings on the series 2025-2 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The total credit enhancement requirement for the series 2025-2 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 29.8%, 19.3%, and 11.8% of the outstanding balance of the series 2025-2 notes, respectively. The series 2025-2 notes will have an expected final maturity of approximately 62 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-2 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2025-2 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2023-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Bain Capital Credit CLO 2023-1, Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2023-1, Limited A-L Loans LT PIFsf Paid In Full AAAsf A-F 05685NAC4 LT PIFsf Paid In Full AAAsf A-N 05685NAA8 LT PIFsf Paid In Full AAAsf X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C 05685NAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 05685NAJ9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating D-3-R LT BBB-sf New Rating E 05685PAA3 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Bain Capital Credit CLO 2023-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Bain Capital Credit U.S. CLO Manager II, LP that original closed on March 16, 2023. This is the first refinancing where the existing secured notes will be refinanced in whole on June 2, 2025. Net proceeds from the issuance of the secured and 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: 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 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.78% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.33% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R notes, between 'BBB+sf' and 'AA+sf' for class A-1-R notes, between 'BBB+sf' and 'AA+sf' for class A-2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1-R notes, and between less than 'B-sf' and 'BB+sf' for class D-2-R notes, between less than 'B-sf' and 'BB+sf' for class D-3-R notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class 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 notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1-R notes, 'Asf' for class D-2-R notes, and 'A-sf' for class D-3-R notes and 'BBB+sf' for class E-R notes. Key Rating Drivers and Rating Sensitivities are further described in the new issue report. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2023-1, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BAMLL 2024-NASH: DBRS Confirms BB(low) Rating on Class E Certs -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-NASH (the Certificates) issued by BAMLL Commercial Mortgage Securities Trust 2024-NASH (the Trust): -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The confirmation of the credit ratings reflects the limited seasoning of this transaction, which closed in May 2024. The transaction is secured by the borrower's fee-simple, leasehold, and condominium interests as well as the Operating Lessee's leasehold interests in the Renaissance Nashville Hotel, encompassing 674 keys. The hotel is within downtown Nashville, adjacent to Broadway, and within walking distance of Music City Hall, the main convention center of Nashville. The property has many amenities, including two food and beverage outlets, retail shops, a fitness center, an indoor pool, and a complementary lounge. The sponsor, Ashford Hospitality Limited Partnership, has over 50 years' experience in the hotel industry with a successful track record of navigating capital markets' economic downturns. Whole loan proceeds of $267.2 million were used to retire $241.7 million of an existing loan debt and return $16.9 million of equity to the sponsor. The loan is a two-year floating rate interest-only mortgage loan, with three one-year extension options. The floating rate is based on the one-month Secured Overnight Financing Rate (SOFR) plus the initial weighted-average component spread of 3.98%. At closing, the borrower purchased an interest rate cap agreement, with a one-month Term SOFR strike price of 5.00%. According to the most recent servicer provided financial reporting for the trailing 12 (T-12) month period ended December 31, 2024, the property generated a net cash flow (NCF) of $30.8 million, resulting in a debt service coverage ratio (DSCR) of 1.27 times (x), in line with Morningstar DBRS' figure of $27.8 million (DSCR of 1.14x) derived at closing. Per the February 2024 STR report, the property reported a T-12 December 31, 2024, occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) metrics of 77.5%, $287.87, and $223.08, respectively. In comparison at issuance, these reported figures were 82.5%, $279.97, and $230.84, respectively. Overall, Morningstar DBRS continues to maintain a favorable view on the collateral given the property location, capital improvements completed by the sponsor in the years preceding loan closing, and the experienced sponsorship. For this review, Morningstar DBRS maintained a collateral valuation of $336.8 million derived at issuance based on a capitalization rate of 8.25% and the Morningstar DBRS NCF of $27.8 million, which represents a -17.2% variance from the issuance appraised value of $407.0 million. The Morningstar DBRS loan-to-value ratio (LTV) is 79.3% compared with the LTV of 65.7% based on the appraised value at issuance. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 5.0% to reflect the recent capital expenditure, property location, and strong market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms B Rating on XB Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-ISQR issued by BAMLL Commercial Mortgage Securities Trust 2016-ISQR as follows: -- Class XA at BBB (sf) -- Class A at BBB (low) (sf) -- Class B at BB (low) (sf) -- Class XB at B (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) The trends on Classes XA through C are Stable. There are no trends on Classes D and E as those classes have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the performance of the underlying collateral, which is in line with Morningstar DBRS' expectations since its previous credit rating action in July 2024, when the credit ratings on all classes were downgraded to reflect increased risks in the challenged office sector, particularly in the subject's city of Washington, and the performance declines since issuance, driven by lower occupancy rates for the collateral property, as further described below. Morningstar DBRS notes the loan is scheduled to mature in August 2026 and given the high loan-to-value ratio (LTV) implied by the Morningstar DBRS Value, it is expected that a refinance could be difficult to obtain without a significant equity contribution from the sponsor. The collateral for the underlying loan, International Square, is an office property consisting of three buildings connected by a central atrium, totaling 1.2 million square feet (sf) in downtown Washington. The subject includes 67,000 sf of ground-floor retail space, 12,000 sf of storage space, and a 637-space subterranean parking garage. The property, developed between 1978 and 1982, is on I Street NW, between 18th Street NW and 19th Street NW, with direct access to Farragut West Metro Station. Sponsorship is provided by a joint venture between Tishman Speyer Properties and the Abu Dhabi Investment Authority, which has owned the property since 2006. Total debt held against the property is $450.0 million, with the trust debt of $370.0 million consisting of a $166.7 million senior A-1 note and a $203.3 million junior note. There is an additional $80.0 million pari passu senior A-2 note split across three CMBS multiborrower transactions; none of the multiborrower transactions are rated by Morningstar DBRS. In the July 2024 analysis of the transaction, Morningstar DBRS updated its property net cash flow (NCF) and LTV-sizing benchmarks to account for the secular shift in office use and demand as well as the subject property's prolonged declines in occupancy and cash flow. While recent NCF trends at the subject are positive, with a YE2024 figure of $20.5 million (debt service coverage ratio of 1.24 times), representing a 10.9% increase over the YE2023 NCF of $18.5 million, performance remains significantly below the issuer's NCF of $39.0 million derived at loan closing in 2016. According to the December 2024 rent roll, the property was 76.9% occupied with a weighted-average rental rate of $59.85 per square foot (psf). Individual building occupancy rates ranged from 71.0% (1850 K Street) to 86.0% (1825 I Street). In comparison, the property was 76.4% occupied as of the March 2024 rent roll. The largest tenant at the property continues to be the Federal Reserve System (the Fed), which occupies 33.7% of the total property net rentable area (NRA) with leases across all three buildings, paying an average base rental rate of $62.96 psf across all leased space. The Fed previously renewed its lease for approximately 270,000 sf (22.6% of the total property NRA) in 2022 with those leases scheduled to expire in 2029 and 2033. The rental abatements associated with those lease renewals were scheduled to end by YE2024, which should result in increased property cash flow in 2025. According to the servicer, the Fed has also extended its lease for approximately 77,000 sf (6.5% of total NRA) of additional space scheduled to expire in January 2026 (2.2% of total NRA; Option 1 space) and April 2028 (4.3% of total NRA; Option 2 space). The leases were extended to March 2029, with all leased space by the Fed now having scheduled lease expiration dates in 2029 (23.9% of the total NRA) and 2033 (9.8% of total NRA). Upon review of the provided lease terms, the effective starting base rental rate for the Option 1 space will decrease to $45.28 psf from $64.58 psf as the provided tenant incentive package of $15.00 psf was amortized and deducted from base rent. The effective base rental rate for the Option 2 space will decrease to $52.83 psf from $66.57 psf as leasing commissions were amortized and deducted from base rent. The rent on the Option 1 space will have annual 2.5% escalations while the rent on the Option 2 space will remain fixed over the lease term. The Fed also received separate one-year abatements for reimbursable operating expenses on the extensions, commencing in February 2026 (Option 1 space) and May 2028 (Option 2 space), respectively. The Fed can terminate all or a portion of its space with a 2029 lease expiration date with 24 months' notice, and it can terminate all or a portion of its space with a 2033 lease expiration date effective May 2030 with 24 months' notice. The remaining tenant roster across the property remains unchanged year-over-year. The second-largest tenant at the property, Blank Rome LLP, occupies 14.5% of the total property NRA on a lease expiring in July 2029, and the third-largest tenant, Daniel J. Edelman, Inc., occupies 5.4% of the total property NRA on a lease expiring in July 2030. According to Q4 2024 Reis data, office properties in the Downtown District of Columbia reported an average asking rental rate of $56.72 psf with vacancy at 14.8%. Class A properties reported figures of $62.08 psf and 13.9%, respectively. Overall, the submarket has shown minor improvement in the last year, as Reis reported Q1 2024 metrics of $55.69 psf and 16.5%, respectively; however, the occupancy rate at the subject remains significantly below market. Morningstar DBRS notes overall demand is likely to remain tenuous within Washington D.C., given the current administration's focus on cost cutting and reducing the size of the federal government. Throughout 2025, rollover risk at the subject property is limited to two tenants, occupying 5.6% of the total NRA, including Milbank, LLP, which occupies approximately 55,000 sf (5.4% of total NRA). The tenant has been at the property since 2005, with its lease scheduled to expire in August 2025. Morningstar DBRS was not provided an update regarding the tenant's intention to renew its lease or vacate the property for purposes of this review. An additional four tenants (3.0% of total NRA) have scheduled lease expiration dates prior to loan maturity in August 2026. The property continues to struggle to attract and sign leases with new tenants as only one new lease, with Legal Services Corporation (3.2% of the total property NRA), has been executed since 2024. The tenant executed a 15-year lease, which commenced in January 2025. The tenant received 10 months of rental abatements over the lease term and a tenant improvement allowance of $200.00 psf ($7.4 million), indicating how expensive it is to execute new leases in the submarket. It pays a starting base rental rate of $59.20 psf. The servicer confirmed there is no pending new leasing activity at the property and the current leasing reserve balance is zero. Given the current occupancy rate across the property combined with property cash flow below issuance levels, the borrower is likely to encounter difficulty in selling the subject or securing refinance capital prior to loan maturity in August 2026. As noted above, Morningstar DBRS completed an updated collateral valuation at the previous credit rating action in July 2024. For purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the July 2024 review, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS NCF of $25.1 million. Morningstar DBRS also maintained positive qualitative adjustments to the LTV-sizing benchmarks, totaling 1.5% to reflect the subject property's cash flow stability and property quality. The Morningstar DBRS Value of $323.3 million represented a -57.3% variance from the issuance appraised value of $757.0 million, and results in an LTV of 139.2% on the whole-loan debt amount of $450.0 million. CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2025-BNK50: DBRS Gives Prov. B Rating on Class JRR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-BNK50 (the Certificates) to be issued by BANK 2025-BNK50 (the Trust): -- Class A-SB at (P) AAA (sf) -- Class A-1 at (P) AAA (sf) -- Class A-4 at (P) AAA (sf) -- Class A-4-1 at (P) AAA (sf) -- Class A-4-2 at (P) AAA (sf) -- Class A-4-X1 at (P) AAA (sf) -- Class A-4-X2 at (P) AAA (sf) -- Class A-5 at (P) AAA (sf) -- Class A-5-1 at (P) AAA (sf) -- Class A-5-2 at (P) AAA (sf) -- Class A-5-X1 at (P) AAA (sf) -- Class A-5-X2 at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-1 at (P) AAA (sf) -- Class A-S-2 at (P) AAA (sf) -- Class A-S-X1 at (P) AAA (sf) -- Class A-S-X2 at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class B-1 at (P) AA (high) (sf) -- Class B-2 at (P) AA (high) (sf) -- Class B-X1 at (P) AA (high) (sf) -- Class B-X2 at (P) AA (high) (sf) -- Class C at (P) AA (low) (sf) -- Class C-1 at (P) AA (low) (sf) -- Class C-2 at (P) AA (low) (sf) -- Class C-X1 at (P) AA (low) (sf) -- Class C-X2 at (P) AA (low) (sf) -- Class D at (P) A (high) (sf) -- Class D-1 at (P) A (high) (sf) -- Class D-2 at (P) A (high) (sf) -- Class D-X1 at (P) A (high) (sf) -- Class D-X2 at (P) A (high) (sf) -- Class E at (P) A (low) (sf) -- Class E-1 at (P) A (low) (sf) -- Class E-2 at (P) A (low) (sf) -- Class E-X1 at (P) A (low) (sf) -- Class E-X2 at (P) A (low) (sf) -- Class F-RR at (P) BBB (sf) -- Class G-RR at (P) BBB (low) (sf) -- Class H-RR at (P) BB (low (sf) -- Class J-RR at (P) B (sf) -- Class X-A at (P) AAA (sf) All trends are Stable. The collateral for the BANK 2025-BNK50 transaction consists of 34 fixed-rate loans secured by 71 commercial and multifamily properties with an aggregate cut-off date balance of $490.94 million. Seven loans, representing 57.8% of the pool, are shadow-rated investment grade by Morningstar DBRS. There are 21 loans secured by cooperative properties in this transaction, representing 22.8% of the pool, including 17 NCB (National Cooperative Bank) loans, representing 12.4% of the pool. Although these loans were not shadow-rated for modeling purposes, they exhibit characteristics of a AAA shadow credit rating. In aggregate, 70.2% of the loans in the pool display attributes of shadow-rated loans¿a significantly higher percentage than previous Morningstar DBRS-rated conduits. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS WA Debt Service Coverage Ratio (DSCR) of the pool was 2.88 times (x). The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the pool was 42.8% and the loan is scheduled to amortize to a weighted-average (WA) Morningstar DBRS Balloon LTV of 40.8% at maturity based on the A note balances. Excluding the shadow-rated and cooperative loans, the deal still exhibits a reasonable WA Morningstar DBRS Issuance LTV of 60.6% and a WA Morningstar DBRS Balloon LTV of 60.1%. Only two loans, representing 11.8% of the pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%, a threshold generally indicative of above-average default frequency, Additionally, three loans, representing 4.8% of the pool, exhibit a Morningstar DBRS DSCR of lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Seven loans, representing 57.8% of the pool, exhibit credit characteristics consistent with investment-grade shadow credit ratings. These loans' credit characteristics were as follows: 10 West 66th Street Co-Op was consistent with a AAA shadow credit rating; Adini Portfolio was consistent with a AA (high) shadow credit rating; Visa Global HQ was consistent with a AA (low) shadow credit rating; Washington Square was consistent with an A (low) shadow credit rating; Discovery Business Center and Foothills Park Place Shopping Center Galt House were consistent with a BBB (high) shadow credit rating; and Marriott World Headquarters was consistent with a BBB shadow credit rating. This transaction features 17 NCB loans, representing 12.4% of the pool, which consist of co-operative multifamily properties. These loans have an exceptionally low WA Morningstar DBRS Issuance LTV of 14.3% and a significantly high Morningstar DBRS DSCR of 6.49x. Because of these strong credit characteristics, Morningstar DBRS considers these loans consistent with a AAA shadow credit rating. Additionally, there are four other loans, representing 10.4% of the pool, secured by cooperative properties that have an exceptionally low WA DBRS Issuance LTV of 12.1% and a significantly high Morningstar DBRS WA DSCR of 7.30x. Twelve loans, representing 40.3% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which indicate dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 12 loans, representing 27.7% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. New York is the predominant urban market represented in the transaction. Lastly, 28 loans, representing 72.5% of the pool, are in the Morningstar DBRS MSA Group 3, which represents the best-performing group among the top 25 metropolitan statistical areas (MSAs) in terms of historical commercial mortgage-backed securities (CMBS) default rates. Thirty-one loans, representing 86.8% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. When excluding the shadow-rated and cooperative loans, which represent 73.5% of the pool, the transaction exhibits a WA Morningstar DBRS Issuance LTV of 60.6%. There is only one loan in the pool, Coastal Equities Portfolio, with a Morningstar DBRS LTV equal to or higher than 70.0%. The initial Morningstar DBRS WA DSCR of 2.88x, or 1.46x when excluding shadow-rated and loans secured by cooperative properties, is healthy in today's challenging interest rate environment where debt service payments have nearly doubled since mid-2022, severely constraining DSCRs. Four loans, representing 33.8% of the pool, received a property quality assessment of Average + or Above Average while only two loans, representing 3.0% of the pool, received a property quality assessment of Average - or Below Average. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. The pool contains 34 loans and is concentrated with a lower Herfindahl score of 13.6, with the top 10 loans representing 80.2% of the pool. These metrics are lower than the Morningstar DBRS-rated BBCMS Mortgage Trust 2025-5C34 transaction, which had a Herfindahl score of 22.5, and the BANK5 2024- 5YR10 transaction, which had a Herfindahl score of 30.7. Morningstar DBRS' model stresses the higher credit categories to account for the pool's low diversity and raises the transaction's credit enhancement levels. All loans are refinancing or recapitalizing existing debt and may not have third-party acquisition prices to support the value conclusion. Acquisition financing typically includes meaningful cash investment from the sponsor on an agreed-upon price and aligns the interests more closely with those of the lender whereas refinance transactions may be cash-neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Of the loans, 57.8% are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS reviewed the implied cap rate for each loan resulting from the Issuer's NCF and appraised value. In instances where an implied cap rate was inconsistent with similar properties within the market or from the price paid for a property, an adjustment was made to the value. The pool has a relatively high concentration of loans secured by office and retail properties with seven loans, representing 52.3% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth of work-from-home or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. Two of the three office loans and two of the four retail loans, representing 28.3% of the pool, are in MSA Group 3, which is the best-performing group among the top 25 MSAs in terms of historical CMBS default rates. Five of the seven office and retail loans are Morningstar DBRS shadow-rated investment grade. All office and retail loans in the pool were sampled. Morningstar DBRS assessed two of the three office properties sampled with Above Average property quality. Morningstar DBRS deemed one of the four retail properties and two of the three office properties to have Strong sponsorship. Eighteen loans, representing 68.5% of the pool, are structured with interest-only (IO) payment structures and do not benefit from any amortization. The 16 remaining loans amortize over their full loan terms with no periods of IO payments. Five of the IO loans, representing 37.9% of the pool, are shadow-rated investment grade by Morningstar DBRS. The IO loans have a WA Morningstar DBRS LTV of 46.0%, indicative of moderately low leverage. Twenty-three loans, representing 48.3% of the pool, exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) less the current interest rate. Among the loans that exhibit negative leverage, the average leverage was -1.3%. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests that borrowers are willing to have lower equity returns to secure financing. In the longer term, if interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect their borrowers' ability to refinance their loans. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2023-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2023-I reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2023-I A 06762HAA5 LT PIFsf Paid In Full AAAsf A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B 06762HAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 06762HAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 06762HAG2 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E 06763EAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Barings CLO Ltd. 2023-I (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Barings LLC, that originally closed in March 2023. This is the first refinancing which will refinance the existing secured notes in whole on June 2, 2025. Net proceeds from the issuance of the secured and 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 23.39, versus a maximum covenant, in accordance with the initial expected matrix point of 25.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.4% versus a minimum covenant, in accordance with the initial expected matrix point of 74.3%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R notes, between 'BBB+sf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, and between less than 'B-sf' and 'BB+sf' for class D-2R notes and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1R notes, and 'Asf' for class D-2R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2023-I. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BBCMS MORTGAGE 2025-5C34: DBRS Finalizes BB Rating on G-RR Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C34 (the Certificates) issued by BBCMS Mortgage Trust 2025-5C34 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-B at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class X-F at BBB (sf) -- Class D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G-RR at BB (sf) All trends are Stable. Classes X-B, X-D, X-F, D, E, F, and G-RR were privately placed. The collateral for the BBCMS Mortgage Trust 2025-5C34 transaction consists of 37 fixed-rate loans secured by 66 commercial and multifamily properties with an aggregate cut-off date balance of $783.14 million. One loan (Uber Headquarters), representing 4.3% of the pool, is shadow-rated investment grade by Morningstar DBRS. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS weighted average (WA) debt service coverage ratio (DSCR) of the pool was 1.33 times (x). The WA Morningstar DBRS Issuance loan to value (LTV) of the pool was 63.1%, and the loan is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 63.0% at maturity. These credit metrics are based on the A-note balances. Excluding the shadow-rated loans, the deal still exhibits a reasonable WA Morningstar DBRS Issuance LTV of 63.7% and a WA Morningstar DBRS Balloon LTV of 63.5%. However, 11 loans, representing 30.8% of the allocated pool balance, exhibit a Morningstar DBRS Issuance LTV in excess of 67.6%, a threshold generally indicative of above-average default frequency. Additionally, 19 loans, representing 59.4% of the allocated pool balance, exhibit a Morningstar DBRS DSCR below 1.25x, a threshold indicative of a higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Five loans, representing 15.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, seven loans, representing 25.0% of the allocated pool balance, are in areas with Morningstar DBRS Market Ranks of 5 or 6. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. New York is the predominant urban market represented in the deal. Another 10 loans, representing 35.2% of the pool, are in metropolitan statistical area (MSA) Group 3, which represents the best-performing group among the top 25 MSAs in historical CMBS default rates. 14 loans, representing 34.5% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Even with the exclusion of the shadow-rated loan, Uber Headquarters, which represents 4.3% of the pool, the transaction exhibits a WA Morningstar DBRS Issuance LTV of 63.7%. There are five loans in the pool (The Wave, Tampa Redstone Portfolio, Mia East, Arlington Village, and Villa Hills Apartments) with Morningstar DBRS LTVs equal to or above 70.0%., which represents 17.6% of the pool. Nine loans, representing 29.9% of the pool, received a property quality assessment of Average (+) or Above Average, with only six loans, representing 13.3% of the pool, receiving a property quality assessment of Average (-) or Below Average. Higher quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Uber Headquarters, representing 4.3% of the pool, exhibited credit characteristics consistent with an investment-grade shadow rating of AA. In today's challenging interest-rate environment, debt service payments have nearly doubled from mid-2022. Elevated interest rates have severely constrained DSCRs, and the subject transaction has a WA Morningstar DBRS DSCR of 1.33x, or 1.30x when excluding shadow-rated loans. While adequate to service debt, the ratio is considerably lower than historical conduit transactions and provides for a smaller cushion should cash flows be disrupted. Loans with lower DSCRs receive a POD penalty in the Morningstar DBRS model. Thirty-four loans, or 96.6% of the 37 loans in the pool are structured with IO payment structures and do not benefit from any amortization. The three remaining loans do not have interest-only payment periods and are on 25 or 30-year amortization schedules. One of the IO loans, Uber Headquarters, representing 4.3% of the pool, is shadow-rated investment grade by Morningstar DBRS. The IO loans have a WA Morningstar DBRS LTV of 63.2%, indicative of moderately low leverage and effectively loans that have been pre-amortized. Seven loans, representing 20.2% of the pool are in areas with Morningstar DBRS Market Ranks of 6 or higher, while five loans representing 15.5% of the pool are in areas with Morningstar DBRS Market Ranks of 7. These urban markets benefit from increased liquidity even during times of economic stress. Thirty-three loans, representing 96.6% of the total pool balance, are refinancing or recapitalizing existing debt and may not have a 3rd-party acquisition price to support the value conclusion. Acquisition financing typically includes a meaningful cash investment from the sponsor on an agreed upon price and aligns the interests more closely with those of the lender, whereas refinance transactions may be cash-out transactions that reduce the borrower's commitment to a property. Refinance loans tended to have additional stresses due to low implied cap rates relative to historical trends. Morningstar DBRS identified eight loans, totaling 24.0% of the pool to be Weak or Bad (Litigious) for reasons that may include lower net worth and liquidity, a history of prior loan defaults, or a lack of experience in commercial real estate. Of the loans assigned a Sponsorship Score of Weak or Bad (Litigious), which increases the POD in Morningstar DBRS' model, three of the loans had a Morningstar DBRS LTV below 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. These loans have a WA Morningstar DBRS LTV of 49.7%. Twenty-eight of the 37 loans in the pool exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value), less the current interest rate. On average, the transaction exhibits -1.02% of negative leverage. While cap rates have been increasing over the last few years, they have not in most cases surpassed the current interest rates. In the short-term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. Longer term should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance their loans. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK MT. XV: S&P Assigns Prelim BB- sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BlackRock Mt. Lassen CLO XV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by BlackRock Capital Investment Advisors LLC, a subsidiary of BlackRock Inc. The preliminary ratings are based on information as of May 30, 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 BlackRock Mt. Lassen CLO XV LLC Class A-1, $190.00 million: AAA (sf) Class A-L loans, $30.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $32.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $44.69 million: NR BREAN ASSET 2025-RM11: DBRS Finalizes B Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RM11 (the Notes) issued by Brean Asset-Backed Securities Trust 2025-RM11 (the Issuer) as follows: -- $163.5 million Class A1 at AAA (sf) -- $31.0 million Class A2 at AAA (sf) -- $194.5 million Class AM at AAA (sf) -- $3.4 million Class M1 at AA (sf) -- $2.5 million Class M2 at A (sf) -- $3.9 million Class M3 at BBB (sf) -- $2.2 million Class M4 at BB (sf) -- $2.3 million Class M5 at B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings reflect 113.5% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 115.5%, 116.9%, 119.2%,120.5%, and 121.8% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse: borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of May 1, 2025, cut-off date, the collateral has approximately $171.38 million in current unpaid principal balance from 430 performing fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, manufactured homes, and co-operatives. All loans in this pool originated between 2024 and 2025, with loan ages ranging from one month to four months. All loans in this pool have a fixed interest rate with a 9.268% weighted-average mortgage interest rate. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such Notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 Notes (collectively, the Class A Notes) will reduce to 0.25% if the Home Price Percentage (as measured using S&P Global Ratings' CoreLogic Case-Shiller U.S. National Home Price Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the Issuer on the Expected Repayment Date in May 2030, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If, on any Payment Date the average one-month conditional prepayment rate over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A Notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount and Interest Accrual Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. BRIDGECREST LENDING 2025-2: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc finalized its provisional credit ratings on the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2025-2 (BLAST 2025-2 or the Issuer): -- $83,300,000 Class A-1 Notes at R-1 (high) (sf) -- $151,470,000 Class A-2 Notes at AAA (sf) -- $100,980,000 Class A-3 Notes at AAA (sf) -- $79,900,000 Class B Notes at AA (sf) -- $100,725,000 Class C Notes at A (sf) -- $148,750,000 Class D Notes at BBB (sf) -- $56,526,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2025-2 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.00% based on the expected pool composition for both the base and the upsize pools. (4) 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. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. Underwriting is performed in the DriveTime dealerships by specially trained DriveTime employees. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. The transaction represents a securitization of a portfolio of motor vehicle installment sales contracts originated by DriveTime Car Sales Company, LLC and GoFi, LLC. DriveTime Car Sales Company, LLC is a wholly owned subsidiary of DriveTime, a leading used-vehicle retailer in the United States that focuses primarily on the sale and financing of vehicles to the subprime market. GoFi is an AI-enabled, digital-first lending platform primarily focused on franchise dealers. The rating on the Class A Notes reflects 62.00% of initial hard credit enhancement provided by the subordinated notes in the pool (45.40%), the reserve account (1.50%), and OC (15.10%). The ratings on the Class B, C, D, and E Notes reflect 52.60%, 40.75%, 23.25%, and 16.60% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. BRYANT PARK 2023-20: S&P Assigns B- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-L, A-a-R, A-b-R, B-R, C-R, D-R, E-R, and F-R debt from Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC, a CLO managed by Marathon Asset Management L.P. that was originally issued in May 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E debt following payment in full on the June 2, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The weighted average cost of the replacement debt is lower than the existing debt. -- The non-call period was extended to July 2027. -- The reinvestment period and stated maturity dates were extended to July 2030 and April 2038, respectively. -- The new class F-R debt was issued in connection with this refinancing. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC Class A-L loans, $142.00 million: AAA (sf) Class A-a-R, $98.00 million: AAA (sf) Class A-b-R(i), $0.00 million: AAA (sf) Class B-R, $64.00 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), $12.75 million: BB- (sf) Class F-R (deferrable), $5.25 million: B- (sf) (i)Class A-b-R has zero balance as of the refinancing date, and class A-L loans can be converted to class A-b-R notes. Ratings Withdrawn Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC Subordinated notes, $36.50 million: NR NR--Not rated. BSPDF 2025-FL2: Fitch Assigns 'B-sf' Final Rating on Class H Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BSPDF 2025-FL2 Issuer, LLC as follows: - $505,323,000a class A 'AAAsf'; Outlook Stable; - $118,505,000a class A-S 'AAAsf'; Outlook Stable; - $61,488,000a class B 'AA-sf'; Outlook Stable; - $49,191,000a class C 'A-sf'; Outlook Stable; - $29,067,000a class D 'BBBsf'; Outlook Stable; - $14,534,000a class E 'BBB-sf'; Outlook Stable; - $11,180,000b class F 'BB+sf'; Outlook Stable; - $16,769,000b class G 'BB-sf'; Outlook Stable; - $19,006,000b class H 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $69,314,445b class J. (a) Privately placed and pursuant to Rule 144A. (b) Retained interest, totaling 13.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $794,377,445 and does not include future funding. The ratings are based on information provided by the issuer as of May 29, 2025. Transaction Summary The notes are collateralized by 38 loans secured by 62 commercial properties having an aggregate principal balance of $794,377,445 as of the cut-off date. The pool may also include ramp-up collateral interest of $100.0 million. The pool includes two delayed close loans totaling $84.1 million, which are expected to close within 90 days following the closing date. The loans and interests securing the notes will be owned by BSPDF 2025-FL2 Issuer, LLC, as issuer of the notes. The servicer will be Situs Asset Management LLC and the special servicer will be BSP Special Servicer, LLC. The trustee and the note administrator will be U.S. Bank Trust Company, National Association. The notes will follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 43.2% of the loans by balance, cash flow analysis on 88.3% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 30 loans in the pool (88.2% by balance). Fitch's resulting aggregate net cash flow (NCF) of $31.8 million represents a 11.95% decline from the issuer's aggregate underwritten NCF of $36.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 135.7% is better than both the 2025 YTD and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.9% is better than both the 2025 YTD and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse than any Fitch-rated CRE CLO transaction. The top 10 loans make up 50.9% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 28.0. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool 26.4% comprises IO loans, based on fully extended loan terms. This is better than both the 2025 YTD and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. As a result, the pool is expected to have 1.2% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 YTD and 2024 were 0.2% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet 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'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'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 list 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'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BSTN COMMERCIAL 2025-1C: Moody's Assigns Ba1 Rating to HRR Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by BSTN Commercial Mortgage Trust 2025-1C, Commercial Mortgage Pass-Through Certificates, Series 2025-1C: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. HRR, Definitive Rating Assigned Ba1 (sf) Note: Moody's previously assigned a provisional rating to Class XA of (P) Aaa (sf), described in the prior press release, dated May 13, 2025. Subsequent to the release of the provisional ratings for this transaction, the transaction was restructured so that Class XA is no longer being offered. Based on the current structure, Moody's have withdrawn Moody's provisional rating for the Class XA certificate. RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first-lien mortgage on the borrower's fee condominium interests in One Congress (the "Property"), which is 43-story Class A office tower located in downtown Boston, MA. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. One Congress is a 43-story, Class A office tower that part of the larger Bulfinch Crossing master-planned development in the North Station neighborhood of Downtown Boston, MA. The tower encompasses 1,008,101 SF and has an elliptical shape that rises 600 feet with a prominent sail-like form that unfolds up towards the sky. Due to its height and local development restrictions, the Property benefits from largely unobstructed panoramic views from most floors. The Property was recently completed by architects Pelli Clarke & Partners in 2023 and was built to a very high level of specification. It is one of the only office buildings in the country with a LEED Platinum designation and achieves energy efficiency far superior to most Class A office buildings as the subject occupants enjoy superior air quality and access to natural light. The Property is adjacent to City Hall Plaza and serves as a connection between the Financial District, West End, North End and Beacon Hill. It also benefits from a central location near several major transportation hubs including both North & South Station providing service to commuter rail and Amtrak and is adjacent to the MBTA Green and Orange Line. The Property is approximately 99.0% leased, as of May 1, 2025, to five unique tenants, with two of the tenants making the Property their headquarters. The Property has a weighted average remaining lease term of 14.0 years. The building features an approximately 10,000 SF retail spaces on the ground floor that is currently vacant. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.37X, compared to 1.27X at Moody's provisional ratings due to an interest rate decrease, which is higher than the first mortgage actual stressed DSCR (at a 9.25% constant) of 0.85X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $650,000,000 represents a Moody's LTV ratio of 98.0% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 92.5% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The collateral's overall quality grade is 0.25. Notable strengths of the transaction include: superior asset quality, location and accessibility, high occupancy with tenant headquarters, no term rollover and experienced sponsorship. Notable concerns of the transaction include: soft market fundamentals, tenant termination options, tenant concentration, limited operating history, cash out, full-term IO, single asset transaction and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BX TRUST 2019-IMC: DBRS Confirms B(high) Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-IMC issued by BX Trust 2019-IMC as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at AAA (sf) -- Class X-NCP at AAA (sf) -- Class E at A (sf) -- Class F at BBB (low) (sf) -- Class G at B (high) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the relatively stable performance of the transaction since the last credit rating action in June 2024. While the trailing 12-month (T-12) period ended September 30, 2024, net cash flow (NCF) was down 7.2% compared with the YE2023 NCF, the loan continues to benefit from deleveraging following the $175.0 million principal payment received in April 2024 as part of the loan's maturity extension to June 2026. Despite the decrease in cash flow, the loan reported a debt service coverage ratio of 1.19 times for the T-12 period ended September 30, 2024. The transaction is secured by a portfolio of 16 properties comprising 9.6 million square feet (sf) of premier showroom space across two campuses (or markets) in High Point, North Carolina, and Las Vegas. This unique property type is susceptible to high cash flow volatility because of the short-term nature of its lease contracts, the majority of which are less than 12 months. According to the most recent servicer-reported financial figures, the NCF declined to $103.6 million as of the T-12 period ended September 30, 2024, compared with the YE2023 NCF of $111.5 million. At the previous credit rating action in June 2024, Morningstar DBRS downgraded its credit ratings on Classes E, F, G, and HRR to reflect the increased credit risk as exhibited in the downward pressure in the loan-to-value (LTV) sizing benchmarks following updates to the analysis. This includes an updated Morningstar DBRS NCF of $109.3 million based on a haircut to the YE2023 figure. For this review, Morningstar DBRS updated its value to $967.0 million, which reflects a 45.0% decline from the July 2024 appraised value of $1.76 billion. The value was based on Morningstar DBRS' NCF of $101.5 million, derived from a 2% haircut to the NCF as of the T-12 period ended September 30, 2024, and a capitalization rate of 10.5%. The Morningstar DBRS value reflects an LTV of 100.8%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 3.50% to reflect the property quality, market fundamentals, and cash flow volatility, given the collateral's identity as one of the premier furniture, design, and showroom spaces in the U.S. The loan is sponsored by affiliates of Blackstone Inc. (Blackstone). Blackstone began purchasing individual properties in the High Point market in 2011 and has owned all of the collateral properties since 2017 when it purchased the three World Market Center properties in Las Vegas and the 2.66 million-sf International Home Furnishings Center in High Point. Property management is provided by International Market Centers, Inc., an affiliate of Blackstone and the largest operator of premier showroom space for the furniture, gift, home decor, rug, and apparel industries in the world. Including its ownership of the noncollateral AmericasMart Atlanta, the sponsor owns the majority of the Class A showroom space throughout the U.S. At loan closing, Blackstone maintained $400.0 million of cash equity in the transaction. The loan had an original final maturity in April 2024 but was modified, extending the loan term to June 2026, and received a principal paydown of $175.0 million, reducing the transaction balance by about 15.0% and notably increasing credit support for the senior portion of the trust debt. The collateral represents 88.0% and 92.7% of the Class A trade show and showroom space in the High Point and Las Vegas markets, respectively, with the allocated loan balance split between the 13 High Point properties (50.1%) and the three Las Vegas properties (49.9%). Each market holds biannual home and furnishings trade shows, staggered so that an event occurs once every quarter throughout the year, with the spring and fall events held in High Point and the summer and winter events held in Las Vegas. The High Point market is convenient for its proximity to manufacturers, while the Las Vegas market serves as a regional hub for buyers in the western U.S. The quarterly events are positioned as business-to-business trade shows focused on the home furnishings and decor as well as gift industries. The events provide an efficient channel for buyers to access and view products in the highly fragmented industries with thousands of manufacturers and more than 60,000 commercial buyers attending each event. The attendance and pre-registration figures provided for the 2023 and early 2024 events remain in line with the figures previously reported for the 2022 and early 2023 events, with attendance figures indicating a continued demand for in-person trade shows, which is the most important demand driver for the collateral. The Morningstar DBRS credit rating assigned to Class G is higher than the results implied by the LTV sizing benchmarks. This variance is warranted given the collateral's steady performance and ability to maintain value, as evidenced by the updated appraisal value reflecting a marginal increase in the collateral value since issuance, as well as the recent significant cash equity infusion by the sponsor. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CAFL 2025-RRTL1: DBRS Finalizes B(low) Rating on Class M2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) issued by CAFL 2025-RRTL1 Issuer, LP (CAFL 2025-RRTL1 or the Issuer) as follows: -- $208.7 million Class A-1 at A (low) (sf) -- $25.7 million Class A-2 at BBB (low) (sf) -- $24.0 million Class M-1 at BB (low) (sf) -- $26.1 million Class M-2 at B (low) (sf) The A (low) (sf) credit rating reflects 30.45% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 21.90%, 13.90%, and 5.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 198 mortgage loans with a total unpaid principal balance (UPB) of approximately $155,373,146 -- Approximately $144,626,853 in the Accumulation Account -- Approximately $1,460,510 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. CAFL 2025-RRTL1 represents the fifth RTL securitization issued from the CAFL shelf. Founded in 2014 and acquired in 2019, CoreVest, a wholly owned subsidiary of Redwood Trust, Inc. (Redwood Trust), is a specialty real estate lending and asset management company which specializes in business purpose loans (BPLs) to residential real estate investors, including term loans on stabilized properties and bridge loans. In the 24 months ending December 2024, CoreVest originated $3.3 billion of business purpose loans (BPLs), including $2.1 billion of RTLs. The revolving portfolio consists of first-lien, fixed- or adjustable-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of 12 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 82.5%. -- A maximum NZ WA As Is Loan-to-Value (AIV LTV) ratio of 70.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Collateral Administrator. In the CAFL 2025-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction and/or interest draw requests upon the satisfaction of certain conditions, or Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property or interest draws, if applicable, upon the satisfaction of certain conditions, -- With an uncommitted option to fund additional mortgaged properties. 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 CAFL 2025-RRTL1 eligibility criteria, unfunded commitments are limited to 50.0% of the portfolio by the assets of the issuer (UPB plus amounts in the Accumulation Account). CoreVest Lines of Credit (LOC) LOC is a product CoreVest offers to experienced RTL borrowers with typically 10+ fix and flip transactions or rental properties. Such LOC can be closed end or revolving, and typically have lower leverage points than CoreVest fix and flip loans. These LOC require both an initial sponsor underwrite (UW), as well as a property UW for each related project. Generally for revolving LOC, there is a replenishment period of 12 months and a total term of 18 to 24 months. During the replenishment period, new properties/projects can be funded with undrawn amounts available on the LOC. After the LOC replenishment period, as properties/fundings get completed/paid down, the LOC gets paid down as well. Like multiproperty blanket loans, there is a collateral release premium so that the overall LOC LTV improves as properties pay off and exit the LOC. At LOC origination, CoreVest conducts a full sponsor UW upfront, which includes a complete review of the sponsor's business plan, strategy, and creditworthiness. Based on this review, CoreVest will approve a maximum LOC amount for the sponsor. During the replenishment period of the LOC, for every additional property/funding request by the sponsor, a full property UW is completed, which includes a review of the appraisal, title, insurance, and the project's alignment with the sponsor's business plan. In addition, third-party due-diligence review (TPR) is conducted. CoreVest has no obligation to fund new properties/projects in a LOC, even if there is undrawn balance available, and may decline a request, if warranted, based on its UW review. Within an RTL securitization, each individual funding within a revolving LOC functions similarly to adding an additional mortgage loan during the revolving period of an RTL securitization. A similar UW and TPR process would be applied to both an additional property in a LOC and an additional loan in an RTL securitization. Transaction eligibility criteria and concentration limits govern the replenishment of LOC collateral in the same fashion as any other RTL in the securitization. Even though LOC borrowers are approved up to a certain line amount, there is no obligation by CoreVest to fund additional fundings in a LOC, similar to how there is no obligation by an RTL lender to a borrower to originate a new RTL. Once the RTL securitization reaches the end of the reinvestment period, there exists the possibility that certain LOC may still be within their replenishment periods. At that point, all amounts in the securitization Accumulation Account would be released through the waterfall and there would be no more replenishment of cash to fund additional properties. If an LOC borrower requests a new funding for a project during the securitization amortization period, the Collateral Administrator (CoreVest) will advance funds for such additional property. The additional funding would be contributed to the Trust as collateral (adding to the credit support of the securitization) and the Collateral Administrator will reimburse itself for the funding from the cash flow waterfall, only after all the rated notes have paid down to zero. Cash Flow Structure and Draw Funding A failure to redeem the Notes in full by the Payment Date in May 2029 (Mandatory Auction Trigger Date) will trigger a mandatory auction of the underlying mortgage loans. