251019.mbx

251019.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, October 19, 2025, Vol. 29, No. 291 Headlines AMMC CLO 18: Moody's Lowers Rating on $20MM Class ER Notes to B1 APEX CREDIT 2018-II: Moody's Cuts Rating on $20MM E Notes to B1 ARCHWEST MORTGAGE 2025-RTL1: DBRS Gives B(low) Rating on M2 Notes ARES LOAN IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ATLAS SENIOR XXI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes BANC OF AMERICA 2015-UBS7: DBRS Places B Rating on Class XE Certs BARINGS CLO 2019-I: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes BARINGS CLO 2021-II: Moody's Assigns Ba3 Rating to $20MM E-R Notes BAUHINIA ILBS 3: Moody's Assigns (P)Ba1 Rating to $16MM D Notes BAYVIEW FINANCIAL 2006-A: Moody's Ups Rating on B-3 Certs to Caa1 BENCHMARK 2019-B9: DBRS Confirms B Rating on Class X-F Certs BENEFIT STREET XVIII:S&P Assigns Prelim 'BB-' Rating on E-R2 Notes BLACKROCK DLF 2019-G: DBRS Confirms B Rating on Class W Notes BLACKROCK DLF 2020-1: DBRS Cuts Class W Notes Rating to C BOFAS RE-REMIC 2025-FRR6: DBRS Finalizes B(low) Rating on E Certs BRAVO RESIDENTIAL 2025-HE1: Fitch Assigns 'B+sf' Rating on B2 Notes BREAN ASSET 2025-RM13: DBRS Gives Prov. B Rating on Class M5 Notes BSPRT 2025-FL12: Fitch Assigns 'B-sf' Final Rating on Class H Notes CARLYLE US 2023-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CENTERFIELD MEDIA: S&P Assigns B+ (sf) Rating on Class B-2 Notes CF 2019-CF2: Fitch Affirms B-sf Rating on 2 Tranches CIFC FUNDING 2021-III: Fitch Assigns BB-sf Rating on Cl. E-R Notes CIFC FUNDING 2023-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP 2025-RP3: Fitch Assigns Bsf Final Rating on Cl. B2 Notes COMM 2014-UBS2: DBRS Cuts Class E Credit Ratings to D COMM 2015-LC19: Fitch Affirms CCC Rating on Class F Debt CONNECTICUT AVE 2025-R06: DBRS Finalizes BB(high) on 4 Classes CSAIL 2018-CX11: DBRS Confirms B(low) Rating on Class FRR Certs CSAIL 2019-C15: DBRS Confirms B(low) Rating on Class FRR Certs DLIC REREMIC 2025-FRR1: DBRS Finalizes B(low) Rating on 9 Classes DRYDEN 113: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes DRYDEN 90 CLO: Fitch Assigns 'BB-sf' Rating on Class E-R Notes FHF TRUST 2022-2: Moody's Lowers Rating on Class C Notes to Ba1 FIGRE TRUST 2025-HE6: S&P Assigns Prelim B- (sf) Rating on F Notes GGAM MASTER 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Y Notes GREAT LAKES V: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes GS MORTGAGE 2013-GCJ14: DBRS Confirms C Rating on Class G Certs GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class GRR Certs GS MORTGAGE 2025-NQM5: DBRS Gives Prov. B Rating on B2 Trust GS MORTGAGE 2025-PJ9: Fitch Gives B-(EXP)sf Rating on Cl. B5 Certs GUGGENHEIM MM 2021-4: S&P Assigns BB- (sf) Rating on Cl. E-R Notes HILDENE COMMUNITY CDO: Moody's Ups Rating on C-RR Notes from Ba1 HILTON GRAND 2024-1B: Fitch Affirms 'BB-sf' Rating on Class D Notes JP MORGAN 2018-MINN: Moody's Downgrades Rating on 2 Tranches to C JPMBB COMMERCIAL 2015-C27: Moody's Cuts Rating on 2 Tranches to Ba1 LCM XV LTD: Moody's Lowers Rating on $27MM Class E-R Notes to B2 LEGENDS SASB: DBRS Confirms B(low) Rating on Class G Certs LOANCORE 2025-CRE9: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G Notes MADISON PARK XXXVIII: Moody's Assigns B3 Rating to Class F-R Notes MARBLE POINT XX: S&P Lowers Class E Notes Rating to 'B+ (sf)' MARINER FINANCE 2025-B: DBRS Finalizes BB Rating on Class E Notes NEUBERGER BERMAN 47: Moody's Assigns Ba3 Rating to $24MM E-R Notes NEUBERGER BERMAN I: Fitch Assigns 'BBsf' Rating on Class E-R Notes NEUBERGER BERMAN I: Moody's Assigns B3 Rating to $250,000 F-R Notes NYACK PARK CLO: Moody's Assigns B3 Rating to $250,000 F-R Notes NYACK PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes OCP CLO 2020-8R: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes PARK AVENUE 2017-1: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes PMT LOAN 2025-J3: DBRS Finalizes B(low) Rating on Class B5 Notes PMT LOAN 2025-J3: Moody's Assigns B3 Rating to Cl. B-5 Certs PRKCM 2025-AFC1: DBRS Finalizes B Rating on Class B2 Notes PROVIDENT FUNDING 2025-5: Moody's Assigns B2 Rating to B-5 Certs PRPM 2024-RCF6: DBRS Confirms BBsf Rating on Class M-2 Notes PRPM 2025-RCF5: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes RADIAN MORTGAGE 2025-J4: Fitch Gives 'B(EXP)sf' Rating on B-5 Certs RCKT MORTGAGE 2025-CES10: Fitch Gives B(EXP) Rating on 5 Tranches REALT 2016-2: DBRS Confirms B(high) Rating on Class G Certs REGATTA VII FUNDING: Moody's Assigns Ba3 Rating to Cl. E-R3 Notes RIN IV LTD: Moody's Assigns (P)Ba3 Rating to $8MM Class E-R Notes ROMARK CLO-IV: S&P Assigns BB- (sf) Rating on Class D-R Notes RR 27 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes RWC COMMERCIAL 2025-1: DBRS Finalizes B Rating on Class F Certs SANTANDER MORTGAGE 2025-CES1: Fitch Rates Cl. B-2 Notes 'B(EXP)' SARANAC CLO VI: Moody's Cuts Rating on $17MM Class E Notes to Caa1 SEQUOIA MORTGAGE 2025-11: Fitch Assigns B+(EXP) Rating on B5 Certs SIERRA TIMESHARE 2025-3: Fitch Rates Class D Notes 'BBsf' STEELE CREEK 2014-1R: Moody's Cuts $18.9MM E Notes Rating to Caa1 STEELE CREEK 2016-1: Moody's Cuts Rating on $13.5MM E-R Notes to B3 STEELE CREEK 2018-1: Moody's Cuts Rating on $16MM E Notes to B3 TCI-SYMPHONY CLO 2016-1: Moody's Cuts Rating on E-R-2 Notes to B1 TCW CLO 2017-1: Fitch Assigns 'BB-sf' Rating on Class ER4 Notes TOWD POINT 2025-R2: Fitch Gives 'B-(EXP)sf' Rating on Cl. B2 Notes UPGRADE AUTO 2025-1: DBRS Finalizes BB Rating on Class E Notes US CAPITAL I: Moody's Upgrades Ratings on 2 Tranches from Ba1 US CAPITAL II: Moody's Upgrades Rating on 2 Tranches from Ba2 US CAPITAL V: Moody's Ups Rating on $42MM Class A-3 Notes from Ba1 VOYA CLO 2019-3: S&P Affirms BB- (sf) Rating on Class E-R Notes WELLS FARGO 2018-C45: DBRS Confirms C Rating on Class HRR Certs WELLS FARGO 2019-C49: DBRS Confirms B(low) Rating on JRR Certs WELLS FARGO 2025-AURA: Moody's Assigns B2 Rating to 2 Tranches WORLDWIDE PLAZA 2017-WWP: DBRS Cuts Certs Rating on 5 Classes to C ZAIS CLO 7: Moody's Cuts Rating on $24.75MM Class E Notes to Caa2 [] DBRS Confirms 10 Credit Ratings on College Ave Loans [] DBRS Confirms 17 Ratings on 10 Flagship Credit Auto Deals [] DBRS Confirms 27 Credit Ratings on 9 Flagship Credit Auto Deals [] Moody's Cuts 18 US Structured Finance Bonds Guaranteed by MBIA [] Moody's Upgrades Ratings on 13 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 20 Bonds from 4 US RMBS Deals [] S&P Takes Various Actions on 133 Classes From 5 US RMBS Deals [] S&P Takes Various Actions on 276 Classes From 36 US CMBS Deals [] S&P Takes Various Actions on 286 Classes from 97 US RMBS Deals [] S&P Takes Various Actions on 92 Classes From 16 U.S. CLO Deals ********* AMMC CLO 18: Moody's Lowers Rating on $20MM Class ER Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by AMMC CLO 18, Limited: US$22,000,000 Class DR Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on July 16, 2025 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$20,000,000 Class ER Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on September 18, 2020 Confirmed at Ba3 (sf) AMMC CLO 18, Limited, originally issued in May 2016 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in May 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class DR notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2025. The Class AR notes have been fully paid down and the Class BR notes have been paid down by approximately 22.1% or $9.7 million since then. Based on Moody's calculations, the OC ratio for the Class DR notes is currently 131.85%, versus the July 2025 level of 126.84%. The downgrade rating action on the Class ER 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 OC ratio for the Class ER notes is currently 105.55%, versus the July 2025 level of 106.70%. Furthermore, based on Moody's calculations, the weighted average spread (WAS) has deteriorated and the current level is 3.05% compared to 3.14% in July 2025, failing the trigger of 3.40%. No actions were taken on the Class BR and Class CR 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 the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $105,835,073 Diversity Score: 46 Weighted Average Rating Factor (WARF): 2726 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.05% Weighted Average Recovery Rate (WARR): 47.54% Weighted Average Life (WAL): 3.04 years In addition to the 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 "Collateralized Loan Obligations" published in October 2025. 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. APEX CREDIT 2018-II: Moody's Cuts Rating on $20MM E Notes to B1 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Apex Credit CLO 2018-II Ltd. US$20,000,000 Class C-R3 Senior Secured Floating Rate Notes due 2031, Upgraded to Aa2 (sf); previously on February 14, 2025 Assigned Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$20,000,000 Class E Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on September 11, 2020 Confirmed at Ba3 (sf) US$8,000,000 Class F Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa3 (sf); previously on September 20, 2023 Downgraded to Caa2 (sf) Apex Credit CLO 2018-II Ltd., originally issued in November 2018 and partially refinanced in June 2021, July 2024 and February 2025, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in key over-collateralization (OC) ratios since February 2025. The Class A-R3 notes have been paid down by approximately 38.5% or $71.2 million since then. Based on Moody's calculations, the OC ratio for the Class C-R3 notes is currently 128.51%, versus 123.27% in February 2025. The downgrade rating actions on the Class E and Class F notes reflect the specific risks to the more junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratios for the Class E and Class F notes are at 104.20% and 100.45%, respectively, versus the February 2025 levels of 105.61% and 102.81%, respectively. Furthermore, the weighted average rating factor (WARF) has been deteriorating and Moody's calculated the current level to be 3362 compared to 2935 in February 2025. No action was taken on the Class A-R3, Class B-R3 and Class D-R3 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 "Collateralized Loan Obligations" published in October 2025. 