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year, and subsequent auctions will be carried out every six months. If the Collateral Administrator fails to conduct the auction, holders of more than 50% of the Class M-2 Notes will have the right to appoint a different auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with bullet pay features to Class A-2 and more subordinate notes on the related Expected Redemption Date (ERD). During the reinvestment period, the Notes will generally be IO. During and after the reinvestment period, principal and interest collections will be used to pay interest to the Notes, sequentially. After the reinvestment period, available funds will be applied as principal to pay down Class A-1, until reduced to zero. After Class A-1 is paid in full and prior to the earliest of (1) the Class M-2 Note ERD, (2) an Event of Default (EOD), or (3) the Mandatory Auction Trigger Date, any available funds remaining will be deposited into the Redemption Account. Class A-2 and more subordinate notes are not entitled to any payments of principal until the earliest of (1) an optional redemption date, (2) the Mandatory Auction Trigger Date, (3) the related ERD, or (4) an EOD. If the Issuer does not redeem the Notes by the payment date in November 2027, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month. The transaction incorporates a debt for tax structure and the interest rates on the Notes are set at fixed rates, which are not capped by the net weighted-average coupon (Net WAC) or available funds. This feature, along with the bullet features, cause the structure to have elevated subordination levels relative to a comparable structure with fixed-capped interest rates and no bullet feature because interest entitlements are generally higher, and more principal may be needed to cover interest shortfalls. Morningstar DBRS considered such nuanced features and incorporated them in its cash flow analysis. The cash flow structure is discussed in more detail in the Cash Flow Structure and Features section of the related rating report. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Collateral Administrator or the Servicers are obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Collateral Administrator or the Servicers, as applicable, will be entitled to reimbursements for Servicing Advances from available funds prior to any payments on the Notes. The Collateral Administrator will satisfy Draw Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer or (b) directing the release of funds from the Accumulation Account. The Collateral Administrator will be entitled to reimbursements for such Draw Advances from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.20% to the most subordinate rated class. The structure maintains this CE through a Minimum Credit Enhancement Test, which if breached, redirects available funds (1) to pay down Class A-1 and then (2) to the Redemption Account, prior to replenishing the Accumulation Account. 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 for the first two months of the securitization to help cover one month of interest payment to the Notes. Such account is funded upfront in an amount equal to $1,460,510. On the payment dates occurring in June and July 2025, the Note Administrator will withdraw a specified amount to be included in the available funds. Historically, CoreVest RTL originations have generated robust mortgage repayments, which have exceeded unfunded commitments within the same portfolio. 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 CoreVest's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related rating 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 Note Amount, the Issuer, at its option, may purchase all the outstanding Notes at par plus interest and fees. Seller Repurchase Option The Seller will have the option to repurchase any DQ or credit risk mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases in aggregate may not exceed 10.0% of the Closing Date UPB of the mortgage loans (as increased by any approved Draw Requests on mortgage loans with unfunded amounts, satisfied by the Collateral Administrator after the Closing Date). During the reinvestment period, if the Seller repurchases DQ or credit risk mortgage 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 Sponsor is required to repurchase a loan because of a material breach, a material diligence defect, or a material document defect -- The Seller elects to exercise its Seller Repurchase Option -- An optional redemption or successful mandatory auction occurs. U.S. Credit Risk Retention As the Sponsor, Redwood Maple, through itself and a majority-owned affiliate (the Originator), will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow a standard protocol, which includes a review of the impacted area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE GLOBAL 2013-1: Moody's Ups Rating on $27MM D-R Notes to Ba3 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Carlyle Global Market Strategies CLO 2013-1, Ltd.: US$38M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Dec 19, 2024 Upgraded to A2 (sf) US$27M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba3 (sf); previously on Dec 19, 2024 Affirmed B1 (sf) Moody's have also affirmed the ratings on the following notes: US$71M (Current outstanding amount EUR54,270,511) Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 19, 2024 Affirmed Aaa (sf) US$36M Class B-RR Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 19, 2024 Upgraded to Aaa (sf) Carlyle Global Market Strategies CLO 2013-1, Ltd., originally issued in February 2013, refinanced in August 2017 and partially refinanced in July 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Carlyle CLO Management L.L.C. The transaction's reinvestment period ended in August 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in December 2024. The affirmations on the ratings on the Class A-2-R and B-RR notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-RR notes have paid down by approximately USD34.6 million (9.2%) and it`s now fully repaid while Class A-2-R have paid down by approximately USD16.7 million (23.6%) since the last rating action in December 2024. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated May 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 256.19%, 172.15%, 127.88% and 108.12% compared to December 2024[2] levels of 209.23%, 156.03%, 123.01% and 106.94%, respectively. Moody's notes that the May 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD172.8m Defaulted Securities: USD2.6m Diversity Score: 40 Weighted Average Rating Factor (WARF): 3322 Weighted Average Life (WAL): 2.46 years Weighted Average Spread (WAS) (before accounting for the reference rate floors): 3.03% Weighted Average Recovery Rate (WARR): 47.68% Par haircut in OC tests: 2.29% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CARVANA AUTO 2025-P2: S&P Assigns Prelim BB+(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2025-P2's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of June 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 16.95%, 13.44%, 9.34%, 6.07%, and 7.38% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.00x, 2.00x, and 1.73x coverage of S&P's expected cumulative net loss of 2.75% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA+ (sf)', 'A (sf)', 'BBB (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within our credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Carvana Auto Receivables Trust 2025-P2(i) Class A-1, $73.00 million: A-1+ (sf) Class A-2, $186.00 million: AAA (sf) Class A-3, $229.00 million: AAA (sf) Class A-4, $96.28 million: AAA (sf) Class B, $27.31 million: AA+ (sf) Class C, $29.26 million: A (sf) Class D, $9.43 million: BBB (sf) Class N(ii), $19.50 million: BB+ (sf) (i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CFMT 2025-AB3: DBRS Gives Prov. B Rating on Class M5 Notes ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2025-1 (the Notes) to be issued by CFMT 2025-AB3, LLC as follows: -- $454.0 million Class A at (P) AAA (sf) -- $10.5 million Class M1 at (P) AA (low) (sf) -- $8.4 million Class M2 at (P) A (low) (sf) -- $9.4 million Class M3 at (P) BBB (low) (sf) -- $8.9 million Class M4 at (P) BB (low) (sf) -- $5.8 million Class M5 at (P) B (sf) The (P) AAA (sf) credit rating reflects 13.2% of credit enhancement. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 11.2%, 9.6%, 7.8%, 6.1%, and 5.0% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (March 31, 2025), the collateral consists of approximately $523.07 million in unpaid principal balance (UPB) from 1,631 performing home equity conversion mortgage reverse mortgage loans typically on single-family residential properties, condominiums, multifamily (two- to four-family), manufactured homes, and planned unit developments. The mortgage assets were all originated between 1996 and 2016. Of the total assets, 433 have a fixed interest rate (29.76% of the balance), with a 5.225% weighted-average (WA) mortgage interest rate. The remaining 1,198 assets have floating-rate interest (70.24% of the balance) with a 6.276% mortgage interest rate, bringing the entire collateral pool to a 5.963% mortgage interest rate. All the mortgage assets in this transaction are currently performing loans. Further, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses vis-à-vis uninsured loans. See the discussion in the Analysis section of the related presale report. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the WA effective LTV adjusted for HUD insurance, which is 49.75% for these loans. To calculate the WA LTV, Morningstar DBRS divides the UPB by the sum of the maximum claim amount plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption event, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (May 2030) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to nine months after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amounts. In addition, the associated financial obligations for the Class A Notes include the related Cap Carryover and Interest Payment Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-5: DBRS Finalizes B(low) Rating on B5 Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-5 (the Certificates) issued by Chase Home Lending Mortgage Trust 2025-5 (CHASE 2025-5) as follows: -- $324.3 million Class A-2 at AAA (sf) -- $324.3 million Class A-3 at AAA (sf) -- $324.3 million Class A-3-X at AAA (sf) -- $243.2 million Class A-4 at AAA (sf) -- $243.2 million Class A-4-A at AAA (sf) -- $243.2 million Class A-4-X at AAA (sf) -- $81.1 million Class A-5 at AAA (sf) -- $81.1 million Class A-5-A at AAA (sf) -- $81.1 million Class A-5-X at AAA (sf) -- $194.6 million Class A-6 at AAA (sf) -- $194.6 million Class A-6-A at AAA (sf) -- $194.6 million Class A-6-X at AAA (sf) -- $129.7 million Class A-7 at AAA (sf) -- $129.7 million Class A-7-A at AAA (sf) -- $129.7 million Class A-7-X at AAA (sf) -- $48.6 million Class A-8 at AAA (sf) -- $48.6 million Class A-8-A at AAA (sf) -- $48.6 million Class A-8-X at AAA (sf) -- $43.4 million Class A-9 at AAA (sf) -- $43.4 million Class A-9-A at AAA (sf) -- $43.4 million Class A-9-B at AAA (sf) -- $43.4 million Class A-9-X1 at AAA (sf) -- $43.4 million Class A-9-X2 at AAA (sf) -- $43.4 million Class A-9-X3 at AAA (sf) -- $81.1 million Class A-11 at AAA (sf) -- $81.1 million Class A-11-X at AAA (sf) -- $81.1 million Class A-12 at AAA (sf) -- $81.1 million Class A-13 at AAA (sf) -- $81.1 million Class A-13-X at AAA (sf) -- $81.1 million Class A-14 at AAA (sf) -- $81.1 million Class A-14-X at AAA (sf) -- $81.1 million Class A-14-X2 at AAA (sf) -- $81.1 million Class A-14-X3 at AAA (sf) -- $81.1 million Class A-14-X4 at AAA (sf) -- $448.8 million Class A-X-1 at AAA (sf) -- $11.4 million Class B-1 at AA (low) (sf) -- $11.4 million Class B-1-A at AA (low) (sf) -- $11.4 million Class B-1-X at AA (low) (sf) -- $6.9 million Class B-2 at A (low) (sf) -- $6.9 million Class B-2-A at A (low) (sf) -- $6.9 million Class B-2-X at A (low) (sf) -- $4.3 million Class B-3 at BBB (low) (sf) -- $2.6 million Class B-4 at BB (low) (sf) -- $953,900 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 5.90% 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 3.50%, 2.05%, 1.15%, 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 Certificates. The Certificates are backed by 419 loans with a total principal balance of $502,058,292 as of the Cut-Off Date (May 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 67.1% of the loans were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100% 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 will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for Non-IO Certificates). Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-5: Fitch Assigns B-sf Final Rating on Cl. B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-5 (Chase 2025-5). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-5 A-2 161935AA9 LT AAAsf New Rating AAA(EXP)sf A-3 161935AB7 LT AAAsf New Rating AAA(EXP)sf A-3-X 161935AC5 LT AAAsf New Rating AAA(EXP)sf A-4 161935AD3 LT AAAsf New Rating AAA(EXP)sf A-4-A 161935AE1 LT AAAsf New Rating AAA(EXP)sf A-4-X 161935AF8 LT AAAsf New Rating AAA(EXP)sf A-5-A 161935AH4 LT AAAsf New Rating AAA(EXP)sf A-5 161935AG6 LT AAAsf New Rating AAA(EXP)sf A-5-X 161935AJ0 LT AAAsf New Rating AAA(EXP)sf A-6 161935AK7 LT AAAsf New Rating AAA(EXP)sf A-6-A 161935AL5 LT AAAsf New Rating AAA(EXP)sf A-6-X 161935AM3 LT AAAsf New Rating AAA(EXP)sf A-7 161935AN1 LT AAAsf New Rating AAA(EXP)sf A-7-A 161935AP6 LT AAAsf New Rating AAA(EXP)sf A-7-X 161935AQ4 LT AAAsf New Rating AAA(EXP)sf A-8 161935AR2 LT AAAsf New Rating AAA(EXP)sf A-8-A 161935AS0 LT AAAsf New Rating AAA(EXP)sf A-8-X 161935AT8 LT AAAsf New Rating AAA(EXP)sf A-9 161935AU5 LT AAAsf New Rating AAA(EXP)sf A-9-A 161935AV3 LT AAAsf New Rating AAA(EXP)sf A-9-B 161935AW1 LT AAAsf New Rating AAA(EXP)sf A-9-X1 161935AX9 LT AAAsf New Rating AAA(EXP)sf A-9-X2 161935AY7 LT AAAsf New Rating AAA(EXP)sf A-9-X3 161935AZ4 LT AAAsf New Rating AAA(EXP)sf A-11 161935BA8 LT AAAsf New Rating AAA(EXP)sf A-11-X 161935BB6 LT AAAsf New Rating AAA(EXP)sf A-12 161935BC4 LT AAAsf New Rating AAA(EXP)sf A-13 161935BD2 LT AAAsf New Rating AAA(EXP)sf A-13-X 161935BE0 LT AAAsf New Rating AAA(EXP)sf A-14 161935BF7 LT AAAsf New Rating AAA(EXP)sf A-14-X 161935BG5 LT AAAsf New Rating AAA(EXP)sf A-14-X2 161935BH3 LT AAAsf New Rating AAA(EXP)sf A-14-X3 161935BJ9 LT AAAsf New Rating AAA(EXP)sf A-14-X4 161935BK6 LT AAAsf New Rating AAA(EXP)sf A-X-1 161935BL4 LT AAAsf New Rating NR(EXP)sf B-1 161935BM2 LT AA-sf New Rating AA-(EXP)sf B-1-A 161935BN0 LT AA-sf New Rating AA-(EXP)sf B-1-X 161935BP5 LT AA-sf New Rating AA-(EXP)sf B-2 161935BQ3 LT A-sf New Rating A-(EXP)sf B-2-A 161935BR1 LT A-sf New Rating A-(EXP)sf B-2-X 161935BS9 LT A-sf New Rating A-(EXP)sf B-3 161935BT7 LT BBB-sf New Rating BBB-(EXP)sf B-4 161935BU4 LT BB-sf New Rating BB-(EXP)sf B-5 161935BV2 LT B-sf New Rating B-(EXP)sf B-6 161935BW0 LT NRsf New Rating NR(EXP)sf A-R 161935BX8 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-5 (Chase 2025-5) as indicated above. The certificates are supported by 419 loans with a total balance of approximately $502.44 million as of the cutoff date. The scheduled balance as of the cutoff date is $502.06 million. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. There is no exposure to Libor in this transaction. 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; as a result, the certificates have no Libor exposure. Fitch has assigned a 'AAAsf' final rating to class A-X-1 from a prior expected rating of 'NR(EXP)'. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus vs. 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 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 419 high-quality, fixed-rate, fully amortizing loans with maturities of 15 years to 30 years that total $502.06 million. In total, 100.0% 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 five months, according to Fitch. The pool has a WA FICO score of 768, 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 764. 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 has determined that 76.8% 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 75.7%, which translates to a sustainable LTV ratio (sLTV) of 84.1%. 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. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (87.2% primary and 12.8% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.1% of the pool, condominiums make up 10%, co-ops make up 0.7% and the remaining 0.2% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (87.4%), cashout refinances (2.7%) and rate-term refinances (9.9%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 22.1% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the New York MSA (8.5%), followed by the Los Angeles MSA (7.1%) and the San Francisco MSA (7.0%). The top three MSAs account for 22.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B, first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated, first, to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. CE Floor (Positive): A CE or senior subordination floor of 1.50% 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 0.90% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 0.25% at the 'AAAsf' stress due to 59.9% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.9% 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria listed below. In addition, the following sources of information which are not discussed in the criteria were used: ESG Considerations Chase 2025-5 has an ESG Relevance Score of '4' [+] for Transaction Parties and Operational Risk. Operational risk is well controlled in Chase 2025-5, including strong transaction due diligence. Additionally, the entire pool is originated by an 'Above Average' originator, and all the pool loans are serviced by a servicer rated 'RPS1-'. All these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, due to either 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. CHASE HOME 2025-6: DBRS Finalizes B(low) Rating on B5 Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-6 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-6 (CHASE 2025-6) as follows: -- $371.9 million Class A-2 at AAA (sf) -- $371.9 million Class A-3 at AAA (sf) -- $371.9 million Class A-3-X at AAA (sf) -- $278.9 million Class A-4 at AAA (sf) -- $278.9 million Class A-4-A at AAA (sf) -- $278.9 million Class A-4-X at AAA (sf) -- $93.0 million Class A-5 at AAA (sf) -- $93.0 million Class A-5-A at AAA (sf) -- $93.0 million Class A-5-X at AAA (sf) -- $223.1 million Class A-6 at AAA (sf) -- $223.1 million Class A-6-A at AAA (sf) -- $223.1 million Class A-6-X at AAA (sf) -- $148.7 million Class A-7 at AAA (sf) -- $148.7 million Class A-7-A at AAA (sf) -- $148.7 million Class A-7-X at AAA (sf) -- $55.8 million Class A-8 at AAA (sf) -- $55.8 million Class A-8-A at AAA (sf) -- $55.8 million Class A-8-X at AAA (sf) -- $51.1 million Class A-9 at AAA (sf) -- $51.1 million Class A-9-A at AAA (sf) -- $51.1 million Class A-9-B at AAA (sf) -- $51.1 million Class A-9-X1 at AAA (sf) -- $51.1 million Class A-9-X2 at AAA (sf) -- $51.1 million Class A-9-X3 at AAA (sf) -- $93.0 million Class A-11 at AAA (sf) -- $93.0 million Class A-11-X at AAA (sf) -- $93.0 million Class A-12 at AAA (sf) -- $93.0 million Class A-13 at AAA (sf) -- $93.0 million Class A-13-X at AAA (sf) -- $93.0 million Class A-14 at AAA (sf) -- $93.0 million Class A-14-X at AAA (sf) -- $93.0 million Class A-14-X2 at AAA (sf) -- $93.0 million Class A-14-X3 at AAA (sf) -- $93.0 million Class A-14-X4 at AAA (sf) -- $516.0 million Class A-X-1 at AAA (sf) -- $12.6 million Class B-1 at AA (low) (sf) -- $12.6 million Class B-1-A at AA (low) (sf) -- $12.6 million Class B-1-X at AA (low) (sf) -- $7.1 million Class B-2 at A (low) (sf) -- $7.1 million Class B-2-A at A (low) (sf) -- $7.1 million Class B-2-X at A (low) (sf) -- $5.2 million Class B-3 at BBB (low) (sf) -- $2.7 million Class B-4 at BB (low) (sf) -- $1.1 million 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 5.65% 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 3.35%, 2.05%, 1.10%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 471 loans with a total principal balance of $575,637,829 as of the Cut-Off Date (May 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 two months. They are traditional, prime jumbo mortgage loans. Approximately 55.7% of the loans were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general qualified mortgage rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend 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 will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-6: Fitch Assigns B+sf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-6 (Chase 2025-6). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-6 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-X1 LT AAAsf New Rating AAA(EXP)sf A-9-X2 LT AAAsf New Rating AAA(EXP)sf A-9-X3 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to 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. CE 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. CIFC FUNDING 2025-III: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2025-III, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-III, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating D-3 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CIFC Funding 2025-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.56, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.37% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.5% versus a minimum covenant, in accordance with the initial expected matrix point of 72.86%. 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 6.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-III, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP COMMERCIAL 2015-GC33: DBRS Cuts Rating on E Certs to C ---------------------------------------------------------------- DBRS, Inc. downgraded credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC33 issued by Citigroup Commercial Mortgage Trust 2015-GC33 as follows: -- Class B to A (high) (sf) from AA (low) (sf) -- Class C to BBB (sf) from A (low) (sf) -- Class PEZ to BBB (sf) from A (low) (sf) -- Class D to CCC (sf) from B (high) (sf) -- Class X-D to CCC (sf) from B (high) (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS changed the trend on Class B to Negative from Stable and maintained the Negative trend on Classes C and PEZ. Classes A-3, A-4, A-AB, A-S, and X-A continue to carry Stable trends. There are no trends for Classes D, X-D, E, F, and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades reflect Morningstar DBRS' liquidated loss projections and overall poor outlook for the ultimate resolution of the sole loan in special servicing, Illinois Center (Prospectus ID#1, 14.2% of the pool), and another large office loan in the top 10 that is believed to be at a high risk for default, as further discussed below. Projected liquidated losses for those two loans would erode the full balance of Classes E, F, G, and H and a small portion of the Class D certificate balance, supporting the credit rating downgrade and Negative trend with this rating action. Morningstar DBRS also notes concerns regarding a few other underperforming loans in the pool that could lead to additional value stress and increase the likelihood of realized losses further up the capital stack, another factor considered as part of the credit rating downgrades and Negative trends. Morningstar DBRS has refinance concerns for eight loans, representing 29.5% of the pool, based on the in-place performance and/or lack of liquidity for certain property types in the current environment. For these loans, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or elevated probability of defaults (PODs) to increase the expected loss at the loan level as applicable. The credit rating confirmations and Stable trends for the AAA (sf) and AA (low) credit-rated classes at the top of the capital stack reflect Morningstar DBRS' view that the majority of the pool's remaining loans will successfully refinance at their respective 2025 maturity dates, based on the most recent reported debt service coverage ratios (DSCRs) with 83.4% of the pool reporting DSCRs above 1.26 times (x). As of the May 2025 reporting, 43 of the original 64 loans remain in the pool with an aggregate principal balance of $646.7 million, representing a collateral reduction of 32.5% since issuance. There are nine loans, representing approximately 10.8% of the pool, that are fully defeased, and 33 loans, representing 75.0% of the pool, that are on the servicer's watchlist, most of which are being monitored for an upcoming maturity. By property type, the pool is most concentrated by loans secured by office properties (36.4% of the pool), followed by retail (21.4% of the pool) and lodging (16.4% of the pool) properties. The largest loan in the pool, Illinois Center, is secured by two adjoining Class A office towers in downtown Chicago. The loan has been monitored on the servicer's watchlist for performance declines and was transferred to special servicing in April 2024 for payment default. Occupancy fell to 67.0% at YE2020 following the departure or downsizing of several tenants, a trend that has continued at the properties, as occupancy fell from 47.8% at YE2023 to 36.6% at YE2024. Per Reis, the East Loop submarket reported an average vacancy rate and rental rate of 18.4% and $25.4 per square foot (psf) for 2024. Given the severely depressed occupancy rate and low investor appetite for Chicago office product in the current environment, Morningstar DBRS assumed a stressed haircut to the issuance appraised value in its liquidation scenario for this loan of 65.0%, resulting in a liquidated value of $136.5 million and a loss severity of just over 50.0%. However, Morningstar DBRS believes the ultimate sale price (or updated as-is appraised value) could be even further stressed, a factor considered as part of the credit rating downgrades in the middle of the capital stack and Negative trends with this review. The Decoration and Design Building (Prospectus ID#3, 9.3% of the pool) is secured by the leasehold interest in an 18-story office building that is mainly used as a showroom in Midtown Manhattan, New York. The loan was placed on the servicer's watchlist in May 2023 for low occupancy after several tenants vacated. The property was 66.7% occupied as of YE2024, relatively stable with the YE2023 figure of 66.5%, but trends in recent years have been showing steady decline from the occupancy rate of 94.8% at issuance. The property's net cash flow (NCF) has stabilized, with a YE2024 figure of $17.4 million (a DSCR of 1.82x), up from $14.7 as of YE2023, $15.7 million as of YE2022 and the Issuer's NCF of $22.1 million. The property is also subject to a ground lease that had an initial expiration in December 2023, with two renewal options that extend the maturity to December 2063. As noted at issuance, per the land's issuance appraisal, without accounting for inflation, ground rent was expected to reset to an estimated $13.8 million in January 2024, well above the initial fixed rate of $3.8 million. At last review, Morningstar DBRS confirmed the ground lease had been extended for another 25 years; however, the increased ground rent increases are more gradual than anticipated, increasing to $5.75 million in 2024 and $6.0 million 2026, when the loan is scheduled to mature. Morningstar DBRS expects that performance is likely to further decline, given the depressed occupancy and increased ground rent. As such, Morningstar DBRS analyzed the loan with a stressed scenario to increase the loan-to-value ratio and probability of default to increase the loan level Expected Loss to a figure that was almost the double the pool average. Hamilton Landing (Prospectus ID#4, 9.3% of the pool) is secured by seven office buildings totaling approximately 406,000 square feet (sf) in the San Francisco Bay Area. The loan was placed on the watchlist in December 2024 for occupancy-related concerns as well as an upcoming maturity date in August 2025. Per the most recent financial reporting, the properties reported a consolidated occupancy figure of 70.0% as of September 2024, which represents an increase from the YE2023 figure of 63.8%, but notably decreased from the issuance figure of 91.8%. This figure could further decline as the largest tenant, Visual Concepts Entertainment (30.3% of NRA on two separate leases), has one of their leases (15.8% of NRA) scheduled to expire in July 2025. The loan reported a Q3 2024 annualized NCF of $4.1 million and a DSCR of 1.53x. Both figures mark improvements over the YE2023 figures of $2.8 million and 1.07x, respectively, but stark declines from the issuance NCF and DSCR of $6.4 million and 2.42x, respectively. Given the location and uncertainty with regard to the occupancy rate for the collateral at loan maturity, Morningstar DBRS considered a liquidation scenario for this loan based on a stressed haircut to the issuance appraised value, which resulted in a liquidated value of approximately $29.6 million and implied liquidated losses of $30.4 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2025-3: Moody's Assigns B2 Rating to B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 66 classes of residential mortgage-backed securities (RMBS) issued by Citigroup Mortgage Loan Trust 2025-3, and sponsored by Citigroup Global Markets Realty Corp. The securities are backed by a pool of prime jumbo (61.4% by balance) and GSE-eligible (38.6% by balance) residential mortgages aggregated by Citigroup Global Markets Realty Corp. originated by multiple entities and serviced by PennyMac Loan Services, LLC, PennyMac Corp. and Fay Servicing LLC. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2025-3 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-X*, 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-I-1*, Definitive Rating Assigned Aaa (sf) Cl. A-I-2*, Definitive Rating Assigned Aaa (sf) Cl. A-I-3*, Definitive Rating Assigned Aaa (sf) Cl. A-I-4*, Definitive Rating Assigned Aaa (sf) Cl. A-I-5*, Definitive Rating Assigned Aaa (sf) Cl. A-I-6*, Definitive Rating Assigned Aaa (sf) Cl. A-I-7*, Definitive Rating Assigned Aaa (sf) Cl. A-I-8*, Definitive Rating Assigned Aaa (sf) Cl. A-I-9*, Definitive Rating Assigned Aaa (sf) Cl. A-I-10*, Definitive Rating Assigned Aaa (sf) Cl. A-I-11*, Definitive Rating Assigned Aaa (sf) Cl. A-I-12*, Definitive Rating Assigned Aaa (sf) Cl. A-I-13*, Definitive Rating Assigned Aaa (sf) Cl. A-I-14*, Definitive Rating Assigned Aaa (sf) Cl. A-I-15*, Definitive Rating Assigned Aaa (sf) Cl. A-I-16*, Definitive Rating Assigned Aaa (sf) Cl. A-I-17*, Definitive Rating Assigned Aaa (sf) Cl. A-I-18*, Definitive Rating Assigned Aaa (sf) Cl. A-I-19*, Definitive Rating Assigned Aaa (sf) Cl. A-I-20*, Definitive Rating Assigned Aaa (sf) Cl. A-I-21*, Definitive Rating Assigned Aaa (sf) Cl. A-I-22*, Definitive Rating Assigned Aaa (sf) Cl. A-I-23*, Definitive Rating Assigned Aaa (sf) Cl. A-I-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-27*, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-I-28*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-I-29*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Definitive Rating Assigned A1 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-IO*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes 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 0.46%, in a baseline scenario-median is 0.21% and reaches 7.54% 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. COLT 2025-5: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2025-5 Mortgage Loan Trust (COLT 2025-5). Entity/Debt Rating Prior ----------- ------ ----- COLT 2025-5 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 437 nonprime loans with a total balance of approximately $289.9 million as of the cutoff date. Loans in the pool were originated by multiple originators including The Loan Store Inc., Northpointe Bank, Foundation Mortgage Corporation and others. The loans were aggregated by Hudson Americas L.P. and are currently being serviced by Select Portfolio Servicing, Inc. (SPS). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 8.1% above a long-term sustainable level versus 11.0% 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. COLT 2025-5 has a combined original loan-to-value ratio (cLTV) of 73.6%, slightly higher than that of the previous Fitch-rated transaction, COLT 2025-3. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 80.1% compared with 80.7% for the previous transaction. Although the cLTV is higher than 2025-3, Fitch views sustainable values as higher and ultimately views this pool as less leveraged with a lower sLTV. Non-QM Credit Quality (Negative): The collateral consists of 437 loans totaling $289.9 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 735 model FICO, and moderate leverage, with an 80.1% sLTV and a 73.6% cLTV. Of the pool, 45.5% of the loans are for a primary residence, while 54.5% comprise an investor property or second home, as calculated by Fitch. In addition, 49.8% are nonqualified mortgages (non-QMs, or NQMs) and 0.6% are safe-harbor qualified mortgages (SHQM) or high price qualified mortgages (HPQM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 22.0%. This is mainly driven by the NQM/nonprime collateral and the concentration of investor cash flow product (debt service coverage ratio [DSCR]) loans. Loan Documentation and DSCR Loans (Negative): About 90.7% of loans in the pool were underwritten to less than full documentation and 61.6% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 6.1%, compared with a transaction comprised of 100% fully documented loans. 144 loans, or 15.1%, were originated through the originator's investor cash flow program, which targets real estate investors qualified on a DSCR basis. These business-purpose loans are available to real estate investors who are qualified on a cash flow basis, rather than a debt-to-income (DTI) basis, and borrower income and employment are not verified. Fitch's average expected losses for DSCR loans is 32.8% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on mortgage loans serviced by SPS for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer will be obligated to make such an advance. The limited advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. However, the additional stress on the structure represents downside risk, as there is limited liquidity in the event of large and extended delinquencies. COLT 2025-5 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bps increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Selene, Clarifii, Opus, Canopy, and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 50-bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs ------------------------------------------------------- DBRS Limited downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2014-LC17 issued by COMM 2014-LC17 Mortgage Trust as follows: -- Class E to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed the credit ratings on the following classes: -- Class X-C at BB (high) (sf) -- Class D at BB (sf) -- Class F at CCC (sf) -- Class G at C (sf) In addition, Morningstar DBRS changed the trends on Classes D and X-C 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 Class E certificate has been accruing interest shortfalls since November 2024 and has reached Morningstar DBRS' maximum tolerance of six remittance periods of consecutive shortfalls for the BB (sf) and B (sf) credit rating categories, supporting the credit rating downgrade to CCC (sf) from B (low) (sf) on that class. According to the April 2025 remittance, the servicer is no longer advancing any interest due to the Class E certificate, as a result of the specially serviced loan concentration. Only seven loans remain in the pool, five of which (representing 78.3% of the current pool balance) are in special servicing, and one of which, Paradise Valley (Prospectus ID#26, 10.8% of the current pool balance) is Real Estate Owned (REO). As of the April 2025 remittance, cumulative unpaid interest totaled $5.3 million, up from $4.3 million at Morningstar DBRS' previous credit rating action in June 2024. The credit rating confirmation on Classes D, X-C, F, and G are supported by the 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. Based on those liquidation scenarios, Morningstar DBRS is currently projecting a total implied loss of approximately $24.7 million, resulting in a partial principal write-down of over 50% for the CCC (sf) rated Class F certificate and a complete write-down of the C (sf) rated Class G certificate and nonrated Class H certificate. Morningstar DBRS' recoverability analysis suggests a full recovery of the principal balance on the Class D certificate is likely, supporting the credit rating confirmations and trend changes on that Class and the corresponding notional Class X-C, to Stable from Negative. Since the last credit rating action in June 2024, 24 loans have successfully repaid in full from the trust. As of the April 2025 remittance, the current trust balance was $116.0 million, representing a collateral reduction of 90.6% from issuance. The remaining two loans that are not specially serviced, U-Haul Pool (Prospectus ID#9, 10.1% of the current pool balance) and Highwoods Portfolio (Prospectus ID#24, 11.7% of the current pool balance) have extended maturity dates in September 2029. To date, the trust has incurred losses of approximately $35.9 million, depleting more than 95% of the nonrated Class H certificate. The largest specially serviced loan, Parkway 120 (Prospectus ID#5, 33.7% of the current pool balance) is secured by a 221,664-square-foot, five-story suburban office building in central New Jersey. The loan failed to repay at its initial maturity date in September 2024 and was subsequently transferred to the special servicer later that month. According to the most recent servicer commentary, a notice of default was sent to the borrower, and foreclosure proceedings have been initiated. The special servicer continues to gather information and discuss alternative workout strategies deemed appropriate. According to the December 2024 rent roll, the subject property was 91.2% occupied, a slight decline from 96.0% at YE2023 but in line with the YE2022 figure of 91.0%. The largest tenants include K. Hovnanian (28.1% of NRA, lease expiry in June 2028), Fragomen, Del Ray, Bernsen (21% of NRA, lease expiry in August 2026), and Tata Communications (7.4% of NRA, lease expiry in March 2029). Over the next 12 months there is a marginal tenant rollover concern as leases representing only 2.0% of the NRA are scheduled to expire. Financial performance continues to decline; according to the most recent financial reporting as of YE2024, the loan reported a debt service coverage ratio (DSCR) of 1.18 times (x), compared with the YE2023 and YE2022 figures of 1.25x and 1.33x, respectively. The property generated $3.3 million of net cash flow in 2024, a decline of approximately 13.0% from the issuance figure. According to REIS, the Central New Jersey office market had a vacancy rate of 19.4% as of Q1 2025. At issuance, the subject property was valued at $60 million, and although a new appraisal has yet to be made available, Morningstar DBRS expects that the collateral's as-is value has declined significantly from issuance given the softening office submarket fundamentals, in-place cash flow declines and suburban location of the asset. Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 60% haircut to the issuance appraised value. Inclusive of the outstanding advances and expected servicer expenses, the resulting loan loss severity was almost 50% or approximately $20 million. The second-largest specially serviced loan is Aloft Cupertino (Prospectus ID#6; 28.5% of the pool). The loan is secured by a 123-key, limited-service hotel in Cupertino, California. The subject is approximately a half-mile from Apple's 1 Infinite Loop office. The loan failed to repay at its August 2024 maturity date and was subsequently transferred to the special servicer. According to the most recent servicer commentary, the borrower has agreed to pay off the loan subject to waivers. The expected closing date was April 4; however, the borrower had a one-time extension option of 30 days available to them. According to the Smith Travel Report (STR) for the trailing 12 month period (T-12) ended December 31, 2024, the subject property reported an occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 73.9%, $201.56, and $149.03, respectively with a RevPAR penetration figure of 126.5%. The subject property is also outperforming its competitive set in terms of occupancy and ADR. At issuance, the property was valued at $48.6 million, which did increase to $54 million in December 2021 and then declined to $39.7 million as of September 2024, representing an overall decline of approximately 27% since issuance. Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 20.0% haircut to the September 2024 appraisal. Inclusive of the outstanding advances and expected servicer expenses, the resulting loan loss severity was almost 5.0% or approximately $1.5 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-PC1: DBRS Cuts Class X-C Certs Rating to BB ----------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1 Mortgage Trust as follows: -- Class D to BB (low) (sf) from BBB (low) (sf) -- Class X-C to BB (sf) from BBB (sf) -- Class X-D to C (sf) from BB (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) Morningstar DBRS discontinued the credit rating on Class A-5, which repaid with the May 2025 remittance. Morningstar DBRS changed the trends on Classes C and X-B to Negative from Stable. Classes D and X-C have Negative trends. The credit ratings on Classes E, F, and X-D do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The trends on Classes A-M, X-A, and B are Stable. The credit rating downgrades reflect Morningstar DBRS' increased loss projections to the trust stemming from the 13 loans in special servicing, which collectively represent 51.8% of the current pool balance. In its previous credit rating action in June 2024, Morningstar DBRS changed the trends on Classes D, E, X-C, and X-D to Negative from Stable to reflect the potential for increased losses to the trust regarding the resolution of the seven loans in special servicing at that time. One of the former specially serviced loans, DoubleTree South Bend (Prospectus ID#25), was liquidated from the trust in February 2025 with a minimal loss severity of 0.1%, below Morningstar DBRS' expectation. Since June 2024, an additional seven loans, representing 28.6% of the current pool balance, have transferred to special servicing for payment default prior to or at the respective loan maturity dates. In its current analysis, Morningstar DBRS liquidated 11 of the 13 specially serviced loans, resulting in aggregate liquidated losses of $77.9 million, which erodes the full balance of Classes F and G and partially erodes the balance on Class E. In addition, Morningstar DBRS identified six loans, representing 27.6% of the pool, as having increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and unfavorable lending conditions for specific property types. For the loans with elevated refinance risk, Morningstar DBRS applied an elevated probability of default penalty and/or a stressed loan-to-value ratio in the analysis for this review. Should these or other loans default, or should performance for the specially serviced loans deteriorate further, Morningstar DBRS' projected losses for the pool could increase, further supporting the credit rating downgrade on Class D and the Negative trends on Classes D and C. The credit rating confirmations and Stable trends on Classes A-M, B, and X-A reflect the overall stable performance for the non-specially serviced loans in the pool, which have upcoming maturities in June 2025 and which Morningstar DBRS expects to repay at maturity. As of the May 2025 remittance, 31 of the original 80 loans remain in the pool with an aggregate principal balance of $422.9 million, representing a collateral reduction of 71.1% since issuance as a result of loan repayment, scheduled loan amortization, losses associated with liquidated loans, and principal recoveries on liquidated loans. Pool losses to date total $1.0 million and have been contained to the unrated Class G, which has a current balance of $44.7 million. The largest loan in special servicing, 760 & 800 Westchester Avenue (Prospectus ID#7, 7.2% of the pool), is secured by two Class A office properties in Rye Brook, New York. The whole loan has pari passu pieces securitized in the WFCM 2015-NXS1 (rated by Morningstar DBRS) and COMM 2015-DC1 CMBS transactions. The loan transferred to special servicing in April 2024 for imminent monetary default. In November 2024, a two-year forbearance agreement was executed with terms including a modification fee of 1% of the unpaid principal balance, accrued special servicing fees, and reimbursement of lender costs and expenses. As of the December 2024 appraisal, the combined occupancy rate at the property was 80.9% compared with 87.3% in March 2024 and 90.0% at issuance. There is considerable rollover risk through YE2025 with leases comprising 17.4% of the net rentable area (NRA) scheduled to expire. According to a Q1 2025 Reis report, the Harrison/Rye/East office submarket reported vacancy at 24.9%, which is expected to remain elevated in the near term. As of the YE2024 financials, the net cash flow (NCF) and debt service coverage ratio (DSCR) were reported at $6.0 million and 0.96 times (x), respectively, below the YE2023 figures of $6.6 million and 1.06x, respectively. NCF remains well below the $8.1 million figure from issuance. An updated appraisal dated December 2024 valued the property at $99.0 million, a 34.0% decline from the issuance appraised value of $151.0 million. Given the loan's poor historical operating performance, upcoming tenant rollover risk in a soft submarket, and unfavorable lending conditions for suburban office product, Morningstar DBRS analyzed the loan with a liquidation scenario. In the analysis, Morningstar DBRS applied a 20.0% haircut to the most recent appraised value, which, inclusive of outstanding advances and expected servicer expenses of $2.0 million, results in an implied loan loss severity of over 20.0%, or $6.2 million. The 100 Pearl Street loan (Prospectus ID#11, 6.4% of the pool) is the loan with the highest Morningstar DBRS-projected losses. The loan is secured by a 273,089-square-foot Class A office property in downtown Hartford, Connecticut. The loan recently transferred to the special servicer for imminent monetary default in March 2025 after the borrower indicated it would be unable to repay the loan at the scheduled April 2025 maturity date. The subject has underperformed historically, with occupancy most recently reported at 60.0% as of the September 2024 rent roll with an associated DSCR of 0.24x for the same period. Besides the largest tenant, Hartford Health (27.6% of the NRA, lease expiry in January 2036), the property has a granular rent roll with no other tenants comprising more than 6.0% of the NRA. There is no significant tenant rollover risk within the next 12 months; however, the Hartford Central Business District submarket continues to report a high vacancy rate at 21.0%, according to Reis Q1 2025 data. While an updated appraisal has not been provided to date, given the considerable declines in occupancy and performance, and a lack of investor demand for the property type, Morningstar DBRS believes the asset's current market value has declined considerably. As such, Morningstar DBRS' analysis included a liquidation scenario, applying a 60.0% haircut to the issuance appraised value of $37.5 million, which, inclusive of outstanding advances and expected servicer expenses (which total nearly $1.7 million), results in a loan loss severity over 50.0%, or approximately $13.8 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2016-667M: DBRS Confirms B Rating on Class C Certs ------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-667M issued by COMM 2016-667M Mortgage Trust as follows: -- Class X-A at A (sf) -- Class A at A (low) (sf) -- Class B at BB (sf) -- Class C at B (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) The trends on Classes X-A, A, B, and C are Stable, while Classes D and E have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect the overall stable performance of the underlying collateral, which is in line with Morningstar DBRS' expectations since its previous credit rating action in July 2024. The collateral property for the underlying loan is a 25-story, Class A office building in Midtown Manhattan at the corner of Madison Avenue and 61st Street, one block east of Central Park. The property was constructed by a sponsor-affiliate in 1985 and consists of 254,316 square feet (sf) of office space and 14,832 sf of retail space. The $254.0 million whole loan is interest only (IO) for the entire 10-year term. This transaction consists of a $214.0 million trust loan, with an additional senior $40.0 million A-2 pari passu note securitized in the CD 2016-CD2 transaction, not rated by Morningstar DBRS. The loan is sponsored by Hartz Financial, a subsidiary of Hartz Group, Inc. As part of the analysis for the July 2024 credit rating action, Morningstar DBRS updated its net cash flow (NCF) and LTV Sizing Benchmarks to account for the secular shift in office use and demand, as well as the subject property's fluctuating occupancy rate and prolonged cash flow declines from the issuance levels. The most recently reported figures show in-place performance continues to be depressed as compared with issuance expectations, with a YE2024 NCF figure of $2.7 million (debt service coverage ratio of 0.33 times), representing a 67.1% decrease from the YE2023 NCF of $8.2 million, NCF is expected to increase significantly throughout 2025 and 2026 as rental abatement periods for new and renewal tenant leases expire. However, performance is expected to remain below the issuer's NCF of $22.4 million derived at loan closing in 2016. The Morningstar DBRS NCF of $14.9 million, derived in July 2024, was based on leases in place, historical operating expense information, and leasing costs based on recently executed new and renewal leases. According to the December 2024 rent roll, the property was 77.4% occupied with a weighted-average rental rate of approximately $126.0 per square foot (psf). As of May 2025, the property's website shows availability, which suggests a leased rate of 87.5%, an increase from the June 2024 leased rate of 84.2%. The delta between the stated occupancy rate and the leased rate is primarily related to the renewals and relocations for Michael Kors and Redbird Capital (Redbird), which was noted by Morningstar DBRS in its previous credit rating action. The servicer confirmed Michael Kors took possession of its space in February 2025 after a delivery delay caused by a slower buildout process than originally scheduled. The tenant now occupies 10,613 sf (3.9% of the NRA) of retail space on the first floor and will begin paying full, unabated rent in October 2025 at a rental rate of $425.00 psf or $4.5 million annually. According to the servicer, the buildout for Redbird also experienced delays, with projected rent commencement pushed into 2025 from the original expected lease start date of November 2024. According to the property's website, 18,005 sf of space formerly leased to Redbird is now available for lease, suggesting a majority of Redbird's new space has been delivered. It also currently leases 6,600 sf on the 17th floor on a short-term basis. Ultimately, Redbird will be the largest tenant at the property, occupying 42,223 sf (15.7% of the NRA) on a lease through October 2034, paying a rental rate of $130.00 or $5.5 million annually. Additional updates provided by the servicer include the lease extension and contraction of Corvex Management, which will move from the second floor to the 23rd floor on a seven-year lease, expiring in September 2032. The tenant will downsize to 8,779 sf (3.3% of the NRA) from 15,300 sf (5.7% of the NRA) and pay a starting rental rate of $175.00 psf, a $10.00 psf increase over its previous rental rate. Northwell Health (1.1% of the NRA) also extended its lease by five years to November 2030; however, Morningstar DBRS did not receive updated rental rate information for the tenant. The other retail tenant at the property, Santoni (1.5% of the NRA), will commence rental payments in July 2025 after its one-year abatement period ends. The tenant's lease expires in July 2034, and it will pay a starting rental rate of $400.00 psf or $1.7 million annually with annual 3.0% rent steps. The property's second largest tenant, BevMax Office Centers (11.9% of the NRA), is a co-working space with a scheduled lease expiration in October 2028. The provided rent roll did not include a rental rate for the tenant; however, annual rent was budgeted at $2.9 million ($90.00 psf) in 2024. Morningstar DBRS was unable to confirm the annual rent paid by the tenant for the purposes of this review and notes the increased operating risk for the tenant as the business model for co-working space has been volatile in recent years. According to Q1 2025 Cushman & Wakefield data, office properties in the Madison Avenue / Fifth Avenue submarket reported an average asking rental rate of $115.99 psf with vacancy at 23.4% for Class A office properties. As a whole, the submarket has shown minor improvement as Cushman & Wakefield reported Q4 2023 metrics of $111.30 psf and 25.2%, respectively. While rollover risk throughout 2025 is limited to two tenants, occupying 4.0% of the NRA, the suites for both tenants are currently listed as available on the property's website with availability dates coinciding with the tenants' respective lease expiry dates. Combined, those tenants contribute $2.0 million in rental revenue. An additional four tenants (12.6% of total NRA) have scheduled lease expiration dates prior to loan maturity in September 2026. Inclusive of the upcoming tenant relocations and known future tenant departures, property occupancy would be 84.2% if no other leasing activity occurs through Q3 2025. Morningstar DBRS was not provided with an update regarding any additional pending leasing activity regarding available space; however, the servicer confirmed the leasing reserve and cash sweep reserve have balances of $1.2 million and $4.7 million, respectively. As noted above, the Morningstar DBRS Value was updated as part of the July 2024 credit rating action; in the analysis for this review, that value was maintained, which was based on a capitalization rate of 7.00% applied to the Morningstar DBRS NCF of $14.9 million. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV) Sizing Benchmarks totaling 4.0% to reflect the subject property's cash flow stability reflecting the recent leasing activity, the property quality, and the property's location within the Plaza District submarket. The Morningstar DBRS concluded value of $212.6 million represented a -71.3% variance from the issuance appraised value of $740.0 million and implies an LTV of 119.5% on the whole loan balance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-GC44: Fitch Lowers Rating on Class D Certs to 'BBsf' -------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed nine classes of COMM 2019-GC44 Mortgage Trust commercial mortgage pass-through certificates. Fitch has assigned Negative Outlooks to four classes following their downgrades. The Rating Outlooks remain Negative for four of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- COMM 2019-GC44 A-2 12655TBH1 LT AAAsf Affirmed AAAsf A-3 12655TBK4 LT AAAsf Affirmed AAAsf A-4 12655TBL2 LT AAAsf Affirmed AAAsf A-5 12655TBM0 LT AAAsf Affirmed AAAsf A-M 12655TBP3 LT AAAsf Affirmed AAAsf A-SB 12655TBJ7 LT AAAsf Affirmed AAAsf B 12655TBQ1 LT AA-sf Affirmed AA-sf C 12655TBR9 LT BBB-sf Downgrade A-sf D 12655TAG4 LT BBsf Downgrade BBBsf E 12655TAJ8 LT BB-sf Downgrade BBB-sf F 12655TAL3 LT CCCsf Downgrade B-sf G-RR 12655TAN9 LT CCsf Downgrade CCCsf X-A 12655TBN8 LT AAAsf Affirmed AAAsf X-B 12655TAA7 LT AA-sf Affirmed AA-sf X-D 12655TAC3 LT BB-sf Downgrade BBB-sf X-F 12655TAE9 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 5.8% from 4.7%. The transaction has seven Fitch Loans of Concern (FLOCs) (25.6% of the pool), including four loans (19.0%) in special servicing. The downgrades reflect increased pool loss expectations, primarily driven by the performance deterioration and receipt of a lower updated appraisal value since the prior rating action on the specially serviced FLOC 225 Bush (5.2% of the pool), along with heightened loss expectations for the specially serviced FLOC 55 Green Street (3.8%). The Negative Outlooks reflect the office concentration in the pool of 27.7% and possible further downgrades with additional value degradation, a prolonged special servicing workout and/or increased exposure on the 225 Bush and 55 Green Street loans, as well as limited performance stabilization on other FLOCs. The Negative Outlooks also incorporate an additional sensitivity scenario on the BOA Building Tulsa (1.6%) loan that assumes a higher probability of default due to lease rollover concerns. The largest increase in loss expectations since the prior rating action and largest contributor to overall pool loss expectations is the 225 Bush loan, which is secured by a 579,987-sf office property located in San Francisco, CA. The loan transferred to special servicing in November 2024 due to maturity default; the loan did not repay at its Nov. 6, 2024, maturity date and as of the May 2025 remittance is categorized as non-performing matured. Occupancy has been declining since issuance and the sponsor has been unable to backfill increasing vacancies. According to the servicer, the sponsor is not interested in retaining the property or executing a loan modification. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. In addition, Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration. This caused occupancy to decline to 40% as of June 2024 compared to 47% at December 2023, 55% at December 2022 and 97.8% at issuance. According to Costar, as of 1Q25, the submarket vacancy and asking rents were reported at 30.5% $50.85 psf, respectively; these metrics have significantly worsened from 8.1% and $75.29, respectively, at the time of issuance. The updated Fitch NCF of $10.6 million is 11% below Fitch's NCF at the prior review and 54% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2024 rent roll and assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up to a discounted rate below in-place rents and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's analysis incorporated a higher stressed capitalization rate of 9%, up from 8.75% at the prior rating action and 7.75% at issuance, to factor increased office sector and submarket performance concerns, resulting in a Fitch-stressed valuation decline that is approximately 80% below the issuance appraisal. The Fitch value/sf is in line with recent comparable sales in the market for similar quality assets. Fitch's 'Bsf' ratings case loss of 40.1% (prior to concentration add-ons) reflects its updated valuation of the asset and considers the potential for a loan disposition by the special servicer given that a loan modification is considered unlikely. The second largest contributor to overall loss expectations is the 55 Green Street loan, secured by a 54,414-sf office property located in San Francisco, CA. The loan transferred to special servicing in January 2024 after the sole tenant, Getaround, gave notice in October 2023 that they would be terminating its lease early. Getaround's initial lease expiration was March 2029. The loan started trapping cash once the tenant gave notice to vacate, and as of the May 2025 reporting, there was approximately $4.1 million in a reserve account, inclusive of a $2.1 million termination fee paid by Getaround. Per the April 2025 rent roll, the property was 48.0% occupied, compared to 17% at Q2 2024, down from 100% in 2023. New tenants at the property are Nexus Laboratories (17.6% of the NRA through December 2025), and Twelve Labs (13.5%; February 2028). All the new tenants at the property have been signing short-term leases. Fitch's 'Bsf' rating assumes a 38.1% loss case before concentration adjustments. Fitch's analysis applies a 9.5% cap rate and a sustainable long-term cash flow that incorporates the leasing of vacant spaces to achieve 68.5% occupancy at rents of $50 psf. Fitch's analysis also factors in a heightened probability of default. The third largest contributor to overall loss expectations is the USAA Office Portfolio, secured by five office properties totaling 881,490-sf located in Tampa, FL and Plano, TX. The United Services Automobile Association (USAA) occupies all five properties under four leases. USAA, a financial services and insurance company, is on a long-term triple-net lease with 3% annual escalations. Two of the four leases expire between 2029 (the year of loan maturity) and 2030, while the remaining two leases expire in 2033, four years past maturity. The property has remained fully occupied since 2020. The servicer-reported NOI DSCR was 2.72x at YE 2024, compared to 2.65x at YE 2023, and 2.57x at YE 2022. Fitch's 'Bsf' rating case loss of 5.5% (prior to concentration adjustments) reflects a 10% cap rate and 10% stress to the YE 2023 NOI. The fourth largest contributor to overall loss expectations is the BOA Building Tulsa loan, secured by a 299,342-sf office building located in Tulsa, OK. The property's largest tenants include: The Summit Corporation (12.8% of NRA, leased through December 2029), Pillars Financial (7.2%; January 2035), and Tulsa Community College (7.2%, December 2026). Per the August 2024 rent roll, the property was 79.7% occupied, compared to 87% at YE 2023, 91% at YE 2022, and 90% at YE 2021. The servicer-reported NOI DSCR was 1.46x at Q3 2024, compared to 1.20x at YE 2023, 1.48x at YE 2022, and 1.47x at YE 2021. Occupancy declined after former largest tenant, Laredo Petroleum, Inc (31.6% of NRA) did not renew its lease at the property upon lease expiry in January 2023. Additionally, Bank of America, 6.3% of the NRA, vacated upon its April 2024 lease expiration. Upcoming lease rollover includes 11.4% of the NRA in 2025. Fitch's 'Bsf' rating case loss of 14.3% (prior to concentration adjustments) reflects a 10.5% cap rate, a 15% stress to the YE 2024 NOI, and factors a heightened probability of default. Fitch also performed an additional sensitivity scenario that reflects a 100% probability of default and resulted in a 28.6% 'Bsf' sensitivity loss (prior to concentration adjustments). This scenario contributed to the Negative Outlooks. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the pool's aggregate balance has been reduced by 5.1% to $1.09 billion from $1.15 billion at issuance. Three loans (4.1%) have been fully defeased. The pool comprises 29 loans (74%) that are full-term interest-only (IO), and the remaining 26% is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to the 'AAsf' rated category could occur should performance of the FLOCs, most notably from 55 Green Street, 225 Bush, and BOA Building Tulsa, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans 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 classes rated 'AAsf' 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 such as 55 Green Street, 225 Bush, and BOA Building Tulsa; - Upgrades to the 'BBBsf' rated class 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' 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 'CCCsf' and 'CCsf' ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CPS AUTO 2025-B: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the notes issued by CPS Auto Receivables Trust 2025-B (the Issuer) as follows: -- $191,520,000 Class A Notes at AAA (sf) -- $58,430,000 Class B Notes at AA (sf) -- $70,280,000 Class C Notes at A (sf) -- $40,640,000 Class D Notes at BBB (sf) -- $59,080,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, 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 does not include a CNL trigger. -- The Series 2025-B does not include a prefunding feature. -- The Series 2025-B does 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. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. CRIBS MORTGAGE 2025-RTL1: DBRS Finalizes B Rating on M2 Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) issued by CRIBS Mortgage Trust 2025-RTL1 (CRIBS 2025-RTL1 or the Issuer) as follows: -- $167.9 million Class A1 at A (low) (sf) -- $14.9 million Class A2 at BBB (low) (sf) -- $16.2 million Class M1 at BB (low) (sf) -- $13.2 million Class M2 at B (sf) The (P) A (low) (sf) credit rating reflects 25.40% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and 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. -- Approximately $2,000,000 in the Pre-Funding Interest 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 equal to $2,000,000. 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 rating 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. CSAIL 2015-C2: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------ DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C2 issued by CSAIL 2015-C2 Commercial Mortgage Trust as follows: -- Class C to BB (high) (sf) from BBB (low) (sf) -- Class D to CCC (sf) from B (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) -- Class B at A (low) (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes B and X-B to Stable from Negative; Class C continues to carry a Negative trend. All remaining classes carry Stable trends, except for Classes D, E, F, and X-E, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss projections since the previous credit rating action in May 2024. Since that time, 80 loans in the pool have repaid. As of the May 2025 remittance, only 24 loans remain in the pool with an aggregate principal amount of $401.7 million, representing a collateral reduction of 70.9% since issuance. In the analysis for this review, Morningstar DBRS liquidated all 10 specially serviced loans (41.4% of the current pool balance) based on conservative haircuts to the most recent appraised values. Morningstar DBRS' estimated liquidated losses are likely to erode through the bottom of the capital stack, ultimately chewing through more than 60% of the Class E certificate, a primary consideration in the credit rating downgrades for Classes D and E. While Morningstar DBRS expects most of the maturing loans are likely to successfully refinance and repay from the pool, six loans, representing approximately 22% of the current pool balance, were identified as being at increased risk of maturity default based on concentrated upcoming rollover or recent declines in performance. While Class C would be insulated from losses based on the current liquidated loss projections, the credit rating downgrade and Negative trend reflect Morningstar DBRS' view that there could be further value declines for loans in special servicing through the remainder of the workout periods. In addition, as the pool continues to wind down, there is an increased propensity for interest shortfalls on that class. Interest shortfalls have increased to $4.4 million as of the May 2025 reporting, with interest being shorted up to the Class C certificate, compared with the total interest shortfall amount of $3.1 million, contained to the Class NR certificate, at the previous credit rating action in May 2024. Morningstar DBRS' wind-down scenario also indicated that the senior investment-grade-rated classes are well insulated from liquidated losses, with nearly $125.5 million in remaining credit support beneath the Class B certificate based on current loss projections, thereby supporting the change to Stable trends on both the Class B and Class X-B certificates. Morningstar DBRS concluded that the transaction's most senior classes in Class A-4, A-S, and B, are likely to be fully repaid from scheduled loan repayments and liquidation proceeds, the primary consideration in the credit rating confirmations for those classes. The largest contributor for the uptick in projected liquidated losses from the previous credit rating action is the liquidation scenario considered for the largest loan in the pool, Westfield Wheaton (Prospectus ID#1, 23.7% of the current pool balance), which transferred to special servicing in March 2025 for maturity default. The pari passu loan also has loan pieces in two other Morningstar DBRS-rated CMBS transactions: CSAIL 2015-C1 and CSAIL 2015-C3. The loan is secured by a super-regional mall in Wheaton, Maryland, owned and operated by the loan sponsor, Unibal-Rodamco-Westfield (URW). In recent years, URW has been selling off assets within its United States-based portfolio, and the servicer reports there are active negotiations ongoing with a prospective buyer for the subject property. As of the YE2024 financials, the property was 99.0% occupied, a notable increase from the YE2023 figure of 93.0%. The debt service coverage ratio (DSCR) figures during the same periods were 2.22 times (x) and 2.02x, respectively, below the issuance DSCR of 2.43x. The subject benefits from a nontraditional anchor mix that includes Target, Costco Wholesale, Macy's (10.6% of the net rentable area (NRA); lease expiry in January 2026), and JCPenney (13.3% of the NRA; lease expiry in May 2028). In addition to Macy's, there is another 10.2% of the NRA with leases scheduled to expire in the next 12 months. While the property has maintained stable performance to date, the lack of clarity on the sponsor's takeout plan, as well as the concentration of rollover and exposure to Macy's and JCPenney, both of which have been reported to be closing stores as part of respective plans to cut costs, suggests significantly increased risks for the loan. As a result, Morningstar DBRS analyzed a conservative scenario and liquidated the loan with a 50% haircut to the $402.0 million issuance value, resulting in a loss severity approaching 20.0%. Another large contributor to Morningstar DBRS' projected losses is a second URW-sponsored loan backed by a regional mall: Westfield Trumbull (Prospectus ID#5, 8.5% of the current pool balance), which is secured by a regional mall in Trumbull, Connecticut. This pari passu loan has notes securitized in the same three transactions as the Westfield Wheaton loan. The loan transferred to special servicing in March 2025 for imminent monetary default and is currently cash managed. The borrower has requested a loan modification and discussions are currently underway. The most recent servicer provided financials reported annualized net cash flow of $10.8 million at Q3 2024, reflecting a DSCR of 1.83x, down from 2.73x at issuance. The property was 80.4% occupied as per the December 2024 rent roll, with leases totaling 13.7% of the NRA scheduled to expire in the next 12 months. The collateral includes the Macy's anchor pad (18.8% of the NRA), which recently renewed its lease, extending the expiration date beyond the loan maturity in April 2029, and all in-line space. Additional noncollateral anchors in JCPenney and Target are open, and one noncollateral pad that was previously occupied by Lord & Taylor has been vacant since 2021. The subject property was last appraised at issuance in November 2014 for $262.0 million; however, given the cash flow decline since issuance, it is likely that value has fallen significantly. As such, Morningstar DBRS considered a 65% haircut to the November 2014 appraisal, resulting in a $13.5 million loss and a loss severity of 40%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2016-C7: Fitch Lowers Rating on Class D Notes to 'Bsf' ------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed seven classes of Credit Suisse CSAIL 2016-C7 Commercial Mortgage Trust Mortgage Pass Through Certificates. Following their downgrades, classes C and D were assigned Negative Outlooks. The Outlooks for classes A-S, X-A, B, and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2016-C7 A-4 12637UAV1 LT AAAsf Affirmed AAAsf A-5 12637UAW9 LT AAAsf Affirmed AAAsf A-S 12637UBA6 LT AAAsf Affirmed AAAsf A-SB 12637UAX7 LT AAAsf Affirmed AAAsf B 12637UBB4 LT AA-sf Affirmed AA-sf C 12637UBC2 LT BBBsf Downgrade A-sf D 12637UAG4 LT Bsf Downgrade BBsf E 12637UAJ8 LT CCsf Downgrade CCCsf F 12637UAL3 LT Csf Downgrade CCCsf X-A 12637UAY5 LT AAAsf Affirmed AAAsf X-B 12637UAZ2 LT AA-sf Affirmed AA-sf X-E 12637UAA7 LT CCsf Downgrade CCCsf X-F 12637UAC3 LT Csf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased to 9.2% from 7.8% at Fitch's prior rating action. Twelve loans (46.7% of the pool) are considered Fitch Loans of Concern (FLOCs), including one specially serviced loan (1.3%). The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven by the performance declines and refinanceability concerns for the FLOCs, including Gurnee Mills (11.5% of the pool), CVS Office Centre Building (3.8%), Peachtree Mall (3.1%), and Sweet Candy Building (1.8%). The Negative Outlooks reflect the potential for downgrades if performance of the FLOCs deteriorates beyond Fitch's current expectations, including worsened recovery and/or prolonged workout on specially serviced loans/assets, and/or if more loans than anticipated fail to refinance. The pool has significant upcoming maturities with 96% of the loans scheduled to mature between December 2025 and November 2026. Therefore, Fitch performed an additional sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and perceived likelihood of repayment and/or loss expectation. Today's rating actions incorporate this analysis. Regional Malls/Largest Contributors to Loss Expectations: The largest contributor to Fitch's overall loss expectations is the Gurnee Mills loan, which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and Hobby Lobby/ Round 1 Bowling & Amusement (in the space previously occupied by Sears). The loan previously transferred to the special servicer in June 2020 for imminent monetary default, returning to the master servicer in May 2021 after receiving forbearance. Per the December 2024 rent roll, the property was 88% occupied, compared to 80% at March 2024, 76.4% at June 2023, 80% at YE 2022, 77% at YE 2021, 86.7% at YE 2020 and 93% at issuance. New tenants that opened in 2024 include Round 1 Bowling & Amusement and Reclectic. The vacant space formerly occupied by Bed Bath & Beyond (3.6% of NRA) is expected to be taken over by Boot Barn and Primark in 2025. The property is encountering near-term lease rollover, with leases totaling 11% of the NRA expiring through 2025, including Bass Pro Shops (8.1% of NRA; December 2025 lease expiration). Additionally, 15% of leases are set to expire in 2026, including Floor and Décor (6.3%) and Value City Furniture (4.7%). The servicer-reported NOI DSCR was 1.87x at September 2024 compared to 1.87x at YE 2023, 2.06x at YE 2022, 1.86x at YE 2021, 1.24x at YE 2020, and 1.42x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 30% (prior to concentration add-ons) reflects a 15% stress to the YE 2023 NOI and a 12% cap rate. It also incorporates an increased probability of default given concerns with refinanceability and potential for maturity default. The second largest contributor to overall loss expectations is the Peachtree Mall loan, which is secured by a 621,367-sf portion of an 822,443-sf regional mall located in Columbus, GA and sponsored by Brookfield Properties Retail Group. The mall is anchored by a non-collateral Dillard's and collateral tenants that include JCPenney and Macy's. Per the December 2024 rent roll, collateral occupancy declined to 73%, down from 91% in February 2024, 93.5% in March 2023, 91% in 2021 and 93% in 2020; the recent occupancy decline is mostly due to tenant At Home (14% of NRA) vacating. Servicer-reported NOI DSCR for this amortizing loan was 1.61x as of YE 2024, compared with 1.54x at YE 2023, 1.56x at YE 2022, 1.58x at YE 2021 and 1.56x at YE 2020. Fitch's 'Bsf' rating case loss of approximately 40% (prior to concentration add-ons) reflects a 25% stress to the YE 2024 NOI and a 21% cap rate. It also incorporates an increased probability of default due to the loan's heightened maturity default risk. The third largest contributor to overall loss expectations is the CVS Office Centre Building loan, which is secured by a 226,501-sf office property located in Monroeville, PA. The property has been 100% leased to CVS Procare Pharmacy Direct since 2009 and has a lease expiration in August 2026, only three months before the loan matures in November 2026. The loan is structured to amortize down to $22.2 million at maturity, based on a 28-year amortization schedule. Additionally, the loan is structured to collect $3.4 million in ongoing reserves for the first eight years and $3.1 million will be collected in years nine and 10 from a 24-month cash flow sweep, unless CVS renews their lease. Fitch's 'Bsf' rating case loss of approximately 28% (prior to concentration add-ons) reflects a 20% stress to the YE 2024 NOI due to uncertainty with the upcoming CVS lease expiration, a 11% cap rate and factors an increased probability of default due to the loan's heightened maturity default risk. Increased Credit Enhancement: As of the May 2024 distribution date, the pool's aggregate balance has been paid down by 20.2% to $612.8 million from $767.6 million at issuance. The pool has experienced no realized losses since issuance. Twelve loans (17.4%) have been defeased. The deal has interest shortfalls of approximately $865,000 that is currently affecting the non-rated class NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to higher pool defeasance, increasing credit enhancement (CE) and continued paydowns from loan amortization and repayments. Downgrades are possible if deal-level losses increase significantly and/or if interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf rated class and classes rated in the 'AAsf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office and retail FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These FLOCs include Gurnee Mills, CVS Office Centre Building, Peachtree Mall, and Sweet Candy Building. Downgrades to the classes rated in 'BBBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, in particular the office and retail mall FLOCs, or should additional loans fail to repay at maturity. Downgrades to the distressed classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' category may occur with increased CE from additional paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stable-to-improved performance on the FLOCs, including Gurnee Mills, CVS Office Centre Building, Peachtree Mall, and Sweet Candy Building. Upgrades to the class rated in the 'BBBsf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the class rated in the 'Bsf' category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are unlikely, but possible with better-than-expected recoveries on specially serviced loans and/or significantly improved performance of 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. DBSG 2024-ALTA: DBRS Confirms BB(high) Rating on HRR Certs ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-ALTA issued by DBSG 2024-ALTA Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since issuance. While the transaction is early in its life cycle, having closed in May 2024, the underlying collateral continues to perform well, as evidenced by the most recently reported occupancy rate of 95.8% as of the March 2025 rent roll. The transaction is collateralized by the borrower's fee-simple interest in a 43-story, Class A high-rise apartment building totaling 467 units with 42,878 square feet of retail space in Long Island City, New York. The sponsor of the loan is Affinius Capital, an institutional real estate investment firm with more than $32.0 billion in assets under management spanning a diverse portfolio of life science, multifamily, industrial, data center, and office properties across North America and Europe. The three-year fixed-rate interest-only loan matures in June 2027 and does not include any extension options. The transaction proceeds of $217.0 million, along with sponsor equity of $4.8 million, refinanced $216.5 million of debt and funded various reserves including a $0.3 million capital expenditure reserve and a $1.6 million free rent reserve. The sponsor had approximately $114.5 million of equity remaining in the transaction at closing. In 2023, the sponsor terminated a management lease for 169 units with Common, which operated a co-living program at the asset since 2021, to save on expenses, better manage the asset, and push rents. The sponsor is in the process of repositioning the remaining 115 co-living units to traditional leases at market rents per regulations. At the time of loan securitization, 54 units were transitioned to conventional units and, of those, 37 had been re-leased, achieving rent premiums of approximately 6.9%. Morningstar DBRS requested a status update from the servicer regarding the repositioning of the remaining 115 co-living units; however, a response remains pending as of the date of this press release. As the sponsor's business plan is to convert 169 previously master-leased co-living units to traditional apartments is minor in scope, Morningstar DBRS believes there is minimal execution risk. Morningstar DBRS did not assume a stabilization credit in its net cash flow (NCF). As of the March 2025 rent roll, the property's residential occupancy rate was 95.8% with the commercial component 100.0% occupied. The property is in the Reis-defined Queens County submarket, which has displayed positive trends in both vacancy rates and rent growth since Q4 2020. According to Reis, the vacancy rate in this submarket was 3.2% as of Q4 2024, with an average vacancy rate consistently below 3.5% since 2020. Furthermore, between Q4 2020 and Q4 2024, the submarket experienced a substantial increase in effective rents, rising nearly 35%, to $3,190 a month from $2,372 a month. As of Q4 2024, Reis reported that the average asking rent for properties of comparable age (constructed between 2010 and 2019) is $4,379 a month, which exceeds the subject's average rent of $4,184 a month. However, the property benefits from a 421-a tax abatement through June 2034, well past the loan term. The abatement exempts the property from 100% of its taxes on improvements for the first 11 years, with the exemption percentage declining in 20% increments every other year until 2034, when the exemption expires. Given the tax exemption, the borrower is required to maintain 161 affordable housing units at the property. In return, those units have a cap on rent growth, which is the primary reason the property's current average rent is below market rent. For this review, Morningstar DBRS maintained the value of $269.6 million derived at issuance for the underlying property. The Morningstar DBRS Value considered an NCF of $16.9 million and a capitalization rate of 6.25%, which resulted in a Morningstar DBRS Loan-to-Value Ratio (LTV) of 80.5% on the $217.0 million senior mortgage loan. The collateral was appraised at $326.9 million, representing an LTV of 66.4% on the $217.0 million senior mortgage loan. Morningstar DBRS' concluded value estimate represents a ¿17.5% variance to the appraiser's stabilized value estimate. Morningstar DBRS made total qualitative adjustments of 5.25% to reflect the strong submarket fundamentals, high property quality, and low cash flow volatility. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 55 CLO: S&P Lowers Class E Notes Rating to 'B+ (sf)' ----------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C debt from Dryden 55 CLO Ltd. S&P also lowered its ratings on the class E and F debt and removed them from CreditWatch, where it had placed them with negative implications in May 2025. At the same time, S&P affirmed its ratings on the class A-1 and D debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the March 2025 trustee report. Although the same portfolio backs all the tranches, there can be circumstances where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. The transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses and an increase in defaults (which decreased the junior credit support). The transaction has paid down $200.67 million to the class A-1 debt since S&P's July 2020 rating actions. The following are the changes in the reported overcollateralization (O/C) ratios since the May 2020 trustee report, which S&P used for its previous rating actions: -- The class B-R2 O/C ratio improved to 135.94% from 125.43%. -- The class C-R2 O/C ratio improved to 122.40% from 117.29%. -- The class D-R2 O/C ratio improved to 110.14% from 119.36%. -- The class E-R2 O/C ratio declined to 104.43% from 105.46%. -- Class F is not supported by an O/C test. The upgraded ratings reflect the improved credit support available to the notes at prior rating levels primarily due the paydowns. S&P said, "Though cash flows suggested a higher rating on both the class B and C note debt, our actions reflect our consideration of the results of extra sensitivity analysis we ran given the CLO's exposure to 'CCC' rated collateral and some obligors with low market values." While the senior debt credit support improved, the junior debt's support were more affected by the combination of par losses and defaults. In addition, although some of the portfolio's credit quality has improved since our last review in July 2020, the recovery rates have declined overall. As a result of these factors, credit support has weakened for junior tranches, and the cash flows of the class E and F debt are no longer passing at their respective previous ratings. The lowered ratings on the class E and F debt reflect the decrease in their credit support levels at their respective previous ratings. On a standalone basis, the result of the cash flow analysis for class F indicated a lower rating than the one reflected by the rating action. While S&P believes that the Class F debt now aligns with its 'CCC' rating category, S&P limited its downgrade to one notch to 'CCC+ (sf)' after considering its pure O/C (trustee O/C without haircut) and the CLO's relatively low exposure to 'CCC'/'CCC-' rated assets. However, any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative rating actions on both notes. The affirmed rating reflects S&P's view that the credit support available is commensurate with the current rating level. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, as well as on 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 Dryden 55 CLO Ltd. Class B to 'AA+ (sf)' from 'AA (sf)' Class C to 'AA- (sf)' from 'A (sf)' Ratings Lowered And Removed From CreditWatch Dryden 55 CLO Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch neg' Class F to 'CCC+ (sf)' from 'B- (sf)/Watch neg' Ratings Affirmed Dryden 55 CLO Ltd. Class A-1: AAA (sf) Class D: BBB- (sf) Other Debt Dryden 55 CLO Ltd. Class A-2: NR Subordinate notes: NR NR--Not rated. DWIGHT 2025-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Dwight 2025-FL1 Issuer LLC as follows: - $531,875,000a class AAA 'AAAsf'; Outlook Stable; - $122,562,000a class A-S 'AAAsf'; Outlook Stable; - $63,594,000a class B 'AA-sf'; Outlook Stable; - $49,719,000a class C 'A-sf'; Outlook Stable; - $30,062,000a,b class D 'BBBsf'; Outlook Stable; - $0c class D-E 'BBBsf'; Outlook Stable; - $0d class D-X 'BBBsf'; Outlook Stable; - $15,031,000a,b class E 'BBB-sf'; Outlook Stable; - $0c class E-E 'BBB-sf'; Outlook Stable; - $0d class E-X 'BBB-sf'; Outlook Stable; - $30,063,000b,e class F 'BB-sf'; Outlook Stable; - $0c class F-E 'BB-sf'; Outlook Stable; - $0d class F-X 'BB-sf'; Outlook Stable; - $20,812,000b,e class G 'B-sf'; Outlook Stable; - $0c class G-E 'B-sf'; Outlook Stable; - $0d class G-X 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $61,282,000e,f *income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable notes: The classes D, E, F, and G notes are exchangeable for proportionate interest in the MASCOT notes, subject to satisfaction of certain conditions and restrictions, provided that, at the time of the exchange, such notes are owned by a wholly owned subsidiary of Dwight REIT. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 6.625% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $778,901,081 and does not include future funding. The expected ratings are based on information provided by the issuer as of May 23, 2025. Transaction Summary The notes are collateralized by 31 loans secured by 38 commercial properties having an aggregate principal balance of $778,901,081 as of the cutoff date. The pool includes one delayed closing loan totaling $77.5 million, which is expected to close withing 60 days. The pool also includes ramp-up collateral interest of approximately $146.1 million. The pool does not include $76.8 million of future funding. The loans and interest securing the notes will be owned by Dwight 2025-FL1 Issuer LLC as the issuer of the notes. The servicer and special servicer are expected to be Situs Asset Management LLC and Situs Holdings, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed detailed cash flow analysis for 31 loans in the pool (100.0% by balance) and asset summary reviews of all the loans in the pool. Fitch's aggregate net cash flow (NCF), including the prorated trust portion of any pari passu loan, is $63.1 million, which represents a 14.9% decline from the issuer's aggregate underwritten net cash flow NCF of $54.9 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 151.4% is worse than the 2024 and 2025 YTD CRE-CLO transaction averages of 140.7% and 137.9%, respectively. The pool's Fitch NCF debt yield (DY) of 6.0% is weaker than both the 2024 and 2025 YTD averages of 6.5% and 6.6%, respectively. Low Loan Concentration: The pool is less concentrated than 2024 transactions but more highly concentrated than recently rated 2025 Fitch transactions. The largest 10 loans represent 63.5% of the pool, which is less concentrated than the 2024 YTD five-year multiborrower average of 70.5% and more concentrated than the 2025 YTD average of 60.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.7 which was higher than the 2024 average of 16.9 and the 2025 YTD five-year multiborrower average of 20.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Loan Seasoning: The pool contains more seasoned loans than recently rated Fitch CRE-CLO transactions. The pool's WA seasoning of 12.8 months is higher than both the 2024 CRE-CLO and the 2025 YTD averages of 8.8 months and 10.0 months, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'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 MIR sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash ﬂow modeling referenced in its "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash ﬂow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on 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. ELMWOOD CLO 41: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Elmwood CLO 41 Ltd./ Elmwood CLO 41 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 Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 41 Ltd./Elmwood CLO 41 LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $12.70 million: BB- (sf) Class F (deferrable), $7.00 million: B- (sf) Subordinated notes, $30.00 million: Not rated FIGRE TRUST 2025-HE3: S&P Assigns Prelim B- (sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to FIGRE Trust 2025-HE3's mortgage-backed notes. The transaction's issuance is an RMBS securitization backed by first- and subordinate-lien, simple interest, fixed-rate, fully amortizing residential mortgage loans that are open ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 4,368 initial HELOCs plus 257 subsequent draws (4,625 HELOC mortgage loans), which are ability to repay-exempt. The preliminary ratings are based on information as of June 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample 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. Our outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned FIGRE Trust 2025-HE3(i) Class A, $233,694,000: AAA (sf) Class B, $25,887,000: AA- (sf) Class C, $39,363,000: A- (sf) Class D, $19,858,000: BBB- (sf) Class E, $17,022,000: BB- (sf) Class F, $12,235,000: B- (sf) Class G, $6,560,566: NR Class XS, notional(ii): NR Class FR(iii): 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 class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate owned properties as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. NR--Not rated. FLAGSHIP CREDIT 2022-4: S&P Lowers Cl. E Notes Rating to CCC (sf) ----------------------------------------------------------------- S&P Global Ratings raised its ratings on eight classes, lowered its ratings on nine classes, and affirmed its ratings on seven classes of notes from Flagship Credit Auto Trust (FCAT) 2021-3, 2021-4, 2022-1, 2022-2, 2022-3, and 2022-4, ABS transactions that are backed by subprime retail auto loan receivables originated by Flagship Credit Acceptance LLC and CarFinance Capital LLC and serviced by Flagship Credit Acceptance LLC. At the same time, S&P removed the CreditWatch negative placement on nine classes from FCAT 2021-3, 2021-4, 2022-1, 2022-3, and 2022-4, where they were placed on March 6, 2025. The rating actions reflect: -- Each transaction's collateral performance to date and its expectations regarding future collateral performance, including an increase in each series' cumulative net loss (CNL) expectations; -- Each transaction's structure and its respective credit enhancement level; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which 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, lowered, and affirmed ratings. Each transaction's collateral performance continues to trend worse than our previously revised CNL expectations. Cumulative gross losses continue to be elevated, cumulative recoveries lower, and CNLs heightened. Additionally, delinquencies and extensions for these transactions are elevated. Despite FC Funding LLC's one-time capital contributions to FCAT 2022-3 (January 2024) and FCAT 2022-4 (April 2024) to remedy the series' poor performance by building each series' overcollateralization to their targets and increasing their reserve accounts beyond their targets, the series' rapid acceleration of charge-offs and losses within the last 12 months eroded these supportive contributions. Excess spread is insufficient to cover the full extent of net losses and, as such, overcollateralization and, in the case of FCAT 2022-3, the reserve account are being eroded by the heightened net losses. As of May 2025 distribution date: -- FCAT 2022-2 is under-collateralized by 6.66% of the current pool balance (the overcollateralization and reserve account were depleted as of the June 2024 and October 2024 distribution dates, respectively). -- The overcollateralization amounts for FCAT 2022-1 and 2022-3 are depleted. As a result, the reserve amounts are being drawn to satisfy principal payment. -- FACT 2021-4's overcollateralization amount will be depleted in the next distribution month, and it is highly likely the reserve amount will be utilized to satisfy principal payment. -- FACT 2021-3 and 2022-4 are below their target overcollateralization amounts, and, unless performance improves significantly, both series are at risk of depleting their overcollateralization amounts putting their reserve amounts at risk. With the exception of FCAT 2022-2, which is already under-collateralized, each series is vulnerable to the heightened losses and at risk of becoming under-collateralized. Table 1 FCAT collateral performance (%)(i) Pool 60+ day Series Mo. factor delinq. Ext. CGL CRR CNL 2021-3 45 18.05 10.00 2.55 20.44 38.93 12.48 2021-4 42 21.11 9.95 2.65 21.59 36.01 13.82 2022-1 39 25.09 9.48 2.28 23.38 38.23 14.44 2022-2 36 29.55 9.69 3.09 29.05 37.26 18.22 2022-3 33 33.05 9.57 3.20 27.84 35.60 17.93 2022-4 30 38.52 9.43 3.00 24.67 37.11 15.51 (i)As of the May 2025 distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 FCAT overcollateralization summary (%)(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-3 2.04 3.40 1,397,930 3,798,838 2021-4 0.06 4.00 40,045 3,106,106 2022-1 0.00 4.40 0 3,881,060 2022-2 0.00 7.25 0(iv) 13,067,933 2022-3 0.00 6.70 0 12,126,501 2022-4 6.61 9.90 10,687,439 16,014,878 (i)As of the May 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the overcollateralization target on any distribution date is equal to the greater of the target percentage of the current pool balance and 1% of the initial pool balance. (iv)The series 2022-2 is currently under-collateralized (the collateral balance is less that the notes' balance) by $12,010,934 as of the May 2025 distribution date. Table 3 FCAT Reserve amount summary (%)(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-3 5.54 1.00 3,798,838 3,798,838 2021-4 4.74 1.00 3,106,106 3,106,106 2022-1 6.88 1.85 6,065,344 6,504,528 2022-2 0.00 1.05 0 6,405,741 2022-3 4.13 1.00 7,478,999(iv)5,476,676 2022-4 3.67 1.00 5,934,792(v) 4,200,000 (i)As of the May 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal the target percentage of the initial pool balance. (iv)In January 2024, FC Funding LLC made a capital contribution of $3.5 million (1.09% of the current pool balance) to the reserve account to support the series. (v)In April 2024, FC Funding LLC made a capital contribution of $1.7 million (0.68% of the current pool balance) to the reserve account to support the series. In view of each series' performance to date, coupled with continued adverse economic headwinds and relatively weaker recovery rates, S&P further increased its expected CNLs for each series. Table 4 CNL expectations (%) Original Current revised lifetime Previous revised lifetime Series CNL exp. lifetime CNL exp. CNL exp.(i) 2021-3 11.00-11.50 12.50(ii) 15.00 2021-4 11.25-11.75 13.75(ii) 17.50 2022-1 11.25-11.75 15.25(ii) 19.50 2022-2 11.25-11.75 22.00(iii) 25.00 2022-3 11.25-11.75 19.50(ii) 25.50 2022-4 11.25-11.75 19.25(iv) 24.00 (i)As of the May 2025 distribution date. (ii)Revised February 2024. (iii)Revised September 2024. (iv)Revised May 2024. CNL exp.--Cumulative net loss expectations. Notwithstanding the decrease in overcollateralization or the reserve account, the transactions' sequential principal payment structures have led to an increase in the other components of hard credit enhancement since issuance, which generally benefits the senior notes as their collateral pools amortize. Table 5 Hard credit support(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current)(ii) 2021-3 C 12.40 67.98 2021-3 D 5.60 30.31 2021-3 E 1.50 7.58 2021-4 C 12.50 56.90 2021-4 D 5.50 23.75 2021-4 E 1.50 4.80 2022-1 B 24.80 96.36 2022-1 C 14.25 54.31 2022-1 D 6.65 24.02 2022-1 E 2.35 6.88 2022-2 B 27.45 78.53(iii) 2022-2 C 17.35 46.48(iii) 2022-2 D 9.25 20.78(iii) 2022-2 E 2.70 0.00(iii) 2022-3 A-3 34.05 99.90 2022-3 B 27.00 78.57 2022-3 C 16.20 45.89 2022-3 D 9.20 24.71 2022-3 E 2.40 4.13 2022-4 A-3 37.70 93.88 2022-4 B 31.00 76.48 2022-4 C 20.10 48.18 2022-4 D 14.00 32.34 2022-4 E 5.50 10.28 (i)As of the collection period ended April 30, 2025. (ii)Calculated as a percentage of the total receivable pool balance and, if applicable, consisting of a reserve account, overcollateralization, and subordination. Excludes excess spread that can also provide additional enhancement. (iii)Calculated as a percentage of the total bonds outstanding due to the current under-collateralization of the transaction. S&P said, "Given our expectation that each series will continue to incur losses at a elevated pace which, increase the risk of under-collateralization (like FCAT 2022-2) and the vulnerability of the two most subordinated classes, D and E, we have taken rating actions reflecting this risk. We lowered the class E ratings to 'CC (sf)' for FCAT 2021-4, 2022-1, and 2022-3 and to 'CCC (sf)' for FCAT 2021-3 and 2022-4. Additionally, we lowered the class D ratings to 'BB (sf)' for FCAT 2021-4, 'BB- (sf)' for FCAT 2022-1, 'B (sf)' for FCAT 2022-3, and 'BBB- (sf)' for FCAT 2022-4. As per "S&P Global Ratings Definitions," published Dec. 2, 2024, an obligation rated 'CCC' is currently vulnerable to nonpayment, and an obligation rated 'CC' is currently highly vulnerable to nonpayment, and we expect a default to be a virtual certainty. "For each series, we incorporated a cash flow analysis to assess the loss coverage levels for the notes, giving credit to stressed excess spread. Our 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. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. In our view, the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, based on the cash flow results demonstrated that all of the classes have adequate credit enhancement at the raised, lowered, and affirmed rating levels, which is based on our analysis as of the May 2025 distribution date. "We will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Flagship Credit Auto Trust Rating Series Class To From 2021-3 C AAA (sf) AA (sf) 2021-4 C AAA (sf) AA (sf) 2022-1 C AA (sf) AA- (sf) 2022-2 B AAA (sf) AA+ (sf) 2022-2 C A+ (sf) A- (sf) 2022-3 B AAA (sf) AA+ (sf) 2022-4 B AAA (sf) AA (sf) 2022-4 C A+ (sf) A (sf) RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Flagship Credit Auto Trust Rating Series Class To From 2021-3 E CCC (sf) BB (sf)/Watch Neg 2021-4 D BB (sf) A- (sf)/Watch Neg 2021-4 E CC (sf) BB (sf)/Watch Neg 2022-1 D BB- (sf) BBB+ (sf)/Watch Neg 2022-1 E CC (sf) BB- (sf)/Watch Neg 2022-3 D B (sf) BBB (sf)/Watch Neg 2022-3 E CC (sf) BB- (sf)/Watch Neg 2022-4 D BBB- (sf) BBB (sf)/Watch Neg 2022-4 E CCC (sf) BB- (sf)/Watch Neg RATINGS AFFIRMED Flagship Credit Auto Trust Series Class Rating 2021-3 D A- (sf) 2022-1 B AAA (sf) 2022-2 D B- (sf) 2022-2 E CC (sf) 2022-3 A-3 AAA (sf) 2022-3 C A (sf) 2022-4 A-3 AAA (sf) GALAXY 31: 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-R, B-R, C-R, D-R, and E-R debt from Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC, a CLO managed by PineBridge Investments LLC that was originally issued in March 2023. The preliminary ratings are based on information as of June 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 10, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The stated maturity and reinvestment period will be extended by 2.25 years and the non-call period will be extended by 2.20 years. -- The transaction's liabilities will increase by $26.93 million with target par increasing by $25 million. 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 Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC Class A-R, $289.750 million: AAA (sf) Class B-R, $71.250 million: AA (sf) Class C-R (deferrable), $28.500 million: A (sf) Class D-R (deferrable), $28.500 million: BBB- (sf) Class E-R (deferrable), $16.625 million: BB- (sf) Other Debt Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC Subordinated notes, $40.160 million: Not rated GCAT 2025-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GCAT 2025-NQM2 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, 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 (non-QM) mortgage loans (69.96% by balance) and ability-to-repay (ATR)-exempt mortgage loans (27.26% by balance). In addition, 2.59% of the mortgage loans (by balance) are QM/safe harbor, and 0.18% of the mortgage loans (by balance) are QM/higher-priced mortgage loans (HPML). The principal balance is approximately $459.46 million as of the cutoff date. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, 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. The outlook is updated, if necessary, when these projections change materially. 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, $18,379,000,000: 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 ratings address 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. GOLUB CAPITAL 66(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 66(B)-R, Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 66(B)-R, Ltd. A 38179MAA4 LT PIFsf Paid In Full AAAsf A-J 38179MAC0 LT PIFsf Paid In Full AAAsf A-R LT NRsf New Rating B 38179MAE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38179MAG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38179MAJ5 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 381731AA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Golub Capital Partners CLO 66(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by OPAL BSL LLC. The CLO originally closed in April 2023, and its secured notes were refinanced on June 3, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.35, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.07% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.29% versus a minimum covenant, in accordance with the initial expected matrix point of 75.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 54% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 66(B)-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GS MORTGAGE 2013-PEMB: S&P Affirms CCC (sf) Rating on Cl. D Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2013-PEMB, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on two classes from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a 12-year, 3.562% per annum fixed-rate, interest-only mortgage loan totaling $260.0 million (as of the May 7, 2025, trustee remittance report), secured by a portion (748,818 sq. ft.) of Pembroke Lakes Mall, a 1.1. million-sq.-ft. regional mall built in 1992 and located in Pembroke Pines, Fla., about 15 miles southwest of downtown Ft. Lauderdale. Anchor tenants include: Dillard's (noncollateral; 157,473 sq. ft.), Macy's (collateral; 181,847 sq. ft.; January 2028 lease expiration), Round One Entertainment (ground lease, 101,634 sq. ft., May 2032), Macy's Home Storage (ground lease, 70,000 sq. ft.; January 2028), and AMC Theatres (ground lease, 40,130 sq. ft.; October 2032). Round One Entertainment and AMC Theatres backfilled the former Sears space in 2022 and 2017, respectively. The loan matured March 1, 2025. Rating Actions The downgrades on classes A, B, and C and affirmations on classes D and E primarily reflect: -- S&P's revised expected-case valuation for the collateral property, which is 8.3% lower than the value it derived in its last review in April 2024. -- S&P's observation that although the collateral property's reported net cash flow (NCF) and occupancy levels have generally been stable over the past three years, the current NCFs are still significantly below pre-pandemic levels. S&P does not expect it to materially improve in the near term. -- That the loan, which has a reported nonperforming matured balloon payment status, transferred to special servicing in March 2025 because of maturity default. The sponsor, Brookfield Properties Retail Group ('BB-/Stable'), was unable to pay the loan off by its March 1, 2025, maturity date. Based on the property's current reported performance and our expectation that the market value has significantly decline from the issuance-appraised value, S&P believes that the sponsor will continue to face challenges in refinancing the loan in full unless it contributes capital. -- The downgrade on class C to 'CCC (sf)' and the affirmations of class D at 'CCC (sf)' and class E at 'CCC- (sf)' also reflect S&P's qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions and that these classes are vulnerable to default. According to the May 2025 trustee remittance report, the loan has a total reported exposure of $261.6 million, which included servicer advancing $1.6 million for debt service payments due to the implementation of cash management (which the special servicer expects to be repaid in the June 2025 payment period) and $32,500 for other expenses. According to the special servicer, KeyBank Real Estate Capital, it is currently exploring various resolution options with the sponsor, including a potential loan modification and extension. S&P said, "We will continue to monitor the performance of the mall property and loan, as well as the strategy and timing of any potential workout. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered, or if the potential workout strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Updates S&P said, "In our April 2024 review, we noted that the collateral property's reported performance was relatively stable, but still well below pre-pandemic levels. At that time, we assumed an occupancy rate of 94.4%, an S&P Global Ratings' gross rent of $37.85 per sq. ft., and an operating expense ratio of 32.1% to arrive at an S&P Global Ratings' long-term sustainable NCF of $18.6 million. Using an S&P Global Ratings' capitalization rate of 8.25%, we derived an S&P Global Ratings' expected-case value of $225.4 million. According to the March 31, 2025, rent roll, the collateral property remained well occupied, at 95.2%, after adjusting for known tenant movements, including Forever XXI (1.8% of net rentable area [NRA]). The tenant filed for chapter 11 bankruptcy protection in March 2025 and announced it will close all its U.S. stores. The five largest tenants comprising 55.4% of collateral NRA included: -- Macy's (24.3% of NRA, 7.5% of gross rent as calculated by S&P Global Ratings; January 2028 lease expiration); -- Round One Entertainment (ground lease; 13.6%; 0.0%; May 2032); -- Macy's Home Store (ground lease, 9.4%; 0.7%; January 2028); -- AMC Theatres (ground lease, 5.4%, 0.0%, October 2032); and -- H&M (2.7%, 4.3%; January 2027). The property faces minimal (less than 10% of NRA) tenant rollover except in 2028 (40.1% of NRA, 23.7% of S&P Global Ratings' gross rent) and 2032 (22.4%, 9.5%). According to the March 2025 tenant sales report, the mall had in-line sales of about $447 per sq. ft. and an occupancy cost of 17.3%, as calculated by S&P Global Ratings. In our April 2024 review, S&P calculated in-line sales of $454 per sq. ft., and an occupancy cost of 19.3%. S&P said, "In our current property-level analysis, using a 95.2% occupancy rate, a $35.16 per sq. ft. S&P Global Ratings' average gross rent, and a 31.0% operating expense ratio, we derived an S&P Global Ratings' long-term sustainable NCF of $18.6 million, unchanged from our last review. Using a 9.00% S&P Global Ratings' capitalization rate (up 75 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 valuation of $206.6 million, which is 8.3% below our last review value and 51.6% lower than the issuance appraisal value of $427.0 million. The revised expected-case value yielded an S&P Global Ratings' loan-to-value ratio of 125.8% on the current trust balance." Table 1 Servicer-reported collateral performance Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i) 2021(i) Occupancy rate (%) 95.1 93.1 93.5 90.7 Net cash flow (mil. $) 13.3 18.2 18.8 19.7 Debt service coverage (x) 1.88 1.94 2.01 2.10 Appraisal value (mil. $)(ii) 427.0 427.0 427.0 427.0 (i)Reporting period. (ii)At issuance, as of Jan. 29, 2013. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (May 2025)(i) (April 2024)(i) (April 2013)(i) Occupancy rate (%) 95.2 94.4 93.2 Net cash flow (mil. $) 18.6 18.6 22.9 Capitalization rate (%) 9.00 8.25 6.75 Value (mil. $) 206.6 225.4 338.1 Value per collateral 276 301 451 sq. ft. ($) Loan-to-value ratio (%) 125.8 115.3 76.9 (i)Review period. Ratings Lowered GS Mortgage Securities Corp. Trust 2013-PEMB Class A to 'BB+ (sf)' from 'A- (sf)' Class B to 'B (sf)' from 'BB- (sf)' Class C to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed GS Mortgage Securities Corp. Trust 2013-PEMB Class D: CCC (sf) Class E: CCC- (sf) GS MORTGAGE 2015-GC28: DBRS Confirms CCC Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC28 issued by GS Mortgage Securities Trust 2015-GC28 as follows: -- Class D to BB (sf) from BBB (low) (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class X-C to CCC (sf) from BB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class F at CCC (sf) The trend on Class D is Negative. Classes E, F, and X-C no longer carry a trend given the CCC (sf) or lower credit ratings. The credit rating downgrades reflect ongoing interest shortfalls that have exceeded Morningstar DBRS' tolerance for timely interest to the rated bonds. As of the May 2025 remittance, cumulative unpaid interest totaled approximately $1.9 million, up from $0.7 million at the last credit rating action in May 2024. Class D was shorted the full interest in May 2025 and did not receive full interest between November 2024 and January 2025, although that was repaid with the February 2025 remittance. Further, Classes E and F have been accruing interest since November 2024 and have surpassed the Morningstar DBRS shortfall tolerance ceiling of six months for the BB (sf) and B (sf) credit rating category, supporting the credit rating downgrades for those classes with this review. Since Morningstar DBRS' previous credit rating action in May 2024, 53 loans have repaid from the pool, leaving five loans, all of which are in special servicing as of the May 2025 remittance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest losses would be contained to the nonrated Class G certificate. The largest remaining loan, The Avenue at Lubbock in Lubbock (43.75% of the pool balance), is secured by a 788-unit student housing property in Lubbock, Texas. The loan transferred to special servicing in November 2024 for imminent monetary default ahead of the loan's December 2024 loan maturity. According to the most recent servicing commentary, the special servicer has initiated foreclosure. The property experienced a sharp decline in occupancy having decreased to 73% as of YE2024 from 94% as of YE2023. Additionally, net cash flow (NCF) decreased during this period to $2.4 million as of YE2024 from $2.7 million as of YE2023, resulting in a debt service coverage ratio (DSCR) of 1.01 times. An updated appraisal completed in March 2025 valued the property at $29.5 million, which reflects a 43.6% decrease when compared with the issuance appraisal of $52.3 million. Given the depressed value along with the special servicer's decision to initiate foreclosure, Morningstar DBRS analysed the loan with a liquidation scenario, resulting in a loss severity of nearly 30%. The second-largest loan, 411 Seventh Avenue (22.11% of the pool), is secured by a 301,000-square-foot Class B office property in Pittsburgh, Pennsylvania. The loan transferred to special servicing in April 2025 for maturity default after the loan matured in January 2025. The property has experienced precipitous declines in occupancy in recent years having decreased to 67% as of YE2023 and most recently to 59% as of September 2024 from 83% at issuance. The property's three largest tenants are Duquesne Light Company (35.54% of net rentable area (NRA), lease expiration October 2029), Office of Comptroller (15.78% of NRA, lease expiration April 2030), and Literacy Pittsburgh (4.85% of NRA, lease expiration October 2029). The appraisal at issuance valued the property at $32.1 million. While an updated appraisal has yet to be received, Morningstar DBRS believes the value of the property has declined and applied a 65% haircut to the issuance appraisal as part of its liquidation scenario, which resulted in a loss severity in excess of 40%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2015-GS1: Fitch Affirms 'Bsf' Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of GS Mortgage Securities Trust 2015-GS1 (GSMS 2015-GS1). The Rating Outlooks for classes A-S, B, C, PEZ, X-A and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2015-GS1 A-2 36252AAB2 LT AAAsf Affirmed AAAsf A-3 36252AAC0 LT AAAsf Affirmed AAAsf A-AB 36252AAD8 LT AAAsf Affirmed AAAsf A-S 36252AAG1 LT Asf Affirmed Asf B 36252AAH9 LT BBBsf Affirmed BBBsf C 36252AAK2 LT Bsf Affirmed Bsf D 36252AAL0 LT CCsf Affirmed CCsf E 36252AAN6 LT Csf Affirmed Csf F 36252AAQ9 LT Csf Affirmed Csf PEZ 36252AAJ5 LT Bsf Affirmed Bsf X-A 36252AAE6 LT Asf Affirmed Asf X-B 36252AAF3 LT BBBsf Affirmed BBBsf X-D 36252AAM8 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: The affirmations reflect stable loss expectations, which have slightly increased to 12.7% from 12.0% since Fitch's previous rating action. Seven loans are flagged as Fitch Loans of Concern (FLOCs; 35.3% of the pool), including four loans (14.1%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. All the loans in the pool are scheduled to mature by November 2025. The Negative Outlooks reflect performance and refinance concerns on the FLOCs, particularly South Plains Mall (10.3%), as well as exposure to the specially serviced Glenbrook Square (7.6%) and Deerfield Crossing (4.2%) loans. Downgrades are possible should more loans than expected default at maturity and/or with a prolonged workout or higher than expected losses on the specially serviced loans. Largest Loss Contributors: The largest contributor to overall loss expectations is the Glenbrook Square loan, secured by 784,604-sf of a 1,005,604-sf super-regional mall in Fort Wayne, IN. The loan, which is sponsored by Brookfield Property Partners, transferred to special servicing in July 2020 for payment default. The loan has been periodically brought current on payments through the application of trapped cash throughout 2021 and 2022; the loan is current as of the May 2025 remittance. According to the special servicer, the property is in receivership (Spinoso Real Estate) as of September 2022, and the receiver has been able to attract new tenants and maintain tenancy. Additionally, the servicer has indicated that it is negotiating terms of a loan modification with a new borrower. Collateral anchors include Macy's (25% of NRA leased through January 2027) and JCPenney (19%; May 2028). Former collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed their stores at the property in 2018, and the Sears store has been demolished. Collateral occupancy was 82.3% occupied as of the April 2024 rent roll, compared with 80.7% as of the September 2022, 79.3% in August 2021, 80.4% in December 2020, and 82.3% in March 2019. The servicer-reported NOI DSCR fell to 1.14x at YE 2022 from 1.37x at June 2020 and 1.32x at YE 2019. Fitch's 'Bsf' rating case loss of 68.4% (prior to concentration add-ons) considers a discount to the February 2024 appraisal value and implies a 26% cap rate to the YE 2022 NOI. The second largest contributor to overall loss expectations 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 December 2024 rent roll, Dillard's extended its lease through June 2046. The servicer noted that the tenant consolidated its two locations at the mall and relocated to the former Sears space. The grand opening of the new flagship 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. The third largest contributor to overall loss expectations is the Deerfield Crossing loan, secured by a 320,902-sf suburban office property in Mason, OH. The loan transferred to special servicing in September 2023 for imminent monetary default. According to the servicer, foreclosure was filed in November 2023 and a receiver was appointed on January 2024. According to the servicer, the property is currently 40.5% occupied, down from 55.3% at January 2024 61% at YE 2022, 82% at YE 2021 and 89% as of YE 2020. The decline in occupancy is primarily due to Cengage Learning reducing its space as part of a renewal agreement. As part of the 11-year renewal agreement (through January 2033), Cengage reduced its space to 56,011-sf (NRA 17.5%) from 160,069 sf (NRA 49.9%), and included a 50% rent abatement period occurring between January 2022 and January 2024. The tenant subsequently further reduced its a space to 13.5% of the NRA. Fitch's 'Bsf' rating case loss of 34.9% (prior to concentration add-ons) considers a discount to the October 2023 appraisal value of $24.8 million, which has declined 44% from the issuance appraisal value of $44.2 million. Improved Credit Enhancement (CE): As of the May 2025 distribution date, the pool's aggregate balance has been reduced by 17.4% to $677.8 million from $820.6 million at issuance. Thirteen loans (21.4% of pool) have been defeased. Ten loans (42.7%) are full-term interest only and the remaining 57.3% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior classes rated 'AAAsf' are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Loans of particular concern include the Glenbrook Square, South Plains Mall and Deerfield Crossing. Downgrades to the 'Bsf' category are possible with higher than expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; Downgrades to 'CCsf' and 'Csf' rated classes 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 are not expected due to the near-term maturities, loan concentration and adverse selection; however, are possible to the 'Asf' category rated classes with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, such as Glenbrook Square, South Plains Mall, Deerfield Crossing. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades 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 '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. GS MORTGAGE 2017-GS6: Fitch Lowers Rating on Two Tranches to BB-sf ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirmed five classes of GS Mortgage Securities Trust 2017-GS6. Following their downgrades, classes B, C, D, X-B and X-D were assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2017-GS6 A-2 36253PAB8 LT AAAsf Affirmed AAAsf A-3 36253PAC6 LT AAAsf Affirmed AAAsf A-AB 36253PAD4 LT AAAsf Affirmed AAAsf A-S 36253PAG7 LT AAAsf Affirmed AAAsf B 36253PAH5 LT A-sf Downgrade AA-sf C 36253PAJ1 LT BBB-sf Downgrade A-sf D 36253PAK8 LT BB-sf Downgrade BBB-sf E 36253PAP7 LT CCCsf Downgrade B+sf F 36253PAR3 LT CCsf Downgrade B-sf X-A 36253PAE2 LT AAAsf Affirmed AAAsf X-B 36253PAF9 LT BBB-sf Downgrade A-sf X-D 36253PAM4 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 6.3%, up from 4.1% at Fitch's prior rating action. Four loans (24.5%) were flagged as Fitch Loans of Concern (FLOCs), including one loan (8.9%) in special servicing. The downgrades reflect higher pool loss expectations, driven primarily by the specially serviced Lafayette Centre (8.9%) and One West 34th Street (4.4%) loan. The Negative Outlooks reflect the potential for downgrades if re-leasing efforts to backfill expected vacant space at Lafayette Centre remain unsuccessful, if loan performance of One West 34th Street fails to stabilize or if additional loans experience performance declines. The Negative Outlooks also reflect a high exposure to office loans, which comprise 50% of the pool. Given the large concentration of loan maturities in 2026 and 1H 2027, 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 incorporate this analysis. Largest Increases in Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations is Lafayette Centre, which is secured by a 793,533-sf office property in Washington, D.C. (three office buildings connected by an outdoor plaza and a below-grade mall level). The loan transferred to special servicing in June 2024 for imminent monetary default as the largest tenant, U.S. Commodity Futures Trading Commission (CFTC), will be vacating and not renewing its lease, which expires in September 2025. The tenant represents 37% of the NRA and approximately 60% of the rent. Medstar, the second largest tenant, leases 14.2% NRA through 2031 with a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the March 2024 rent roll, the property was 76% occupied with a servicer-reported NOI DSCR of 1.99x as of YE 2023. According to servicer updates, the borrower executed a pre-negotiation letter and discussions are ongoing regarding a possible consensual receivership and leasing opportunities with current and new tenants. According to CoStar, as of 1Q25, the Washington, D.C. CBD office submarket market reported a 20% vacancy rate, 24.1% availability rate and $54.84 psf market asking rent. Fitch's 'Bsf' rating case loss of 28.7% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the TTM March 2024 NOI to account for occupancy declines, higher submarket vacancy rate and imminent loss of the largest tenant. Fitch's analysis also incorporates an increased probability of default to account for heightened maturity and refinance risk. The second largest increase in loss since the prior rating action and second largest contributor to overall pool loss expectations is One West 34th Street, which is secured by a 215,205-sf office property located in Manhattan, New York City. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; leased through January 2034), International Inspiration (4.2%; November 2026) and Amazon (3.5%; October 2026). Property occupancy declined to 77.8% as of the December 2024 servicer-provided rent roll from 78.3% at YE 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy declined between 2023 and 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 0.94x as of the trailing-nine-months ended September 2024, compared with 1.05x at YE 2023, 0.87x at YE 2022 and 0.82x at YE 2021. According to CoStar, the property lies within the Penn Plaza/Garment Office Submarket of the New York market area. As of 4Q24, average rental rates were $74.24 psf and $59.36 psf for the submarket and market, respectively. Vacancy for the submarket and market was 15.4% and 13.5%, respectively. Fitch's 'Bsf' case loss of 35% (prior to a concentration adjustment) is based on a 9.25% cap rate and 10.0% stress to YE 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Credit Enhancement (CE): As of the May 2025 remittance report, the aggregate pool balance has been reduced by 5.8% since issuance. Interest shortfalls of approximately $271,000 and $7,000 are currently affecting classes G and VRR respectively. There have been no realized losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not likely due to their position in the capital structure and expected continued paydowns from loan amortization and repayments. However, downgrades may occur if deal-level losses increase significantly and/or if interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class and classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger the FLOCs, in particular Lafayette Centre and One West 34th Street and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the classes rated in 'BBBsf' and 'BBsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, additional transfers to special servicing and/or with greater certainty of loses on specially serviced loans and/or FLOCs. Downgrades to the distressed classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and '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 Lafayette Centre and One West 34th Street. 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' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loan 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. GS MORTGAGE 2025-PJ5: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2025-PJ5 (the Notes) issued by GS Mortgage-Backed Securities Trust 2025-PJ5 (the Issuer): -- $278.4 million Class A-1 at AAA (sf) -- $278.4 million Class A-2 at AAA (sf) -- $278.4 million Class A-3 at AAA (sf) -- $208.8 million Class A-4 at AAA (sf) -- $208.8 million Class A-5 at AAA (sf) -- $208.8 million Class A-6 at AAA (sf) -- $167.0 million Class A-7 at AAA (sf) -- $167.0 million Class A-8 at AAA (sf) -- $167.0 million Class A-9 at AAA (sf) -- $41.8 million Class A-10 at AAA (sf) -- $41.8 million Class A-11 at AAA (sf) -- $41.8 million Class A-12 at AAA (sf) -- $111.3 million Class A-13 at AAA (sf) -- $111.3 million Class A-14 at AAA (sf) -- $111.3 million Class A-15 at AAA (sf) -- $69.6 million Class A-16 at AAA (sf) -- $69.6 million Class A-17 at AAA (sf) -- $69.6 million Class A-18 at AAA (sf) -- $23.1 million Class A-19 at AAA (sf) -- $23.1 million Class A-20 at AAA (sf) -- $23.1 million Class A-21 at AAA (sf) -- $301.4 million Class A-22 at AAA (sf) -- $301.4 million Class A-23 at AAA (sf) -- $301.4 million Class A-24 at AAA (sf) -- $301.4 million Class A-25 at AAA (sf) -- $301.4 million Class A-X-1 at AAA (sf) -- $278.4 million Class A-X-2 at AAA (sf) -- $278.4 million Class A-X-3 at AAA (sf) -- $278.4 million Class A-X-4 at AAA (sf) -- $208.8 million Class A-X-5 at AAA (sf) -- $208.8 million Class A-X-6 at AAA (sf) -- $208.8 million Class A-X-7 at AAA (sf) -- $167.0 million Class A-X-8 at AAA (sf) -- $167.0 million Class A-X-9 at AAA (sf) -- $167.0 million Class A-X-10 at AAA (sf) -- $41.8 million Class A-X-11 at AAA (sf) -- $41.8 million Class A-X-12 at AAA (sf) -- $41.8 million Class A-X-13 at AAA (sf) -- $111.3 million Class A-X-14 at AAA (sf) -- $111.3 million Class A-X-15 at AAA (sf) -- $111.3 million Class A-X-16 at AAA (sf) -- $69.6 million Class A-X-17 at AAA (sf) -- $69.6 million Class A-X-18 at AAA (sf) -- $69.6 million Class A-X-19 at AAA (sf) -- $23.1 million Class A-X-20 at AAA (sf) -- $23.1 million Class A-X-21 at AAA (sf) -- $23.1 million Class A-X-22 at AAA (sf) -- $301.4 million Class A-X-23 at AAA (sf) -- $301.4 million Class A-X-24 at AAA (sf) -- $301.4 million Class A-X-25 at AAA (sf) -- $301.4 million Class A-X-26 at AAA (sf) -- $14.6 million Class B-1 at AA (low) (sf) -- $14.6 million B-X-1 at AA (low) (sf) -- $14.6 million Class B-1-A at AA (low) (sf) -- $4.9 million Class B-2 at A (low) (sf) -- $4.9 million Class B-X-2 at A (low) (sf) -- $4.9 million Class B-2-A at A (low) (sf) -- $2.9 million Class B-3 at BBB (low) (sf) -- $1.6 million Class B-4 at BB (low) (sf) -- $819.0 thousand 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, and A-17 are super-senior notes or loans. These classes benefit from additional protection from the senior support note (Classes A-19, A-20, and 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 7.90% 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 3.50%, 2.00%, 1.10%, 0.60%, and 0.35% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ5 (the Notes). The Notes are backed by 293 loans with a total principal balance of $327,482,769 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 69.3%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (22.6%), PennyMac Loan Services, LLC (14.8%), Guaranteed Rate, Inc (11.8%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (80.0%) PennyMac Loan Services, LLC (19.2%). Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian, Master Servicer and U.S. Bank Trust Company, National Association will act as Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allowed for the issuance of Classes A-1L, A-2L and A-3L loans which would be the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes were not issued at closing. Notes: All figures are in US dollars unless otherwise noted. GS MORTGAGE 2025-PJ5: Moody's Assigns B1 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ5, and sponsored by Goldman Sachs Mortgage Company, LLC (GSMC). The securities are backed by a pool of prime jumbo (80.7% by balance) and GSE-eligible (19.3% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 9.8% by loan balance) and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned 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 B1 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on May 14, 2025, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.57% 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. GSCG TRUST 2019-600C: DBRS Confirms C Rating on 7 Classes --------------------------------------------------------- DBRS Limited downgraded its credit ratings on one class of Commercial Mortgage-Pass-Through Certificates, Series 2019-600C issued by GSCG Trust 2019-600C as follows: -- Class A to C (sf) from B (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X at C (sf) All classes now have a credit rating that generally does not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrade on Class A reflects Morningstar DBRS' increased loss expectations driven by the continued value decline for the collateral property as exhibited by the October 2024 appraised value provided by the special servicer. The transaction's $240.0 million loan is secured by an office property in San Francisco, and has been in special servicing since March 2023. According to Morningstar DBRS' liquidation analysis based on the most recent appraised value, losses could now be realized as high as the Class A certificate, supporting the credit rating downgrade to C (sf) and credit rating confirmations for the remaining classes. At the prior credit rating action, in July 2024, all classes except the Class A certificate were downgraded to C (sf), and the Class A certificate was downgraded to B (sf), reflective of Morningstar DBRS' liquidated loss expectations based on the previous appraised value, dated February 2024. Morningstar DBRS' credit ratings are also constrained by ongoing interest shortfalls, which have been accruing for the Class A certificate since the December 2024 remittance and has now reached Morningstar DBRS' maximum tolerance of six remittance periods of consecutive shortfalls for the BB (sf) and B (sf) credit rating categories, further supporting the credit rating downgrade to C (sf). As of the May 2025 remittance, interest shortfalls totaled approximately $10 million, an increase from $3.7 million reported at the last credit rating action. The continued increase in shortfalls is due to the nonrecoverability determination made by the servicer, with the most recent appraised value suggesting all classes will take a loss with the asset's final disposition. The fixed-rate underlying loan had a loan-term of five years and is secured by a Class A, LEED Gold-certified office building totaling 359,154 square feet (sf) in the North Financial District of San Francisco. WeWork was the largest tenant in place at issuance, with more than 50% of the net rentable area (NRA), on a lease through March 2035. The sponsor at issuance, Ark Capital Advisors, LLC (Ark), is a joint venture among Ivanhoe Cambridge, the Rhone Group, and The We Company. The We Company (WeCo) is the owner of approximately 80% of Ark and is also the parent company of WeWork. The loan transferred to the special servicer in March 2023 after WeWork halted its rental payments and the default on the March 2023 debt service payment. Following the initial breakdown of lease negotiations with WeWork in late 2023, the borrower advised the servicer no additional equity would be contributed toward scheduled interest payments and eventually agreed to a consensual receiver appointment in November 2023. The loan remains delinquent. In March 2024, the servicer confirmed the WeWork lease had been renegotiated to allow the tenant to downsize to 43,520 sf by March 2025, a nearly 75.0% reduction in space from the original footprint of 186,130 sf. The rental rate was also significantly reduced. For more information regarding the WeWork lease modification, please refer to Morningstar DBRS' press release published on July 17, 2024. According to the rent roll dated February 2025, the subject was 43.6% leased, compared with the March 2024 figure of 55.0%. The largest tenants include WeWork (25.0% of the NRA; lease expiration dates in February 2025 and December 2030) and Cardinia Real Estate (11.6% of the NRA; lease expiry in May 2025). According to communications with the servicer, Cardinia Real Estate will vacate its space at the conclusion of its lease; when coupled with the March 2025 downsize for WeWork, the property's leased rate is expected to decline to approximately 20%. Outside of Cardinia Real Estate and floors two and three of WeWork there are minimal rollover concerns over the next 12 months with less than 1.0% of NRA having an upcoming lease expiration. In 2024, the borrower was able to secure SunRun (4.1% of the NRA, lease expiry in April 2032) for an entire floor on an eight-year lease. According to the May 2025 reporting, $8.9 million was held across reserves, including $5.6 million in a lockbox reserve and approximately $2.5 million in capital expenditure reserves. According to the YE2024 financials, the subject reported a debt service coverage ratio (DSCR) of 0.24 times (x) as compared to the YE2023 and YE2022 figures of 0.14x and 1.72x, respectively. In October 2024, the property was re-appraised at a value of $109 million, reflective of an approximate 12.0% decline from the February 2024 appraised value of $124 million. This marks a continued decline from the April 2023 value of $183 million and the issuance value of $370 million. Morningstar DBRS points to the low in-place occupancy rate and the associated high lease-up costs for the vacant space, combined with the general distress of the San Francisco office market to be driving factors in the property's severe value deterioration since issuance. According to a Q1 2025 Reis report, the North Financial District submarket of San Francisco reported a vacancy rate of 23.1%, which is up from the Q1 2024 rate of 18.1%. For purposes of this credit rating action, Morningstar DBRS used a liquidation scenario based on the most recent appraised value to determine recoverability. Morningstar DBRS' liquidation scenario was based on the October 2024 appraised value of $109 million and incorporated a liquidation fee, outstanding ASER and advances, interest shortfalls as well as expected additional expenses, which cumulatively totaled approximately $45 million. Morningstar DBRS did give credit to the in-place reserves of approximately $9 million as of the May 2025 reporting. The analysis suggested a loss severity approaching 70%, or $168 million, which could climb as high as the Class A certificate. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. GSMS TRUST 2024-FAIR: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-FAIR issued by GSMS Trust 2024-FAIR as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction in the relatively short time since closing in July 2024. The transaction is secured by the leasehold interest in the Fairmont Austin hotel, a 1,048-key full-service hotel in Austin, Texas. The hotel opened in 2018 and is well-located in the Austin central business district, adjacent to Rainey Street Historic District and just half a mile from 6th Street, a popular entertainment area in Austin. The hotel is adjacent to the Austin Convention Center (ACC), a significant demand driver, which is currently undergoing renovations until March 2029. Amenities at the property include five food and beverage outlets, a seventh-floor rooftop terrace with a swimming pool, 14 private cabanas, lounge spaces, an outdoor bar, and a full-service spa. Additionally, the hotel has nearly 139,000 square feet (sf) of meeting space spread across seven spaces, the largest of which is a 31,125-sf ballroom. The transaction comprises a five-year, fixed-rate, interest-only loan totaling $430.0 million which, along with $50.3 million sponsor equity, was used to refinance existing debt and buy out the minority interest in the property. The loan is sponsored by Manchester Financial Group, a privately held hotel and commercial real estate firm focused on acquisition, development, and management of high-profile properties throughout the United States. Since its 2018 completion, the sponsor has invested approximately $9.2 million to improve back of house, cover operating capital costs, update meeting room and banquet spaces, and improve guest rooms and corridors. Additional capital improvements totaling $21.3 million are expected to be completed throughout the loan term. According to the trailing 12-month (T-12) ended March 31, 2025, financials, the collateral reported a net cash flow (NCF) of $37.0 million, resulting in a debt service coverage ratio of 1.10 times (x), compared with the issuer's underwritten figure of $40.2 million (DSCR of 1.20x) and Morningstar DBRS NCF of $36.4 million (DSCR of 1.10x). Per the most recent STR report, the collateral reported a T-12 ended February 28, 2025, occupancy, average daily rate, and revenue per available room (RevPAR) of 67.5%, $293, and $198, respectively, slightly less than the Morningstar DBRS figures of 70.3%, $289, and $203, respectively. While Morningstar DBRS believes the property's location, strong amenities, projected capital expenditure, and experienced sponsorship could support modest RevPAR growth, given the supply increases and the threats to group travel with the ongoing renovations at the ACC, Morningstar DBRS elected to apply a discount to its RevPAR figure in its NCF analysis. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a leasehold capitalization (cap) rate of 8.14% (implied based on a fee-simple cap rate of 8.0% for the property) applied to the Morningstar DBRS NCF of $36.4 million. The resulting value of $447.0 million represents a variance of -27.3% from the issuance appraised value of $615.0 million and corresponds to a loan-to-value ratio (LTV) of 96.2%. Morningstar DBRS maintained positive qualitative adjustments of 5.5% to the LTV sizing benchmarks to account for the collateral's recent construction and strong property quality, its location in the heart of downtown Austin adjacent to several demand drivers, and historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. HILTON USA 2016-HHV: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-HHV issued by Hilton USA Trust 2016-HHV as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) -- Class F at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the collateral, as evidenced by the collateral's revenue per available room (RevPAR) and average daily rate (ADR) figures, which remain in line with Morningstar DBRS' expectations. In light of upcoming maturity, Morningstar DBRS re-evaluated its net cash flow (NCF) to assess the durability of the credit ratings and considered a stressed scenario by applying a haircut to the in-place NCF, the results of which supported the credit rating confirmations with this review. The transaction is secured by the borrower's fee-simple interest in the Hilton Hawaiian Village, a trophy-quality, full-service luxury beachfront resort in Waikiki, Hawaii. The collateral consists of five guest towers comprising 2,860 rooms, plus conference space for up to 2,600 attendees. The resort has the longest stretch of beach and the largest amount of meeting space among its competitors. Additionally, the property benefits from the wide range of amenities, including over 65,000 square feet of indoor meeting space, three restaurants, four lounges, five outdoor pools, and fitness centers. The collateral is a $750.0 million pari passu participation interest in a $1.3 billion whole loan, set to mature in November 2026. The loan is sponsored by Park Intermediate Holdings LLC, a wholly owned subsidiary of Park Hotels & Resorts, one of the largest publicly traded real estate investment trusts in the U.S. hospitality industry. According to a Pacific Business News article, published on May 5, 2025, the sponsor is currently working on renovating the resort to increase the room capacity and upgrade existing rooms, based on an estimated budget of $83.0 million. The first phase of the renovation, which utilized $41 million of the budget, was completed in February 2025, adding 12 more keys to the resort and upgrading approximately half of the Rainbow Tower's guest rooms. For the second phase of the renovation that is scheduled to be completed by Q3 2025, the sponsor is expecting to complete the renovation of the Tower's remaining rooms and add another 14 keys to the room inventory. According to year-end (YE) 2024 financial reporting, the collateral reported a NCF of $144.8 million (resulting in a debt service coverage ratio (DSCR) of 2.66x), a decline from YE2023 figure of $170.9 million (DSCR of 3.15x), but exceeding the Morningstar DBRS NCF of $126.6 million (DSCR of 2.33x), which was derived as part of the June 2023 review, and the issuer's underwritten NCF of $132.6 million (DSCR of 2.44x). Per the January 2025 STR report, the collateral's occupancy rate, ADR, and RevPAR for the trailing 12-month period through December 31, 2024, were 84.1%, $304, and $256, respectively, below the YE2023 figures of 90.8%, $302, and $275, respectively. Despite the year-over-year cash flow decline, performance remains in line with Morningstar DBRS' expectations. The property is expected to benefit from the completion of the ongoing capital improvements and will continue to benefit from its prime location and superior property quality. In the analysis for this review, given the loan's upcoming maturity in November 2026 and to test the durability of the credit ratings, Morningstar DBRS analyzed the cash flow under both a base case and stressed scenario, with an 8.0% capitalization rate applied. The base case scenario, which is based on a standard surveillance haircut to the YE2024 NCF, results in a base-case Morningstar DBRS value of $1.8 billion (loan-to-value ratio (LTV) of 71.9%). In the stressed scenario, which included a 20% haircut to the YE2024 NCF, Morningstar DBRS derived a stressed value of $1.5 billion, resulting in an LTV of 88.0%. Morningstar DBRS maintained qualitative adjustments of 4.5% to the LTV sizing benchmarks to reflect the property's prime location within a strong market, stable performance, and high property quality. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. HIT 2022-HI32: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-HI32 issued by HIT Trust 2022-HI32 as follows: -- Class A at AAA (sf) -- Class B at AAA (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 G at B (low) (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 at issuance. The aggregate portfolio net cash flow (NCF) decreased slightly as of Q3 2024 compared with YE2023, while the occupancy rate remained unchanged at about 75% over the same period. In addition, the transaction continues to benefit from granularity in terms of the allocated loan amount (ALA), geographic diversity, experienced management companies, and strong brand affiliation from nationally recognized hospitality brands with national reservation systems. At issuance, the two-year, interest-only, floating-rate loan was collateralized by a portfolio of 32 limited-service, extended-stay, select-service, and full-service hotels comprising 4,168 keys across 18 states. As of the April 2025 reporting, five properties had been released from the pool, three of which were released since the last credit rating action in May 2024, resulting in a collateral reduction of 9.0% since issuance. The loan is structured with a pro rata/sequential pay structure that allows for pro rata paydowns of the first 20.0% of the original principal balance, subject to a relatively weak release premium of 105.0% of the ALA, which increases to 110.0% thereafter. The transaction is sponsored by an affiliate of Hospitality Investors Trust, Inc. (HIT). HIT owns or has an interest in nearly 100 hotels across more than 25 states, all of which are operated under franchise or license agreements with a national brand owned by one of Hilton Worldwide, Inc.; Marriott International, Inc.; Hyatt Hotels Corporation; or one of their respective subsidiaries or affiliates. The $465.0 million loan, along with $5.3 million of sponsor equity, was used to refinance $455.3 million of existing debt, establish an $8.0 million up front property improvement plan (PIP) reserve, and cover closing costs. The loan had an initial maturity in July 2024 with three one-year extension options. After successfully exercising the first extension option last year, two remain, with a current maturity date in July 2025. The servicer confirmed that the borrower has expressed its intent to exercise the second extension option. The hotels were constructed between 1979 and 2013 and operate under 10 different brands, with the majority of the properties operating under the Marriott and Hilton flags. The sponsor invested approximately $79.8 million of capital expenditures (capex) in the properties between 2015 and 2021. At issuance, the sponsor planned to contribute an additional $92.7 million in capex, of which $74.3 million was part of brand-mandated PIPs partially funded by an $8.0 million upfront PIP reserve. At the last review, approximately $20.0 million of capex had been completed, with an additional $20.0 million that was either in progress or in the initial planning phase. According to the servicer, five hotels have undergone renovations totaling $30.2 million since the loan closed. Operating performance remains relatively in line with Morningstar DBRS' expectations, with the financial reporting for the trailing 12-month (T-12) period ended September 30, 2024, reflecting an NCF of $39.2 million, compared with the YE2023 NCF of $39.6 million and the Morningstar DBRS NCF of $34.6 million for the remaining 27 properties in the portfolio. The loan reported a debt service coverage ratio (DSCR) of 0.98 times (x) as of the T-9 period ended September 30, 2024, in line with the YE2023 figure of 1.00x and the Morningstar DBRS figure of 0.96x. The borrower was required to enter into an interest rate cap agreement for the initial loan period with a strike rate of 4.25%, and any replacement interest rate cap agreement purchased in connection with the exercising of any of the extension options must have a strike price equal to the greater of 4.25% and the rate, yielding a DSCR of 1.05x. For the purposes of this review, Morningstar DBRS updated its sizing benchmarks to account for the five released properties to date. Morningstar DBRS derived a value of $357.6 million based on a Morningstar DBRS NCF of $34.6 million, which represents a haircut of 11.7% to the T-12 NCF for the period ended September 30, 2024, and a capitalization rate of 9.50%. In addition, Morningstar DBRS maintained a total qualitative adjustment of 5.50% by increasing the loan-to-value (LTV) thresholds to account for strong revenue growth, sponsorship investment, and geographic diversity along with a strong presence in the high-growth Sun Belt region. The Morningstar DBRS credit ratings assigned to Classes F and G are higher than the results implied by the LTV sizing benchmarks by three or more notches. Given the notable reserve balance and continued performance of the remaining collateral, the variances are warranted. Notes: All figures are in U.S. dollars unless otherwise noted. HMH TRUST 2017-NSS: DBRS Confirms Csf Rating on 4 Tranches ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-NSS issued by HMH Trust 2017-NSS as follows: -- Class A at CCC (sf) -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) There are no trends as the CCC (sf) and C (sf) credit rating categories typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The collateral for the underlying loan consists of the fee-simple interest in one hotel and the leasehold interests in 21 hotels across nine different states, with the largest concentrations in California, Florida, and North Carolina. Morningstar DBRS previously downgraded all classes in May 2024 based on Morningstar DBRS' projected liquidated amount for the loan, which has been in special servicing since May 2020. Given the presence of additional leased fee debt on the ground underneath 21 of the 22 properties, Morningstar DBRS previously derived a look-through value for the portfolio to evaluate the recoverability prospects to the subject trust in the event of a liquidation. Morningstar DBRS had applied a capitalization rate of 9.25% to the appraiser's year two net cash flow (NCF) estimate for each property, excluding ground rent expense, and applied an additional 10% haircut to account for the potential of future value volatility over the remaining workout period, resulting in a value of $324.1 million for the portfolio's fee-simple interest. Because the collateral is primarily composed of leasehold interests, with each property subject to substantial ground lease payments (exceeding 35% of the updated look-through portfolio NCF), Morningstar DBRS assumed that the value attributed to the leased fee would be commensurate with the $224.0 million of debt that is estimated to be outstanding on the land underneath the hotels, which would imply a value for the collateral totaling approximately $99.9 million, representing a variance of -45.0% from the May 2024 appraised value of $181.8 million. Based on the Morningstar DBRS Value of $99.9 million, Morningstar DBRS estimated that a liquidated loss of approximately $148.4 million would be realized at disposition, eroding into Class A and supporting the credit rating confirmations with this review. For more information on the previous credit rating action, please see the press release titled "Morningstar DBRS Downgrades Credit Ratings on All Classes of HMH Trust 2017-NSS" dated May 23, 2024, on the Morningstar DBRS website. While the potential for principal loss is the primary driver for the CCC (sf) and C (sf) credit ratings, the consideration of increasing interest shortfalls prior to disposition remains a factor. Interest shortfalls totaled $13.1 million as of the April 2025 remittance, with Classes E, F, and a portion of Class D being shorted, up from a total interest shortfall amount of $8.6 million at the time of the last credit rating actions. Unpaid interest continues to accrue month over month, driven primarily by the appraisal subordinate entitlement reduction (ASER) amounts calculated by the special servicer as new appraisals have been obtained. In February 2024, the receiver was granted full authority to convey, liquidate, or otherwise dispose of the collateral properties through a combination of deeds in lieu of foreclosure, receiver sales, or nonjudicial foreclosure sales. The Comfort Inn - Fayetteville property (3.9% of the allocated loan amount (ALA)) was liquidated in October 2024, with proceeds applied to property protection advances and principal and interest advances, with a holdback of $1.8 million for future advances. Eleven hotels have reportedly completed the deed-in-lieu process, with another six hotels in process. According to the April 2025 servicer commentary, seven properties are being targeted for June or July 2025 auctions, with one property, the Homewood Suites Phoenix (3.0% of ALA), in the process of being sold, with a closing targeted in Q2 2025. The special servicer is projecting a complete liquidation of the portfolio by Q2 2026. The properties have solid brand affiliation, with either Hilton Worldwide Holdings Inc.; Hyatt Hotels Corporation; Marriott International, Inc.; or Choice Hotels International, Inc. flags on each hotel. Nearly half the pool operates as extended-stay hotels, with the remaining operating as either limited-service or select-service hotels. The sponsor for the loan is Jay H. Shidler, founder of The Shidler Group, which was founded in 1972 and is headquartered in Honolulu. The capital stack includes a $25.0 million mezzanine loan held outside of the trust, and the trust permits an additional $26.0 million mezzanine loan; however, additional mezzanine debt has not been obtained to date. The mezzanine loans are co-terminus with the trust mortgage loan, which matured in July 2022. Since Morningstar DBRS' prior credit rating action in May 2024, an additional round of appraisals was obtained by the servicer, valuing the collateral portfolio on an as-is basis at $181.8 million in May 2024, in line with the August 2023 appraised value of $180.0 million and 54.6% below the issuance value of $400.4 million. Based on the most recent value, the trust loan's loan-to-value ratio (LTV) is 112.2%. Outstanding advances continue to accrue, with principal and interest advances totaling $17.7 million as of the April 2025 remittance. Accounting for all outstanding advances, ASER, and unpaid advance interest, the loan's total exposure has increased to $242.0 million from $234.7 million at Morningstar DBRS' last review, resulting in an implied LTV of approximately 133.1%. According to the YE2024 financials, the portfolio reported a consolidated NCF of $1.8 million, representing a 67.4% decline from the YE2023 NCF of $5.7 million. Per the January 2025 STR, Inc. report, the portfolio reported a trailing 12-month occupancy, average daily rate, and revenue per available room of 65.1%, $135, and $92, respectively, generally in line with January 2024 levels. The portfolio NCF continues to lag the appraiser's expectations, suggesting that there could be increased value volatility as the properties are disposed of over the next year. Furthermore, the collateral's ground rent obligations continue to limit cash flow growth. Using the appraiser's year two NCF, which assumes a nominal amount of stabilization, the ground rent expense as a percentage of NCF exceeds 35.0%, ranging from 15.9% to 100.0% across the portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2025-NQM3: S&P Assigns Prelim B(sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to HOMES 2025-NQM3 Trust's series 2025-NQM2 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only features, secured by single-family residences, townhouses, planned-unit developments, condominiums, cooperative, condotels, two- to four-family homes, and manufactured housing properties to both prime and nonprime borrowers. The pool has 1,052 loans, which are qualified mortgage (QM) safe harbor, QM rebuttable presumption, ability-to-repay-exempt (ATR-exempt) loans and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of June 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; 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, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) HOMES 2025-NQM3 Trust Class A-1, $373,204,000: AAA (sf) Class A-1A, $322,255,000: AAA (sf) Class A-1B, $50,949,000: AAA (sf) Class A-2, $31,589,000: AA (sf) Class A-3, $51,204,000: A (sf) Class M-1, $19,870,000: BBB (sf) Class B-1, $14,521,000: BB (sf) Class B-2, $11,973,000: B (sf) Class B-3, $7,133,386: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A(iii): NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. (iii)This class will receive certain excess amounts including prepayment premium and default interest and will not be entitled to payments of principal. NR--Not rated. N/A--Not applicable. HORIZON AIRCRAFT III: Fitch Hikes Rating on Class B Notes to 'BBsf' ------------------------------------------------------------------- Fitch Ratings has upgraded the ratings of Horizon Aircraft Finance I Limited (Horizon I), Horizon Aircraft Finance II Limited (Horizon II), and Horizon Aircraft Finance III Limited (Horizon III) class A, B and C notes. The Rating Outlooks have been assigned Stable following the upgrades. Entity/Debt Rating Prior ----------- ------ ----- Horizon Aircraft Finance III Limited A 44040JAA6 LT BBBsf Upgrade BBB-sf B 44040JAB4 LT BBsf Upgrade BB-sf C 44040JAC2 LT CCC+sf Upgrade CCCsf Horizon Aircraft Finance II Limited Series A 44040HAA0 LT BBB+sf Upgrade BBBsf Series B 44040HAB8 LT BB+sf Upgrade BBsf Series C 44040HAC6 LT B-sf Upgrade CCC+sf Horizon Aircraft Finance I Limited A 440405AE8 LT BBBsf Upgrade BBB-sf B 440405AF5 LT B+sf Upgrade Bsf C 440405AG3 LT CCC+sf Upgrade CCCsf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, all inform the agency's modeled cash flows and coverage levels. Rental collections for Horizon I and II have remained consistent with the transactions' previous review and in line with Fitch's expectations, while collections for Horizon III improved substantially. Large cash in-flows from aircraft sales have resulted in the transactions deleveraging; three, five, and one aircraft were sold from Horizon I, II and III, respectively since its prior review. The upgrades reflect the improved LTVs for all notes, improvements in outstanding principal balance versus scheduled for senior notes and consistent or improving rental collections yoy. Credit profiles remain stressed with continued delinquencies in all three transactions. APAC lessees, in particular, continue to have arrear balances, representing approximately 23%, 30%, and 84% of total arrears for Horizon I, II and III respectively. Horizon I's and III's A notes are behind scheduled principal payments by 11% and 7%, respectively, but are paying principal and interest. The B and C notes have not received principal payments since mid-2020. Horizon II's A notes are 10% ahead of schedule and the B notes recently received their first principal in nearly five years due to aircraft sales. The C notes have not received principal payments and have capitalized interest since mid-2020. All three transactions are serviced by Babcock & Brown Aircraft Management (BBAM) and are backed by aircraft operating leases. Overall Market Recovery Demand for air travel continues to grow albeit at a slower pace. March 2025 global passenger traffic measured in revenue passenger kilometers (RPK) was up 3.3% compared to March 2024 per IATA. International traffic led the way with 4.4% yoy RPK growth; domestic traffic grew at 1.0% yoy. Growth rates vary across geographies. Asia Pacific continues to lead the overall growth in traffic. North American passenger traffic, however, fell by 1.1% in March, following a 3.5% drop in February. Aircraft Collateral and Asset Values Aircraft ABS transaction servicers are reporting continued strong demand for aircraft, particularly those with maintenance green time remaining. Additionally, appraiser market values are currently higher than base values for many aircraft types, which has not occurred for several years. Fitch is also seeing continued strong aircraft sale proceeds. Engines with maintenance green time remaining are particularly in demand. Macro Risks Although Fitch has not yet observed deterioration in aircraft ABS transaction performance, its sector outlook has recently been updated from 'neutral' to 'deteriorating.' This change is due to expectations of a slowdown in the growth rate of global air travel, aligning with Fitch's forecast for a slowdown in global GDP in 2025 and 2026. Global air travel is highly correlated to global GDP. Fitch also expects a greater degree of divergence in performance across several categories including domestic versus international travel, geographic footprint, lessee credit strength, and aircraft type and age. Contractions in certain domestic markets have been observed through March of 2025. Fitch notes that in the current environment, there is significant uncertainty about how trade relations and conflicts will be resolved. Conclusive resolutions to tariff conflicts, for example, may prompt Fitch to re-evaluate its sector outlook. Despite an anticipated slowdown in the growth rate of air travel, Fitch expects aircraft values will remain supported by the under-supply of aircraft as impacted by continued impediments to the construction and delivery of new aircraft, and ongoing engine shop capacity issues that reduce total capacity. Fitch expects these supply-side constraints to mitigate the impact of demand reductions. ABS performance may be impacted by deteriorating credit quality of airline lessees, and despite generally benefiting from longer-term fixed rental leases and staggered lease expiries, given sufficient financial headwinds, some airlines may seek payment relief in the form of restructures, which could reduce cash flows to ABS. Fitch expects securitizations with younger to mid-life aircraft and with adequate lessee quality and diversification to be better positioned to withstand potential pressures on cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: As of April 2025, the Fitch Value for the Horizon I, II, and III pools were $336 million, $218 million and $321 million, respectively, a decrease of $32 million (8.7%), $4 million(1.8%), $16 million (4.8%) over the last 12 months, controlling for the sale of aircraft. Fitch used the most recent appraisals as of December 2024, and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years, in which case a market value is used. Fitch then