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: $229,918,468 Defaulted par: $7,571,889 Diversity Score: 47 Weighted Average Rating Factor (WARF): 3362 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.73% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.88% Weighted Average Life (WAL): 3.18 years In addition to the 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 "Collateralized Loan Obligations" published in October 2025. 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. ARCHWEST MORTGAGE 2025-RTL1: DBRS Gives B(low) Rating on M2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by Archwest Mortgage Trust 2025-RTL1 (the Issuer) as follows: -- $236.1 million Class A1 at A (low) (sf) -- $21.2 million Class A2 at BBB (low) (sf) -- $22.4 million Class M1 at BB (low) (sf) -- $20.4 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 25.25% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 18.55%, 11.45%, 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 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: -- 318 mortgage loans with a total principal balance of approximately $274,531,566, -- Approximately $41,258,434 in the Accumulation Account, and -- Approximately $3,074,871 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. Archwest 2025-RTL1 represents the first RTL securitization issued by the Sponsor, Archwest Lending, LLC (Archwest Lending). Its parent company, Archwest Capital, LLC (Archwest Capital), is a national, direct, private nonbank lender specializing in financing solutions for residential real estate investors. Archwest Capital's family of companies includes six wholly owned subsidiaries that originate, provide loan administration services, or hold for investment business-purpose first-lien loans secured by residential and multifamily real estate nationwide. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 9 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 82.5%. -- 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 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 Loan Administrator. In the Archwest 2025-RTL1 revolving portfolio, RTLs may be: Fully funded -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund draw requests for construction, rehabilitation, or repair on the mortgaged property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. Partially funded -- With a commitment to fund borrower-requested draws for approved 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 Archwest 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 and Payment 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 March 2028, 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 Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Loan Administrator will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, releasing funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, either (A) directing the release of funds from the Accumulation Account or (B) advancing funds on behalf of the Issuer (Disbursement Request Advances). The Loan Administrator will be entitled to reimburse itself for Disbursement Request Advances from time to time from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.00% (the initial subordination) to the most subordinate rated class. The transaction incorporates this via a Maximum Effective Advance Rate 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 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 two months of interest payments to the Notes. Such account is funded upfront in an amount equal to $3,074,871. On the payment dates occurring in October and November 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 Archwest Lending's historical originations 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 Credit 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 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at price equal to par plus interest and fees. 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 as of the Initial Cut-Off Date. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material R&W breach, a material document defect, or a diligence defect that the Seller is unable to cure, -- The Depositor elects to exercise its Repurchase Option, or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Archwest Lending, 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 may contain loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows 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. ARES LOAN IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding IV, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding IV, Ltd. A-1-R LT NRsf New Rating A-2 04020FAJ3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 04020FAC8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 04020FAE4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 04020FAG9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 04020GAA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Ares Loan Funding IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is being managed by Ares CLO Management LLC. The transaction originally closed in 2023. On Oct. 15, 2025, all the existing secured notes will be paid in full. Net proceeds from the issuance of the secured notes, along 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 24.44, 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 95.93% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.05% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares Loan Funding IV, 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. ATLAS SENIOR XXI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Atlas Senior Loan Fund XXI Ltd./Atlas Senior Loan Fund XXI LLC, a CLO managed by Crescent Capital Group L.P. that was originally issued in July 2023. The preliminary ratings are based on information as of Oct. 13, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 20, 2025, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D-1, D-2, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R and E-R debt and proposed new class X-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The stated maturity will be extended by about 2.6 years. -- The reinvestment period will be extended by 4.25 years. -- The non-call period will be extended by 2.25 years. -- The weighted average life test date will be extended by 2 years. -- The non-call period will be extended to Oct. 20, 2027. -- The reinvestment period will be extended to Oct. 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to March 20, 2038. -- No additional assets will be purchased on the Oct. 20, 2027, refinancing date, and the target initial par amount will remain at $350 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2026. -- New class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first 10 payment dates in equal installments of $0.40 million, beginning on the April 20, 2026, payment date and ending July 20, 2028. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 Atlas Senior Loan Fund XXI Ltd./Atlas Senior Loan Fund XXI LLC Class X-R, $4.00 million: AAA (sf) Class A-R, $210.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $21.00 million: A (sf) Class D-R (deferrable), $17.50 million: BBB (sf) Class E-R (deferrable), $15.75 million: BB- (sf) Other Debt Atlas Senior Loan Fund XXI Ltd./Atlas Senior Loan Fund XXI LLC Subordinated notes, $31.82 million: NR NR--Not rated. BANC OF AMERICA 2015-UBS7: DBRS Places B Rating on Class XE Certs ----------------------------------------------------------------- DBRS Limited placed the following 10 classes of Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 issued by Banc of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7 Under Review with Negative Implications: -- 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 C at A (low) (sf) -- Class X-D at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class X-E at B (sf) -- Class E at B (low) (sf) Morningstar DBRS has tolerance thresholds by credit rating category for unpaid interest, and, as of the September 2025 remittance, interest shortfalls totaled $3.2 million. Total shortfalls have increased from $2.5 million at the previous credit rating action in July 2025. Morningstar DBRS is gathering information from the servicer to evaluate the likelihood that the outstanding shortfalls will be repaid and/or if shortfalls are expected to continue to grow and will closely monitor the transaction level reporting in accordance with its surveillance process during the Under Review period. As of the September 2025 remittance, interest is being shorted up to Class A-S, which is receiving 0% of the monthly interest due. Given the concentration of loans that are in special servicing and the uncertainty surrounding the timing of their disposition and thus the duration that Classes A-4, A-S, B, C, D, and E will continue to have interest shortfalls, Morningstar DBRS placed those classes Under Review-Negative. Should interest shortfalls persist past Morningstar DBRS tolerance levels as loans remain unresolved, future credit rating actions may be warranted. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2019-I: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt from Barings CLO Ltd. 2019-I/Barings CLO 2019-I, LLC, a CLO managed by Barings LLC that was originally issued in March 2019 and underwent a refinancing in April 2021. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Oct. 7, 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 reinvestment period was extended by 4.5 years. -- The non-call period was extended to October 2027. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to October 2038. -- The target initial par amount remains at $500 million. There are no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 15, 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 rated tranche. "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 Barings CLO Ltd. 2019-I/Barings CLO 2019-I LLC Class A-R2, $320 million: AAA (sf) Class B-R2, $60 million: AA (sf) Class C-R2 (deferrable), $30 million: A (sf) Class D-1-R2 (deferrable), $30 million: BBB- (sf) Class D-2-R2 (deferrable), $5 million: BBB- (sf) Class E-R2 (deferrable), $15 million: BB- (sf) Ratings Withdrawn Barings CLO Ltd. 2019-I/Barings CLO 2019-I LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt Barings CLO Ltd. 2019-I/Barings CLO 2019-I LLC Subordinated notes, $86 million: NR NR--Not rated. BARINGS CLO 2021-II: Moody's Assigns Ba3 Rating to $20MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Barings CLO Ltd. 2021-II (the "Issuer"). Moody's rating action is as follows: US$257,500,000 Class A-1-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$50,250,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$24,000,000 Class C-R Secured Deferrable Mezzanine Floating Rate Notes due 2034, Assigned A2 (sf) US$28,750,000 Class D-R Secured Deferrable Mezzanine Floating Rate Notes due 2034, Assigned Baa3 (sf) US$20,000,000 Class E-R Secured Deferrable Mezzanine Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Barings LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period. No action was taken on the Class A-2 notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $436,469,399 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2838 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.72% Weighted Average Recovery Rate (WARR): 46.58% Weighted Average Life (WAL): 5.34 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. 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. BAUHINIA ILBS 3: Moody's Assigns (P)Ba1 Rating to $16MM D Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to five classes of notes to be issued by Bauhinia ILBS 3 Limited (the Issuer). The complete rating action is as follows: Issuer: Bauhinia ILBS 3 Limited US$[117,000,000] Class A1-SU Senior Secured Floating Rate Notes due [19 October 2045] (the "Class A1-SU Notes"), Provisional Rating Assigned (P)Aaa (sf) US$[229,900,000] Class A1 Senior Secured Floating Rate Notes due [19 October 2045] (the "Class A1 Notes"), Provisional Rating Assigned (P)Aaa (sf) US$[32,000,000] Class B Senior Secured Floating Rate Notes due [19 October 2045] (the "Class B Notes"), Provisional Rating Assigned (P)Aa1 (sf) US$[33,000,000] Class C Senior Secured Floating Rate Notes due [19 October 2045] (the "Class C Notes"), Provisional Rating Assigned (P)A3 (sf) US$[16,000,000] Class D Senior Secured Floating Rate Notes due [19 October 2045] (the "Class D Notes"), Provisional Rating Assigned (P)Ba1 (sf) The Class A1-SU Notes, Class A1 Notes, Class B Notes, Class C Notes and Class D Notes are referred to herein as the "Rated Notes." In addition to the Rated Notes, the issuer will also issue US$[22,594,000] of subordinated floating rate notes. RATINGS RATIONALE This is a project finance and corporate infrastructure collateralized loan obligation (CLO) cash flow securitization. The notes will initially be collateralized by a portfolio of 33 bank-syndicated senior secured project finance loans and corporate infrastructure loans and bonds to 28 projects predominantly in Asia-Pacific, the Middle East, the Americas and Europe. The portfolio is not expected to be actively traded during the replenishment period. To evaluate the credit quality of the initial portfolio, Moody's assigned credit estimates to most assets, while a handful of assets are assessed by reference to Moody's ratings. Moody's ratings of the Rated Notes have taken into account the following key characteristics of the initial target portfolio at closing. 1. High credit quality portfolio: The WARF of the identified portfolio is 799 before applying the credit estimate notching adjustments, and 926 after applying the credit estimate notching adjustments. The WARF of the project finance loan portion of the portfolio is 781 before applying the credit estimate notching adjustments, and 952 after applying the credit estimate notching adjustments. The WARF of the corporate infrastructure loans and bonds portion of the portfolio is 851 before and after applying the credit estimate notching adjustments. 2. Mostly project finance loans with high asset recovery prospects: The weighted average mean recovery rate of the portfolio assumption is about 63.1%. The portfolio consists of predominantly bank-syndicated senior secured project finance loans (73.7% of the pool), which historically have had high recovery rates. The remaining portion of the pool consists of corporate infrastructure loans and bonds (26.3%). About 9.3% of the portfolio benefit from external credit support provided by export credit agencies or insurers and 3.0% of the portfolio benefit from credit support from highly rated entity, which will improve loan recovery prospects. 3. High project and sector concentrations: With only 28 projects, the portfolio is highly concentrated, with a large exposure to a few projects and in sub-sectors such as power renewables solar (21.5%), oil (21.0%), LNG (15.3%), gas distribution or transmission (11.9%) and data centers (11.5%). Certain projects also involve common off-takers, operators or sponsors. The exposures to the two largest obligor groups are about 10.7% and 9.0% of the portfolio, respectively, greater than the subordination of the Class C and D Notes. There are five other projects which each of them comprises about 5% or more of the portfolio. A significant credit deterioration of one of the largest projects would have a negative rating impact on the Rated Notes. 4. High country risk: Of the identified portfolio, about 38% portfolio exposure is to uncovered exposures (portions of assets not covered by export credit agencies or insurers) of projects located in countries with single-A or below foreign-currency country ceilings (FCC). The geographical distribution of the portfolio is widely diversified across 12 countries in different regions, and exposure to top three countries which have non-Aaa FCC are Brazil (11.6%, Baa1 FCC), India (9.3%, A3 FCC) and Mexico (9.0%, A1 FCC). 5. High participation exposures: The issuer will invest in a portion of the portfolio via funded participation agreements with either The Hong Kong Mortgage Corporation Limited (HKMC, rated Aa3 with stable outlook), the sponsor and collateral manager (16.5% exposure), or with rated bank(s) (6.8% exposure) at closing, instead of being the lender of record. The issuer will rely on HKMC or the rated participation bank(s) to enforce its rights against the borrowers and be exposed to the credit risk of HKMC and these rated bank(s). This loan participation risk has been taken into account in the modeling. 6. Fixed rate and non-USD assets hedged with non-balance guaranteed swaps: assets from four borrowers, representing 13.8% of the identified portfolio are either not denominated in US dollars (12.0%) or paying fixed US dollars interest rate (1.8%). Cross-currency and fixed-floating interest rate swaps have been entered with two swap counterparties to hedge the asset-liability risk. The swaps are not balance-guaranteed, and the issuer may need to use interest or principal collections to make marked-to-market swap termination payment if the swap is terminated early following asset default or prepayment. This risk has been taken into account in the modeling. 7. Floating rate basis mismatch: The issuer is exposed to floating rate basis mismatch as all the rated notes interest payments are linked to daily compounded overnight Secured Overnight Financing Rate (SOFR), while (on an after-swap basis) 67% of the initial target portfolio are linked to daily compounded overnight SOFR and 33% are linked to term SOFR. 8. Construction risk: Three data center projects, representing around 11.5% of the portfolio, are in various stages of construction, including data centers that are either in advanced stages of construction or operational. The credit estimates of these loans factor in the construction risk. Moody's used a loan-by-loan Monte Carlo simulation framework in Moody's CDOROM™ to model the portfolio loss distribution for this project finance CLO. At a portfolio level, Moody's note that: 1. The WARF of the portfolio, after applying the credit estimate notching adjustments, is 926. 2. The weighted average mean recovery rate assumption of the portfolio (before adjustment for swap termination) is about 63.1%. 3. The average asset correlation of the portfolio is about 23.8%. Moody's have assumed three years of recovery delay for the project finance loans and 1.5 years of recovery delay for the corporate infrastructure loans and bonds. In addition to the quantitative factors that Moody's model, Moody's have also considered qualitative factors, including the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available, including macroeconomic forecasts, inputs from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the rating decision. The target portfolio is expected to be acquired in full on the closing date, with all loans fully drawn. The transaction has a three-year reinvestment period, during which the collateral manager may direct the issuer to use unscheduled principal collections, undrawn lending commitments that are cancelled or have expired, principal amount of loans refinanced, and proceeds from the sale of credit-risk, defaulted or non-eligible sustainability assets to purchase new assets. The purchase of new assets is subject to certain conditions, including the satisfaction of the interest and par coverage tests. After the reinvestment period, the collateral manager may no longer direct the issuer to purchase additional assets, and unscheduled principal collections and proceeds from the sale of assets will be used to amortize the notes in sequential order. The transaction incorporates interest and par coverage tests that, if triggered, divert interest and principal proceeds to pay down the notes in the order of seniority. Apart from this, the issuer will use scheduled principal collection to amortize the Rated Notes in sequential order. The Class A1-SU Notes and Class A1 Notes rank pari passu to each other. This is the third CLO transaction of HKMC, the collateral manager of the transaction. The CLO transaction will be managed by the Infrastructure Financing and Securitisation Division of HKMC. HKMC was established in Hong Kong SAR, China in 1997 and is wholly owned by the Hong Kong Government through the Exchange Fund, with reported total assets of HKD221.8 billion as of the end of December 2024. HKMC will invest in the subordinated notes issued by the issuer. HKMC will provide a bridging sponsor loan to the issuer at closing to fund the transaction's fees and expenses reserve account, and to support the liquidity of the issuer in meeting interest payments on the rated notes on the first payment date. In addition, HKMC will provide a multipurpose sponsor loan to the issuer at closing to fund payments to procure or renew risk protections as and when necessary to safeguard the issuer against risks associated with the underlying assets, or to settle hedging related payments. RATINGS METHODOLOGY: The principal methodology used in these ratings was "Project Finance and Infrastructure Asset CLOs" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Rated Notes is sensitive to the performance of the underlying portfolio and the credit quality of the counterparties to the transaction, which in turn depend on uncertain economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BAYVIEW FINANCIAL 2006-A: Moody's Ups Rating on B-3 Certs to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds issued by Bayview Financial Mortgage Pass-Through Trust 2006-A. The collateral backing this deal consists of scratch and dent mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. B-1, Upgraded to Aaa (sf); previously on Nov 12, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Nov 12, 2024 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 structure, Moody's updated loss expectations on the underlying pool, and Moody's revised loss-given-default expectation for each bond. The rating upgrade on Class B-1 is a result of the increase in credit enhancement available to the bond. The rating upgrade on Class B-3 reflects the missed interest that is unlikely to be recouped. This bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. The action also reflects the outstanding credit interest shortfalls and the uncertainty of whether these shortfalls will be reimbursed No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BENCHMARK 2019-B9: DBRS Confirms B Rating on Class X-F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B9 issued by Benchmark 2019-B9 Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AA (high) (sf) -- Class A-S at AA (sf) -- Class B at A (high) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) -- Class G at CCC (sf) -- Class H at CCC (sf) -- Class X-G at CCC (sf) -- Class X-H at CCC (sf) Morningstar DBRS also changed the trends on Classes B, C, D, E, F, X-B, X-D, and X-F to Negative from Stable. All other trends are Stable with the exception of Classes G, H, X-G, and X-H, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities transactions. At the prior credit rating action, Morningstar DBRS downgraded Classes A-S, B, C, D, E, F, G, H, X-A, X-B, X-D, X-F, X-G, and X-H to reflect the deterioration in performance and value of several office-backed loans, most notably the largest loan in the pool, 3 Park Avenue (Prospectus ID#1, 10.8% of the current pool balance), secured by a mixed-use office/retail building in Manhattan. The trend changes to Negative reflect the outlook for several office-backed loans in the top 10, most notably Plymouth Corporate Center (Prospectus ID#3, 5.6% of the pool) and Fairbridge Office Portfolio (Prospectus ID#7, 3.7% of the pool), the former being almost entirely dark with a large lease set to expire in December 2025 and minimal leasing traction. In addition, the 3 Park Avenue loan transferred to special servicing for imminent default in September 2024, further supporting the trend changes to Negative as the ultimate resolution for the loan remains uncertain. Projected losses for this review are tied to one liquidation scenario considered for the La Quinta Inn Berkeley loan (Prospectus ID#33, 1.2% of the pool), secured by a 113-key limited-service hotel in Berkeley, California. The loan is more than 90 days delinquent, and the borrower is in the process of selling the property. Morningstar DBRS projects $1.6 million in losses based on a 25.0% haircut to the November 2024 appraised value of $12.0 million. The losses are contained to the unrated Class J Certificate. Since the prior credit rating action, the sole specially serviced loan, 730 Bedford Avenue (Prospectus ID#38, 0.9% of the pool), was returned to the master servicer in April 2025 as a corrected mortgage, previously contributing $5.0 million of projected losses. As of the September 2025 remittance, 47 of the original 50 loans remain in the pool with a current trust balance of $816.9 million, representing a collateral reduction of 7.5% from issuance. Eleven loans, representing 23.1% of the pool balance, are on the servicer's watchlist because of deferred maintenance items, low occupancy rates, and/or low debt service coverage ratios (DSCRs). Meanwhile, three loans, representing 13.0% of the pool, are in special servicing. Five loans, representing 3.7% of the pool balance, are defeased. The transaction has high concentration of loans backed by office properties, representing the majority of the pool at 38.8%, followed by retail at 18.6% and lodging properties at 10.2%. The largest loan in special servicing is 3 Park Avenue, secured by a mixed-use office and retail building on the corner of 34th Street and Park Avenue in New York. The loan first became delinquent in May 2020 and has subsequently faced multiple short-term periods of delinquency, ultimately causing the loan to be transferred to special servicing in September 2024. As of the September 2025 reporting, the borrower is current on loan payments. Although a workout for the loan has not yet been reached, recent servicer commentary states that the lender is dual-tracking foreclosure proceedings while monitoring the status of the property. As of the YE2024 reporting, the property was 51.4% occupied, a marginal decline from the YE2023 figure of 53.7% and a significant decrease from the issuance figure of 85.5%, primarily the result of several key tenant departures and downsizings. Property cash flows have been unable to cover debt service obligations since 2020. Although the collateral has not received an updated appraisal, Morningstar DBRS believes the value has likely declined from issuance. As a result, Morningstar DBRS applied a stressed loan-to-value ratio (LTV) and an elevated probability of default (POD) adjustment in the analysis for the loan, resulting in an expected loss (EL) that was more than double the pool's average. Morningstar DBRS also has concerns about the Plymouth Corporate Center loan, backed by a suburban office property in Plymouth, Minnesota, part of the greater Minneapolis area. The largest tenant at the property, TCF National Bank (69.0% of the net rentable area), was acquired by Huntington Bank in June 2021 and is on a lease scheduled to expire in December 2025. The loan has a cash management trigger to trap excess cash 30 months prior to lease expiry; the September 2025 reporting notes $4.9 million of reserves, including $2.8 million of reserves designated as other. According to a February 2025 site inspection report, the Huntington Bank space was fully dark ahead of the lease expiration. As of June 2025, physical occupancy was 20.4% while the property was 91.1% leased. According to the YE2024 financial reporting, the property generated a net cash flow (NCF) of $3.9 million (a DSCR of 1.31 times (x)), a notable drop from $4.4 million (DSCR of 1.83x) at YE2023 tied to decreased revenue. The low in-place DSCR is exacerbated by the near-term scheduled rollover for the largest tenant amid sluggish demand within the submarket, as Reis reported a Q2 2025 submarket vacancy rate of 20.2%. Given these increased risks and the near-term expiration of the Huntington Bank lease, Morningstar DBRS analyzed the loan with a stressed value analysis that considered a high LTV and an elevated POD, resulting in an EL that is more than triple the pool's average. The Fairbridge Office Portfolio loan, which is secured by two suburban office properties in the Chicago suburbs of Oak Brook, Illinois, and Warrenville, Illinois, was added to the servicer's watchlist in September 2021 for a low DSCR. Performance declines have persisted since, and coverage has been below breakeven since 2022. The decline is attributable to the loss of tenants over the past few years, pushing the occupancy rate down to 66.1% as of the March 2025 rent roll, well below the issuance figure of 84.7%. According to Reis, the West submarket of Chicago reported a Q2 2025 average vacancy rate of 25.5%, compared with 25.9% as of Q2 2024. Based on the financial reporting for the trailing six months ended June 30, 2025, the property generated NCF of $2.4 million, in line with the YE2023 NCF but approximately half of the $4.3 million figure Morningstar DBRS derived at issuance. At issuance, the property's value was $64.7 million; however, given the low occupancy rate and general challenges for office properties in suburban markets, Morningstar DBRS believes the collateral's value has significantly declined since that time. As such, Morningstar DBRS stressed the LTV and POD for this loan, resulting in an EL that is more than three times the pool's average. The 120 Spring Street loan (Prospectus ID#32, 1.1% of the pool) is secured by a 2,306-sf retail property in New York, fully leased to Birkenstock on a lease running through 2033. The loan originally transferred to special servicing in December 2023 for maturity default, and a 12-month forbearance was negotiated shortly afterward. The agreement was structured with a 12-month loan extension to November 30, 2025, in exchange for a principal payment. According to recent servicer commentary, a full payoff of the loan is likely by the November 30, 2025, maturity date. Performance remains healthy with a strong DSCR. The property was re-appraised in December 2024 for $13.1 million, a slight decline from the issuance appraised value of $14.8 million, implying an LTV of 67.4% based on the current loan balance of $8.8 million. Morningstar DBRS applied an elevated POD adjustment in the modelling for the loan, resulting in an EL that was approximately 1.5x the pool's average. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET XVIII:S&P Assigns Prelim 'BB-' Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt from Benefit Street Partners CLO XVIII Ltd./Benefit Street Partners CLO XVIII LLC, a CLO managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton, that was originally issued in November 2021. The preliminary ratings are based on information as of Oct. 13, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 15, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt and assign ratings to the replacement class A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt is expected to be issued at a lower spread over three-month CME Term SOFR than the existing debt. -- The replacement class A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt is expected to be issued at a floating spread, replacing the current floating spread. -- The non-call period will be extended to Oct. 15, 2027. -- The reinvestment period will be extended to Oct. 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Oct. 15, 2038. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- And additional $17.52 million in subordinated notes will be issued on the refinancing date. -- The target initial par amount will be updated to $600 million, and the first payment date following the refinancing is Jan. 15, 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 rated tranche. "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 Benefit Street Partners CLO XVIII Ltd./ Benefit Street Partners CLO XVIII LLC Class A-R2, $384.00 million: AAA (sf) Class B-R2, $72.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-1-R2 (deferrable), $36.00 million: BBB- (sf) Class D-2-R2 (deferrable), $6.00 million: BBB- (sf) Class E-R2 (deferrable), $18.00 million: BB- (sf) Other Debt Benefit Street Partners CLO XVIII Ltd./ Benefit Street Partners CLO XVIII LLC Subordinated notes, $70.87 million: NR NR--Not rated. BLACKROCK DLF 2019-G: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings as follows on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes (together, the Secured Notes), and the Class W Notes (together with the Secured Notes, the Notes) issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer), pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated December 23, 2020, as amended by the Amendment Agreement (the Amendment), dated August 18, 2023, among the Issuer; U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Collateral Administrator, Information Agent, and Note Agent; U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as Custodian and Document Custodian and the Purchasers referred to therein: -- Class A-1 Notes confirmed at AAA (sf) -- Class A-2 Notes confirmed at AA (sf) -- Class B Notes confirmed at A (high) (sf) -- Class C Notes confirmed at A (sf) -- Class D Notes confirmed at BBB (sf) -- Class E Notes confirmed at BB (sf) -- Class W Notes confirmed at B (sf) The credit ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; July 9, 2025). The Reinvestment Period end date is October 16, 2025. The Stated Maturity is October 16, 2031. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of August 15, 2025, the Borrower is not in compliance with all its performance metrics. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. As of August 15, 2025, the transaction is failing the Minimum Weighted Average Coupon Test (current 2.691% vs required 6.00%), the Minimum Weighted Average Spread Test (current 5.704% vs required 5.75%), and the Senior Advance Rate Test (current 86.76% vs required 85.00%). Morningstar DBRS considered these failures in its analysis. There is one defaulted obligation (a total par amount of $4,095,392) registered in the Portfolio as of August 15, 2025. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of August 15, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; required 5.75%; currently 5.704% Minimum Weighted Average Coupon: required 6.00%; currently 2.691% Maximum Weighted Average Life: required 4,75; currently 3.08 Maximum Risk Score: Subject to Collateral Quality Matrix; required 39.88; currently 38.37 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; required 47.5%; currently 49.0% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; required 30.0; currently 41.0 Senior Advance Rate Test; Subject to Collateral Quality Matrix; required 85.00%; currently 86.76% Coverage Tests Class A-2 Overcollateralization (OC): Actual 151.83%; Required 143.97% Class B OC: Actual 137.60%; Required 132.18% Class C OC: Actual 130.39%; Required 125.71% Class D OC: Actual 121.85%; Required 119.01% Class E OC: Actual 115.25%; Required 110.28% Class A-2 Interest Coverage (IC): Actual 193.95%; Required 145.00% Class B IC: Actual 172.88%; Required 140.00% Class C IC: Actual 161.22%; Required 120.00% Class D IC: Actual 146.51%; Required 115.00% Class E IC: Actual 132.21%; Required 110.00% Class W IC: Actual 127.86%; Required 100.00% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (current DScore of 41 vs. the required level of 30), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the per the Collateral Quality Matrix) and the majority may not have public credit ratings, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis supported the credit rating actions on the Notes. In the Level II surveillance process, the predictive model is utilized to determine if the current rating is passing or failing. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2020-1: DBRS Cuts Class W Notes Rating to C --------------------------------------------------------- DBRS, Inc. downgraded its credit rating on the Class W Notes and confirmed its credit ratings on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes (together with the Class W Notes, the Notes), issued by BlackRock DLF IX 2020-1 CLO, LLC, pursuant to the Note Purchase and Security Agreement (the NPSA), dated as of July 21, 2020, among BlackRock DLF IX 2020-1 CLO, LLC, as Issuer, U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS), as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent, and the Purchasers referred to therein: -- Class A-1 Notes confirmed at AAA (sf) -- Class A-2 Notes confirmed at AAA (sf) -- Class B Notes confirmed at AA (sf) -- Class C Notes confirmed at AA (low) (sf) -- Class D Notes confirmed at A (low) (sf) -- Class E Notes confirmed at BBB (low) (sf) -- Class W Notes downgraded to C (sf) from BB (low) (sf) The credit ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NSA) and the ultimate payment of principal on or before the Stated Maturity of July 21, 2030. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NSA) and the ultimate payment of principal on or before the Stated Maturity of July 21, 2030. The downgrade of the credit rating on the Class W Notes reflects the expected shortfall of principal proceeds available for the redemption of this Class, as reported in the September 8, 2025 Monthly Trustee Report. This shortfall is discussed further in the Credit Rating Rationale / Description section below. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' surveillance review of the transaction performance, including current balances in the Collection Accounts, the Trustee Report, other information provided by BCIA, and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; July 9, 2025). No predictive model was applied, as only cash proceeds remain in the portfolio. The Reinvestment Period ended on July 21, 2024. The Stated Maturity is July 21, 2030. On September 29, 2025, BlackRock Capital Investment Advisors, LLC (BCIA), as Collateral Manager, informed Morningstar DBRS that on the next Payment Date, October 17, 2025, there would be: (1) a repayment in full of the principal and accrued interest due on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, and (2) a shortfall in the expected principal repayment of the Class W Notes. The principal shortfall is a result of the full sale of Collateral Assets from the Issuer on August 29, 2025, at a discount to par, with the average sale price below $0.90. The Collateral Assets were sold to a continuation vehicle managed by BCIA. The Collateral Manager classified the sale of collateral assets from the Issuer as discretionary sales, under Section 10.1(a)(v) of the NPSA, which includes limitations that such sale shall be permitted only so long as (1) the sale price of such Collateral Asset is equal to or greater than the purchase price of such Collateral Asset or (2) the Aggregate Principal Balance of all such Collateral Assets sold during the preceding period of 12 calendar months is not greater than 25% of Total Capitalization. BCIA took the position that this limitation was not in effect at the time of the sale. Per the Monthly Trustee Report, as of September 8, 2025, the total cash proceeds in the Principal Collections Account equal $147,391,525.20, while the remaining outstanding principal balance on the Notes, including the Class W Notes, equals $158,762,276.56, indicating a shortfall in the principal payment on the Class W Notes. BCIA expects the Class W Notes to remain outstanding for another 120 days. As a result, Morningstar DBRS downgraded its credit rating on the Class W Notes to C (sf) from BB (low)(sf). A C rating category is normally applied to obligations that are seen as highly likely to default or obligations in respect of which default has not technically taken place but is considered inevitable. Morningstar DBRS also confirmed its credit ratings on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes, due to the scheduled and expected repayment in full of principal and accrued interest on October 17, 2025 Payment Date. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) the transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BCIA. (3) the legal structure as well as the legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Notes: All figures are in U.S. dollars unless otherwise noted. BOFAS RE-REMIC 2025-FRR6: DBRS Finalizes B(low) Rating on E Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2025-FRR6 (the Certificates) issued by BOFAS Re-REMIC Trust 2025-FRR6 (the Trust): -- Class A at AA (low) (sf) -- Class B at A (low) (sf) -- Class C at BBB (low) (sf) -- Class D at BB (low) (sf) -- Class E at B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by a portion of the beneficial interests in the Class X2-A (interest-only), Class X2-B (interest-only), and Class D (principal-only) Multifamily Mortgage Pass-Through Certificates, Series 2019-K87 issued by FREMF 2019-K87 Mortgage Trust (the underlying certificates, and securitization, respectively). The principal balances of the underlying certificates total approximately $94.0 million, all of which is being contributed to the Trust. Morningstar DBRS' credit ratings on this transaction depend on the performance of the underlying securitization. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M, Class B, Class C, and Class D certificates in the underlying transaction. The collateral of the underlying securitization currently comprises 63 loans secured by 63 multifamily properties, including 48 garden-style multifamily properties, six mid-rise/high-rise apartment complexes, three age-restricted properties, three student housing properties, two townhome properties, and one manufactured housing community. Twenty-one loans, comprising 21.9% of the current pool balance, are defeased as of September 2025. An additional two loans were securitized as part of the underlying securitization but paid off prior to September 2025. All the loans within the pool are fixed-rate loans with a 10-year or 11-year loan term. Morningstar DBRS analyzed the underlying securitization to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS Weighted-Average (WA) Issuance Loan-to-Value Ratio (LTV) of the current pool (excluding defeased and paid-off loans) was 63.7%, and the total pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 59.3%, based on the A note balances at maturity. About 42.5% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Additionally, Morningstar DBRS applied an additional stress to the default rate of one loan, representing approximately 2.3% of the current total principal balance, that is on Freddie Mac's watchlist because of a decrease in debt service coverage ratio, in order to mitigate the risk of near-term default. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2025-HE1: Fitch Assigns 'B+sf' Rating on B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2025-HE1 (BRAVO 2025-HE1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2025-HE1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA+sf New Rating AA+(EXP)sf A3 LT A+sf New Rating A+(EXP)sf AIOS LT NRsf New Rating NR(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 M1 LT BBB+sf New Rating BBB+(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf TC LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 6,272 seasoned performing first and second lien Home Equity Lines of Credit (HELOC) with a total balance of approximately $257 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not advance delinquent (DQ) monthly payments of P&I. Any excess cashflow may be used to repay current or previously allocated realized losses. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2025-HE1 has a final probability of default of 31.6% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 63.0%. The expected loss in the 'AAAsf' rating stress is 20.14%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2025-HE1 are based on sequential structure whereby the subordinate classes are fully locked out of principal until those classes more senior to them have been paid off. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on a sample of loans in the pool. No diligence credit was applied as it focused only on the seasoned scope and did not consider a credit or valuation review. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2025-HE1 to be a fully de-linked and bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to BRAVO 2025-HE1, and therefore Fitch rates the transaction at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.5%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton and Digital Risk, all assessed as 'Acceptable' third-party review (TPR) firms by Fitch. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Third-party due diligence was performed on 28.9% of the loans by loan count (28.6% by UPB) in the transaction. The regulatory compliance review indicated that 343 reviewed loans, or approximately 5.5% of the total pool by loan count, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. Fitch made adjustments to its losses based on the findings 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. BREAN ASSET 2025-RM13: DBRS Gives Prov. B Rating on Class M5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RM13 (the Notes) to be issued by Brean Asset-Backed Securities Trust 2025-RM13 (the Issuer) as follows: -- $178.3 million Class A1 at (P) AAA (sf) -- $31.0 million Class A2 at (P) AAA (sf) -- $209.3 million Class AM at (P) AAA (sf) -- $4.9 million Class M1 at (P) AA (sf) -- $4.9 million Class M2 at (P) A (sf) -- $3.3 million Class M3 at (P) BBB (sf) -- $3.5 million Class M4 at (P) BB (sf) -- $3.6 million Class M5 at (P) 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 (P) AAA (sf) credit ratings reflect 111.9% of cumulative advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 114.5%, 117.1%, 118.9%, 120.8%, and 122.7% 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 the October 1, 2025, cut-off date, the collateral has approximately $187.06 million in current unpaid principal balance from 476 performing and one called due (because of death) fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, and co-operatives. All loans in this pool were originated in 2025, with loan ages ranging from one month to four months. All loans in this pool have a fixed interest rate with an 9.019% 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 the S&P Global Ratings (S&P) Cotality Case-Shiller National 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 October 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. Notes: All figures are in U.S. dollars unless otherwise noted. BSPRT 2025-FL12: Fitch Assigns 'B-sf' Final Rating on Class H Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BSPRT 2025-FL12 Issuer, LLC as follows: - $608,138,000a class A 'AAAsf'; Outlook Stable; - $150,690,000a class A-S 'AAAsf'; Outlook Stable; - $78,035,000a class B 'AA-sf'; Outlook Stable; - $60,545,000 class C 'A-sf'; Outlook Stable; - $36,327,000a class D 'BBBsf'; Outlook Stable; - $13,454,000a class E 'BBB-sf'; Outlook Stable; - $21,527,000b class F 'BB+sf'; Outlook Stable; - $21,527,000b class G 'BB-sf'; Outlook Stable; - $21,527,000b class H 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $64,581,911b,c class J. (a) Privately placed and pursuant to Rule 144A. (b) Retained notes (c) Horizontal risk retention interest, totaling 6.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,076,351,912 and does not include future funding. The ratings are based on information provided by the issuer as of Oct. 15, 2025. Transaction Summary The notes are collateralized by 44 loans secured by 73 commercial properties having an aggregate principal balance of $1,076,351,912 as of the cut-off date. The pool includes two delayed close loans totaling approximately $45.0 million, which are expected to close within 90 days following the closing date. The loans and interests securing the notes are owned by BSPRT 2025-FL12 Issuer, LLC, as issuer of the notes. The servicer is Situs Asset Management LLC, and the special is BSP Special Servicer, LLC. The trustee and the note administrator is U.S. Bank Trust Company, National Association. The notes follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 41.1% of the loans by balance, cash flow analysis on 81.7% 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 31 loans in the pool (80.7% by balance). Fitch's resulting aggregate net cash flow (NCF) of $60.5 million represents a 14.06% decline from the issuer's aggregate underwritten NCF of $70.3 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 than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 141.3% is worse than both the 2025 YTD and 2024 CRE CLO average of 140.7%. The pool's Fitch NCF debt yield (DY) of 7.2% is better than both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse than any other Fitch-rated CRE CLO transaction. The top 10 loans make up 42.4% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 61.8% 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 36.1. 