uses the lesser of mean and median of the given value. Using the Fitch Value the changes in loan to values (LTVs) since Fitch's prior review are as follows: - Horizon I: A note 75.4% to 63.1%; B note 95.1% to 87.5%; C note 107.2% to 103.9%; - Horizon II: A note 69.0% to 51.4%; B note 89.3% to 69.0%; C note 104.3% to 93.2%; - Horizon III: A note 78.4% to 63.9%; B note 94.9% to 82.5%; C note 107.3% to 97.4%. Horizon I, II, and III mean maintenance-adjusted base value (MABV), depreciated from the appraisal effective date to April 2025, are $339 million, $209 million, and $307 million, respectively. Tiered Collateral Quality: The Horizon I pool consist of 21 narrowbody aircraft, two engines, and one airframe, with the majority characterized as end-of-life aircraft with a weighted-average age of 15.8 years. The Horizon II pool consist of 11 narrowbody aircraft, one engine, and one airframe, with the majority characterized as mid-life aircraft and a weighted-average age of 13.5 years. The Horizon III pool consist of 16 narrowbody aircraft and one engine, with the majority characterized as mid-life aircraft and a weighted-average age of 13.9 years. Fitch utilizes three tiers when assessing the desirability and liquidity of aircraft collateral. Tier one is the most liquid, and tier three is the least liquid. Additional details regarding Fitch's tiering methodology is available here As aircraft age, Fitch's aircraft tiering migrates; the weighted average, age-adjusted, tiers for Horizon I, II, and III are 1.60, 1.45 and 1.47, respectively. Pool Concentration: Horizon I, II, and III include 24, 13, and 17 assets (aircraft, engines, and airframes), respectively. Horizon II and III are becoming concentrated. As the pools age and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will increase. Pursuant to Fitch's criteria, cash flows are further stressed based on the effective aircraft count. Concentration haircuts vary by rating level and are applied at stresses higher than 'CCCsf'. Horizon I is reasonably diversified across regions with 30% exposure to Emerging Asia Pacific, 23% to Emerging Europe & CIS, 21% to Developed Europe, 12% to Emerging South & Central America, and 5% to Developed Asia Pacific. Horizon II has 45% exposure to Emerging Asia Pacific, 18% to Developed Europe, 15% to Emerging Europe & CIS, 12% to Emerging Middle East & Africa, 7% to Emerging South & Central America, and 3% to Developed North America. Horizon III has 42% exposure to Emerging Asia Pacific, 17% to Emerging Europe & CIS, 12% to Developed North America, 11% to Developed Europe, 11% to Emerging South & Central America, and 7% to Emerging Middle East & Africa. Lessee Credit Risk: Fitch considers the credit risk posed by the pools of lessees to be high. The portfolio composition by lessee credit rating has not materially changed since last review for Horizon I and III. However, due to the sale of five aircraft, the Horizon II pool is now more concentrated with lower-rated lessees. Although delinquencies have improved in all three transactions since the prior review, Horizon I has significant arrear balances that will take time to recover, and some may not be fully recovered. The modeled credit rating Fitch assigns to the subject airlines may improve if they demonstrate a longer track record of timely payment performance, particularly for airlines with leases that have recently been restructured. Operation and Servicing Risk: Fitch believes the servicer, Babcock & Brown Aircraft Management, is qualified based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade; - The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche and below the ratings at close; - Fitch ran a sensitivity related to the lessee credit quality in the pool. Fitch assigns a credit rating of 'CCC' or lower to a high percentage of lessees in the pools. The sensitivity assumes all future lessees are rated 'CC.' This scenario results in a zero to two notch decrease in the model-implied-ratings. - Fitch ran a sensitivity related to the residual values of the aircraft in the pool. The sensitivity reduces residual values by 20% to simulate underperformance in sales beyond the haircuts, depreciation, and market value declines already incorporated into Fitch's model. This scenario resulted in a one to two notch decrease from the model-implied-ratings. - Fitch ran a sensitivity assuming multiple simultaneous down scenarios. The scenarios include no future EOL payments, future lessees CCC, downtimes for leases with arrearages extended five months, and aircraft values using the lesser of the typical appraised value or maintenance-adjusted market value . This scenario resulted in a zero to one notch decrease from the model-implied-rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. - Fitch ran a sensitivity related to the lessee credit quality in the pool. Fitch assigns a credit rating of 'CCC' or lower to a high percentage of lessees in the pools. The sensitivity assumes all current lessees are rated 'B', excluding lessees rated by Fitch, and that all future lessees will be rated 'B.' This scenario results in a zero to two notch increase in the model-implied-ratings. - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. ICG US CLO 2016-1: S&P Lowers Class D-RR Notes Rating to 'B- (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class C-RR and D-RR debt from ICG US CLO 2016-1 Ltd. and removed them from CreditWatch, where they were placed with negative implications on May 1, 2025. At the same time, we affirmed our ratings on the class X, A-1-RR, A-2-RR, and B-RR debt from the same transaction. The transaction is a U.S. broadly syndicated CLO transaction managed by ICG Debt Advisors LLC. The rating actions follow its review of the transaction's performance using data from the April 2025 trustee report. S&P had placed the ratings on the class C-RR and D-RR debt on CreditWatch negative due primarily to the decline in their respective overcollateralization (O/C) levels and declining cash flows. The CLO exited its reinvestment period in April 2025 and has not yet paid down its senior notes, other than the ongoing amortization payments to the class X debt. However, the class A-1-RR debt was paid down by approximately $0.12 million, or 0.05% of its original balance, in the October 2024 payment period to help cure the failing class D O/C ratio test. The class X debt has been paid down by approximately $1.05 million, or 26.32% of its original balance, since our last rating actions. Although the O/C ratio tests were reported as passing in the April 2025 trustee report, the O/C ratios have declined since the April 2024 rating actions. The drop in the O/C ratios is due primarily to par decline. When compared to the February 2024 trustee report: -- The class A O/C ratio declined to 125.94% from 126.33%. -- The class B O/C ratio declined to 116.72% from 117.09%. -- The class C O/C ratio declined to 108.76% from 109.10%. -- The class D O/C ratio declined to 104.03% from 104.36%. In addition to par loss, the collateral shows signs of deterioration as the trustee-reported 'AAA' weighted average recovery declined to 40.10% from 40.80%, the weighted average spread declined to 3.30% from 3.77%, and the weighted average life increased to 4.47 years from 4.03 years. Similarly, exposure to assets rated in the 'CCC' category increased. As reported in the April 2025 trustee report, the 'CCC' concentration represents $39.52 million compared to $34.02 million as reported in the February 2024 trustee report. Notwithstanding this, there has been some improvement in the portfolio's S&P Global Ratings weighted average rating factor. As a result of these factors, credit support has weakened for all tranches, and cash flows are not passing at the current rating levels for the class B-RR and D-RR debt. For the same reason, cash flows were not passing at the prior rating level for the class C-RR debt. The downgrades reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class C-RR and D-RR debt. The cash flow analysis indicated a lower rating on the class B-RR and D-RR debt than the rating action reflects. S&P said, "However, we affirmed the rating on the class B-RR debt after considering the margin of failure and that the transaction will soon begin to pay down its senior notes, which we expect will increase the credit support available to all the rated classes, all else being equal. The lowered rating on the class D-RR debt reflects that although credit support has deteriorated for this class, in our view, it does not yet meet our definition of 'CCC' risk at this time, as its current credit enhancement level can withstand a steady-state scenario without being dependent on favorable conditions to meet its financial commitments." Additionally, the affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could further change the ratings. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Negative ICG US CLO 2016-1 Ltd. Class C-RR to 'BB+ (sf)' from 'BBB- (sf)/Watch neg' Class D-RR to 'B- (sf)' from 'B (sf)/Watch neg' Ratings Affirmed ICG US CLO 2016-1 Ltd. Class X: AAA (sf) Class A-1-RR: AAA (sf) Class A-2-RR: AA (sf) Class B-RR: A (sf) IP 2025-IP: DBRS Gives Prov. BB(low) Rating on Class F Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-IP (the Certificates) to be issued by IP 2025-IP Mortgage Trust (IP 2025-IP): -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (high) (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) All trends are Stable. The IP 2025-IP single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 1,328-unit Class A apartment complex spanning three 39-story towers with 539 parking spaces and 51,419 square feet (sf) of retail space in Tribeca, New York City. Transaction proceeds of $675.0 million along with $15.0 million of sponsor equity will be used to refinance $675.0 million worth of debt and to cover closing costs. Initially developed in 1975, the property has a current occupancy rate of 93.3% based on the April 17, 2025, rent roll. Originally built in 1975 as part of an affordable housing initiative for lower- and middle-income residents, the property received tax breaks and subsidized mortgages until it exited the program in 2004. Upon exiting the program, the sponsor began renovating the units as they become available; the current tenants that were part of the Landlord Assistance Program (LAP) and those that are receiving Section 8 vouchers are allowed to stay in their units as long as they maintain occupancy and the sponsor has the ability to turn those units to free market-rate units once the residents vacate. Currently, the collateral has a mix of market-rate units, Section 8 voucher tenant units (Section 8), and LAP units. The fair-market units account for 805 units and about 60.6% of the total rentable units, the Section 8 units account for 252 units and about 19.0% of the total units, and the LAP units account for about 267 units and approximately 20.1% of the total units. The remaining four units, or 0.3% of the total rentable units, are nonrevenue employee units. Both the Section 8 voucher units and the LAP units are 100% occupied as of the April 2025 rent roll. The Section 8 tenants are responsible for paying rent up to 30% of their adjusted income with the U.S. Department of Housing and Urban Development paying the difference between the contractual tenant rent and the market rent for the units. Once a tenant vacates a Section 8 unit, it is no longer subject to the Section 8 program and may become a fair-market unit that can be leased at the current market rent. The LAP units are former Mitchell-Lama Housing Program tenants that are enrolled in LAP and are subject to annual rent increases, which track the New York City Rent Guidelines Board index +1%. If a tenant vacates one of the LAP units, the unit is no longer subject to LAP and becomes a fair-market unit. The sponsor's business plan is to renovate all Section 8, LAP, and unrenovated fair-market units upon turnover. In addition to the residential portion of the collateral, there is approximately 51,419 sf of street-facing retail space and 539 parking spaces spread across five separate garages. The largest retail tenant is The Cocoon, which is a family-centered members club that focuses on child growth and development programming and camps; they have two New York City locations, with the other one being on the Upper West Side. The collateral is located in the Tribeca neighborhood of New York City, which is part of the Reis-designated West Village/Downtown submarket. This submarket has historically benefited from low vacancy rates and stable rent trends. As of Q1 2025, the submarket vacancy rate was 3.7%, which shows a slight 0.3% increase since 2024. Since 2020, the submarket has seen a 30.0% rent increase in asking rent per unit to $5,638 from $4,306. In this same period, the vacancy rate has decreased to 3.7% from 5.4%. Furthermore, there is little new construction within the submarket and the vacancy rate is therefore expected to remain somewhat stable. The asking rent seen for properties of a similar vintage (1970-79) of $6,288 per unit is higher than the subject average rent of $5,005 per unit. As the Section 8 and LAP units turn, the sponsor hopes to raise rents to be in line with the market rate. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. IVY HILL XX: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt and the 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. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the June 5, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month term SOFR than the original debt. -- The original class A debt was split into class A-1R and A-2R debt. -- The stated maturity was extended by 2.25 years. -- The reinvestment period and non-call period were extended by 2.13 years. -- The new class X-R debt was issued in connection with this refinancing. This debt is 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." 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) Ratings Withdrawn Ivy Hill Middle Market Credit Fund XX Ltd./ Ivy Hill Middle Market Credit Fund XX LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt 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 2025-4: DBRS Gives Prov. B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-4 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-4: -- $328.5 million Class A-2 at (P) AAA (sf) -- $328.5 million Class A-3 at (P) AAA (sf) -- $328.5 million Class A-3-X at (P) AAA (sf) -- $246.3 million Class A-4 at (P) AAA (sf) -- $246.3 million Class A-4-A at (P) AAA (sf) -- $246.3 million Class A-4-X at (P) AAA (sf) -- $82.1 million Class A-5 at (P) AAA (sf) -- $82.1 million Class A-5-A at (P) AAA (sf) -- $82.1 million Class A-5-X at (P) AAA (sf) -- $197.1 million Class A-6 at (P) AAA (sf) -- $197.1 million Class A-6-A at (P) AAA (sf) -- $197.1 million Class A-6-X at (P) AAA (sf) -- $131.4 million Class A-7 at (P) AAA (sf) -- $131.4 million Class A-7-A at (P) AAA (sf) -- $131.4 million Class A-7-X at (P) AAA (sf) -- $49.3 million Class A-8 at (P) AAA (sf) -- $49.3 million Class A-8-A at (P) AAA (sf) -- $49.3 million Class A-8-X at (P) AAA (sf) -- $36.9 million Class A-9 at (P) AAA (sf) -- $36.9 million Class A-9-A at (P) AAA (sf) -- $36.9 million Class A-9-X at (P) AAA (sf) -- $365.4 million Class A-X-1 at (P) AAA (sf) -- $7.5 million Class B-1 at (P) AA (low) (sf) -- $7.5 million Class B-1-A at (P) AA (low) (sf) -- $7.5 million Class B-1-X at (P) AA (low) (sf) -- $6.2 million Class B-2 at (P) A (low) (sf) -- $6.2 million Class B-2-A at (P) A (low) (sf) -- $6.2 million Class B-2-X at (P) A (low) (sf) -- $3.3 million Class B-3 at (P) BBB (low) (sf) -- $1.9 million Class B-4 at (P) BB (low) (sf) -- $772,800 Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-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, 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, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.45% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.50%, 1.90%, 1.05%, 0.55%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 312 loans with a total principal balance of $386,425,361 as of the Cut-Off Date (May 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of three months. Approximately 85.1% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 14.9% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related presale report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. United Wholesale Mortgage, LLC (UWM) and PennyMac Loan Services, LLC (PennyMac) originated 36.5% and 19.1% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Cenlar FSB (Cenlar) (35.8%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (31.9%), and PennyMac (19.1%). For the UWM-serviced loans, Cenlar will act as the subservicer. For the loans serviced by JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by Morningstar DBRS), Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2025). For certain servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-4: Moody's Assigns B1 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 31 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-4, and sponsored by JPMorgan Chase Bank, National Association (JPMCB). The securities are backed by a pool of prime jumbo (85.1% by balance) and GSE-eligible (14.9% by balance) residential mortgages aggregated by JPMorgan Chase Bank, National Association (JPMCB), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-4 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, 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 B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.28% 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 and available at https://ratings.moodys.com/rmc-documents/425169. The methodologies used in rating interest-only classes were "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. . Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-5MPR: Moody's Assigns Ba1 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 11 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2025-5MPR, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (88.4% by balance) and GSE-eligible (11.6% by balance) residential mortgages aggregated by JPMorgan Chase Bank, N.A. (JPMCB), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-5MPR Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1C, Definitive Rating Assigned Aaa (sf) Cl. A-1D, Definitive Rating Assigned Aaa (sf) Cl. A-1M, Definitive Rating Assigned Aa1 (sf) Cl. A-2, Definitive Rating Assigned Aa3 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa1 (sf) Cl. B-1, Definitive Rating Assigned Baa3 (sf) Cl. B-2, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.59%, in a baseline scenario-median is 0.28% and reaches 9.69% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-LTV1: Fitch Assigns 'B-sf' Final Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2025-LTV1 (JPMMT 2025-LTV1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-LTV1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final rating to the RMBS to be issued by JP Morgan Mortgage Trust 2025-LTV1, Series 2025-LTV1 (JPMMT 2025-LTV1), as indicated above. The notes are supported by 281 loans with a balance of $272.80 million as of the cutoff date. This represents the first prime high loan-to-value (LTV) transaction on the JPMMT shelf in 2025 and the second Fitch rated JPMMT transaction in 2025. The notes are secured by mortgage loans originated mainly by United Wholesale Mortgage (UWM), which is assessed as an 'Above Average' originator by Fitch. The remaining originators are contributing less than 10% each to the transaction. On and after the closing date, the loans are serviced by the following servicers: United Wholesale Mortgage LLC (61.4%), which is not rated by Fitch but Cenlar, rated 'RPS2' by Fitch, is the subservicer; Nationstar Mortgage LLC d/b/a Rushmore Servicing (25.7%), rated 'RSS2'/Stable by Fitch; PennyMac Loan Services and PennyMac Corp (10.5%), rated 'RPS2-'/Stable by Fitch; loanDepot.com LLC (1.8%), which is not rated by Fitch and Fay Servicing, LLC (0.6%), rated 'RSS2'/Negative by Fitch. Per the transaction documents, 93.8% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 6.2% are designated as rebuttable presumption (APOR) qualified mortgage loans. Class A-1A, class A-1B, class A-2 and class A-3 notes are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. The pass-through rate for class M-1 and B-1 notes will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of notes, determined at the time of pricing, or (ii) the net WAC rate for the related payment date. The class B-2 and B-3 notes are based on the net WAC. Additionally, on any payment date after the step-up date where the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.1% above a long-term sustainable level (versus 11.1% on a national level 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). Prime Credit Quality High LTV Loans (Mixed): The collateral consists of 281 fixed-rate, fully amortizing loans totaling $272.80 million. In total, 93.8% of the loans are designated as SHQM and the remaining 6.2% are designated as APOR qualified mortgage loans. The loans were made to borrowers with strong credit profiles but relatively high leverage. The loans are seasoned at approximately six months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 746 FICO and a 39.8% debt-to-income (DTI) ratio, according to Fitch. Based on Fitch's analysis of the pool, the original WA combined LTV ratio (CLTV) is 86.7%, which translates to a sustainable LTV ratio (sLTV) of 95.2%. Approximately 35.2% of the loans have an sLTV greater than 100%. Per the transaction documents and Fitch's analysis, conforming loans constitute 12.7% of the pool and non-conforming loans constitute 87.3% of the pool. Additionally, 46.7% of the loans were originated by a retail or non-broker correspondent channel, and 53.3% via a broker channel. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (90.3% primary and 9.7% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.5% of the pool, condominiums make up 7.6% and the remaining 2.9% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (79.3%), cashout refinances (9.8%) and rate-term refinances (10.9%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. A total of 132 loans in the pool are for over $1.0 million, and the largest loan is approximately $2.87 million. Eighteen loans in the transaction have an interest rate buy down feature. Fitch did not increase its loss expectations on these loans since they were underwritten to the full interest rate. Of the pool loans, 27.1% are concentrated in California, followed by Florida and Arizona. The largest MSA concentration is in the Los Angeles MSA (11.1%), followed by the Phoenix MSA (7.7%) and the Denver MSA (4.5%). The top three MSAs account for 23.3% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, none of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. Additionally, 9.0% of the loans have a junior lien in conjunction with a first-lien mortgage. First-lien mortgages constitute 100% of the pool (no second-lien loans are in the pool). All loans in the pool are current as of the cutoff date. Loan Count Concentration (Negative): The loan count for this pool is 281 loans, which results in a weighted average number (WAN) of 208 loans. Due to the WAN being less than 300, a loan count concentration penalty was applied. The loan count concentration for this pool results in a 1.12x penalty, which increases loss expectations by 214 bps at the 'AAAsf' rating category. Full Advancing (Mixed): The servicers will provide full advancing for the life of the transaction; each servicer is expected by Fitch to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both of these features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in June 2029, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any payment date occurring on or after the payment date in June 2029 on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. 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 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.69% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC 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. 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 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-NQM2: DBRS Gives Prov. B(low) Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to J.P. Morgan Mortgage Trust 2025-NQM2 (JPMMT 2025-NQM2 or the Trust) as follows: -- $253.5 million Class A-1A at (P) AAA (sf) -- $43.1 million Class A-1B at (P) AAA (sf) -- $296.6 million Class A-1 at (P) AAA (sf) -- $36.4 million Class A-2 at (P) AA (high) (sf) -- $43.3 million Class A-3 at (P) A (high) (sf) -- $19.6 million Class M-1A at (P) BBB (high) (sf) -- $9.9 million Class M-1B at (P) BBB (low) (sf) -- $12.7 million Class B-1 at (P) BB (low) (sf) -- $8.8 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while the Class A-1A and A-1B are the depositible certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 31.15% 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), (P) BB (low) (sf), and B (low) credit ratings reflect 22.70%, 12.65%, 8.10%, 5.80%, 2.85%, and 0.80% of credit enhancement, respectively. 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 Pass-Through Certificates, Series 2025-NQM2. The Certificates are backed by 993 loans with a total principal balance of approximately $430,783,150 as of the Cut-Off Date (May 1, 2025). The pool is, on average, three months seasoned with loan ages ranging from one to 12 months. The Mortgage Loan Seller acquired approximately 36.6% and 20.5% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-off Date, from United Wholesale Mortgage, LLC (UWM) and Maxex Clearing, LLC, respectively. All the other originators individually comprised less than 15% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint will service approximately 87.5% of the loans and Selene Finance LP will service 12.5% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 52.2% of the loans by balance are designated as non-QM. Approximately 43.6% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 3.2% of the pool are designated as QM Safe Harbor, and 0.9% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The EU/UK Retention Holder will retain at least 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in May 2028 or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1A then A-1B followed by a reduction of the Class A-1A then A-1B certificate balances, before an allocation of interest then principal to the Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates 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, M-1A, and M-1B (and B-1 if issued with fixed rate). Of note, the Class A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in June 2029. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in US dollars unless otherwise noted. JPMDB COMMERCIAL 2017-C5: Fitch Cuts Rating on 2 Tranches to Bsf ---------------------------------------------------------------- Fitch Ratings has downgraded eight classes and affirmed four classes of JPMDB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2017-C5 (JPMDB 2017-C5). Fitch has assigned Negative Rating Outlooks to classes A-S, X-A, B, C and X-B following the downgrades and revised the Outlook for class A-5 to Negative from Stable. In addition, Fitch has affirmed all 13 classes of JP Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates 2017-JP6 (JPMCC 2017-JP6). The Outlooks remain Negative for classes A-S, X-A, B, C, X-B, D, E-RR and F-RR. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2017-C5 A-4 46590TAD7 LT AAAsf Affirmed AAAsf A-5 46590TAE5 LT AAAsf Affirmed AAAsf A-S 46590TAJ4 LT Asf Downgrade AA-sf A-SB 46590TAF2 LT AAAsf Affirmed AAAsf B 46590TAK1 LT BBsf Downgrade BBBsf C 46590TAL9 LT Bsf Downgrade BBsf D 46590LBA9 LT CCCsf Downgrade Bsf E-RR 46590LBC5 LT Csf Downgrade CCCsf F-RR 46590LBE1 LT Csf Downgrade CCsf G-RR 46590LBG6 LT Csf Affirmed Csf X-A 46590TAG0 LT Asf Downgrade AA-sf X-B 46590TAH8 LT Bsf Downgrade BBsf JPMCC 2017-JP6 A-3 48128KAS0 LT AAAsf Affirmed AAAsf A-4 48128KAT8 LT AAAsf Affirmed AAAsf A-5 48128KAU5 LT AAAsf Affirmed AAAsf A-S 48128KAX9 LT AAAsf Affirmed AAAsf A-SB 48128KBA8 LT AAAsf Affirmed AAAsf B 48128KAY7 LT AA-sf Affirmed AA-sf C 48128KAZ4 LT A-sf Affirmed A-sf D 48128KAA9 LT BBB+sf Affirmed BBB+sf E-RR 48128KAC5 LT BBsf Affirmed BBsf F-RR 48128KAE1 LT B-sf Affirmed B-sf G-RR 48128KAG6 LT CCCsf Affirmed CCCsf X-A 48128KAV3 LT AAAsf Affirmed AAAsf X-B 48128KAW1 LT A-sf Affirmed A-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 16.7% in JPMDB 2017-C5 and 7.3% in JPMCC 2017-JP6, increasing from 12.9% and 6%, respectively, at the last rating action. Fitch Loans of Concern (FLOCs) comprise 13 loans (52.6% of the pool) in JPMDB 2017-C5, including three loans in special servicing (21.6%), and 12 loans (38.4%) in JPMCC 2017-JP6, including two loans in special servicing (5%). The downgrades in JPMDB 2017-C5 reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by an updated value and increasing exposure for 229 West 43rd Street (9.3%) and further performance declines on FLOCs including Gateway I & II (5.8%) and Summit Place Wisconsin (3.4%). The Negative Outlooks in JPMDB 2017-C5 reflect the office concentration of 32% and the potential for downgrades should performance of the FLOCs fail to stabilize. Additional factors include further performance declines, prolonged workouts of loans in special servicing, or a higher-than-expected failure rate in loan refinancing. The affirmations in the JPMCC 2017-JP6 transaction reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks in JPMCC 2017-JP6 reflect the high office concentration of 55.6% and the potential for downgrades should performance of the FLOCs — 211 Main Street (11.2%), Walgreens/Rite Aid/Eckerd Portfolio (3%), Raytheon - 16800 Centretech (4.1%), Apex Fort Washington (3.3%) and Knights Road Shopping Center (2%) — fail to stabilize, experience additional declines in performance, prolonged workouts of the loans in special servicing, or if more loans than anticipated fail to refinance. Given the large concentration of loan maturities in 2026 and 1H 2027 (25.3% and 46.5% for JPMDB 2017-C5 and 1.9% and 64.8% for JPMCC 2017-JP6, respectively, and excluding specially serviced loans), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and overall largest contributor to loss in the JPMDB 2017-C5 transaction is the real estate owned (REO) 229 West 43rd Street Retail Condo (9.3%), which represents nearly 65% of Fitch's total expected loss for the pool. The loan transferred to special servicing in December 2019 for imminent monetary default. The property experienced tenancy issues even before the pandemic. With tenants in the entertainment and tourism industries, the property sustained further declines when the pandemic began. As of February 2025, the property was 32.3% occupied by two tenants: Bowlmor (31.6% of the NRA; July 2034 lease expiration) and Los Tacos No.1 (0.7%; December 2028). A receiver was appointed in March 2021 and then a foreclosure action was filed. The loan became REO in late May 2024. Fitch's 'Bsf' rating case loss rose to 114% (before concentration add-ons) due to the large loan exposure, and reflects a discount on the latest appraisal reported by the servicer that represents a 90% value decline from the appraised value at issuance. The second largest driver of and third largest increase in expected losses in JPMDB 2017-C5 is the newly specially serviced Gateway I & II loan (5.8%). The collateral consists of two contiguous mixed-use office buildings totaling 99,393 sf in Harlem, NY. The loan transferred to special servicing in November 2024 due to a missed October payment. Per the servicer, a receiver was appointed in April 2025 and the strategy includes addressing operating expenses and litigation while simultaneously pursuing foreclosure and a workout with the borrower. As of the September 2024 rent roll, the property was 95.6% physically occupied. Duane Reade, occupying 10.7% of NRA (October 2026 lease expiration), vacated its ground floor retail space but continues to pay rent. Other vacated ground floor tenants include Modell's, which left in 2020 before its January 2028 lease expiration, and IHOP. Sinergia, Inc., the second largest tenant (19.4% NRA), renewed its lease for five years in 2024 through November 2029. In 2023, Olgam Plasma Donation Center (13% NRA) signed a lease through 2033, with rent 38% below the previous tenant's rate at issuance. The largest tenant, NYSARC (The Arc New York), a non-profit funded by state agencies, occupies 39.1% of NRA. NYSARC leases 25.4% of NRA through November 2029 and 13.7% through January 2030 and operates residential quarters onsite, making relocation cost-prohibitive due to residents' needs. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 25% reflects a discount on the latest appraisal by the servicer. The third largest driver of and second largest increase in expected losses in JPMDB 2017-C5 is the Summit Place Wisconsin loan (3.4%). The loan is secured by a 668,471-sf suburban office building located in West Allis, WI which was 71% occupied as of YE 2024, down from 78% at YE 2023 and 94% at YE 2022. Occupancy and NOI has declined mainly due to the departure of Brookdale Senior Living (27.9% of NRA) at lease expiration in April 2024. The loan became 30 days delinquent in January 2025 and progressed to 60 days delinquent by April 2025. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 36% reflects a 10% cap rate and 25% stress to the YE 2023 NOI for rollover. The largest contributor to loss expectations in the JPMCC 2017-JP6 transaction is the 211 Main Street loan (11.2%), secured by a 417,266-sf single-tenant office building in San Francisco, CA that is leased to Charles Schwab through April 2028. The loan was initially transferred to special servicing in March 2024 prior to defaulting at loan maturity in April 2024. In May 2024, the special servicer closed a four-year extension with the borrower, with no additional extension options available. Consequently, the loan returned from the special servicer in November 2024, with a new maturity date of April 2028. Charles Schwab has relocated its headquarters from San Francisco to Westlake, TX and has downsized to six floors from 17 floors, operating in 38% of the building. The lease expires in 2028 with no termination options. Fitch's 'Bsf' rating case loss of 14% (before concentration add-ons) reflects a 9.5% cap rate and the YE 2023 NOI with a 30% stress accounting for Schwab moving operations and the declining rental rates in San Francisco. The second largest driver of expected losses in JPMCC 2017-JP6 is the specially serviced Walgreens/Rite Aid/Eckerd Portfolio loan (3%). The loan was transferred to special servicing in November 2023 due to a payment default and the special servicer has engaged counsel to initiate foreclosure and the receivership processes across jurisdictions in Puerto Rico, Georgia, and Michigan. Servicer commentary notes that progress in negotiations with the borrower has been limited, and both foreclosure proceedings and negotiations are being pursued concurrently. The portfolio is secured by five single-tenant retail properties located across Michigan, Georgia, and Puerto Rico. Major tenants include Walgreens (46.6% NRA; leases expiring September 2030 and 2031 in Puerto Rico, guaranteed by the parent company), Rite Aid (33.0% NRA; leases expiring November 2028 and July 2029 in Michigan), and La-Z-Boy (20.5% NRA; sublease expiring April 2024 in Georgia). The La-Z-Boy property in Georgia is confirmed dark, with no information on when the tenant vacated, and both Rite Aid locations in Michigan are also dark. The Walgreens stores in Puerto Rico do not appear on the current store closure lists. Fitch's 'Bsf' rating case loss of 34% (before concentration add-ons) reflects a discount on the latest appraisal by the servicer. The third largest driver of and largest increase in expected losses in JPMCC 2017-JP6 is the Raytheon - 16800 Centretech loan (4.1%). The loan is secured by a 216,786-sf office property located in Aurora, CO 100% occupied by Raytheon through September 2026. According to the April 2025 remittance report, the loan is 60 days delinquent. The borrower requested to settle one of the past due months and have indicated that they will be able to bring all payments current once the insurance impounds are removed, which they claim is causing the delay in payments. Furthermore, the loan is being monitored for force-placed insurance. Fitch's 'Bsf' rating case loss of 19% (before concentration add-ons) reflects a 10.25% cap rate and the YE 2022 NOI with a 10% stress; 2023 financials remain unavailable and the annualized June 2024 NOI is 2% above YE 2022. Fitch's analysis also included a heightened probability of default given ongoing delinquency issues. Changes in Credit Enhancement (CE): As of the April 2025 distribution date, the aggregate balances of the JPMDB 2017-C5 and JPMCC 2017-JP6 transactions have been paid down by 17.5% and 27.3%, respectively, since issuance. The JPMDB 2017-C5 transaction includes four loans (7.7% of the pool) that have fully defeased and JPMCC 2017-JP6 has three loans (3.6%) that have fully defeased. Cumulative interest shortfalls of $14.5 million are affecting classes D, E-RR, F-RR, G-RR and the non-rated class NR-RR in JPMDB 2017-C5 and $323,500 are affecting the non-rated NR-RR class in JPMCC 2017-JP6. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns regarding further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAAsf' 'AAsf' and 'Asf' categories that have Negative Outlooks may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 229 West 43rd Street (9.3%), Gateway I & II (5.8%) and Summit Place Wisconsin (3.4%) in JPMDB 2017-C5 and 211 Main Street (11.2%), Walgreens/Rite Aid/Eckerd Portfolio (3%), Raytheon - 16800 Centretech (4.1%), Apex Fort Washington (3.3%) and Knights Road Shopping Center (2%) in JPMCC 2017-JP6. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including 229 West 43rd Street (9.3%), Gateway I & II (5.8%) and Summit Place Wisconsin (3.4%) in JPMDB 2017-C5 and 211 Main Street (11.2%), Walgreens/Rite Aid/Eckerd Portfolio (3%), Raytheon - 16800 Centretech (4.1%), Apex Fort Washington (3.3%) and Knights Road Shopping Center (2%) in JPMCC 2017-JP6. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 9: Moody's Cuts Rating on $27.9MM Class E-R Notes to B1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 9 Ltd.: US$26,500,000 Class C-R2 Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on February 6, 2024 Upgraded to Aa2 (sf) US$33,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to A3 (sf); previously on February 6, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$27,900,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2030, Downgraded to B1 (sf); previously on April 15, 2021 Upgraded to Ba3 (sf) KKR CLO 9 Ltd., originally issued in September 2014 and last refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2024. The Class A-R2 notes have been paid down by 78.67% or $123.6 since then. Based on the trustee's April 2025 report[1], the OC ratios for the C-R2 and Class D-R notes are reported at 158.71% and 123.28%, respectively, versus April 2024 levels[2] of 133.13% and 116.95%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[3], the OC ratio for the Class E-R notes is reported at 103.70% versus April 2024 level[4] of 106.05%. Based on the trustee's April 2025 report[5], the weighted average rating factor (WARF) is reported at 3669 versus April 2024 level[6] of 3356. Additionally, Moody's notes that the April 2025 trustee-reported Class E-R OC ratio, WARF, Diversity Score and WAL tests are currently failing. No actions were taken on the Class A-R2 and Class B-R2 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 methodologies 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: $191,698,209 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3442 Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 46.42% Weighted Average Life (WAL): 3.2 years Par haircut in OC tests and interest diversion test: 5.2% 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. KODIAK CLO II: Moody's Upgrades Rating on 2 Tranches From Ba3 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Kodiak CDO II, Ltd.: US$80,000,000 Class A-3 Senior Secured Floating Rate Notes due 2042 (current balance of $71,152,166.19), Upgraded to Aaa (sf); previously on January 19, 2022 Upgraded to Aa1 (sf); US$81,000,000 Class B-1 Senior Secured Floating Rate Notes due 2042, Upgraded to Baa1 (sf); previously on March 5, 2019 Upgraded to Ba3 (sf); US$5,000,000 Class B-2 Senior Secured Fixed/Floating Rate Notes due 2042, Upgraded to Baa1 (sf); previously on March 5, 2019 Upgraded to Ba3 (sf); Kodiak CDO II, Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS) with exposure to bank TruPS, insurance notes, corporate bonds and structured finance securities. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the repayment in full of the Class A-2 notes, the deleveraging of the Class A-3 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since May 2024. The Class A-2 notes have paid down in full and the Class A-3 notes have paid down by approximately 11.06% or $8.8 million since May 2024 using principal proceeds from the redemption of the underlying assets, the diversion of excess interest proceeds and the recoveries from a defaulted asset. Based on Moody's calculations, the OC ratios for the Class A-3 and Class B notes have improved to 371.3% and 168.1%, respectively, from May 2024 levels of 288.2% and 149.9%, respectively. The Class A-3 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. Furthermore, the credit quality of the portfolio has improved to 2236 from 2796 since May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $264.2 million Defaulted/deferring par: $71 million Weighted average default probability: 24.92% (implying a WARF of 2236) Weighted average recovery rate upon default of 13.01% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios includes, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. KSL TRUST 2025-MAK: DBRS Gives Prov. B(low) Rating on Cl. G Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-MAK (the Certificates) to be issued by KSL Trust 2025-MAK: -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) AA (low) (sf) -- Class D at (P) A (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class G at (P) B (low) (sf) All trends are Stable. The KSL Trust 2025-MAK transaction is collateralized by the borrower's fee-simple interest (and leasehold with respect to certain parcels) in one independent full-service hospitality property and one limited-service hospitality property with a combined 472 keys on Mackinac Island, Michigan. The transaction includes three ground leases with Mackinac Island government agencies for Grand Hotel's golf course through 2044, a borough lot through 2099, and Fort Mackinac Tea Room through 2027. Representing 388 keys of the total 472 keys in the portfolio is Grand Hotel, which is a AAA Four Diamond rated hotel of historical significance as a premier summer destination. Built in 1887 and recognized as a National Historic Landmark, the hotel has been preserved and continues to feature old-world hospitality and charm. Grand Hotel features a wide array of amenities including 15 food and beverage (F&B) outlets, an 18-hole golf course, a fitness center, an outdoor pool, a full-service shop, and retail outlets. The other hotel in the portfolio, representing 84 keys, is Bicycle Street Inn & Suites (Bicycle Inn), which is a limited-service, relatively new hotel off Main Street on Mackinac Island providing excellent accessibility to the ferry terminals; Mackinac Island is accessible only by ferry from St. Ignace and Mackinaw City, Michigan. Mackinac Island is an iconic tourist destination, particularly for the Midwest, which attracts approximately 1 million visitors per year. Mackinac Island provides a unique old-world charm that prohibits motor vehicles, and 80.0% of the island is a state park with extremely high barriers to entry. USA Today rated Mackinac Island as the best summer travel destination in 2023 and 2024, and PeopleForBikes ranked Mackinac Island number one for bicycling in the U.S. also in 2024. The transaction sponsor is KSL Capital Partners (KSL). KSL is a private equity firm that primarily invests in luxury hotels and resorts. Since inception, KSL has raised more than $25.0 billion and has invested in more than 185 travel and leisure businesses. Both hotels are managed by Davidson Hospitality Group, which is a highly experienced full-service hospitality management company. Prior to the acquisition, the hotels were family-owned. Morningstar DBRS learned on the site tour that, upon acquisition in 2019 for Grand Hotel and 2021 for Bicycle Inn, the sponsor began active revenue management and a dynamic pricing model to set room rates and increase F&B and other revenue spending. Since acquisition, KSL has invested $106.6 million ($225,795 per key) into the portfolio including $12.8 million invested in early 2025. In line with other hotels on the island, the hotels in this portfolio are seasonal, operating from early May until the end of October each year. The seasonal nature of the hotels allows for capital expenditure (capex) work to take place during the offseason, resulting in minimal disruption to guests' experience. The scope of this investment has been wide ranging from updating all restrooms at Grand Hotel to creating new amenities such as Woodlands Recreation Center and new F&B outlets such as Mackinac Island Pizza Company. The renovation also included the expansion and restoration of the retail corridor and swimming pool. In 2025, approximately $4.0 million was spent on cosmetic improvements and upkeep for Grand Hotel's iconic facade, and an additional $8.8 million is being spent on F&B and retail outlets to grow ancillary income. While the property has seasonal operations, the loan is structured with ongoing monthly deposits of approximately $4.3 million from May to October. As a result of capex investment and dynamic pricing, the portfolio generated a YE2024 revenue per available room (RevPAR) of $445.06 on a seasonal basis, and $215.82 on an annual basis, which represents a 12.8% increase since 2022. On the back of an impressive 9.6% increase in occupancy, the hotel portfolio's average daily rate (ADR) increased by 1.2% in the same period. Specifically, Grand Hotel's RevPAR experienced an enormous increase of 58.2% from 2019 to 2024, driven by an increase in ADR. From 2022 to 2024, Grand Hotel's RevPAR increased by 10.5%. On an annual basis, the hotel's RevPAR increased by 25.2% from 2019 and by 9.2% from 2022. Per management, Grand Hotel already had approximately 40,000 rooms booked for the 2025 season. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. LAQ 2023-LAQ MORTGAGE: S&P Lowers Class E Notes Rating to 'B+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class E and F commercial mortgage pass-through certificates from LAQ 2023-LAQ Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on the class B, C, and D certificates and discontinued our 'AAA (sf)' rating on the class A certificates from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a floating-rate, interest-only (IO) mortgage loan. The loan, which has $308.7 million balance as of the May 15, 2025, remittance report, is secured by the borrowers' fee-simple and/or leasehold interests in a portfolio of 25 limited-service, La Quinta-flagged lodging properties. The properties are in 11 U.S. states, totaling 3,708 guestrooms. Further, two properties were released in May 2025, which S&P expects will be reflected in the trustee remittance report as early as June 2025. At issuance, the trust balance was $625.0 million, and the loan was collateralized by 58 properties totaling 7,992 guestrooms across 20 U.S. states. The loan matured March 9, 2025. Rating Actions The downgrades on classes E and F and affirmations on classes B, C, and D primarily reflect: -- S&P's revised expected-case valuation for the portfolio properties, which is about 40% lower than the value it derived at issuance, adjusted for the remaining 25 properties as of May 2025. -- While the portfolio's revenue per available room (RevPAR) has rebounded since the COVID-19 pandemic, reaching a peak in 2023, it has since declined in 2024 and in the trailing 12 months (TTM) ending February 2025. Additionally, operating expenses have increased, resulting in declining net cash flow (NCF) margins across the remaining properties. The servicer-reported NCF in 2024 ($22.9 million) and the TTM period ending February 2025 ($21.8 million), are both below our new issuance assumption for the remaining 25 properties. -- The loan transferred to the special servicer in February 2025 due to imminent maturity default. The loan matured on March 9, 2025; the borrower did not exercise its extension option and is requesting a loan modification. The loan is currently unhedged, and discussions surrounding a workout resolution are ongoing. Although the model-indicated ratings for the class B, C, and D certificates were higher than the current outstanding ratings, primarily as a result of the $316.3 million in principal paydowns from property releases since issuance, we affirmed our ratings on these classes because S&P qualitatively considered the following: -- The transaction faces adverse selection as the borrower continues to release properties, potentially leaving worse-performing assets in the portfolio while releasing the stronger performers. The remaining properties have reported declining performance. -- The loan is not presently covered by an interest rate cap agreement and is susceptible to liquidity interruption. The servicer-reported debt service coverage is sub-1.00x as of year-end 2023. -- There remains uncertainty surrounding the potential loan workout. S&P said, "Although the model indicated rating for the class E certificates was lower than the current outstanding rating, we tempered our downgrade on the class because we qualitatively considered that two additional properties totaling $21.2million were released in May 2025. We expect this amount to be distributed to the bondholders, further deleveraging the trust balance, as early as the June 2025 trustee remittance report. "The downgrade on class F to 'CCC (sf)' further reflects our qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions and that this class is vulnerable to default. "We discontinued our 'AAA (sf)' rating on the class A certificates because the class's balance has been repaid in full, as noted in the May 2025 trustee remittance report. "At issuance, we applied a positive loan-level LTV threshold adjustment for the granularity and geographic diversity of the portfolio. As a significant number of the properties have been released, in our current review, we decreased this adjustment. "We will continue to monitor the performance of the remaining collateral properties and loan, as well as the ongoing workout negotiations between the borrower and special servicer. If we receive information that substantially differs from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." " Property-Level Analysis Updates S&P said, "At issuance, the properties' performance was rebounding after declining during the COVID-19 pandemic. At that time, we utilized a $76.08 RevPAR, accounting for improved performance coming out of the pandemic. We assumed a 30.1% departmental expense ratio and 22.4% NCF margin to derive a long-term sustainable NCF of $51.0 million for the entire 58-property portfolio. Adjusted for the remaining 25 properties, our NCF would be approximately $30.7 million. Using a weighted-average S&P Global Ratings capitalization rate of 9.97% based on individual property quality, and adding $14.6 million to our value to account for properties that we considered to still be rebounding from the pandemic (a $25,000 per guestroom floor value), we arrived at an expected-case value of $525.7 million, or $65,774 per guestroom. Adjusting for the remaining 3,708 guestrooms, our expected-case value would be about $308.9 million, or $83,298 per guestroom." The full-year 2023 reported NCF for the remaining 25 properties continued to improve, but declined in 2024 and TTM period ending February 2025. Simultaneously, RevPAR increased in 2023 and fell in 2024 and the TTM ending February 2025. Over the same period, NCF margin declined significantly from about 26.9% in 2021 to 19.4% in the TTM ending February 2025, driven primarily by rising operating expenses. S&P said, "In our current property-level analysis, we arrived at a $18.4 million NCF using a 67.0% occupancy, $113.55 average daily rate, and $76.08 RevPAR (unchanged from new issuance, but adjusted to reflect the remaining 3,708 guestrooms) and increasing our expenses, resulting in an NCF margin of 16.8%. Our derived NCF is approximately 15.6% below the NCF achieved in the TTM period ending February 2025. Using a 9.92% S&P Global Ratings capitalization rate, which is a weighted average of the varied-quality lodging properties and is unchanged from new issuance, we derived an S&P Global Ratings expected-case value of $185.4 million, or $50,000 per guestroom. We did not carry forward the add to value utilized at issuance because we assumed that the remaining properties' performance has generally stabilized. Our revised expected-case value is about 40.0% below our issuance value and 63.7% below the issuance "as-is" appraised value of $510.1 million (adjusted for the remaining properties). This yielded an S&P Global Ratings' loan-to-value ratio of 166.5% on the remaining trust balance." Table 1 Servicer-reported collateral performance(i) Trailing-12-months ending Feb 2025(ii) 2024(ii) 2023(ii) 2022(ii) 2021(ii) Occupancy rate (%) 66.9 67.6 65.9 60.3 57.2 Average daily rate ($) 116.88 116.19 122.60 126.20 111.08 Revenue per available room ($) 78.21 78.57 80.82 76.09 63.48 Net cash flow (mil. $) 21.8 22.9 32.5 28.2 23.8 Appraisal value (mil. $)(iii) 510.1 510.1 510.1 510.1 510.1 (i)Adjusted to reflect the remaining 25 properties as of the May 2025 trustee remittance report. (ii)Reporting period. (iii)At issuance, as of February 2023, adjusted to reflect the remaining 25 properties. Table 2 S&P Global Ratings' key assumptions Current review At issuance (June 2025)(i) (March 2023)(i) Trust loan balance (mil. $) 308.7 625.0 Number of properties 25(ii) 58 Number of guestrooms 3,708 7,992 Occupancy rate (%) 67.0 67.0 Average daily rate ($) 113.55 113.55 Revenue per available room ($) 76.08 76.08 Net cash flow (mil. $) 18.4 51.0 Capitalization rate (%) 9.92 9.97 Addition to value (mil. $)(iii) 0 14.6 Value (mil. $) 185.4 525.7 Value per guestroom ($) 50,000 65,774 Loan-to-value ratio (%) 166.5 118.9 (i)Review period. (ii)Property count reflected in the balance as of the May 2025 remittance report. (iii)At issuance, S&P assumed a floor value of $25,000 per guestroom for properties that were in repair or rebounding from the pandemic. S&P did not carry forward this treatment in the current review. Ratings Lowered LAQ 2023-LAQ Mortgage Trust Class E to 'B+ (sf)' from 'BB- (sf)' Class F to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed LAQ 2023-LAQ Mortgage Trust Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Rating Discontinued LAQ 2023-LAQ Mortgage Trust Class A to NR from 'AAA (sf)' NR--Not rated. LENDMARK FUNDING 2025-1: DBRS Gives Prov. BB(low) Rating on E Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by Lendmark Funding Trust 2025-1 (Lendmark 2025-1), as follows: -- $228,660,000 Class A Notes at (P) AAA (sf) -- $28,360,000 Class B Notes at (P) AA (low) (sf) -- $31,590,000 Class C Notes at (P) A (low) (sf) -- $30,870,000 Class D Notes at (P) BBB (low) (sf) -- $32,310,000 Class E Notes at (P) BB (low) (sf) The provisional credit ratings are based on Morningstar DBRS review of the following analytical considerations: (1) The transaction assumptions consider Morningstar DBRS's 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 pandemic scenarios, which were first published in April 2020. (2) The Morningstar DBRS CNL assumption is 10.78% and is driven by the re-investment criteria in a worst-case pool scenario. The CNL assumption reflects the recent elevated but stable losses coming out from the inflation-led portfolio losses of 2022 and 2023. The CNL assumption additionally incorporates a 5.00% recovery credit for all products based upon historical recovery performance. (3) Transaction capital structure and form and sufficiency of available credit enhancement. (A) Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS's stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. (4) 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 principal by the legal final maturity date. (5) Lendmark's capabilities with regard to originations, underwriting, and servicing. (A) Morningstar DBRS has performed an operational review of Lendmark and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer. (B) Lendmark's senior management team has considerable experience and a successful track record within the consumer loan industry. (6) The credit quality of the collateral and performance of Lendmark's consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis employed for assets, such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. (A) The weighted-average (WA) remaining term of the Statistical Cut-Off Date is 42 months. (B) The WA Current Bureau Score as of the Statistical Cut-Off Date is approximately 611. (C) The weighted-average coupon (WAC) as of Statistical Cut-Off Date is 27.18%, and the transaction includes a Reinvestment Criteria Event if the WAC is less than 24.50%. -- The Morningstar DBRS's base-case assumption for the finance yield is 24.50%. -- Morningstar DBRS applied a finance yield haircut of 10.00% for Class A, 7.78% for Class B, 5.33% for Class C, 3.33% for Class D and 1.33% for Class E. While these haircuts are lower than the range described in the Morningstar DBRS's Rating U.S. Credit Card Asset-Backed Securities methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. (D) Principal payment rates for Lendmark's portfolio, as estimated by Morningstar DBRS, have generally averaged between 3.0% and 5.0% over the past several years. -- The Morningstar DBRS's base-case assumption for the principal payment rate is 3.08%. -- Morningstar DBRS applied a payment rate haircut of 45.00% for Class A, 39.44% for Class B, 33.33% for Class C, 26.67% for Class D and 16.67% for Class E. (7) The legal structure and expected presence of legal opinions will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Lendmark, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS's Legal Criteria for U.S. Structured Finance. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount, and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. MARBLE POINT XXII: Moody's Cuts Rating on $20.25MM E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Marble Point CLO XXII Ltd.: US$20,250,000 Class E Mezzanine Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on July 26, 2021 Assigned Ba3 (sf) Marble Point CLO XXII Ltd., issued in July 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 July 2026. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including expected recoveries from defaulted securities, is $387.0 million, or $13.0 million less than the $400.0 million initial par amount targeted during the deal's ramp-up. No actions were taken on the Class A, Class B, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $385,523,122 Defaulted par: $5,349,140 Diversity Score: 71 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.00% Weighted Average Recovery Rate (WARR): 46.29% Weighted Average Life (WAL): 5.4 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MARINER FINANCE 2025-A: DBRS Finalizes BB Rating on E Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (collectively, the Notes) issued by Mariner Finance Issuance Trust 2025-A (MFIT 2025-A): -- $287,070,000 Class A Notes at AAA (sf) -- $34,370,000 Class B Notes at AA (low) (sf) -- $38,720,000 Class C Notes at A (sf) -- $28,410,000 Class D Notes at BBB (sf) -- $36,430,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) 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. (2) Transaction capital structure and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed assumptions under all stress scenarios. (3) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (4) Mariner's capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Mariner and, as a result, considers the entity to be an acceptable originator and servicer of personal loans. -- Mariner's senior management team has considerable experience and a successful track record within the consumer loan industry. (5) The credit quality of the collateral and performance of Mariner's consumer loan portfolio. Morningstar DBRS used a hybrid approach in analyzing Mariner's portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving loan analysis to account for renewal loans. As of the Statistical Cut-Off Date: -- The weighted-average (WA) remaining term of the collateral pool is approximately 38 months. -- The WA coupon (WAC) of the pool is 28.97% and the transaction includes a reinvestment criteria event that the WAC is less than 24.50%. All loans going into the pool will have an APR less than 36.00%. -- CPR rates for Mariners' portfolio, as estimated by Morningstar DBRS, have generally averaged between 8.0% and 14.0% since 2014 depending on product type. -- The Morningstar DBRS base-case assumption for CPR is 6.0%. -- Charge-off rates on the Mariner portfolio have generally ranged between 9.00% and 15.00% over the past several years. -- The Morningstar DBRS base-case assumption for the charge-off rate is 12.48% which is based on the MFIT 2025-A reinvestment criteria and recent credit performance. -- For this transaction, Morningstar DBRS assumed an overall recovery rate of 5.75% which based on historical recovery performance which varies by product type, with assumptions ranging from 5.00% to 7.50%. (6) The MFIT 2025-A transaction is expected to add receivables originated by Mariner's partnerships bank, WebBank and are considered Online Loans under the re-investment criteria. The Online Loans originated by WebBank are sold to Mariner two business days after the origination date have a max APR of 35.99%. Though WebBank has the ability to originate loans in all 50 states, Mariner based on regulatory concerns or other factors can and will exclude loan purchases in certain states in its current geographical footprint or may expand into other states in the future. (7) Mariner is currently subject to a complaint filed against it by eleven attorneys generals. The complaint initially filed by the Eastern District of Pennsylvania by the attorneys general for Pennsylvania, the District of Columbia, New Jersey, Oregon, Utah, and Washington alleges certain unfair and deceptive acts and practices by Mariner. Specifically, in relation to its sale of optional loan products, refinancing practices and LBM products. On October 17, 2022, Utah voluntarily withdrew from the matter. On March 22, 2024 six additional states joined the lawsuit and did not add any additional claims to the litigation. The attorneys generals seek to enjoin Mariner's conduct, and seek penalties, restitution to borrowers and rescission and/or reformation of borrower agreements. On January 12, 2024, the court denied Mariner's motion to dismiss. On January 26, 2024, Mariner filed its answer to the complaint, denying any and all allegations of unlawful or deceptive business practices, or that it engaged in any of the wrongdoing alleged in the complaint. The ongoing litigation remains in the discovery phase. To the extent it is determined that the Loans were not originated in accordance with all applicable laws, the relevant Sellers may be obligated to repurchase from the Issuer. (8) The legal structure and presence of legal opinions address the true sale of the assets from the Seller to the Depositor, the non-consolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and the expected consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Notes: All figures are in US Dollars unless otherwise noted. MARKET STREET I: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Market Street CLO Ltd. I. Entity/Debt Rating ----------- ------ Market Street CLO Ltd. I A1 LT AAAsf New Rating AJ LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating D2F LT BBB-sf New Rating D2J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Market Street CLO Ltd. I (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Macquarie Asset Finance Holdings Limited. 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 21.48 versus a maximum covenant, in accordance with the initial expected matrix point of 22.5. 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 98.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.23% versus a minimum covenant, in accordance with the initial expected matrix point of 69.15%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'A-sf' and 'AA+sf' for class A1, between 'BBB+sf' and 'AA+sf' for class AJ, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D1, between less than 'B-sf' and 'BB+sf' for class D2, 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 A1 and class AJ 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 D1, 'A-sf' for class D2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Market Street CLO Ltd. I. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MF1 2025-FL19: Fitch Assigns 'B-sf' Final Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to MF1 2025-FL19 LLC notes as follows: - $700,000,000a class A 'AAAsf'; Outlook Stable; - $171,875,000a class A-S 'AAAsf'; Outlook Stable; - $85,937,000a class B 'AA-sf'; Outlook Stable; - $68,750,000a class C 'A-sf'; Outlook Stable; - $40,625,000a class D 'BBBsf'; Outlook Stable; - $20,313,000a class E 'BBB-sf'; Outlook Stable; - $15,625,000be class F 'BB+sf'; Outlook Stable; - $0c class F-E 'BB+sf'; Outlook Stable; - $0d class F-X 'BB+sf'; Outlook Stable; - $25,000,000be class G 'BB-sf'; Outlook Stable; - $0c class G-E 'BB-sf'; Outlook Stable; - $0d class G-X 'BB-sf'; Outlook Stable; - $25,000,000be class H 'B-sf'; Outlook Stable; - $0c class H-E 'B-sf'; Outlook Stable; - $0d class H-X 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $96,875,000ef Income notes. (a) Pursuant to Rule 144A. (b) Exchangeable Notes: The class F, class G, and class H notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of MF1. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 7.750% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,213,056,405 and does not include future funding. This includes the expected principal balance of delayed collateral interests. The ratings are based on information provided by the issuer as of May 29, 2025. Transaction Summary Totaling $1.250 billion, the notes represent the beneficial interest in the trust, the primary assets of which are 25 loans secured by 82 commercial properties, with an aggregate principal balance of $1,213,056,405 as of the cutoff date and cash held to fund the acquisition of additional loan and participation interests of $36,943,595. The pool includes five delayed close loans totaling approximately $295.4 million which are expected to close after deal closing. The pool does not include $77.1 million of expected future funding. The loans were contributed to the trust by MF1 REIT III LLC. The servicer is CBRE Loan Services Inc. and the special servicer is MF1 Loan Services LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, N.A. The notes will follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 53.9% of the loans by balance, and cash flow analysis and asset summary reviews on 92.6% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis on 15 loans totaling 52.2% of the pool by balance. Fitch's resulting NCF of $102.2 million represents a 10.5% decline from the issuer's underwritten NCF of $114.2 million, excluding loans for which Fitch conducted an alternate value analysis. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 148.7% is higher than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.7% is lower than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch CRE CLO transactions. The top 10 loans in the pool make up 59.2% of the pool, which is lower than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. 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 22.2 (given credit to the ramp cash-collateral interest). Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 1.5%, which is worse than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 0.2% and 0.6%, respectively. Interest-only loans make up 19.6% of the pool, which is better than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The 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'/'B-sf'; - 10% Decline to Fitch NCF: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MFA 2025-NQM2: Fitch Gives 'B-sf' Rating on Class B2 Certificates ----------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2025-NQM2 Trust (MFA 2025-NQM2). Entity/Debt Rating Prior ----------- ------ ----- MFA 2025-NQM2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The MFA 2025-NQM2 certificates are supported by 548 nonprime loans with a total balance of approximately $318.4 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending, Select Portfolio Servicing, Inc. (SPS) and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. The structure was updated post-pricing and the coupons for A-1, A-2, A-3 and M-1 classes decreased approximately between 12bps-46bps, which increased the weighted average excess spread to 135bps, a 20bps increase from the previous WA excess spread of 115bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.6% above a long-term sustainable level (vs. 11.0% 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). Non-QM & Non-Prime Credit Quality (Negative): The collateral consists of 548 loans totaling $318.4 million and seasoned at approximately eight months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 737 Fitch model FICO and moderate leverage with a 71.0% sustainable loan-to-value ratio (sLTV). The pool is 59.1% comprised of loans for homes in which the borrower maintains as a primary residence, while 40.9% comprises investor properties or second homes, as calculated by Fitch. Additionally, 55.6% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types. Fitch's expected loss in the 'AAAsf' stress is 21.50%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 89.8% of loans in the pool were underwritten to less than full documentation and 40.8% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 65.3%, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 239 debt service coverage ratio (DSCR) and 17 property focused investor loans, otherwise known as 'No Ratio' products in the pool (46.7% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 30.8% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2025-NQM2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clarifii, Clayton, Consolidated Analytics, Evolve, IngletBlair and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 43bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, which has a negative impact on the credit profile, and is relevant to the 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. MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-ALTM issued by Morgan Stanley Capital I Trust 2013-ALTM as follows: -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (high) (sf) -- Class E at BB (low) (sf) Morningstar DBRS changed the trends on Classes C, D, and E to Negative from Stable. The trends on the remaining classes are Stable. The Negative trends reflect Morningstar DBRS' opinion that the credit risk profile of the transaction is elevated after the loan transferred to special servicing in January 2025 ahead of its February 2025 maturity date. While a defined workout strategy has yet to be determined, the special servicer noted that the borrower has proposed a loan modification that would extend the loan maturity through 2028. In consideration for the extension, the borrower has offered to pay the loan down by $10 million. While an updated appraisal has yet to be received, Morningstar DBRS expects the value of the subject has declined from issuance. As part of its analysis, Morningstar DBRS conducted a hypothetical liquidation scenario to test the durability of the credit ratings in the event of a value decline. That analysis showed that losses could be realized up to the Class C certificate, discussed further below, supporting the Negative trends on Classes C, D, and E. The transaction is secured by the fee-simple interest in a 641,000-square-foot (sf) portion of a 1.16 million-sf, two-story, enclosed super-regional mall known as Altamonte Mall, which is in the northern suburbs of Orlando. The 12-year loan had an original principal balance of $160.0 million, with an initial five-year interest-only (IO) period; thereafter, the loan amortizes on a 30-year amortization schedule. The loan began amortizing in 2018 and, as of the May 2025 remittance, reported a balance of $136.8 million, representing a collateral reduction of 14.5% since issuance. The loan is sponsored by a joint venture between the New York State Common Retirement Fund and Brookfield Property Partners L.P. (Brookfield). Brookfield acquired an interest in the property as part of its acquisition of General Growth Properties, Inc. in 2018. Brookfield provides property management services as well. The property is a prominent shopping destination in North Orlando, primarily serving local patrons, in contrast to other nearby malls that mainly cater to tourists. As of the January 2025 rent roll, the property was 95.5% occupied, relatively unchanged since 2020. Noncollateral anchors include Macy's and Dillard's while collateral anchors include JCPenney (25.1% of the net rentable area (NRA), lease expiry in January 2029) and AMC Theatres (AMC; 11.8% of the NRA, lease expiry in December 2028). As part of the modification terms discussed above the special servicer has requested the extension option for JCPenney be exercised to avoid any potential tenancy issues in the event the loan is modified. Tenant rollover risk is moderate as the leases for approximately 17% of the NRA are scheduled to expire in the next 12 months. According to the YE2024 tenant sales report, inline tenants occupying less than 10,000 sf reported sales of $700 per square foot (psf), a decline from the December 2023 figure of $750 psf. When excluding Apple's sales, those figures decline to approximately $451 psf and $479 psf, respectively. Sales for AMC were $538,611 per screen as of December 2024, which remain in line with historical figures. Updated tenant sales for JCPenney were not provided, however, as of YE2023, the tenant reported approximate sales of $65 psf, which is a moderate decline from the $69 psf as of September 2023 and below the $77 psf as of YE2021. Based on the financials for the trailing nine-month period ended September 30, 2024, the annualized net cash flow (NCF) was approximately $14.3 million (representing a debt service coverage ratio (DSCR) of 1.62 times (x)) compared with the NCF of $14.0 million (DSCR of 1.58x) at YE2023 and NCF of $14.3 million (DSCR of 1.61x) at YE2022. Given the relatively continued stable performance of the collateral, Morningstar DBRS maintained the $168.2 million value derived in 2020 when the credit ratings were assigned; this value was based on the Morningstar DBRS NCF of $13.5 million and a capitalization rate of 8.0%. The Morningstar DBRS value implies an as-is loan-to-value ratio (LTV) of 81.5%. Morningstar DBRS maintained positive adjustments totaling 3.0% to the LTV sizing benchmarks to account for the property's quality build and location in a favorable submarket. As a test of the durability of the credit ratings given the uncertainty associated with the loan's transfer to special servicing and potential loan modification, Morningstar DBRS conducted a hypothetical liquidation scenario. The analysis was based on a stressed value derived from a capitalization rate of 10% and the Morningstar DBRS NCF of $13.5 million while including any outstanding advances, expected servicer expenses, and one year of debt service payments, which cumulatively totalled approximately $11 million. The results of the analysis suggest the hypothetical liquidation could extend losses into the Class C certificate, supporting the Negative trend changes made with this credit rating action. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-C27: DBRS Confirms C Rating on 2 Classes ------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 as follows: -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to CCC (sf) from BBB (sf) -- Class XD to CCC (sf) from BBB (high) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class X-E to C (sf) from BB (sf) -- Class F to C (sf) from CCC (sf) -- Class X-F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (low) (sf) -- Class G at C (sf) -- Class H at C (sf) Morningstar DBRS discontinued the credit rating on Class A-SB, which repaid with the April 2025 remittance. Morningstar DBRS changed the trend on Class C to Negative from Stable. Classes A3, A4, AS, B, C, X-A, and X-B have Stable trends. Classes D, E, X-D, X-E, F, G, H, and X-F have credit ratings that do not typically carry trends in commercial mortgage backed securities (CMBS) transactions. The credit rating downgrades on Classes C, D, E, F, X-D, X-E, and X-F reflect the increased loss projections for the pool stemming from the liquidation analysis for the two loans in special servicing: 535-545 Fifth Avenue (Prospectus ID#1; 14.8% of the pool) and Granite 190 (Prospectus ID#5; 6.1% of the pool), discussed further below. In its analysis, Morningstar DBRS liquidated both specially serviced loans from the pool and, on a combined basis, losses were projected at approximately $55.0 million. The projected losses erode up to the Class E certificate, supporting the credit rating downgrades on Classes E, F, X-D, X-E, and X-F. The transaction's structure is limited due to the smaller principal class balances toward the bottom of the capital stack, which resulted in a considerable decline in credit enhancement to Classes C and D with the liquidation analysis, supporting the credit rating downgrades on those two classes. The majority of the remaining loans in the pool have a scheduled maturity in the next three months and Morningstar DBRS expects most of those loans will repay successfully from the trust. However, Morningstar DBRS has identified three loans, representing 14.8% of the pool, that have an elevated refinance risk as a result of performance concerns and below-submarket figures in a maturity year. The weighted-average (WA) expected loss (EL) for these loans is more than 170% greater than the WA EL for the pool. In the event that these loans or other loans in the pool do not secure takeout financing there is potential for further credit rating actions, supporting the Negative trend on Class C. The largest loan in the pool, 535-545 Fifth Avenue, is secured by two mixed-use buildings in Manhattan, including 415,440 square feet (sf) of office space and 91, 247 sf of retail space. The loan transferred to special servicing in March 2025 for maturity default after the borrower was unable to pay off the loan at its scheduled maturity date earlier that month. According to the April 2025 servicer commentary, the borrower is in discussions with the lender regarding a potential extension of the loan. Performance at the subject has improved over the last few reporting periods. As of YE2024, the subject reported an occupancy rate of 95% with a net cash flow (NCF) of $23.9 million and debt service coverage ratio (DSCR) of 1.96x compared with the YE2023 NCF and DSCR of $20.4 million and 1.68x and the low YE2019 NCF of $11.7 million and DSCR of 0.96x. Given the strong coverage and positive leasing momentum, Morningstar DBRS expects the loan to be extended; however, by YE2025, there is a cumulative rollover risk of 25.8% of the net rentable area (NRA) coupled with the subject's recent maturity default, Morningstar DBRS believes overall credit risk remains heightened. As a result, Morningstar DBRS liquidated this loan from the pool with a 65.0% haircut to the issuance appraised value of $630 million in addition to including the outstanding advances and expected servicer expenses, which totaled nearly $7.1 million. This analysis suggested a loss severity in excess of 35.0%, or approximately $33 million. The second-largest loan in special servicing is secured by Granite 190, which includes two three-story Class A suburban office buildings in Richardson, Texas. The loan transferred to special servicing in February 2023 for imminent monetary default resulting from the downsizing of the former largest tenant, United Healthcare, to 49,6000 sf (16.1% of the NRA) from 176,000 sf (56.8% of the NRA). The loan was ultimately foreclosed on and the property became real estate owned in December 2023. Although United Healthcare retained its place as the largest tenant, its lease has an upcoming expiration in June 2026. According to the March 2024 rent roll, the property is 37.2% occupied by only two small tenants, cumulatively representing only 2.4% of NRA, that are scheduled to roll in the next 12 months. According to Reis, the vacancy rate in the Plano/Allen submarket was notable at 27.4% as of Q1 2025. The most recent appraisal dated December 2024 valued the property at $30.4 million compared with $28.8 million in January 2024, $33.0 million in June 2023, and $55.0 million at issuance. Given the subject property continues to struggle with occupancy and location in a submarket with high vacancy, the loan was liquidated from the pool. Morningstar DBRS applied a 20% haircut to the December 2024 appraised value, in addition to including the outstanding advances and expected servicer expenses, which totaled nearly $9.0 million. This analysis suggested a loss severity of nearly 60.0%, or approximately $21.8 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-MS1: DBRS Cuts Class F Certs Rating to C ------------------------------------------------------------ DBRS, Inc. downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1 as follows: -- Class E to CCC (sf) from BB (high) (sf) -- Class F to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class D at BBB (sf) Morningstar DBRS discontinued the credit rating on the Class A-3 certificate as that class was repaid in full with the May 2025 remittance. Lastly, Morningstar DBRS changed the trend on Class D to Negative from Stable. All other trends are Stable, with the exception of Classes E and F, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities transactions. During the prior credit rating action in June 2024, Morningstar DBRS changed the trends on Classes E and F to Negative from Stable to reflect the transaction's exposure to several loans identified as being at increased risk of maturity default. Since that time, one loan has liquidated from the pool with aggregate losses relatively in line with Morningstar DBRS' expectations, and three loans (22.5% of the pool) have transferred to special servicing. In its analysis for this review, Morningstar DBRS liquidated all three of the specially serviced loans, resulting in an aggregate projected loss of $39.4 million, which would fully erode the nonrated Class G balance in addition to more than 85% of the Class F balance, significantly reducing credit support to the lowest-rated principal bonds in the transaction, particularly the Class D and E certificates. Morningstar DBRS analyzed loans that have exhibited increased credit risks with elevated probability of default penalties resulting in expected losses that were between 1.4 times (x) and 8.0x greater than the pool average. Morningstar DBRS recognizes that the vast majority of outstanding loans in the pool have an upcoming maturity date in 2025, three of which (11.6% of the pool) will likely face difficulty obtaining takeout financing based on deteriorating performance and/or upcoming concentrated tenant rollover. The credit rating downgrades on the Class E and F certificates and the Negative trend assigned to the Class D certificate with this review reflect these loan-specific challenges as those classes are the most exposed to loss if the performance of the underlying collateral continues to deteriorate. The credit rating confirmations and Stable trends reflect the overall stable performance and generally positive outlook for the remaining loans in the pool, as exhibited by the healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.33x, based on the most recent year-end financials. As of the May 2025 remittance, 17 of the original 54 loans remain in the pool, representing a collateral reduction of 50.7% since issuance. Defeasance collateral represents 0.8% of the pool balance. Loans secured by retail properties represent the greatest property type concentration, accounting for 53.6% of the pool balance. There are two nondefeased loans (26.8% of the balance) in the pool that are secured by office collateral or have an office component, both of which are reporting a DSCR greater than 1.70x, according to the most recent servicer reported figures. The largest loan in special servicing and the primary driver of Morningstar DBRS' projected liquidated losses, Waterfront at Port Chester (Prospectus ID#4, 12.3% of the pool), is secured by a retail property composed of five buildings and 27 tenant spaces across 350,000 square feet in Port Chester, New York. The loan transferred to special servicing in April 2025 for maturity default. The property's occupancy rate declined to 84.8% as of the July 2024 rent roll from 96.0% at issuance. Performance began to decline after Bed Bath & Beyond (10.3% of net rentable area (NRA) and 7.7% of base rent at issuance) vacated at its lease expiration in January 2022. According to the most recent financial reporting available, the property generated $3.5 million of net cash flow in 2023 (reflecting a DSCR of 0.63x), down from $9.3 million at issuance. Despite multiple requests from the servicer, the borrower has not provided more up-to-date financial figures; however, Morningstar DBRS expects occupancy and cash flow have declined further as various online sources indicate that Crunch Fitness (6.9% of NRA and 8.1% of base rent at issuance) vacated at its lease expiration in February 2025. In the analysis for this review, the loan was liquidated based on a 50.0% haircut to the September 2020 appraised value, resulting in an implied loss approaching $37.0 million and a loss severity of approximately 70.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C28: Fitch Lowers Rating on Cl. C Certs to Bsf ------------------------------------------------------------------ Fitch Ratings has downgraded 11 and affirmed four classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. Fitch assigned Negative Rating Outlooks to classes A-S, B, X-B and C following the downgrades. The Outlook on classes A-4 and X-A have been revised to Negative from Stable. Fitch has also affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2016-C30 (MSBAM 2016-C30). Fitch has also downgraded 2 and affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2016-C31 (MSBAM 2016-C31). The Outlook on class A-S has been revised to Negative from Stable. The Outlooks remain Negative for classes B, C and X-B. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C28 A-3 61766LBR9 LT AAAsf Affirmed AAAsf A-4 61766LBS7 LT AAAsf Affirmed AAAsf A-S 61766LBV0 LT Asf Downgrade AA-sf A-SB 61766LBQ1 LT AAAsf Affirmed AAAsf B 61766LBW8 LT BBB-sf Downgrade A-sf C 61766LBX6 LT Bsf Downgrade BBB-sf D 61766LAC3 LT CCCsf Downgrade Bsf E 61766LAJ8 LT Csf Downgrade CCsf E-1 61766LAE9 LT CCsf Downgrade CCCsf E-2 61766LAG4 LT Csf Downgrade CCsf EF 61766LAS8 LT Csf Downgrade CCsf F 61766LAQ2 LT Csf Downgrade CCsf X-A 61766LBT5 LT AAAsf Affirmed AAAsf X-B 61766LBU2 LT Asf Downgrade AA-sf X-D 61766LAA7 LT CCCsf Downgrade Bsf MSBAM 2016-C30 A-4 61766NBA2 LT AAAsf Affirmed AAAsf A-5 61766NBB0 LT AAAsf Affirmed AAAsf A-S 61766NBE4 LT Asf Affirmed Asf A-SB 61766NAY1 LT AAAsf Affirmed AAAsf B 61766NBF1 LT BBBsf Affirmed BBBsf C 61766NBG9 LT BB-sf Affirmed BB-sf D 61766NAJ4 LT CCCsf Affirmed CCCsf E 61766NAL9 LT CCsf Affirmed CCsf X-A 61766NBC8 LT AAAsf Affirmed AAAsf X-B 61766NBD6 LT BBBsf Affirmed BBBsf X-D 61766NAA3 LT CCCsf Affirmed CCCsf X-E 61766NAC9 LT CCsf Affirmed CCsf MSBAM 2016-C31 A-4 61766RAY2 LT AAAsf Affirmed AAAsf A-5 61766RAZ9 LT AAAsf Affirmed AAAsf A-S 61766RBC9 LT AA+sf Affirmed AA+sf A-SB 61766RAW6 LT AAAsf Affirmed AAAsf B 61766RBD7 LT Asf Affirmed Asf C 61766RBE5 LT BBBsf Affirmed BBBsf D 61766RAJ5 LT CCCsf Downgrade B-sf E 61766RAL0 LT CCsf Affirmed CCsf F 61766RAN6 LT Csf Affirmed Csf X-A 61766RBA3 LT AAAsf Affirmed AAAsf X-B 61766RBB1 LT Asf Affirmed Asf X-D 61766RAA4 LT CCCsf Downgrade B-sf X-E 61766RAC0 LT CCsf Affirmed CCsf X-F 61766RAE6 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 17% for MSBAM 2016-C28 and 11% for MSBAM 2016-C31, an increase from 12.9% and 9.9%, respectively, at Fitch's prior rating action. Deal-level 'Bsf' rating case losses are 11.3% for MSBAM 2016-C30, down from 12.1% at the last rating action. Fitch Loans of Concerns (FLOCs) comprise 10 loans (34.7% of the pool) in MSBAM 2016-C28, including one specially serviced loan (3.3%); 9 loans (34.5%) in MSBAM 2016-C30, including one specially serviced loan (0.6%); and 11 loans (34.9%) in MSBAM 2016-C31, including three specially serviced loans (6.8%). MSBAM 2016-C28: The downgrades in MSBAM 2016-C28 reflect increased pool loss expectations since Fitch's prior rating action driven by further performance deterioration of two suburban office loans, Princeton Pike Corporate Center and Princeton South Corporate Center, as well as continued weak performance on the Navy League Building office loan and limited workout progress of the specially serviced DoubleTree by Hilton - Cleveland, OH loan. The Negative Outlooks reflect the potential for further downgrades should performance of the aforementioned FLOCs fail to stabilize or decline further and also consider the elevated concentration of office loans (28.9%) and regional mall/outlet loans (26.1%). MSBAM 2016-C30: The affirmations in MSBAM 2016-C30 reflect the relatively stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflects the high office concentration (35.1%) and possible future downgrades due to continued performance deteriorations of the FLOCs, primarily Bellevue Park Corporate Center, Park Tower Long Beach and West LA Office - 1950 Sawtelle Boulevard loans, as well as the lack of performance stabilization on the Briarwood Mall and Simon Premium Outlets loans. MSBAM 2016-C31: The affirmations of senior classes in MSBAM 2016-C31 reflect the relatively stable pool performance and loss expectations since Fitch's prior rating action; the downgrades to the two junior classes reflect expected losses on specially serviced loans and higher certainty of loss given the upcoming maturities. The Negative Outlooks reflects the high office concentration (40%) and possible future downgrades due to continued performance deteriorations of the FLOCs, primarily Vintage Park, Harlem USA, Springhill Suites - Seattle, Simon Premium Outlets and One Stamford Forum. FLOCs; Largest Contributors to Loss: In MSBAM 2016-C28, the largest increase in loss expectations since prior review is the Princeton Pike Corporate Center (6.5%), which is secured by an 818,140-sf suburban office property consisting of eight buildings located in Lawrence Township, NJ. The loan reemerged from special servicing in September 2021 with a loan modification allowing for the conversion of debt service to interest-only (IO) payments and the implementation of an ongoing cash trap for the remainder of the loan term. However, the loan transferred back to special servicing in February 2024 for imminent default. The loan is 60 days delinquent as of the April remittance. As of the most recently available reporting, occupancy had fallen to 45% from 60% as of YE 2023 compared with 74% at YE 2022 and 77% at YE 2021. The property occupancy has been steadily declining since its peak in 2018 at 91%. According to servicer updates, the borrower is planning to make another modification proposal. Workout discussions are ongoing. Fitch's 'Bsf' rating case loss of approximately 39.1% reflects a stressed value of $62 psf and is based on an 11% cap rate and 25% haircut to the YE 2024 NOI, reflecting declining occupancy , lack of performance and valuation updates and an increased probability of default to reflect the loan's delinquent status and ongoing performance concerns. The second largest increase in loss expectations in MSBAM 2016-C28 since prior review is the Prince South Corporate Center (5.8%), which is secured by a 267,426-sf suburban office property located in Trenton, NJ. The loan transferred to special servicing in February 2022 and became REO in November 2023. Occupancy was 53% as of January 2024. Fitch's 'Bsf' rating case loss of approximately 83.3% reflects a discount to the most recent appraisal which reflects a Fitch value of approximately $53 psf. The third largest increase in loss expectations in the MSBAM 2016-C28 transaction is the Greenville Mall loan (4.9%), which is secured by a 406,464-sf portion of a regional mall located in Greenville, NC. The loan has been designated as a FLOC due to low/declining sales and maturity default risk as the loan is set to mature in November 2025. The largest tenant at the property is Belk (22% NRA; expires January 2030) followed by JC Penney (22%; February 2028). As of YE 2024 occupancy was 96% which is in line with prior years. Approximately 26.2% and 4.3% of the NRA expire in 2025 and 2026, respectively. Fitch's 'Bsf' rating case loss of 35.7% (prior to concentration add-ons) reflects a 20% cap rate, 7.5% stress to the YE 2023 NOI and an increased the probability of default due to refinancing concerns and declining sales. The largest contributor to loss in the MSBAM 2016-C30 transaction is the Briarwood Mall loan (9.3%), which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and refinancing concerns. The servicer-reported NOI DSCR for this interest-only (IO) loan was 1.99x as of YE 2024, compared to 1.94x at YE 2023, 2.04x at YE 2022, below pre-pandemic levels of 3.03x at YE 2019. Occupancy was a reported 72% at YE 2024, compared to 71% at YE 2023, 70% at YE 2022 and 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur which replaced Sears after it closed in the fourth quarter of 2018. Fitch's 'Bsf' rating case loss of 41.8% (prior to concentration add-ons) reflects a 15% cap rate, a 7.5% stress to the YE 2024 NOI and a higher probability of default to account for refinancing concerns. The second largest overall contributor to pool loss in the MSBAM 2016-C30 transaction is the Bellevue Park Corporate Center (6.8%), which is secured by three office buildings totaling 305,398 sf and located on the Delaware and Pennsylvania border between the Philadelphia central business district (CBD) and the Wilmington CBD. The loan has been designated as a FLOC due to a low DSCR and maturity default risk. The YE 2023 NOI DSCR was 1.12x compared with 1.45x at YE 2022. Occupancy has improved to 72% as of September 2024 from 61% in September 2023 but it still significantly below issuance occupancy of 99%. The decline in occupancy is attributed to BNY (19% NRA) vacating at its April 2023 lease expiration and other major tenants, including Blackrock and CIGNA, downsizing. However, both tenants did execute lease renewals, where Blackrock renewed for five years through April 2027 and CIGNA renewed for eight years through September 2029. Upcoming rollover at the property includes 4.3% of the NRA (6.9% GPR) in 2025, followed by 0% in 2026 and 20.2% of the NRA (22.9% GPR) in 2027. Fitch's 'Bsf' rating case loss of 30% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2023 NOI and an increased the probability of default due to refinancing concerns. The third largest contributor to pool loss in MSBAM 2016-C30 and second largest overall contributor to loss in the MSBAM 2016-C31 transaction is the Simon Premium Outlets (2.7%), which is secured by a 782,765-sf portfolio of three retail outlet centers. The properties are all in tertiary locations in Massachusetts, South Carolina, and Georgia. The largest portfolio tenants are Lee Premium Outlets (3.3% of portfolio NRA) and Nike Factory Store (2.7% of portfolio NRA). Portfolio occupancy was 61% as of the September 2024, compared with 65% at YE 2022, 65% at YE 2021, 69% at YE 2020 and 82% at YE 2019. Total portfolio sales have declined to $132.0 million as of the TTM March 2024, down 30.6% from the $190.2 million reported for 2018 and down 38.9% from the $215.9 million reported around the time of issuance. Fitch's 'Bsf' rating case loss of 39.1% (prior to concentration adjustments) is based on a 25% cap rate and 15% stress to the YE 2023 NOI to reflect upcoming rollover concerns. Fitch's analysis assumed a higher probability of default due to the upcoming rollover, declining occupancy and sales trends and refinancing concerns. The largest contributor to pool loss in the MSBAM 2016-C31 transaction is the REO One Stamford Forum asset (3.9%), a 504,471-sf suburban office building located in Stamford, CT. The loan transferred to special servicing in March 2019 for imminent monetary default when major tenant Purdue Pharma filed for bankruptcy due to lawsuits related to the opioid crisis. A foreclosure sale was completed in October 2023. The asset was 51.1% occupied as of YE 2024, compared with 51.7% at YE 2023, 53.9% at YE 2022 and 53.8% at YE 2021. The servicer-reported NOI DSCR was 0.19x at YE 2024, 0.22x at YE 2023, -0.17x at YE 2022 and -0.02x at YE 2021. According to the special servicer, a lease up strategy is being implemented with a projected disposition mid-year 2026. Per CoStar, the property lies within the Stamford, CT CBD office submarket. As of 1Q25, submarket asking rents averaged $40.15 psf and the submarket vacancy rate was 24.5%. Fitch's 'Bsf' rating case loss of 69.4% (prior to concentration adjustments) is based on a haircut to the most recent appraisal, reflecting a Fitch stressed value of $92 psf. The third largest contributor to pool loss in the MSBAM 2016-C31 transaction is the Harlem USA loan (5.2%), which is secured by a five-story multi-tenanted retail building located in the Harlem neighborhood of NYC and anchored by a 28,000-sf AMC Magic Johnson Cineplex. The property has been designated as a FLOC due to declining occupancy and maturity default risk as the loan is set to mature in October 2026. As of YE 2024 occupancy was 68%, which is in line with prior years and significantly below issuance at 95%. Add historical DSCR data. Fitch's 'Bsf' rating case loss of 28.4% (prior to concentration adjustments) is based on a 9% cap rate, 7.5% stress to the YE 2024 NOI and an increased probability of default due to refinancing concerns. Increased Credit Enhancement (CE): As of the April 2025 remittance report, the aggregate balances of the MSBAM 2016-C28, MSBAM 2016-C30 and MSBAM 2016-C31 transactions have been reduced by 20.5%, 14.8% and 18.9%, respectively, since issuance. Respective defeasance percentages in the MSBAM 2016-C28, MSBAM 2016-C30 and MSBAM 2016-C31 transactions include 14.7% (seven loans), 19.1% (11 loans) and 14.4% (eight loans). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAAsf', 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include Princeton Pike Corporate Center, Princeton South Corporate Center, DoubleTree by Hilton - Cleveland, OH and Navy League Building in MSBAM 2016-C28, Briarwood Mall, Bellevue Park Corporate Center, Flagler Corporate Center, Simon Premium Outlets, Park Tower Long Beach and West LA Office - 1950 Sawtelle Boulevard in MSBAM 2016-C30 and Simon Premium Outlets, One Stamford Forum and TEK park in MSBAM 2016-C31. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories could occur with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans or if loans in special servicing experience prolonged workouts resulting in value erosion and increased exposures. Downgrades to distressed ratings of 'CCCsf', 'CCsf' and 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs, especially Princeton Pike Corporate Center, Princeton South Corporate Center, DoubleTree by Hilton - Cleveland, OH and Navy League Building in MSBAM 2016-C28, Briarwood Mall, Bellevue Park Corporate Center, Flagler Corporate Center, Simon Premium Outlets, Park Tower Long Beach and West LA Office - 1950 Sawtelle Boulevard in MSBAM 2016-C30, and Simon Premium Outlets, One Stamford Forum and TEK park in MSBAM 2016-C31. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is a significant increase in CE due to paydown and defeasance. Upgrades to distressed ratings are unlikely but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2025-NQM3: S&P Assigns B Rating on Class B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its 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) secured by single-family residential properties, including townhouses, planned-unit developments, and condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 977 loans backed by 1,021 properties. The loans are qualified-mortgage (QM) safe-harbor average prime offer rate (APOR), QM rebuttable presumption APOR, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. After S&P assigned preliminary ratings on May 16, 2025, the class B-1 certificate rate was priced at a NetWac coupon rate. After analyzing the final coupons, S&P assigned ratings for all classes that are unchanged from the preliminary ratings it assigned. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representations and warranties framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- 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. S&P's outlook is updated, if necessary, when these projections change materially." 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 Class B-2, $8,332,000: B 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 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. MPOWER EDUCATION 2024-A: DBRS Confirms BB Rating on C Notes ----------------------------------------------------------- DBRS, Inc. confirmed three credit ratings on classes of notes issued by MPOWER Education Trust 2024-A Transaction. -- Class A Notes A (sf) Confirmed -- Class B Notes BBB (sf) Confirmed -- Class C Notes BB (sf) Confirmed Credit rating rationale includes the key analytical considerations: -- Transaction capital structure, current credit ratings, and sufficient credit enhancement levels. -- Credit enhancement is in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination of junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- Collateral performance is within expectations, and cumulative gross losses are low. Forbearance and delinquency levels remain relatively stable. -- 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 coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). NCMF TRUST 2025-MFS: Fitch Assigns B-(EXP)sf Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to NCMF Trust 2025-MFS, Commercial Mortgage Pass-Through Certificates, Series 2025-MFS as follows: - $254,000,000 class A 'AAAsf'; Outlook Stable; - $48,700,000 class B 'AA-sf'; Outlook Stable; - $38,200,000 class C 'A-sf'; Outlook Stable; - $53,900,000 class D 'BBB-sf'; Outlook Stable; - $82,500,000 class E 'BB-sf'; Outlook Stable; - $91,100,000 class F 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $30,000,000a class HRR. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial interests in a trust that holds a three-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple and leasehold interests in 18 multifamily and student housing properties with a total of 4,431 units (3,233 multifamily units and 3,385 student-housing beds) located in eight states across 10 markets. The portfolio was 96.8% leased as of the March 2025 rent roll. Loan proceeds, along with $101.6 million in mezzanine debt and approximately $7.8 million of sponsor equity, will be used to pay off $672.0 million of existing debt, fund $10 million of upfront reserves and pay closing costs of approximately $25.6 million. The loan is expected to be originated by Citi Real Estate Funding Inc. on May 30, 2025. Berkadia Commercial Mortgage LLC is expected to act as servicer, and Situs Holdings, LLC is expected to act as special servicer. Wilmington Savings Fund Society, FSB is expected to act as trustee, and Citibank, N.A. is expected to act as certificate administrator and back-up advancing agent. Park Bridge Lender Services LLC is expected to act as operating advisor. The certificates will follow a standard senior-sequential paydown structure. The transaction is expected to close on June 10, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $44.3 million. This is 10.9% lower than the issuer's NCF and 5.9% below the TTM ended in February 2025 NCF. Fitch applied an 8.5% cap rate, resulting in a Fitch value of approximately $521.1 million. Fitch Leverage: The $598.4 million total mortgage loan ($135,049 per unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.78x, 114.8% and 7.4%, respectively. Based on total debt of $700.0 million ($157,978 per unit), inclusive of the $101.6 million mezzanine loan, the Fitch stressed DSCR, LTV and DY are 0.67x, 134.3% and 6.3%, respectively. The mortgage loan represents approximately 64.4% of the portfolio appraised value of $928.8 million. The total debt represents approximately 75.4% of the portfolio appraised value. The Fitch market LTV at 'B-sf' (the lowest Fitch-rated non-investment grade tranche) is 91.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.8%. Geographically Diverse Portfolio: The loan is secured by 4,431 units (3,233 multifamily units and 3,385 student-housing beds) across 12 multifamily properties and six student housing properties located in eight states across 10 markets. The largest three properties by allocated mortgage loan amount (ALA) contain 45.3% of the units/beds and represent 38.5% of the ALA. No other property constitutes more than 6.6% of the total units or 7.9% of the ALA. No state or market represents more than 24.5% of the ALA. The portfolio's effective geographic count is 7.2. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'A+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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEUBERGER BERMAN 61: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Ratings Outlook to Neuberger Berman Loan Advisers CLO 61, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 61, Ltd. A-1 LT AAA(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 Neuberger Berman Loan Advisers CLO 61, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.7% first-lien senior secured loans and has a weighted average recovery assumption of 72.24%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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, 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-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 61, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEUBERGER BERMAN 61: Moody's Gives (P)B3 Rating to $250,000 F Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Neuberger Berman Loan Advisers CLO 61, Ltd. (the Issuer or Neuberger 61): US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Assigned (P)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. Neuberger 61 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Neuberger Berman Loan Advisers IV 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 will issue 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: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.05% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.2 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. NYC COMMERCIAL 2025-1155: DBRS Finalizes B(low) Rating on F Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1155 (the Certificates) issued by NYC Commercial Mortgage Trust 2025-1155: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at 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. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. OAKTREE CLO 2025-30: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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. 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 OCP CLO 2025-43: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2025-43 Ltd./OCP CLO 2025-43 LLC's 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 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 2025-43 Ltd./OCP CLO 2025-43 LLC Class A-1, $330.00 million: AAA (sf) Class A-2, $11.00 million: AAA (sf) Class B, $77.00 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $2.75 million: BBB- (sf) Class E (deferrable), $19.25 million: BB- (sf) Subordinated notes, $48.50 million: NR NR--Not rated. PALMER SQUARE 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Palmer Square CLO 2025-2 Ltd./Palmer Square CLO 2025-2 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 Palmer Square Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2025-2 Ltd./Palmer Square CLO 2025-2 LLC Class A-1, $312.50 million: AAA (sf) Class A-2, $17.50 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $41.54 million: Not rated POINT 2025-1: DBRS Finalizes B(high) Rating on Class B2 Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on Option-Backed Notes issued by Point Securitization Trust 2025-1 as follows: -- $162.2 million Class A-1 Notes at A (low) (sf) -- $35 million Class A-2 Notes at BBB (low) (sf) -- $28.3 million Class B-1 Notes at BB (low) (sf) -- $23.3 million Class B-2 Notes at B (high) (sf) The A (low) (sf) credit rating reflects a cumulative advance rate of 63% for the Class A-1 Notes, the BBB (low) (sf) credit rating reflects a cumulative advance rate of 76.6% for the Class A-2 Notes, the BB (low) (sf) credit rating reflects a cumulative advance rate of 87.5% for the Class B-1 Notes, and the (B) (high) (sf) credit rating reflects a cumulative advance rate of 96.5% for the Class B-2 Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an investor (i.e., the Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity, than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, 263 contracts in the transaction are first-lien contracts, representing roughly $29.11 million in current intrinsic value; 1,750 are second-lien contracts, representing roughly $210.05 million in current intrinsic value; and 128 are third-lien contracts, representing roughly $18.42 million in current intrinsic value. Of the pool, 11.37% of the contracts are first lien, and have a weighted-average (WA) HEI percentage of 59.43%; 81.64% are second-lien contracts and have a WA HEI percentage of 55.54%; and the remaining 6.99% of the pool are third-lien contracts, with a WA HEI percentage of 54.58%. This brings the entire transaction's WA HEI percentage to 55.91%. To better understand the contract math, please see the example in the Contract Mechanics -- Worked Example section of the associated presale report. The current unadjusted loan-to-value ratio of the pool is 34.94% (i.e., the percentage of senior liens ahead of the contracts). At cut-off, the pool had a WA HEI thickness of 15.89 %, and a current WA Combined Loan-to-Value of 50.40%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2, Class B-1 (prior to the occurrence of a Class B-1 PIK Date), and Class B-2 (prior to the occurrence of a Class B-2 PIK Date) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2, B-1, and B-2 Notes, payments are made to the Note Amount until Note Amount of the Class A-2, Class B-1, and Class B-2 Notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class B-1 PIK Date or Class B-2 PIK Date occurs, then payments of interest will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 Notes until reduced to zero. For cash distributions that are paid post the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 Notes. In the event that the Class A-1 Notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 Notes Accrual Amount would be paid first to Class A-1 Notes until its paid off and then to Additional Accrued Amounts to Class A-1 Notes, until such amounts have been reduced to zero. If the Class A-1 Notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 Notes. The Class B-1 and B-2 Notes are accrual notes and will not be entitled to any payments of principal until the Class A-1 and A-2 Notes are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to Class A-1 Notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until such amounts are reduced to zero on Class A-1 Notes. The Class A-2 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until it's reduced to zero. The Class B-1 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until reduced to zero. Lastly, the B-2 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until reduced to zero. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount, Interest Amount, and Interest Carryover. Notes: All figures are in U.S. dollars unless otherwise noted. POINT SECURITIZATION 2025-1: DBRS Gives (P) B(high) on B-2 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Option-Backed Notes to be issued by Point Securitization Trust 2025-1 as follows: -- $162.2 million Class A-1 Notes at (P) A (low) (sf) -- $35 million Class A-2 Notes at (P) BBB (low) (sf) -- $28.3 million Class B-1 Notes at (P) BB (low) (sf) -- $23.3 million Class B-2 Notes at (P) B (high) (sf) The A (low) (sf) credit rating reflects a cumulative advance rate of 63% for the Class A-1 Notes, the BBB (low) (sf) credit rating reflects a cumulative advance rate of 76.6% for the Class A-2 Notes, the BB (low) (sf) credit rating reflects a cumulative advance rate of 87.5% for the Class B-1 Notes, and the (B) (high) (sf) credit rating reflects a cumulative advance rate of 96.5% for the Class B-2 Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an investor (i.e., the Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity, than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, 263 contracts in the transaction are first-lien contracts, representing roughly $29.11 million in current intrinsic value; 1,750 are second-lien contracts, representing roughly $210.05 million in current intrinsic value; and 128 are third-lien contracts, representing roughly $18.42 million in current intrinsic value. Of the pool, 11.37% of the contracts are first lien, and have a weighted-average (WA) HEI percentage of 59.43%; 81.64% are second-lien contracts and have a WA HEI percentage of 55.54%; and the remaining 6.99% of the pool are third-lien contracts, with a WA HEI percentage of 54.58%. This brings the entire transaction's WA HEI percentage to 55.91%. To better understand the contract math, please see the example in the Contract Mechanics--Worked Example section of the associated presale report. The current unadjusted loan-to-value ratio of the pool is 34.94% (i.e., the percentage of senior liens ahead of the contracts). At cut-off, the pool had a WA HEI thickness of 15.89 %, and a current WA Combined Loan-to-Value of 50.40%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2, Class B-1 (prior to the occurrence of a Class B-1 PIK Date), and Class B-2 (prior to the occurrence of a Class B-2 PIK Date) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2, B-1, and B-2 Notes, payments are made to the Note Amount until Note Amount of the Class A-2, Class B-1, and Class B-2 Notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class B-1 PIK Date or Class B-2 PIK Date occurs, then payments of interest will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 Notes until reduced to zero. For cash distributions that are paid post the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 Notes. In the event that the Class A-1 Notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 Notes Accrual Amount would be paid first to Class A-1 Notes until its paid off and then to Additional Accrued Amounts to Class A-1 Notes, until such amounts have been reduced to zero. If the Class A-1 Notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 Notes. The Class B-1 and B-2 Notes are accrual notes and will not be entitled to any payments of principal until the Class A-1 and A-2 Notes are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to Class A-1 Notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until such amounts are reduced to zero on Class A-1 Notes. The Class A-2 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until it's reduced to zero. The Class B-1 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until reduced to zero. Lastly, the B-2 Notes are then paid their respective Note Amount until it's paid off, and the Additional Accrued Amounts, including any unpaid Additional Accrued Amounts, until reduced to zero. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount, Interest Amount, and Interest Carryover. Notes: All figures are in U.S. dollars unless otherwise noted. PREFERRED TERM XXV: Moody's Upgrades Rating on 2 Tranches to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXV, Ltd. and Preferred Term Securities XXV, Ltd. (Combo Notes): Issuer: Preferred Term Securities XXV, Ltd. US$482,600,000 Floating Rate Class A-1 Senior Notes Due June 22, 2037 (current outstanding balance of $120,682,222.46), Upgraded to Aaa (sf); previously on February 11, 2020 Upgraded to Aa1 (sf) US$129,400,000 Floating Rate Class A-2 Senior Notes Due June 22, 2037 (current outstanding balance of $113,794,381.82), Upgraded to Aa2 (sf); previously on February 11, 2020 Upgraded to Aa3 (sf) US$61,400,000 Floating Rate Class B-1 Mezzanine Notes Due June 22, 2037 (current outstanding balance of $53,994,402.38), Upgraded to Baa1 (sf); previously on February 11, 2020 Upgraded to Baa3 (sf) US$25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 22, 2037 (current outstanding balance of $21,983,866.35), Upgraded to Baa1 (sf); previously on February 11, 2020 Upgraded to Baa3 (sf) US$82,300,000 Floating Rate Class C-1 Mezzanine Notes Due June 22, 2037 (current outstanding balance of $75,916,151.59), Upgraded to Caa1 (sf); previously on February 11, 2020 Upgraded to Caa2 (sf) US$18,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due June 22, 2037 (current outstanding balance of $17,064,994.35), Upgraded to Caa1 (sf); previously on February 11, 2020 Upgraded to Caa2 (sf) Issuer: Preferred Term Securities XXV, Ltd. (Combo Notes) US$20,000,000 Series 2 due 2037 (current rated balance of $6,298,640.44), Upgraded to Caa3 (sf); previously on February 19, 2016 Upgraded to Ca (sf) RATINGS RATIONALE Preferred Term Securities XXV, Ltd., issued in March 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). PreTSL Combination Series P XXV-2 Trust, a combination note security, was issued in March 2007 and originally comprised $10 million of the Class C-1 notes and $10 million of the Income Notes issued by Preferred Term Securities XXV, Ltd. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the transaction's notes and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 5% or $6 million in the past year, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, B and C notes have improved to 352.9%, 181.6%, 137.2% and 105.6%, respectively, from levels of 339.8%, 178.3%, 135.4% and 104.5%, respectively a year ago. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The Series 2 combination notes have benefitted from ongoing reduction in rated balance, decreasing by 5% or $324 thousand, in the past year. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1200 from 1377 one year ago. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. The key model inputs Moody's used Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $425.9 million Defaulted/deferring par: $122.5 million Weighted average default probability: 11.0% (implying a WARF of 1200) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. RADIAN MORTGAGE 2025-J2: DBRS Gives Prov. B(high) on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-J2 (the Certificates) to be issued by the Radian Mortgage Capital Trust 2025-J2 (RMCT 2025-J2): -- $302.8 million Class A-1 at (P) AAA (sf) -- $302.8 million Class A-1-X at (P) AAA (sf) -- $302.8 million Class A-2 at (P) AAA (sf) -- $272.8 million Class A-3 at (P) AAA (sf) -- $272.8 million Class A-3-X at (P) AAA (sf) -- $272.8 million Class A-4 at (P) AAA (sf) -- $136.4 million Class A-5 at (P) AAA (sf) -- $136.4 million Class A-5-X at (P) AAA (sf) -- $136.4 million Class A-6 at (P) AAA (sf) -- $163.7 million Class A-7 at (P) AAA (sf) -- $163.7 million Class A-7-X at (P) AAA (sf) -- $163.7 million Class A-8 at (P) AAA (sf) -- $27.3 million Class A-9 at (P) AAA (sf) -- $27.3 million Class A-9-X at (P) AAA (sf) -- $27.3 million Class A-10 at (P) AAA (sf) -- $68.2 million Class A-11 at (P) AAA (sf) -- $68.2 million Class A-11-X at (P) AAA (sf) -- $68.2 million Class A-12 at (P) AAA (sf) -- $40.9 million Class A-13 at (P) AAA (sf) -- $40.9 million Class A-13-X at (P) AAA (sf) -- $40.9 million Class A-14 at (P) AAA (sf) -- $204.6 million Class A-15 at (P) AAA (sf) -- $204.6 million Class A-15-X at (P) AAA (sf) -- $204.6 million Class A-16 at (P) AAA (sf) -- $136.4 million Class A-17 at (P) AAA (sf) -- $136.4 million Class A-17-X at (P) AAA (sf) -- $136.4 million Class A-18 at (P) AAA (sf) -- $109.1 million Class A-19 at (P) AAA (sf) -- $109.1 million Class A-19-X at (P) AAA (sf) -- $109.1 million Class A-20 at (P) AAA (sf) -- $68.2 million Class A-21 at (P) AAA (sf) -- $68.2 million Class A-21-X at (P) AAA (sf) -- $68.2 million Class A-22 at (P) AAA (sf) -- $30.1 million Class A-23 at (P) AAA (sf) -- $30.1 million Class A-23-X at (P) AAA (sf) -- $30.1 million Class A-24 at (P) AAA (sf) -- $30.1 million Class A-24-X at (P) AAA (sf) -- $68.2 million Class A-25 at (P) AAA (sf) -- $68.2 million Class A-25-X at (P) AAA (sf) -- $68.2 million Class A-26 at (P) AAA (sf) -- $68.2 million Class A-27 at (P) AAA (sf) -- $68.2 million Class A-27-X at (P) AAA (sf) -- $68.2 million Class A-28 at (P) AAA (sf) -- $68.2 million Class A-28-X at (P) AAA (sf) -- $340.9 million Class A-29 at (P) AAA (sf) -- $340.9 million Class A-30 at (P) AAA (sf) -- $340.9 million Class A-31 at (P) AAA (sf) -- $30.1 million Class A-32 at (P) AAA (sf) -- $371.0 million Class A-33 at (P) AAA (sf) -- $371.0 million Class A-34 at (P) AAA (sf) -- $371.0 million Class A-34-X at (P) AAA (sf) -- $371.0 million Class A-X at (P) AAA (sf) -- $9.8 million Class B-1 at (P) AA (high) (sf) -- $9.8 million Class B-1-A at (P) AA (high) (sf) -- $9.8 million Class B-1-X at (P) AA (high) (sf) -- $8.8 million Class B-2 at (P) A (sf) -- $8.8 million Class B-2-A at (P) A (sf) -- $8.8 million Class B-2-X at (P) A (sf) -- $5.0 million Class B-3 at (P) BBB (sf) -- $5.0 million Class B-3-A at (P) BBB (sf) -- $5.0 million Class B-3-X at (P) BBB (sf) -- $3.0 million Class B-4 at (P) BB (high) (sf) -- $1.4 million Class B-5 at (P) B (high) (sf) -- $23.7 million Class B at (P) BBB (sf) -- $23.7 million Class B-X at (P) BBB (sf) Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, A-24-X, A-25-X, A-27-X, A-28-X, A-34-X, A-X, B-1-X, B-2-X, B-3-X, and B-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3-X, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, A-22, A-24, A-26, A-27, A-27-X, A-28, A-28-X, A-29, A-30, A-31, A-32, A-33, A-34, A-34-X, B, B-1, B-2, B-3 and B-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-5, A-9, A-13, A-21 and A-25 are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-23) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.50% of credit enhancement provided by subordinated certificates. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 5.05%, 2.85%, 1.60%, 0.85%, and 0.50% 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-J2 (the Certificates). The Certificates are backed by 435 loans with a total principal balance of $401,114,073 as of the Cut-Off Date (June 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 3 months. Approximately 74.6% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 25.4% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. Rocket Mortgage, LLC (Rocket Mortgage) originated 14.0% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. All the mortgage loans will be serviced by Shellpoint Mortgage Servicing (Shellpoint or SMS) or Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar). Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer and Securities Administrator. Wilmington Trust, National Association will serve as Trustee. Deutsche Bank National Trust Company (Deutsche Bank) will act as Custodian. Notes: All figures are in U.S. dollars unless otherwise noted. RADIAN MORTGAGE 2025-J2: Fitch Gives 'B(EXP)sf' Rating on B-5 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Radian Mortgage Capital Trust 2025-J2 (RMCT 2025-J2). Entity/Debt Rating ----------- ------ Radian Mortgage Capital Trust 2025-J2 A-1 LT AAA(EXP)sf Expected Rating A-1-X LT AAA(EXP)sf Expected Rating 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-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 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-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-23-X LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-24-X LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-25-X LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-27-X LT AAA(EXP)sf Expected Rating A-28 LT AAA(EXP)sf Expected Rating A-28-X LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-31 LT AAA(EXP)sf Expected Rating A-32 LT AAA(EXP)sf Expected Rating A-33 LT AAA(EXP)sf Expected Rating A-34 LT AAA(EXP)sf Expected Rating A-34-X LT AAA(EXP)sf Expected Rating A-X LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1-A LT AA(EXP)sf Expected Rating B-1-X LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2-A LT A(EXP)sf Expected Rating B-2-X LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-3-A LT BBB(EXP)sf Expected Rating B-3-X LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating B-X LT BBB(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Radian Mortgage Capital Trust 2025-J2 is expected to close on June 16, 2025. The notes are supported by 435 prime loans with a total balance of approximately $401.1 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.8% above a long-term sustainable level (vs. 11.0% 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 currently the worse it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately four months in aggregate, calculated by Fitch as the difference between the cutoff date and the origination date. The average loan balance is $922,101. The collateral primarily comprises 74.6% prime-jumbo loans, followed by 184 agency-conforming loans accounting for 25.4% of the unpaid principal balance (UPB). Borrowers in this pool have strong credit profiles (a 774 average model FICO as calculated by Fitch), in line with comparable prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 83.2%, and the mark-to-market (MTM) combined loan-to-value ratio (CLTV) is 73.1%. Fitch treated approximately 100% of the loans as full documentation collateral, and 100% of the loans are qualified mortgages (QMs). Of the pool, 95.6% are loans for which the borrower maintains a primary residence, while 4.4% are for second homes. Additionally, 69.9% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 7.00%, similar to those of other comparable prime-jumbo shelves. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. 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. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.95% of the original balance will be maintained for the senior notes and subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Canopy, Incenter, Opus and Phoenix. 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, made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 31-bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ROCKFORD TOWER 2022-2: Fitch Affirms BB+sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class B-R, C-R, D-R and E-R notes of Rockford Tower CLO 2022-2, Ltd. (Rockford Tower 2022-2). The Rating Outlook has been revised to Negative from Stable on class E-R notes. The Outlook remains Stable for all the other rated tranches. Entity/Debt Rating Prior ----------- ------ ----- Rockford Tower CLO 2022-2, Ltd. B-R 77340LAQ3 LT AA+sf Affirmed AA+sf C-R 77340LAR1 LT Asf Affirmed Asf D-R 77340LAS9 LT BBB-sf Affirmed BBB-sf E-R 77340NAG1 LT BB+sf Affirmed BB+sf Transaction Summary Rockford Tower 2022-2 is a broadly syndicated loan collateralized loan obligation (CLO) that is managed by Rockford Tower Capital Management, L.L.C., an affiliate of King Street Capital Management LP. The transaction originally closed in July 2022, underwent a full refinancing in October 2023 and will exit its reinvestment period in October 2027. KEY RATING DRIVERS Cumulative Par Losses, Declining Spread and Recovery The Negative Outlook on the class E-R notes is driven by cumulative portfolio par losses increasing to 1.8% from 0.9% at the time of last review in June 2024, based on the collateral balance adjusted for trustee-reported recovery amounts on defaulted assets in April 2025. Portfolio losses stemmed from defaults and sale of distressed issuers, resulting in lower credit enhancement (CE) levels and overcollateralization test cushions for the rated notes. In addition, the weighted average spread (WAS) declined to 3.30% from 3.62% and the weighted average recovery rate (WARR) of the portfolio has decreased to 73.1% from 75.0%. Furthermore, weighted average life of the portfolio increased to 4.9 from 4.7 years. Credit quality of the portfolio has slightly deteriorated, as Fitch weighted average rating factor (WARF) decreased to 24.3 (B/B-) from 24.15 (B/B-), while exposure to assets on Fitch's CLO watchlist dropped to 8.3% from 9.7%. Updated Cash Flow Analysis Based on these key rating drivers, breakeven default rate (BEDR) cushions had decreased on the rated notes since last review. As a result, Fitch conducted an updated cash flow analysis on the current portfolio. For the class C-R and D-R notes, Fitch conducted an updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the classes were passing higher than their current ratings in the current portfolio analysis. The FSP analysis stressed the current portfolio to account for permissible concentration and collateral quality test (CQT) limits and was updated to stress weighted average life to 6.0 years. The rating actions on the class B-R, C-R, and D-R are in line with their model-implied ratings. The class E-R rating is two notches above its model-implied rating, with the worst modelling results confined to a limited number of scenarios. The Negative Outlook on the class E-R is driven by its sensitivity to additional par losses and/or portfolio deterioration when considering the modelling results. The Stable Outlooks on the class B-R, C-R, and D-R reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with each class rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially assumed. - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to a downgrade of three rating notches for the Class B-R and D-R notes, two notches for the class C-R notes, and at least six notches for the class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to one rating notch for the class B-R notes, three notches for the class E-R notes, four notches for the class C-R notes, and five notches for the class D-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. 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 Rockford Tower CLO 2022-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SMB PRIVATE 2024-D: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. confirmed the credit ratings on all classes of securities included in five SMB Private Education Loan Trust Transactions. SMB Private Education Loan Trust 2024-D -- Class A-1A Notes AAA (sf) Confirmed -- Class A-1B Notes AAA (sf) Confirmed -- Class B Notes AA (sf) Confirmed -- Class C Notes A (low)(sf) Confirmed -- Class D Notes BBB (sf) Confirmed -- Class E Notes BB(sf) Confirmed The credit rating confirmations are based on the following analytical considerations: -- Transaction capital structure, current credit ratings, and sufficient cash flow from the underlying trusts. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. Credit enhancement in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes. -- Collateral performance is within expectations with no triggers in effect. Forbearance, deferment, and delinquency levels remain stable. -- The transactions parties' capabilities with respect 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 coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). TOWD POINT 2025-CES1: DBRS Confirms Provisional B(low) on B2 Notes ------------------------------------------------------------------ DBRS, Inc. confirmed provisional credit ratings on the following Asset-Backed Securities, Series 2025-CES1 (the Notes) to be issued by Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1 or the Trust): -- $313.9 million Class A1 at (P) AAA (sf) -- $30.9 million Class A2 at (P) AAA (sf) -- $21.9 million Class M1 at (P) AA (low) (sf) -- $17.0 million Class M2A at (P) A (low) (sf) -- $13.1 million Class M2B at (P) BBB (low) (sf) -- $12.7 million Class B1 at (P) BB (low) (sf) -- $7.5 million Class B2 at (P) B (low) (sf) -- $30.9 million Class A2A at (P) AAA (sf) -- $30.9 million Class A2AX at (P) AAA (sf) -- $30.9 million Class A2B at (P) AAA (sf) -- $30.9 million Class A2BX at (P) AAA (sf) -- $30.9 million Class A2C at (P) AAA (sf) -- $30.9 million Class A2CX at (P) AAA (sf) -- $30.9 million Class A2D at (P) AAA (sf) -- $30.9 million Class A2DX at (P) AAA (sf) -- $21.9 million Class M1A at (P) AA (low) (sf) -- $21.9 million Class M1AX at (P) AA (low) (sf) -- $21.9 million Class M1B at (P) AA (low) (sf) -- $21.9 million Class M1BX at (P) AA (low) (sf) -- $21.9 million Class M1C at (P) AA (low) (sf) -- $21.9 million Class M1CX at (P) AA (low) (sf) -- $21.9 million Class M1D at (P) AA (low) (sf) -- $21.9 million Class M1DX at (P) AA (low) (sf) -- $17.0 million Class M2AA at (P) A (low) (sf) -- $17.0 million Class M2AAX at (P) A (low) (sf) -- $17.0 million Class M2AB at (P) A (low) (sf) -- $17.0 million Class M2ABX at (P) A (low) (sf) -- $17.0 million Class M2AC at (P) A (low) (sf) -- $17.0 million Class M2ACX at (P) A (low) (sf) -- $17.0 million Class M2AD at (P) A (low) (sf) -- $17.0 million Class M2ADX at (P) A (low) (sf) -- $13.1 million Class M2BA at (P) BBB (low) (sf) -- $13.1 million Class M2BAX at (P) BBB (low) (sf) -- $13.1 million Class M2BB at (P) BBB (low) (sf) -- $13.1 million Class M2BBX at (P) BBB (low) (sf) -- $13.1 million Class M2BC at (P) BBB (low) (sf) -- $13.1 million Class M2BCX at (P) BBB (low) (sf) -- $13.1 million Class M2BD at (P) BBB (low) (sf) -- $13.1 million Class M2BDX at (P) BBB (low) (sf) The (P) AAA (sf) credit rating on the Notes reflects 19.65% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 14.55%, 10.60%, 7.55%, 4.60%, and 2.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2025-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CES1 (the Notes). The Notes are backed by 5,100 mortgage loans with a total principal balance of $429,139,932 as of the Cut-Off Date. Morningstar DBRS originally published a presale report for this transaction on March 31, 2025. Subsequent to publication, the Cut-Off Date was moved to May 1, 2025, the mortgage loan balances were consequently updated, 158 loans were dropped, and the Note balances and the transaction's capital structure were updated. The Sponsor requested an updated Presale report to reflect these updates. The portfolio, on average, is 11 months seasoned, though seasoning ranges from three to 34 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 733, a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 74.4%, and are 100.0% originated with Issuer-defined full documentation. All the loans are current and 98.6% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2025-CES1 represents the ninth CES securitization by FirstKey Mortgage, LLC and second by CRM 2 Sponsor, LLC. Spring EQ, LLC (Spring EQ; 65.0%), Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar; 17.6%), and Rocket Mortgage, LLC (Rocket; 17.3%) are the originators for the mortgage pool. Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 65.0%), Nationstar, and Rocket are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Administrative Trustee and Administrator. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Custodians. CRM 2 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2025-CES1 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 24.1% of the loans are designated as non-QM, 24.9% are designated as QM Rebuttable Presumption, and 48.5% are designated as QM Safe Harbor. Approximately 2.6% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicers (except servicers servicing the Scheduled Serviced Mortgage Loans) will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 95.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the related servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date 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. On or after (1) the payment date in May 2028 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Certificates minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. TRICOLOR AUTO 2025-2: S&P Assigns Prelim 'BB' Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Tricolor Auto Securitization Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 52.4%, 41.8%, 37.6%, 31.7%, 26.7%, and 23.3% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flows. These credit support levels provide at least 2.60x, 2.00x, 1.85x, 1.55x, 1.30x, and 1.15x coverage of our expected cumulative net loss of 20.00% for the class A, B, C, D, E, and F notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.55x S&P's expected net loss level), all else being equal, our preliminary 'AA (sf)', 'A (sf)', 'A- (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, are within our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's operational risk assessment of Tricolor Auto Acceptance LLC (Tricolor) as servicer, and its view of the company's servicing, underwriting, and backup servicing arrangement with Vervent Inc. The operational risk assessment--specifically with regard to Tricolor's recent rapid growth, limited collateral performance over this growth timeframe, and niche lending market--constrains the ratings at 'AA (sf)'. -- The series' bank accounts at Wilmington Trust N.A., which do not constrain the preliminary ratings. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Tricolor Auto Securitization Trust 2025-2 Class A, $131.09 million: AA (sf) Class B, $27.12 million: A (sf) Class C, $13.95 million: A- (sf) Class D, $17.11 million: BBB (sf) Class E, $10.27 million: BB Class F, $17.64 million: B TRINITAS CLO XXVI: S&P Assigns B- (sf) Rating on Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-1-R, C-2-R, D-R, and E-R debt and 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 replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The original class C debt was split into two classes, a floating-rate class C-1-R and a fixed-rate class C-2-R, with an aggregate principal balance equal to that of the original class C debt. --New class F-R debt was issued in connection with this refinancing, and it is most junior class in the capital structure. -- The non-call period for the refinancing debt was extended to June 3, 2027. -- The reinvestment period was extended to July 20, 2030, and the legal final maturity date is extended to 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." 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) Ratings Withdrawn Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC Subordinated notes, $42.95 million: Not rated TROPIC CDO V: Moody's Ups Rating on $51MM Class A-2L Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Tropic CDO V Ltd.: US$220,000,000 Class A-1L1 Floating Rate Notes due July 2036 (current balance $58,064,780.90), Upgraded to Aaa (sf); previously on January 14, 2020 Upgraded to Aa1 (sf) US$220,000,000 Class A-1L2 Floating Rate Notes due July 2036 (current balance $87,507,548.01), Upgraded to Aa1 (sf); previously on January 14, 2020 Upgraded to Aa2 (sf) US$94,000,000 Class A-1LB Floating Rate Notes due July 2036, Upgraded to A1 (sf); previously on January 14, 2020 Upgraded to A3 (sf) US$51,000,000 Class A-2L Deferrable Floating Rate Notes due July 2036, Upgraded to Ba2 (sf); previously on January 14, 2020 Upgraded to Ba3 (sf) Tropic CDO V Ltd., issued in August 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, REIT and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1L1 and Class A-1L2 notes, and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1L1 and Class A-1L2 notes have paid down by approximately 1.4% or $0.8 million and 0.8% or $0.7 million, respectively, since May 2024, using proceeds from defaulted recoveries. Based on Moody's calculations, the OC ratios for the combined Class A-1L1 and Class A-1L2 notes, for the Class A-1LB notes, and for the Class A-2L notes have improved to 235.66%, 143.20% and 118.06%, respectively, from May 2024 levels of 233.96%, 142.72% and 117.80%, respectively. The Class A-1L1 and Class A-1L2 will continue to benefit from the use of principal proceeds from any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $343.1 million Defaulted/deferring par: $176.5 million Weighted average default probability: 8.65% (implying a WARF of 976) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class A-3L, Class A-3F, Class B-1L and Class B-2L notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TX TRUST 2024-HOU: DBRS Confirms BB Rating on Class HRR Certs ------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HOU issued TX Trust 2024-HOU (TX 2024-HOU or the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction in the relatively short time since closing in June 2024. The transaction is secured by the borrower's fee-simple interest in the Marriott Marquis Houston, a full-service hotel located in Houston's central business district, built in 2016. The collateral consists of 1,000 keys and offers a wide range of amenities, including a fitness center, a rooftop terrace with cabanas, and a 5,000-square foot (sf) spa, among others. The property is connected to the George R. Brown Convention Center via skybridge, which drives additional demand to the collateral. Additionally, the subject is close to stadiums for three major Houston sports teams, which collectively host nearly 200 sporting events and concerts annually. The subject transaction comprises an interest-only (IO), floating-rate loan of $325 million that was used to repay approximately $319.9 million of existing debt and fund closing costs of approximately $5 million. The loan has an initial two-year term and three one-year extension options available. To exercise the extension options, the borrower is required to obtain an interest rate cap with a maximum strike rate of 6.0% for the initial loan term and the greater of 6.0% and the rate that results in a debt service coverage ratio (DSCR) of 1.10 times (x). The loan is sponsored by an affiliate of RIDA Development Corporation (RIDA), well known for its extensive experience with convention hotels. The sponsor has shown its commitment to the property by purchasing its private equity development partner's approximate 45% stake in the hotel in September 2019 as well as carrying the hotel through the pandemic. Additionally, the sponsor invested approximately $1.2 million in capital improvements following the hotel's development in 2016. Morningstar DBRS also noted at issuance the sponsor's elective capital improvement plan in the summer of 2025. The renovations are expected to include upgrades to the soft goods and painting the walls for all 1,000 rooms, based on an anticipated at issuance budget of $13.9 million. According to YE2024 financial reporting, the collateral reported a net cash flow (NCF) of $44.6 million, resulting in a DSCR of 1.63x compared with the issuer's underwritten figure of $41.5 million (DSCR of 1.61x) and Morningstar DBRS' figure of $34.4 million (DSCR of 1.22x). The increase in NCF above issuance expectations is primarily driven by lower operating expenses compared with the Morningstar DBRS concluded figure at issuance. In particular, Morningstar DBRS did not give credit to the state tax rebate through December 2026 in its NCF, instead opting to add the net present value of the projected payments to the Morningstar DBRS value. Per the February 2025 STR report, the collateral's occupancy rate, average daily rate, and revenue per available room for the trailing 12-month period through February 28, 2025, were 65.5%, $265, and $174, respectively, which are in line with Morningstar DBRS' issuance figures of 67.0%, $252, and $169, respectively. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a capitalization rate of 8.5% applied to the Morningstar DBRS NCF noted above. To account for the state tax rebate through December 2026, Morningstar DBRS added the net present value of the rebate, totaling $14.8 million, to the derived value, resulting in a Morningstar DBRS Value of $419.5 million. The resulting value represents a variance of -26.1% from the issuance appraised value of $567.3 million and implies a loan-to-value ratio (LTV) of 77.5%. In addition, Morningstar DBRS maintained positive qualitative adjustments of 6.5% to the LTV sizing benchmarks to reflect the high property quality, its strong performance, and its location near several notable demand drivers. Overall, Morningstar DBRS has a favorable outlook on the transaction throughout the fully extended loan term given the property's stable performance and its high-demand location. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-NYCH issued by UBSCM 2018-NYCH Mortgage Trust (the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-NCP at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying hotel portfolio since Morningstar DBRS' previous credit rating action in June 2024. Since that time, the loan transferred to special servicing in August 2024 ahead of its November 2024 maturity date due to imminent maturity default. The loan was subsequently extended three months to February 2025 to allow the borrower additional time to market the property for the sale. As part of the modification, the borrower paid the loan down by $5.0 million, marking the third modification since 2021. Cumulatively, the loan modifications resulted in a principal repayment of $25.0 million. According to the servicer, the loan is under contract for sale to a third party; however, the borrower requested additional time to close on the sale. The special servicer granted the borrower an additional 90-day forbearance to May 2025 subject to the borrower curing outstanding interest, including default interest from loan maturity through the payoff date, and a $250,000 forbearance fee. Morningstar DBRS expects that the borrower will likely request an additional short-term extension to the forbearance period as the sale date appears to have been delayed. If talks between the sponsor and the servicer break down completely and the Trust ultimately undertakes a liquidation of the portfolio, Morningstar DBRS expects that the rated classes in the transaction would be insulated from losses with a cushion of approximately $35.0 million in the unrated Classes H and HRR, supporting the credit rating confirmations and Stable trends. The subject transaction comprises an interest-only (IO), floating-rate loan, collateralized by the borrower's fee-simple interest in seven limited-service and extended-stay hotels in New York City, totaling 1,087 rooms. As of the April 2025 remittance, the Trust has a balance of $275.0 million representing a collateral reduction of 8.3% since issuance. There have been no hotel property releases to date. Additional debt held outside the Trust includes a subordinated mezzanine loan totaling $85.0 million. The seven hotels are in Manhattan submarkets that typically have active lodging demand: Times Square (three hotels), the Financial District (two hotels), and Chelsea (one hotel) and Herald Square (one hotel) submarkets. The midmarket hotels are flagged with well-known brands including Hampton Inn (three hotels), Holiday Inn Express (two hotels), Holiday Inn (one hotel), and Candlewood Suites (one hotel). At issuance, occupancy rates at the properties ranged from 90.0% to 95.0% with average daily rates (ADRs) ranging from $198 to $229 per room. The previous sponsor invested $15.2 million ($13,983 per room) to undergo a portfolio-wide property improvement plan prior to issuance. As of the April 2025 reporting, approximately $14.6 million was held across capital improvement and other reserve accounts. According to the March 2025 STR, Inc. reports, the portfolio reported weighted-average (WA) occupancy, ADR, and RevPAR figures of 85.6%, $226, and $194 in the trailing 12-month period (T-12) ended February 2025, respectively, compared with figures of 82.2%, $225, and $185, respectively, for the YE2024 figures. According to the most recent financials, the net cash flow (NCF) for the T-12 period ended November 30, 2024, was $25.1 million with a debt service coverage ratio (DSCR) of 1.26 times (x) compared with $25.5 million at YE2023 with a DSCR of 1.07x. Given the collateral's relatively stable performance, Morningstar DBRS maintained the value of $293.6 million derived in 2024, representing a 22.7% decline from the October 2024 appraised value of $380.0 million and a 49.4% decline from the appraised value of $580.7 million at issuance. The value was based on Morningstar DBRS' NCF of $25.0 million, derived from a 2.0% haircut to the YE2023 NCF, and a Morningstar DBRS capitalization rate of 8.5%. The Morningstar DBRS Value reflects a loan-to-value ratio (LTV) of 93.7% across the senior debt and a whole-loan LTV of 122.6%, including an $85.0 million mezzanine loan held outside the Trust. Morningstar DBRS maintained positive qualitative adjustments totaling 0.5% to account for generally high cash flow volatility and healthy market fundamentals. The Morningstar DBRS Value of $293.6 million represents a slight decline from the 2018 Morningstar DBRS Value of $313.7 million when the credit ratings were assigned; principal paydown of $25.0 million associated from prior maturity extensions granted by the special servicer offset the value decline. As a test of the durability of the credit ratings, given the uncertainty associated with the transfer to special servicing, Morningstar DBRS conducted a hypothetical liquidation scenario based on the updated Morningstar DBRS Value derived in June 2024. The liquidation scenario factors in current outstanding advances, projected future advances, and on-hand reserves. Morningstar DBRS' analysis suggests that the transaction is insulated from loss; however, if the sale falls through or the property is subject to future value declines, the Morningstar DBRS-rated certificates have an additional cushion of $35.0 million in the unrated Class H and HRR certificates. The credit rating on Class D is lower than the result suggested by Morningstar DBRS' LTV Sizing Benchmarks. The variance is warranted given the uncertain loan-level event risk. While recent performance remains in line with Morningstar DBRS' expectations at the last review, the subject loan is now past due its fully extended maturity date of February 2025 and past its 90-day forbearance period of May 2025. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE 47: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A1R, AJR, BR, CR, and DR debt from Venture 47 CLO Ltd./Venture 47 CLO LLC, a CLO managed by MJX Asset Management LLC. that was originally issued in March 2023. At the same time, S&P withdrew our ratings on the original class A-1, A-J, B, C, D1, and DF debt following payment in full on the May 30, 2025, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 30, 2026. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were not extended. -- No additional assets were purchased on the May 30, 2025, refinancing date. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- The original class D1 and DF debt are combined into the new class DR debt. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A1R, $240.00 million: Three-month CME term SOFR + 1.50% -- Class AJR, $20.00 million: Three-month CME term SOFR + 1.75% -- Class BR, $44.00 million: Three-month CME term SOFR + 2.05% -- Class CR (deferrable), $24.00 million: Three-month CME term SOFR + 2.55% -- Class DR (deferrable), $22.00 million: Three-month CME term SOFR + 4.90% Original debt -- Class A-1, $240.00 million: Three-month CME term SOFR + 1.92% -- Class A-J, $20.00 million: Three-month CME term SOFR + 2.30% -- Class B, $44.00 million: Three-month CME term SOFR + 2.65% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.75% -- Class D1 (deferrable), $17.00 million: Three-month CME term SOFR + 6.57% -- Class DF (deferrable), $5.00 million: 9.973% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Venture 47 CLO Ltd./Venture 47 CLO LLC Class A1R, $240.00 million: AAA (sf) Class AJR, $20.00 million: AAA (sf) Class BR, $44.00 million: AA (sf) Class CR (deferrable), $24.00 million: A (sf) Class DR (deferrable), $22.00 million: BBB (sf) Ratings Withdrawn Venture 47 CLO Ltd./Venture 47 CLO LLC Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D1 to NR from 'BBB (sf)' Class DF to NR from 'BBB (sf)' Ratings Affirmed Venture 47 CLO Ltd./Venture 47 CLO LLC Class E: BB- (sf) Other Debt Venture 47 CLO Ltd./Venture 47 CLO LLC Subordinated notes, $29.45 million: NR NR--Not rated. VMC FINANCE 2025-PV2: Fitch Gives 'B-sf' Rating on Class G Notes ---------------------------------------------------------------- Fitch Ratings has published ratings and Rating Outlooks for the VMC Finance 2025-PV2 LLC (VMC 2025-PV2) notes as follows: - $549,596,000a class A 'AAAsf'; Outlook Stable; - $96,916,000a class A-S 'AAAsf'; Outlook Stable; - $72,380,000a class B 'AA-sf'; Outlook Stable; - $60,112,000a class C 'A-sf'; Outlook Stable; - $39,257,000a class D 'BBBsf'; - $18,402,000a class E 'BBB-sf'; - $40,483,000b,c class F 'BB-sf'; - $26,990,000b,c class G 'B-sf'. The following class is not rated by Fitch: - $77,287,118b,c class H. (a) Pursuant to Rule 144A (b) Non-Offered notes (c) Retained notes Transaction Summary The notes represent the beneficial interest in VMC Finance 2025-PV2 LLC (the issuer), the primary assets of which are 20 loans secured by 40 commercial and/or multifamily properties having an aggregate principal balance of $981,423,119 as of the cut-off date, including one delayed-close loan with a principal balance of $28.3 million. The aggregate principal balance does not include $33.4 million of future funding. The loans were contributed to the issuer by VMC CRE Master Lending Sub REIT LLC. Trimont LLC is the servicer and special servicer. The trustee is Wilmington Trust, National Association, the advancing agent is VMC REIT, and the note administrator is Computershare Trust Company, National Association. The notes will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 11 loans totaling 62.2% of the pool by balance. Fitch's resulting NCF of $44.0 million represents a 7.9% decline from the issuer's underwritten NCF of $47.8 million, excluding loans for which Fitch conducted an alternate value analysis. Lower Fitch Leverage: The pool has a lower leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 137.7% is lower than the 2025 YTD CRE-CLO average and 2024 CRE CLO average of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.9% is higher than the 2025 YTD CRE-CLO and 2024 CRE CLO average of 6.6% and 6.5%, respectively. Higher Pool Concentration: The pool is more concentrated compared to recently rated Fitch CRE-CLO transactions. The top 10 loans in the pool make up 74.1% of the pool, which is higher than the 2025 YTD CRE-CLO average and 2024 CRE CLO average of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 16.2. Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.1%, which is worse than the 2025 YTD CRE-CLO average and 2024 CRE CLO average of 0.2% and 0.6%, respectively. IO loans make up 95.0% of the pool, which is worse than the 2025 YTD CRE-CLO average and 2024 CRE CLO average of 90.9% and 56.8%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. SUMMARY OF FINANCIAL ADJUSTMENTS In accordance with Fitch's U.S. and Canadian Multiborrower CMBS criteria, Fitch modeled different stress scenarios using the Global Cash Flow model as a tool. These stresses include different interest rate, default and default timing scenarios. The default rates in the stressed scenarios did not exceed the available credit enhancement in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VOYA CLO 2014-2: Moody's Affirms B1 Rating on $23MM Cl. D-R Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Voya CLO 2014-2, Ltd.: US$33.6M Class C-R Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Oct 14, 2024 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$331M (Current outstanding amount US$1,325,682) Class A-1-RR Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 12, 2020 Assigned Aaa (sf) US$44M Class A-2a-RR Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 4, 2023 Upgraded to Aaa (sf) US$15M Class A-2b-RR Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 4, 2023 Upgraded to Aaa (sf) US$27.6M Class B-RR Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 14, 2024 Upgraded to Aaa (sf) US$23M Class D-R Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Oct 2, 2020 Downgraded to B1 (sf) US$9.5M Class E-R Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Aug 4, 2023 Downgraded to Caa3 (sf) Voya CLO 2014-2, Ltd., originally issued in June 2014, refinanced in April 2017, and partially refinanced in March 2020, is a collateralised loan obligation (CLO). The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Voya Alternative Asset Management LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class C-R notes is primarily a result of the deleveraging of the Class A-1-RR notes following amortisation of the underlying portfolio since the last rating action in October 2024. The affirmations on the ratings on the Class A-1-RR, A-2a-RR, A-2b-RR, B-RR, D-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-RR notes have paid down by approximately USD67.1 million (20.3% of original balance) since the last rating action in October 2024 and USD329.7 million (99.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated April 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 252.22%, 173.05%, 125.20% and 105.28% compared to August 2024[2] levels of 175.52%, 141.80%, 116.54% and 103.87%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD159.3m Defaulted Securities: USD1.85m Diversity Score: 60 Weighted Average Rating Factor (WARF): 3259 Weighted Average Life (WAL): 3.16 years Weighted Average Spread (WAS): 3.38% Weighted Average Recovery Rate (WARR): 45.85% Par haircut in OC tests and interest diversion test: 4.75% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. VOYA CLO 2015-1: Moody's Affirms Ca Rating on $13MM Cl. E-R Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Voya CLO 2015-1, Ltd.: US$26M Class D-R Deferrable Floating Rate Notes, Upgraded to Baa3 (sf); previously on Aug 8, 2024 Upgraded to Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$30.25M (Current outstanding amount US$26.24M) Class C-R Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 8, 2024 Upgraded to Aaa (sf) US$13M Class E-R Deferrable Floating Rate Notes, Affirmed Ca (sf); previously on Aug 8, 2024 Downgraded to Ca (sf) Voya CLO 2015-1, Ltd., issued in April 2015, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Voya Alternative Asset Management LLC. The transaction's reinvestment period ended in January 2021. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2024. The affirmations of the ratings on the Class C-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation (OC) ratios. Since the last rating action in August 2024, the Class A-2-R and B-R notes have been repaid in full and the Class C-R notes have been paid down by approximately USD4 million (13.2%). As a result of the deleveraging, OC has increased. According to the trustee report dated April 2025 [1] the Class C and Class D OC ratios are reported at 230.5% and 115.8% compared to July 2024 [2] levels, on which the last rating action was based, of 129.1% and 106.7%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD64,559,611 Defaulted Securities: USD2,465,324 Diversity Score: 27 Weighted Average Rating Factor (WARF): 3578 Weighted Average Life (WAL): 2.65 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.55% Weighted Average Recovery Rate (WARR): 46.4% Par haircut in OC tests and interest diversion test: 7.25% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. WELLS FARGO 2015-C31: DBRS Confirms B Rating on Class XD Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by Wells Fargo Commercial Mortgage Trust 2015-C31 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (high) (sf) -- Class PEX at BBB (high) (sf) -- Class X-D at B (sf) -- Class D at B (low) (sf) -- Class E at C (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes B, C, D, X-B, X-D, and PEX to Stable from Negative. The trend on Classes A-3, A-4, A-SB, A-S, and X-A remains Stable. There are no trends for Classes E and F, which are assigned credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect Morningstar DBRS' loss projections for the loans in special servicing, which remain contained to the Class E certificate, which is already at a C (sf) credit rating. As of the May 2025 remittance, there is a total of four specially serviced loans, representing 18.3% of the current pool balance. All of the specially serviced loans were analyzed with liquidation scenarios, with cumulative projected losses totaling nearly $60 million. The projected losses will erode only 10% of the outstanding principal in the Class E certificate, supporting the credit rating confirmations. At the last review, the trends were changed to Negative on Classes B, C, D, X-B, X-D, and PEX to reflect the increased pool expected losses (EL) and Morningstar DBRS' concerns regarding increased default risk as the pool neared its maturity year. For this review, the trend changes to Stable from Negative reflect the repayment of several loans, including a loan that had an EL significantly higher than the pool average, decreasing the pool EL for this review. With this review, Morningstar DBRS identified five performing loans, representing 9.9% of the pool, that exhibit elevated refinance risk given performance concerns and weaker credit metrics. The weighted-average (WA) EL for these loans is more than 135% greater than the WA EL for the pool. Morningstar DBRS maintained and updated stressed loan-to-value ratios and/or elevated probabilities of default for these loans to reflect the elevated risk in the pool EL. In addition, updated appraisals for CityPlace I (Prospectus ID#3, 6.3% of the current pool balance) and Patrick Henry Mall (Prospectus ID#7, 3.0% of the current pool balance) were received that exceeded the Morningstar DBRS expectations at the last credit rating action, decreasing the cumulative projected losses from the liquidation scenarios for this review further supporting the change in trends to Stable from Negative. As of the May 2025 remittance, 87 of the original 102 loans remain outstanding with a pool balance of $716.5 million, representing a collateral reduction of 27.5% since issuance. There are 57 loans on the servicer's watchlist, representing 63.8% of the pool balance, eight of these are being monitored for performance-related concerns, while the rest are flagged for upcoming maturities. The pool also benefits from a favorable property type concentration with loans backed by retail properties accounting for 27.8% of the pool, while office properties account for only 13.8% of the pool balance. The largest loan in special servicing and largest contributor to Morningstar DBRS' liquidated loss projections is the Sheraton Lincoln Harbor Hotel (Prospectus ID#2, 8.2% of the current pool balance). The loan is secured by a 358-room, full-service hotel in Weehawken, New Jersey. The loan has a non-controlling pari passu piece in the CSAIL 2016-C5 transaction, which is also rated by Morningstar DBRS. The loan transferred to the special servicer in January 2021 for payment default and was subsequently foreclosed upon in March 2021 with a receiver appointed in April 2021. More recently, a purchase and sale agreement has been executed between the receiver and potential buyer with an anticipated closing date in the third quarter of 2025, ahead of its October 2025 maturity. Performance has improved since the receiver took possession, with the February 2025 STR reporting a trailing 12-month (T-12) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures of 90.4%, $200.15, and $180.97, respectively, with a RevPAR penetration rate of 96.8%. For comparison, the March 2024 STR reported T-12 occupancy, ADR, and RevPAR figures of 90.0%, $189.75, and $170.77, respectively. The subject received an updated appraisal dated June 2024, which valued the property at $82.6 million, remaining in line with the June 2023 appraisal of $80.5 million, but ultimately well below the issuance value of $128.0 million. In the analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a 25% haircut to the most recent appraised value in addition to including the outstanding advances and expected servicer expenses, which totaled nearly $15.7 million, resulting in an implied loss nearing 50.0%, or approximately $27.9 million. The second-largest loan in special servicing is CityPlace I, which is secured by a 39-story, Class A office property totaling 884,366 square feet (sf), in downtown Hartford, Connecticut. The loan transferred to special servicing in October 2023 for imminent monetary default after the borrower indicated it would no longer be funding operating shortfalls. According to the most recent servicer commentary, the subject is generating interest from local developers interested in purchasing the asset. The lender has ordered an updated appraisal and has received proposals from CBRE and Marcus & Millichap for sales broker services. According to the most recent reporting, the property was 47.6% occupied as of September 2024, compared to 49.6% YE2023 and 86.0% YE2022. The significant drop in occupancy is attributable to the former largest tenant, UnitedHealthcare Services Inc, downsizing to 57,628 sf at its lease renewal in July 2023 from 377,624 sf. Backfilling vacant space will be a challenge given the subject's location in a softening office submarket, which according to Reis has reported vacancy rates in excess of 20.0% since 2022. An appraisal dated August 2024 valued the property at $64.0 million, representing a decline of 44.1% from the issuance value of $114.5 million. In the analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a 25% haircut to the appraised value in addition to including the outstanding advances and expected servicer expenses, which totaled approximately $3.5 million. This analysis suggested a loss severity approaching 50.0%, or approximately $21.3 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-SG1: DBRS Cuts Class D Certs Rating to B --------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-SG1 issued by Wells Fargo Commercial Mortgage Trust 2015-SG1 as follows: -- Class D to B (sf) from BBB (low) (sf) -- Class E to C (sf) from B (sf) -- Class F to C (sf) from CCC (sf) -- Class X-E to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at AAA (sf) -- Class PEX at A (low) (sf) The trend on Class D remains Negative. There is no trend on Classes E, F, and X-E, as these classes have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. At the previous credit rating action in June 2024, Morningstar DBRS changed the trends on Classes D, E, and X-E to Negative from Stable because of increased concerns about several loans, including three specially serviced loans and eight loans that were identified as being at increased risk for maturity default. Since that time, two specially serviced loans have been disposed from the pool with losses in line with Morningstar DBRS' expectations and three new loans have transferred to special servicing, bringing the special servicing concentration to 26.3% as of the April 2025 reporting. In the analysis for the subject credit rating action, Morningstar DBRS liquidated four of the five specially serviced loans, resulting in aggregate liquidated losses of $40.1 million, which would fully wipe out the balances of Classes F and G and would erode the majority of the balance of Class E. In addition, there are four loans (representing 7.4% of the pool) that Morningstar DBRS identified as having increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and unfavorable lending conditions for certain property types. For the loans with elevated refinance risk, Morningstar DBRS applied an elevated probability of default penalty and/or a stressed loan-to-value ratio in the analysis for this review. Should these or other loans default, or should performance for specially serviced loans deteriorate further, Morningstar DBRS' projected losses for the pool could increase, further supporting the credit rating downgrade and Negative trend on Class D. The credit rating confirmations and Stable trends on Classes A-4, A-S, X-A, B, C, and PEX reflect the overall stable performance for the majority of the underlying collateral, as exhibited by a healthy weighted-average debt service coverage ratio (DSCR) of 2.25 times (x) based on the most recent financial reporting available. Nine loans, representing 8.7% of the pool, have been fully defeased. As the pool is in wind-down with all loans maturing by year-end, Morningstar DBRS has an overall positive outlook for the refinance prospects for most of the underlying loans. As of the April 2025 remittance, 51 of the original 72 loans remained in the pool with an aggregate principal balance of $488.5 million, representing a collateral reduction of 31.8% since issuance as a result of loan repayment, scheduled loan amortization, and the liquidation of several loans. Pool losses to date have totaled $15.4 million, eroding nearly half of the first-loss Class G certificate. There are five loans, representing 26.3% of the pool, in special servicing. Of the loans in special servicing, Patrick Henry Mall (Prospectus ID#1, 11.5% of the pool), which is secured by the fee-simple interest in one anchor box and the in-line retail space of a mid-tier regional mall in Newport News, Virginia, is the primary driver of Morningstar DBRS' projected liquidated losses. The mall's owner and operator, Pennsylvania Real Estate Investment Trust (PREIT), emerged from bankruptcy through rounds of corporate restructuring and consolidation in April 2024. The loan is scheduled to mature in July 2025 and has been in special servicing since March 2025, when PREIT advised the servicer that it would not be able to secure a replacement loan by the maturity date. The special servicer has obtained an updated appraisal value of $64.2 million as of May 2024, representing a nearly 60.0% decline from the issuance appraisal value of $155.0 million. The reported in-place cash flows have been precipitously below issuance levels since 2016, with cash flow declines leveling off in 2021 and 2022 before turning back to negative with the YE2023 reporting, when the net cash flow (NCF) was reported at $7.6 million, down from the Issuer's NCF of $9.5 million. Morningstar DBRS' analysis of this loan included a liquidation scenario based on a 15.0% haircut to the May 2024 appraised value, resulting in a loss severity approaching 45%. The 580 Market loan (Prospectus ID#11, 3.2% of the pool) is secured by a 31,325-square-foot office building in San Francisco. The loan transferred to special servicing in February 2025 because of a monetary default. Performance has declined significantly over the last several reporting periods, with the YE2024 financials reporting a DSCR of 0.41x, compared with the YE2023 figure of 0.76x and the Issuer's DSCR of 1.83x. Similarly, according to the February 2025 rent roll, occupancy had declined to 38.4%, down precipitously from 53% at YE2024, 74% at YE2023, and 100% at issuance. Given the severe drop in performance since issuance, Morningstar DBRS analyzed a liquidation scenario based on a 50.0% haircut to the issuance appraisal, resulting in a loss severity of nearly 70%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Two Tranches to 'Bsf' ------------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed seven classes of Wells Fargo Commercial Mortgage Trust 2016-BNK1 (WFCM 2016-BNK1) commercial mortgage pass-through certificates. Classes B, C and X-B were assigned Negative Rating Outlooks following their downgrades. The Outlook for class A-S remained Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-BNK1 A-2 95000GAX2 LT AAAsf Affirmed AAAsf A-3 95000GAY0 LT AAAsf Affirmed AAAsf A-S 95000GBA1 LT AAsf Affirmed AAsf A-SB 95000GAZ7 LT AAAsf Affirmed AAAsf B 95000GBD5 LT BBBsf Downgrade Asf C 95000GBE3 LT Bsf Downgrade BBsf D 95000GAJ3 LT CCsf Downgrade CCCsf E 95000GAL8 LT Csf Downgrade CCsf F 95000GAN4 LT Csf Affirmed Csf X-A 95000GBB9 LT AAAsf Affirmed AAAsf X-B 95000GBC7 LT Bsf Downgrade BBsf X-D 95000GAA2 LT CCsf Downgrade CCCsf X-E 95000GAC8 LT Csf Downgrade CCsf X-F 95000GAE4 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased to 11.2% from 9.7% at Fitch's prior rating action. Seven loans (29.7% of the pool) are considered Fitch Loans of Concern (FLOCs), including one REO asset (7.1%). The downgrades on classes B, C, D, E, X-B, X-D, and X-E reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by sustained weak performance on the REO One Stamford Forum asset, performance deterioration of the specially serviced Brewers Hill and Riverside University Village loans. The Negative Outlooks reflects possible future downgrades if there is continued decline in performance of the FLOCs, particularly, Pinnacle II and the Simon Premium Outlets loan. Largest Increases in Loss: The largest increase in loss since Fitch's last rating action is the REO One Stamford Forum asset (7.1%), a 504,471-sf suburban office building located in Stamford, CT. The loan transferred to special servicing in March 2019 for imminent monetary default when major tenant Purdue Pharma filed for bankruptcy due to lawsuits related to the opioid crisis. A foreclosure sale was completed in October 2023. According to the servicer, a resolution of the asset is expected in mid- to late 2026. The asset was 51.1% occupied as of the March 2025 rent roll, unchanged from April 2024, 51.7% at YE2023, 53.9% at YE2022 and 53.8% at YE2021.The servicer-reported NOI DSCR was 0.02x as of the trailing nine months ended September 2024, 0.21x at YE2023, -0.17x at YE2022 and -0.02x at YE2021. Major tenants include Purdue Pharma L.P. (25.3% of NRA, leased through December 2026), W.J. Deutsch & Sons LTD. (9.1%, March 2027), AirCastle Advisor, LLC (6.5%, August 2028) and CBRE, Inc. (2.9%, December 2026). Per CoStar, the property lies within the Stamford, CT CBD office submarket. As of 1Q25, submarket asking rents averaged $38.75 psf and the submarket vacancy rate was 22.2%. Fitch's 'Bsf' rating case loss of 69.2% (prior to a concentration adjustment) is based on a stress to the most recent (June 2024) appraisal valuation, reflecting a stressed value of $92 psf. The second largest increase in loss since Fitch's last rating action is the Brewers Hill (4.6%) loan, which is secured by a 382,213-sf mixed use property with office, self-storage and retail components) located in Baltimore, MD. The property's largest tenant, Canton Self Storage (29.3% of NRA, leased through May 2045) is sponsor affiliated. The loan recently transferred to special servicing in March 2025 due to a monetary default. The property was 76.0% occupied as of the December 2024 servicer-provided rent roll, compared to 74.8% as of December 2023 rent roll. The servicer-reported NOI DSCR was 0.63x as of trailing nine months ended September 2024, 0.73x at YE 2023, compared with 0.92x at YE 2021, 1.05x at YE 2020 and 1.64x at issuance. The loan reported $2.7 million or $7.1 psf in total reserves as of the April 2025 financial reporting. Fitch's 'Bsf' rating case loss of 35.1% (prior to a concentration adjustment) is based on a 9.25% cap rate to the YE 2023 NOI, and factors in an increased probability of default due to the loan's recent transfer to special servicing. The third largest increase in loss since Fitch's last rating action is the Riverside University Village (2.9%) loan, which is secured by a 180,126-sf community shopping center located in Riverside, CA. The property is anchored by major tenant ALOOK Cinemas (23.3% of NRA, leased through September 2037). Occupancy was reported at 78.5% as of YE 2024, down from 81.2% at YE 2023, 88.3% at YE 2022 and 91.0% at YE 2021. The servicer-reported NOI DSCR was 1.26x at YE 2024, 1.24x at YE 2023, 1.33x at YE 2022 and 1.56x at YE 2021. Fitch's 'Bsf' rating case loss of 8.3% (prior to a concentration adjustment) is based on a 9.0% cap rate and a stress to the YE 2022 NOI, and factors in an increased probability of default due to the deterioration in performance of the loan. Increased Credit Enhancement (CE): As of the May 2025 remittance reporting, the pool's aggregate balance has been reduced by 9.6% to $786.9 million from $870.6 million at issuance. Five loans (4.8% of the pool) have been fully defeased. Twelve loans (41.5%) are full-term IO, and 10 loans (28.9%) were partial-term IO, which have all started amortizing. Principal Loss and Interest Shortfalls: To date, the trust has incurred $1.2 million in realized principal losses which have been absorbed by the non-rated class G and risk retention class RRI. Cumulative interest shortfalls totaling $2.4 million are impacting the risk retention class RRI, non-rated class G, classes F and E. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories currently with Negative Outlooks class may occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, particularly One Stamford Forum, Simon Premium Outlets, Pinnacle II and Brewers Hill loans, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to the distressed rated classes 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 are not expected given the upcoming maturity of the majority of the loans in 2026 and potential for additional maturity defaults and adverse selection, but are possible to the 'AAsf' rated class with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 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 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-5C4: Fitch Assigns 'B-sf' Rating on Cl. H-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final 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 'AAAsf'; Outlook Stable; - $50,000,000 class A-2 'AAAsf'; Outlook Stable; - $353,091,000 class A-3 'AAAsf'; Outlook Stable; - $407,097,000 (a) class X-A 'AAAsf'; Outlook Stable; - $58,156,000 class A-S 'AAAsf'; Outlook Stable; - $29,079,000 class B 'AA-sf'; Outlook Stable; - $21,808,000 class C 'A-sf'; Outlook Stable; - $109,043,000 (a) class X-B 'A-sf'; Outlook Stable; - $11,312,000 (b) class D 'BBBsf'; Outlook Stable; - $11,312,000 (a)(b) class X-D 'BBBsf'; Outlook Stable; - $8,316,000 (b)(c) class E-RR 'BBB-sf'; Outlook Stable; - $9,451,000 (b)(c) class F-RR 'BBsf'; Outlook Stable; - $5,815,000 (b)(c) class G-RR 'B+sf'; Outlook Stable; - $5,816,000 (b)(c) class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $24,717,144 (b)(c) class J-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) 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 27, 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 Trimont LLC and the special servicer is Rialto Capital Advisors, LLC. The trustee and certificate administrator is Computershare Trust Company, N.A. Pentalpha Surveillance LLC is the operating advisor. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on May 12, 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 $203,091,000 to $403,091,000. The final class balances for classes A-2 and A-3 are $50,000,000 and $353,091,000, respectively. 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. Geographical Concentration: The transaction is less geographically diverse compared to recent Fitch-rated multiborrower transactions. The top three MSA concentrations are New York-Newark-Jersey City, NY-NJ-PA (34.6%), San Francisco-Oakland-Hayward, CA (9.7%), and Boise City, IDA (8.2%). The pool's effective geographic count of 6.4 is lower than the YTD 2025 and 2024 averages of 9.6 and 9.8, respectively. Pools with a greater concentration by geographic region are at a greater risk of losses, all else equal. Fitch therefore raises the overall losses for pools with effective geographic counts below 15 MSAs. 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. [] DBRS Reviews 127 Classes in 14 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 127 classes in 14 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 14 transactions reviewed, 13 are classified as reperforming mortgages and one as home equity line of credit. Of the 127 classes reviewed, Morningstar DBRS upgraded its credit ratings on 46 classes and confirmed its credit ratings on the remaining 81 classes. The Affected Ratings are available at https://bit.ly/4dYkCn2 The Issuers are: CIM Trust 2022-R2 MFA 2021-RPL1 Trust CIM Trust 2020-R5 FIGRE Trust 2024-HE2 Towd Point Mortgage Trust 2020-3 Citigroup Mortgage Loan Trust 2020-RP1 Citigroup Mortgage Loan Trust 2021-RP4 BRAVO Residential Funding Trust 2020-RPL1 GS Mortgage-Backed Securities Trust 2020-RPL1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-2 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1 Towd Point Mortgage Trust 2020-4 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 Reviews 447 Classes From 14 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 447 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 14 transactions reviewed, eight are classified as prime mortgage transactions, five are classified as agency credit-risk transfer transactions and one is classified as a residential transition loan transaction. Of the 447 classes reviewed, Morningstar DBRS upgraded its credit ratings on 91 classes and confirmed its credit ratings on 356 classes. The Affected Ratings are available at https://bit.ly/3SCMEdS The Issuers are: J.P. Morgan Mortgage Trust 2020-7 J.P. Morgan Mortgage Trust 2020-8 J.P. Morgan Mortgage Trust 2020-4 J.P. Morgan Mortgage Trust 2020-5 NYMT Loan Trust Series 2024-BPL2 SoFi Mortgage Trust Series 2016-1 Freddie Mac STACR REMIC Trust 2021-DNA5 Freddie Mac STACR REMIC Trust 2023-HQA2 Freddie Mac STACR REMIC Trust 2022-HQA2 Freddie Mac STACR REMIC Trust 2022-DNA5 Freddie Mac STACR REMIC Trust 2023-HQA1 Wells Fargo Mortgage Backed Securities 2019-1 Trust Wells Fargo Mortgage Backed Securities 2020-5 Trust Wells Fargo Mortgage Backed Securities 2019-3 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. Notes: All figures are in U.S. dollars unless otherwise noted. [] Fitch Upgrades 8 Classes From 12 National Collegiate Trusts -------------------------------------------------------------- Fitch Ratings has upgraded eight classes and affirmed 29 classes of notes from 12 National Collegiate Student Loan Trusts (NCSLTs). Fitch has also assigned Stable Rating Outlooks to seven classes. The NCSLT trusts are collateralized by private student loans originated by First Marblehead Corporation. The upgrades are based on Fitch's assessment that the trusts' litigation risk has eased following a voluntary dismissal of litigation with prejudice by the Consumer Financial Protection Bureau (CFPB) and the trusts on April 25, 2025. Entity/Debt Rating Prior ----------- ------ ----- National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust 2004-2 B 63543PBA3 LT CCsf Affirmed CCsf C 63543PBB1 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust 2005-1 B 63543PBK1 LT CCCsf Upgrade CCsf C 63543PBL9 LT Dsf Affirmed Dsf National Collegiate Student Loan Trust 2007-1 A-4 63543XAD1 LT B+sf Upgrade Csf B 63543XAF6 LT Csf Affirmed Csf C 63543XAG4 LT Csf Affirmed Csf D 63543XAH2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2007-2 A-4 63543LAD7 LT Bsf Upgrade Csf B 63543LAF2 LT Csf Affirmed Csf C 63543LAG0 LT Csf Affirmed Csf D 63543LAH8 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-3 A-5 63543VAE3 LT BB+sf Upgrade CCsf B 63543VAG8 LT Csf Affirmed Csf C 63543VAH6 LT Csf Affirmed Csf D 63543VAJ2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-1 A-5 63543PCD6 LT BB-sf Upgrade Csf B 63543PCF1 LT Csf Affirmed Csf C 63543PCG9 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust 2005-2 A-5-1 63543PBU9 LT BB+sf Upgrade CCCsf A-5-2 63543PBY1 LT BB+sf Upgrade CCCsf B 63543PBW5 LT Csf Affirmed Csf C 63543PBX3 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust 2005-3 B 63543TAJ7 LT Csf Affirmed Csf C 63543TAK4 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-2 A-4 63543MAD5 LT Csf Affirmed Csf B 63543MAF0 LT Csf Affirmed Csf C 63543MAG8 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2003-1 B-1 63543PAJ5 LT Csf Affirmed Csf B-2 63543PAK2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2004-1 A-4 63543PAP1 LT CCsf Affirmed CCsf B-1 63543PAS5 LT Csf Affirmed Csf B-2 63543PAT3 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-4 A-4 63543WAD3 LT BB+sf Upgrade Csf B 63543WAF8 LT Csf Affirmed Csf C 63543WAG6 LT Csf Affirmed Csf D 63543WAH4 LT Csf Affirmed Csf Transaction Summary Credit enhancement for the upgraded classes has increased and their payment profiles have improved under Fitch's rating scenarios since the last review. Additionally, the dismissal of the CFPB lawsuit against the NCSLT issuers has removed the risk of a judgment pertaining to that lawsuit. The dismissal followed a long series of litigation events, including the CFPB's enforcement action initiated on Sept. 18, 2017, and subsequent rulings designating the NCSLT issuers as "covered persons." The recent dismissal materially reduced the risk of unforeseen monetary losses for the trusts. The upgrades also reflect that the trusts have reserves for additional litigation risks. Despite these improvements, Fitch has maintained a rating cap of 'BB+sf' due to ongoing litigation risk. The dismissal of the CFPB lawsuit on April 25, 2025, significantly reduced one source of risk, but there is still potential for other future litigation. Fitch will continue to monitor developments in the legal and regulatory landscape very closely, particularly the Pennsylvania Higher Education Assistance Agency (PHEAA) matter and other pending litigation involving the CFPB or other parties. Fitch will update its analysis and rating assumptions accordingly as additional developments occur. KEY RATING DRIVERS Ongoing Litigation Risk: The CFPB filed an action against the NCSLT issuers in federal court on Sept. 18, 2017, alleging that the NCSLT issuers, through the actions of their servicers and sub-servicers, engaged in illegal student loan debt collection practices. The CFPB also filed a consent judgment that it alleged the NCSLT issuers had agreed to; however, this consent judgment was later denied on a technicality. After several years of appeals and other judicial developments, in March 2024 the U.S. Court of Appeals for the Third Circuit ruled that the NCSLT issuers are "covered persons," subject to the enforcement authority of the CFPB. As of Jan. 16, 2025, the CFPB and the NCSLTs filed a proposed stipulated judgment that, if entered by the court, would require the trusts to pay the CFPB $2.25 million in monetary relief, redress, and damages to affected student loan borrowers. This filing followed an earlier 2024 ruling confirming that NCSLT issuers are subject to the CFPB's enforcement authority. A change in leadership at the CFPB occurred soon after the commencement of the new federal administration. On April 25, 2025, the CFPB and the NCSLT agreed to a voluntary dismissal, with prejudice, of the lawsuit between the two parties. In Fitch's view, the dismissal reduces the risk of unforeseen monetary losses. However, the Third Circuit's ruling is not affected by the dismissal, and the legal precedent remains, holding that the NCSLT issuers are subject to the enforcement authority of the CFPB, whether the CFPB chooses to exercise such authority or not. While the CFPB under its current leadership has decided not to pursue further litigation, there remains the possibility that new litigation against the NCSLT issuers may be initiated in the future. Fitch expects the senior notes rated 'Bsf' or above to be paid off within the next two to three years. Fitch upgraded the NCSLT 2005-2 A-5-1 notes, 2005-2 A-5-2 notes, 2006-1 A-5 notes, 2006-3 A-5 notes, 2006-4 A-4 notes, 2007-1 A-4 notes, 2007-2 A-4 notes, and the NCSLT 2005-1 B notes due to increasing credit enhancement and the dismissal of the litigation. On May 6, 2024, the CFPB and the trusts entered into a Stipulated Final Judgment and Order to resolve, at its outset, an enforcement action simultaneously filed by the CFPB against the trusts and the PHEAA, which is the trusts' primary servicer, in the U.S. District Court for the Middle District of Pennsylvania. The court granted the payment of a $1.4 million supersedeas bond from the trusts to show their ability and willingness to pay the agreed damages. Fitch has applied a rating cap of 'BB+sf' due to the ongoing, albeit more moderate, litigation risk. Payment Structure: All the trusts are under-collateralized with total parities of less than 100%. This is the most important rating factor for classes rated 'CCC+sf' or below. As of the distribution date of April 2025, the following senior reported parities increased from January 2024: 198.44% from 157.21% for NCSLT 2005-2, 159.02% from 136.11% for NCSLT 2006-1, 780.47% from 245.55% for NCSLT 2006-3, 239.24% from 167.11% for NCSLT 2006-4, 152.51% from 130.64% for NCSLT 2007-1, and 133.64% from 119.70% for NCSLT 2007-2, respectively. While the senior reported parities for NCSLT 2004-1 and NCSLT 2006-2 decreased from January 2024 due to under-collateralization: 33.24% from 61.31% for NCSLT 2004-1 and 66.89% from 74.71% for NCSLT 2006-1. The senior notes benefit from subordination provided by the junior notes. Parity levels for the senior notes have also increased due to amortization, except for NCSLT 2004-1 and NCSLT 2006-2. Collateral Performance: As of the distribution date of April 2025, the NCSLT 2003-1, NCSLT 2004-1, NCSLT 2004-2, NCSLT 2005-1, NCSLT 2005-2, NCSLT 2005-3, NCSLT 2006-1, NCSLT 2006-2, NCSLT 2006-3, NCSLT 2006-4, NCSLT 2007-1 and NCSLT 2007-2 pools have a weighted average (WA) remaining loan term of 29 months, 33 months, 41 months, 46 months, 47 months, 51 months, 53 months, 53 months, 62 months, 59 months, 63 months, and 65 months, respectively. Fitch has revised the assumption of constant default rate (CDR) to 5.00% for all rated NCSLTs. The recovery rate was assumed to be 0% for all transactions considering lawsuit uncertainty between the trusts and defaulted borrowers. Fitch assumed a 40% principal repayment rate for NCSLT 2003-1 and NCSLT 2004-1, a 30% principal repayment rate for NCSLT 2004-2, NCSLT 2005-1, NCSLT2005-2, NCSLT 2005-3 and NCSLT 2006-1, and a 20% principal repayment rate for NCSLT 2006-2, NCSLT 2006-3, NCSLT 2006-4, NCSLT 2007-1 and NCSLT 2007-2, respectively. Fitch applied a rating default multiple of 5.0x to the default assumption at the 'AAAsf' rating level, mainly reflecting the litigation risk and a low absolute base case default and the potential for higher volatility between actual performance and base case assumptions due to short weighted average remaining loan term. Operational Capabilities: PHEAA services roughly 98% of the trusts, with Nelnet servicing the rest. US Bank N.A. acts as special servicer for the trusts. Fitch believes all the servicers are acceptable servicers of private student loans. Uncertainty remains regarding the outcome of the pending litigations filed on May 6, 2024, between transaction parties, including PHEAA. However, Fitch believes this risk is addressed by the rating cap at 'BB+sf' and Fitch's conservative assumptions on defaults and recoveries. ESG - Customer Welfare - Fair Messaging, Privacy & Data Security: The trusts must comply with consumer protection-related regulatory requirements such as fair/transparent lending, data security, and safety standards. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Should the pending litigation result in unforeseen monetary expenses, this could result in negative rating actions, depending on the type, timing and size of such expenses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Positive rating actions are not likely until there is resolution of the outstanding litigation between the CFPB and the NCSLT trusts. 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 National Collegiate Student Loan Trust 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3, 2006-4, 2007-1 and 2007-2 have an ESG Relevance Score of '5' for Customer Welfare - Fair Messaging, Privacy & Data Security. This is due to compliance with consumer protection related regulatory requirements, such as fair/transparent lending, data security, and safety standards, which has a negative impact on the credit profile and is highly relevant to the ratings, resulting in capping the ratings at 'BB+sf'. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Action on 14 Bonds from 3 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 10 bonds and downgraded the ratings of four bonds from three US residential mortgage-backed transactions (RMBS), backed by option ARM, prime jumbo 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-16 Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Oct 7, 2016 Confirmed at Ca (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2006-1 Cl. A-1b, Upgraded to Caa2 (sf); previously on Aug 17, 2016 Upgraded to Ca (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Confirmed at Ca (sf) Cl. A-2c, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Confirmed at Ca (sf) Issuer: Global Mortgage Securitization 2004-A Ltd. Cl. A1, Downgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to B1 (sf) Cl. A2, Downgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to B1 (sf) Cl. A3, Downgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to B1 (sf) Cl. B1, Upgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to Caa3 (sf) Cl. B2, Upgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to Ca (sf) Cl. B3, Upgraded to Caa2 (sf); previously on Nov 18, 2016 Downgraded to Ca (sf) Cl. B4, Upgraded to Caa2 (sf); previously on Nov 18, 2016 Downgraded to C (sf) Cl. X-A1*, Downgraded to Caa1 (sf); previously on Sep 19, 2019 Downgraded to B1 (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. The bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 25 Bonds From 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from four US residential mortgage-backed transactions (RMBS). OBX 2022-INV3 Trust is backed by almost entirely agency eligible investor (INV) mortgage loans. OBX 2021-J2 Trust, OBX 2022-J1 Trust and OBX 2023-J1 Trust are backed by almost entirely prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: OBX 2021-J2 Trust Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 31, 2024 Upgraded to Ba3 (sf) Issuer: OBX 2022-INV3 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 31, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jul 31, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 31, 2024 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jul 31, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 31, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 31, 2024 Upgraded to B1 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jul 31, 2024 Upgraded to A1 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jul 31, 2024 Upgraded to A3 (sf) Issuer: OBX 2022-J1 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 31, 2024 Upgraded to Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Issuer: OBX 2023-J1 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Feb 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Feb 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X-8*, Upgraded to Aaa (sf); previously on Feb 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 31, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 31, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 31, 2024 Upgraded to Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jul 31, 2024 Upgraded to Aa2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with no cumulative losses for each transaction and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.17x for the tranches upgraded. No action was taken on the other rated class in these deals because the expected loss on the bond remains commensurate with the current rating, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 33 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 33 bonds from four US residential mortgage-backed transactions (RMBS). The collaterals backing these deals consist primarily of prime jumbo and agency eligible investor mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2024-INV3 Trust Cl. A-15, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 8, 2024 Definitive Rating Assigned Baa1 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned B2 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned A2 (sf) Issuer: Oceanview Mortgage Trust 2021-INV1 Cl. A-19, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO20*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO22*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 14, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Aug 14, 2024 Upgraded to Baa1 (sf) Issuer: Oceanview Mortgage Trust 2021-INV3 Cl. B-3A, Upgraded to A2 (sf); previously on Aug 14, 2024 Upgraded to A3 (sf) Issuer: Oceanview Mortgage Trust 2022-INV6 Cl. A-19, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO20*, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21*, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO22*, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO23*, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO24*, Upgraded to Aaa (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Apr 29, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 14, 2024 Upgraded to A2 (sf) Cl. B-3A, Upgraded to Baa1 (sf); previously on Apr 29, 2022 Definitive Rating Assigned Baa3 (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, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with cumulative loss under 0.3% and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 18% since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 39 Bonds from 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 39 bonds from five US residential mortgage-backed transactions (RMBS). Bayview Opportunity Master Fund VI Trust 2022-INV4 and Citigroup Mortgage Loan Trust 2021-INV1 Trust are backed by almost entirely agency eligible investor (INV) mortgage loans. Citigroup Mortgage Loan Trust 2024-1, Provident Funding Mortgage Trust 2021-1, and Rate Mortgage Trust 2021-J2 are backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview Opportunity Master Fund VI Trust 2022-INV4 Cl. A-19, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO20*, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21*, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO22*, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO23*, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO24*, Upgraded to Aaa (sf); previously on Mar 27, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 2, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2021-INV1 Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-2-IOW*, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-2-IOX*, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-2W, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Cl. B-3-IO*, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Cl. B-3-IOW*, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Cl. B-3-IOX*, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Cl. B-3W, Upgraded to A3 (sf); previously on Aug 2, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 2, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 2, 2024 Upgraded to B1 (sf) Issuer: Citigroup Mortgage Loan Trust 2024-1 Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned B3 (sf) Issuer: Provident Funding Mortgage Trust 2021-1 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 2, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 25, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 2, 2024 Upgraded to Ba2 (sf) Issuer: Rate Mortgage Trust 2021-J2 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded to Aa1 (sf) Cl. B-X-1*, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded to Aa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.01% and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.21x for the tranches upgraded. No actions were taken on the other rated classes in these deals because their expected losses on the bond remains 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. [] Moody's Upgrades Ratings on 41 Bonds from 22 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 39 bonds and two underlying bonds from 22 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: Aames Mortgage Investment Trust 2005-1 Cl. M7, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Issuer: ABFS Mortgage Loan Trust 2001-4, Mortgage-Backed Notes, Series 2001-4 Cl. A, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Jul 21, 2014 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 03, 2024) Issuer: ABFS Mortgage Loan Trust 2002-1 Cl. A-5, Upgraded to Caa1 (sf); previously on Oct 19, 2012 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 19, 2012 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Aegis Asset Backed Securities Trust 2004-5 Cl. M2, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed Caa2 (sf) Cl. M3, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Issuer: AEGIS ASSET BACKED SECURITIES TRUST 2006-1 Cl. A2, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Cl. A3, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2002-C Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 29, 2011 Downgraded to Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2006-M3 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Issuer: Argent Mortgage Loan Trust 2005-W1 Cl. A-1, Upgraded to B3 (sf); previously on Jun 30, 2011 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Jun 30, 2011 Downgraded to Caa2 (sf) Issuer: Argent Securities Trust 2006-M1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Argent Securities Trust 2006-M2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 17, 2014 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Argent Securities Trust 2006-W2 Cl. A-1, Upgraded to B2 (sf); previously on Feb 18, 2014 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Argent Securities Trust 2006-W3 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Aug 21, 2012 Downgraded to Ca (sf) Issuer: Argent Securities Trust 2006-W4 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 17, 2014 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Argent Securities Trust 2006-W5 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 17, 2014 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE4 Cl. I-A-3, Upgraded to Caa2 (sf); previously on Feb 26, 2018 Upgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5 Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 26, 2018 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4 Cl. I-A-3, Upgraded to Caa1 (sf); previously on Jan 13, 2020 Upgraded to Caa3 (sf) Cl. I-A-4, Upgraded to Caa2 (sf); previously on Jan 13, 2020 Upgraded to Ca (sf) Cl. II-A, Upgraded to B3 (sf); previously on Aug 7, 2013 Confirmed at Caa2 (sf) Issuer: Centex Home Equity Loan Trust 2004-D Cl. BF, Upgraded to Caa3 (sf); previously on Jun 8, 2012 Downgraded to Ca (sf) Cl. MF-3, Upgraded to Caa2 (sf); previously on Jul 23, 2013 Confirmed at Caa3 (sf) Issuer: CIT Home Equity Loan Trust 2003-1 Cl. B, Upgraded to Ca (sf); previously on Mar 24, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to B1 (sf); previously on Nov 14, 2014 Upgraded to Caa2 (sf) Issuer: FBR Securitization Trust 2005-3 Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FF8 Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 18, 2013 Affirmed C (sf) Issuer: Fremont Home Loan Trust 2006-C Cl. 1-A1, Upgraded to Caa1 (sf); previously on Feb 9, 2016 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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 48 Bonds From 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 48 bonds from four US residential mortgage-backed transactions (RMBS), backed by 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: CHL Mortgage Pass-Through Trust 2006-20 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-4, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-7, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-8, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-9, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-10, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-11, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-12, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-13, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-14, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-15, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-16, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-17, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-18, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-19*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-20, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-21, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-22*, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-25*, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-26, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-27, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-28*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-29*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-30, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-31*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-32*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-33, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-34, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-35, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-36, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. 1-A-37, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-13ARX Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-16AX Cl. 1-A, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-9AR Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 3, 2015 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 3, 2015 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 3, 2015 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Dec 3, 2015 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Dec 3, 2015 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 for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 56 Bonds From 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 56 bonds from three US residential mortgage-backed transactions (RMBS), backed by option ARM, 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: CHL Mortgage Pass-Through Trust 2006-15 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa1 (sf); previously on Oct 1, 2021 Downgraded to Ca (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-OA4 Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-4 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-8, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-13, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-18, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-19, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-20, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-21, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-22, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-23, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-24, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-25, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-26, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-27, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-28, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. 1-A-29, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. 1-A-30, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-31, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-32, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-33, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-34, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-35, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-36, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-37, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-38, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-41, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-45, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-46, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-47, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-50, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-51, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-52, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-55, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-56, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-57, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-58, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-59, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-60, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-61, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-62, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-63, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-64, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. 1-A-65, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-71, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-72, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-73, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 70 Bonds From 14 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 70 bonds from 14 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option-ARM, prime 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: American Home Mortgage Assets Trust 2006-4 Cl. I-A-1-1, Upgraded to Caa2 (sf); previously on Aug 14, 2012 Downgraded to Ca (sf) Cl. I-A-1-2, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. I-A-2-1, Upgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to C (sf) Cl. II-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2013 Downgraded to Caa3 (sf) Issuer: American Home Mortgage Investment Tr 2006-3 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Sep 11, 2013 Confirmed at Caa2 (sf) Cl. I-1A-2, Upgraded to Caa3 (sf); previously on Dec 22, 2010 Downgraded to C (sf) Cl. I-2A-1, Upgraded to Caa1 (sf); previously on Sep 11, 2013 Confirmed at Caa2 (sf) Cl. III-A-1, Upgraded to Caa3 (sf); previously on Sep 11, 2013 Downgraded to Ca (sf) Issuer: Asset Backed Funding Corporation Asset-Backed Certificates, Series 2006-OPT3 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 24, 2014 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 24, 2014 Downgraded to Ca (sf) Cl. A-3B, Upgraded to Caa3 (sf); previously on Nov 13, 2013 Downgraded to Ca (sf) Cl. A-3C, Upgraded to Caa3 (sf); previously on Jun 3, 2010 Downgraded to Ca (sf) Issuer: Banc of America Alternative Loan Trust 2006-7 Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Caa3 (sf) Issuer: Banc of America Funding 2006-H Trust Cl. 5-A-1, Upgraded to Caa2 (sf); previously on Jan 19, 2016 Downgraded to Ca (sf) Cl. 6-A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-FRE1 Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-19 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. 1-A-2*, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-5, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-6, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. 1-A-7, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-21 Cl. A-4, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WF2 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-2E, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-2F, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: CSAB Mortgage-Backed Trust Series 2007-1 Cl. 1-A-1A, Upgraded to Caa2 (sf); previously on Feb 9, 2016 Downgraded to Ca (sf) Cl. 1-A-1B, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to C (sf) Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Feb 9, 2016 Downgraded to Ca (sf) Cl. 1-A-3A, Upgraded to Caa3 (sf); previously on Feb 9, 2016 Downgraded to Ca (sf) Cl. 1-A-6A, Upgraded to Caa3 (sf); previously on Feb 9, 2016 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Cl. 2-A-4*, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Cl. 2-A-5, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Cl. 2-A-6, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Cl. 3-A-1, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-2, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-3*, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-4*, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-6*, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-7, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-14, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-18, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-20, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-21, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-23, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-24, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-25, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-27, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 3-A-28*, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. D-P, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Upgraded to Caa3 (sf) Issuer: CSMC Mortgage-Backed Trust Series 2007-1 Cl. 1-A-1A, Upgraded to Caa2 (sf); previously on Dec 14, 2015 Downgraded to Ca (sf) Cl. 1-A-1B, Upgraded to Caa2 (sf); previously on Dec 14, 2015 Downgraded to Ca (sf) Cl. 1-A-1C, Upgraded to Caa2 (sf); previously on Dec 14, 2015 Downgraded to Ca (sf) Cl. 1-A-1D, Upgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to C (sf) Issuer: CSMC Mortgage-Backed Trust Series 2007-3 Cl. 1-A-1A, Upgraded to Caa2 (sf); previously on Mar 21, 2016 Downgraded to Ca (sf) Cl. 1-A-1B, Upgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to C (sf) Cl. 1-A-6A, Upgraded to Caa3 (sf); previously on Mar 21, 2016 Downgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-IM3 Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Confirmed at Caa3 (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 27, 2016 Upgraded to Ca (sf) Issuer: GSR Mortgage Loan Trust 2007-OA1 Cl. 1A-1, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. 2A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. 2A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. 2A-3A, Upgraded to Caa2 (sf); previously on Aug 28, 2013 Confirmed at Caa3 (sf) Cl. 2A-4, Upgraded to Caa2 (sf); previously on Dec 14, 2010 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 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 Actions on 260 Classes From 34 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 260 classes from 34 U.S. RMBS transactions issued between 2019 and 2024. The review included 208 ratings that were placed under criteria observation (UCO) on Feb. 21, 2025, following changes in its U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed on UCO. The review yielded 122 upgrades and 138 affirmations. S&P also removed 208 ratings from UCO. 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." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Tail risk; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated methodology 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. See the ratings list for 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." A list of Affected Ratings can be viewed at: https://tinyurl.com/388ywj23 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***