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 is 49.0% comprised of interest-only loans, based on fully extended loan terms. This is better than both the 2025 YTD and 2024 CRE CLO averages of 73.1% and 56.8%, respectively. As a result, the pool is expected to have 1.0% 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 0.5% 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'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B+sf'/'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The 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 Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. CARLYLE US 2023-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2023-3, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2023-3, Ltd. A-1 14318FAA2 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B 14318FAE4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 14318FAG9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 14318FAJ3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 14318TAA2 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Carlyle US CLO 2023-3, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. The deal originally closed in August 2023 and was rated by Fitch. This is the first refinancing where the existing secured notes will be refinanced in whole on Oct. 15, 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: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.05 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 95.69% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.86% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 10% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, between less than 'B-sf' and 'BB+sf' for class D-2-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 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, 'Asf' for class D-1-R notes, 'A-sf' for class D-2-R notes, and 'BBB-sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2023-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CENTERFIELD MEDIA: S&P Assigns B+ (sf) Rating on Class B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-9's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans (some with initial interest-only periods) to prime and nonprime borrowers with original terms to maturity up to 40-years. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, a cooperative, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,268 loans with 1,283 properties and comprises qualified mortgage (QM)/non-higher-priced-mortgage (non-HPML) (safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay-exempt (ATR-exempt) loans. S&P said, "Following our assignment of preliminary ratings on Oct. 2, 2025, 10 loans were removed from the collateral pool and certain loan balances and pay strings were updated, along with changes to class note sizes, to reflect the updated loan balances. Separately, the class A-1F note amount was decreased to $42.106 million from $96.506 million, which led to changes in the notional balances of class A-1IO1, A-1IO2, and A-1IO notes, reflecting the class A-1F note balance. The note amount of class A-1A notes was increased to $374.754 million from $332.854 million and class A-1B notes to $59.865 million from $53.172 million. The changes in the note amounts did not affect the credit enhancement available on the classes in the transaction. In addition, the class B-2 notes were priced to receive a coupon rate equal to the net weighted average coupon rate of the collateral pool. After analyzing the updated collateral pool, structure, and final coupons, we confirmed that the ratings assigned to the notes remained unchanged from the preliminary ratings." The 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 aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned Verus Securitization Trust 2025-9(i) Class A-1, $434,619,000: AAA (sf) Class A-1A, $374,754,000: AAA (sf) Class A-1B, $59,865,000: AAA (sf) Class A-1F, $42,106,000: AAA (sf) Class A-1IO1, $42,106,000 (ii): AAA (sf) Class A-1IO2, $42,106,000 (ii): AAA (sf) Class A-1IO, $42,106,000 (ii): AAA (sf) Class A-2, $43,995,000: AA (sf) Class A-3, $64,023,000: A (sf) Class M-1, $28,236,000: BBB (sf) Class B-1, $19,699,000: BB (sf) Class B-2, $10,835,000: B+ (sf) Class B-3, $13,133,326: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, N/A: 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 class A-1IO1, A-1IO2, and A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes and will not be entitled to payment of the principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. N/R--Not rated. CF 2019-CF2: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------- Fitch Ratings has affirmed 15 classes of CF 2019-CF2 Mortgage Trust, commercial mortgage pass-through certificates, series 2019-CF2. The Rating Outlooks for classes B, C, and X-B were revised to Positive from Stable. The Rating Outlooks for classes F, G, X-F, and X-G were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- CF 2019-CF2 A-4 12528YAE3 LT AAAsf Affirmed AAAsf A-5 12528YAF0 LT AAAsf Affirmed AAAsf A-S 12528YAJ2 LT AAAsf Affirmed AAAsf A-SB 12528YAC7 LT AAAsf Affirmed AAAsf B 12528YAK9 LT AA-sf Affirmed AA-sf C 12528YAL7 LT A-sf Affirmed A-sf D 12528YAT0 LT BBBsf Affirmed BBBsf E 12528YAV5 LT BBB-sf Affirmed BBB-sf F 12528YAX1 LT BB-sf Affirmed BB-sf G 12528YAZ6 LT B-sf Affirmed B-sf X-A 12528YAG8 LT AAAsf Affirmed AAAsf X-B 12528YAH6 LT A-sf Affirmed A-sf X-D 12528YAM5 LT BBB-sf Affirmed BBB-sf X-F 12528YAP8 LT BB-sf Affirmed BB-sf X-G 12528YAR4 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable to Improved 'Bsf' Loss Expectations and Performance: Deal-level 'Bsf' rating case loss is 3.96%, slightly lower compared to 4.4% at Fitch's prior rating action. Four loans (9.6%) were flagged as Fitch Loans of Concern (FLOCs), including one loan (2.2%) in special servicing. The affirmations reflect that aside from the FLOCs, the pool has experienced stable to improved performance since the last rating action. The Rating Outlook revisions reflect the lower expected pool losses, most notably due to improved performance on the Uline Arena loan (6.1%) due to improved occupancy and net cash flow, as well as continued increases in credit enhancement (CE). In addition, the transaction has limited exposure to office collateral, which comprises only 16.1% of the pool. Fitch ran a sensitivity scenario that increased the probability of default on two FLOCs, Beverly Hills BMW and La Terraza Office Building, which was used to test the durability of potential upgrades. This scenario contributed to Fitch revising seven Outlooks. Upgrades to classes B, C and X-B are possible with sustained stable to improved performance. FLOCs; Largest Contributors to Loss: The largest overall contributor to loss expectations, 136-20 38th Avenue (2.9%), is secured by a 23,607-sf urban office property located in Queens, NY. The loan was flagged as a FLOC after Long Island Business Institute (47.4% NRA and 48.4% EGI) vacated at its August 2024 lease expiration. The property is currently 46% occupied by one tenant (North Shore Community Services; lease expires in 2029). The servicer reported a debt service coverage ratio (DSCR) of 0.89x as of June 2025, down from 2.04x at YE 2024 and 2.60x at YE 2023. Fitch's 'Bsf' rating case loss of 34.6% (prior to concentration adjustments) reflects June 2025 annualized net operating income (NOI) and a 10% cap rate. The second-largest overall contributor to loss expectations, La Terraza Office Building (1.5%), is secured by a 40,000-sf office building located in Escondido, CA. The loan was flagged as a FLOC due to continued decline in NOI and DSCR. Servicer reported occupancy and DSCR were 94% and 0.78x, respectively as of YE 2024 compared to 100% and 1.28x at YE 2023. Base rent declined year over year, while operating expenses remained relatively flat. Fitch's 'Bsf' rating case loss of 30% (prior to concentration adjustments) reflects a 10% haircut to YE 2024 NOI and a 10% cap rate. The specially serviced loan, The Centre, is secured by a 314-unit multifamily property located in Cliffside Park, NJ. The loan did not repay at its July 2024 maturity date and transferred to special servicing in September 2024 due to maturity default. As of July 2025, the property was 96.5% occupied. Expected losses on the asset are minimal, as an updated appraisal remains higher than the outstanding debt and a forbearance and/or loan modification is expected. Change in C/E: As of the September 2025 remittance report, the transaction has been reduced by 14.6% since issuance. Three loans (2.3%) have been defeased. Interest shortfalls of approximately $35,000 are impacting non-rated class NR-RR 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 high CE and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to the 'AAsf' and 'Asf' rated categories are not expected but could occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loan or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated categories are likely with continued stable to improved pool-level loss expectations and continued increased CE. - Upgrades to the 'BBBsf' rated categories are possible but would be limited based on sensitivity to concentrations or the potential for future concentration and would consider the performance stabilization of FLOCs including 136-20 38th Avenue and La Terraza Office Building. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' rated categories 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; 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. CIFC FUNDING 2021-III: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2021-III, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2021-III, Ltd. A-1-R LT NRsf New Rating A-1L LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CIFC Funding 2021-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC. The transaction was originally not rated by Fitch and closed on June 4, 2021 and will be refinanced in whole on Oct. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.89, 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 95.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.81% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and '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. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2021-III, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CIFC FUNDING 2023-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2023-I, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2023-I, Ltd. A-1-R 12575RAJ9 LT NRsf New Rating NR(EXP)sf A-2-R 12575RAL4 LT AAAsf New Rating AAA(EXP)sf B 12575RAB6 LT PIFsf Paid In Full AAsf B-R 12575RAN0 LT AAsf New Rating AA(EXP)sf C 12575RAC4 LT PIFsf Paid In Full Asf C-R 12575RAQ3 LT Asf New Rating A(EXP)sf D 12575RAD2 LT PIFsf Paid In Full BBB-sf D-1-R 12575RAS9 LT BBB-sf New Rating BBB-(EXP)sf D-2-R 12575RAU4 LT BBB-sf New Rating BBB-(EXP)sf E 12575BAA3 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary CIFC Funding 2023-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC and originally closed in October 2023. 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: 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 23.74, 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 96.92% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.91% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and '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. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2023-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP 2025-RP3: Fitch Assigns Bsf Final Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-RP3 (CMLTI 2025-RP3). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2025-RP3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT AAsf New Rating AA(EXP)sf A4 LT Asf New Rating A(EXP)sf A5 LT BBBsf New Rating BBB(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 2,961 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $542.7 million, including $24.1 million, or 4.4%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. The borrowers have a weighted-average (WA) FICO of 698 as determined by Fitch and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 46.6%. All loans in the transaction were originated in 2023 or earlier, all loans are seasoned at least 24 months and an updated BPO was provided. Of the pool, 94.1% of the loans have had a clean payment history over the past 12 months and 1.3% are currently delinquent. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. There have been no changes to the collateral or structure since the publication of the presale. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. CMLTI 2025-RP3 has a final probability of default (PD) of 34.5% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 20.6%. The expected loss in the 'AAAsf' rating stress is 7.1%. Structural Analysis: The mortgage cash flow and loss allocation in CMLTI 2025-RP3 are based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating its loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch expects SPL/RPL pools to have full diligence completed. Specifically, for loans that have an application date on or after Jan. 10, 2014, Fitch expects a full due diligence scope that includes a review of credit, regulatory compliance and property valuation. For loans with an application date prior to Jan. 10, 2014, Fitch primarily receives a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Fitch's review of the operational risk for this transaction did not have an impact on the analysis. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects CMLTI 2025-RP3 to be fully de-linked and a bankruptcy-remote, special purpose vehicle (SPV) at closing. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to CMLTI 2025-RP3, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 13 bps. 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-UBS2: DBRS Cuts Class E Credit Ratings to D ----------------------------------------------------- DBRS Limited downgraded the credit ratings on two classes across two transactions as follows: COMM 2014-UBS2 Mortgage Trust (COMM 2014-UBS2) -- Class E to D (sf) from C (sf) LSTAR Commercial Mortgage Trust 2016-4 (LSTAR 2016-4) -- Class F to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on both classes. The credit ratings downgrades were due to a loss to the respective trusts that was reflected with the September 2025 remittances. The COMM 2014-UBS2 transaction incurred a loss of $8.7 million, wiping out the remainder of Class F and eroding $1.4 million of Class E. The loss was tied to the liquidation of the Avent Building loan (Prospectus ID#20). The loan-level loss was slightly higher than Morningstar DBRS' expectation of $7.3 million at the last review. The LSTAR 2016-4 transaction incurred a loss of $20.8 million, wiping out the remainder of Class G and eroding $19.1 million of Class F. The loss was tied to non-cash principal adjustments made to the Charlotte Plaza loan (Prospectus ID#1, 14.0% of the pool). The $120.0 million whole loan balance was reduced by $50.0 million, resulting in the trust loan balance declining to $29.2 million from $50.0 million previously. At the last review, Morningstar DBRS analyzed this loan with a liquidation scenario, with implied losses totaling $32.4 million (65.0% loss severity). Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-LC19: Fitch Affirms CCC Rating on Class F Debt -------------------------------------------------------- Fitch Ratings has upgraded two classes and affirmed four classes of COMM 2015-LC19 Mortgage Trust. Following the upgrade, classes C and PEZ were assigned a Stable Rating Outlook. Fitch also revised the Outlook for classes D, E, and X-C to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-LC19 B 200474BF0 LT PIFsf Paid In Full AA-sf C 200474BH6 LT AA-sf Upgrade A-sf D 200474AE4 LT BBB-sf Affirmed BBB-sf E 200474AG9 LT Bsf Affirmed Bsf F 200474AJ3 LT CCCsf Affirmed CCCsf PEZ 200474BG8 LT AA-sf Upgrade A-sf X-B 200474AA2 LT PIFsf Paid In Full AA-sf X-C 200474AC8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations; Pool Concentrations: Deal-level 'Bsf' rating case loss have increased to 15.3% (2.1% of the original pool balance) from 6.0% (4.3%) at the prior rating action. The transaction is concentrated with only five loans remaining, four of which (77.9%) have been designated as Fitch Loans of Concern (FLOCs) including two specially serviced loans (39.5%). The upgrades of classes C and PEZ reflects increased credit enhancement (CE) from loan repayments, better-than-expected recoveries from loans paying off at maturity, and the high likelihood of repayment of the second largest loan, Stone 34 (22.1%) at the January 2027 loan maturity date, which will pay off Class C and exchangeable Class PEZ. Stone 34 is secured by a 133,877-sf office property located in Seattle, WA. The property serves as the headquarters for Brooks Sports, a company wholly owned by Berkshire Hathaway. The property reported 98% occupancy and a DSCR of 2.67x as of YE2024, with the tenant's lease expiring in September 2035. The Stable Outlooks reflect the sufficient CE and recovery and loss expectations for the remaining loans, including the FLOCs and specially serviced loans. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their CE. The largest contributors to overall pool loss expectations are the Walgreens Net Lease Portfolio II (21.1% of the pool) and Walgreens Net Lease Portfolio I (17.3%). Portfolio II is secured by nine standalone Walgreens stores totaling 139,850 sf located across three states: MO (3), IN (3), and TN (3), across six distinct markets. Portfolio I is secured by eight standalone Walgreens stores totaling 120,258 sf located across four states: AR (3), KS (2), IA (2), and OH (1), across eight distinct markets. All properties have leases through December 2029 with 12-year lease extension options, except one property in Portfolio II which has a lease expiration in December 2036. The loans had an anticipated repayment date of January 2025, after which the loan interest rate increased for both portfolios. Final loan maturity is December 2029 for Portfolio II and January 2030 for Portfolio I. Following Walgreens' nationwide store closing announcement in 2024, two properties in Portfolio II are listed as permanently closed online. Fitch incorporated these closures into its loss expectations and will continue to monitor the portfolio for additional store closures. Fitch's 'Bsf' rating case loss expectations are 24.6% for Portfolio II and 20.3% for Portfolio I (prior to concentration add-ons). Fitch applied a 30% stress to the TTM March 2024 NOI for Portfolio II and a 10% stress for Portfolio I. Fitch applied heightened stress to reflect concerns with the two closed stores in Portfolio II and general concerns with Walgreens' nationwide store closings affecting both portfolios. Losses on both portfolios additionally were impacted by the 30-day delinquency status in February 2025. The third largest contributor to overall pool loss expectations is Central Plaza (35.6%), which is secured by an 888,061-sf office property and two adjacent parking structures in Los Angeles, CA. The property has a granular tenant base with the largest tenant occupying less than 3% of the NRA and sustained low occupancy since issuance. As of November 2024, occupancy declined to 52% from 56% at YE 2023 but the property has sustained low occupancy since issuance where it was 64%. The property has high lease rollover with approximately 22% of the NRA was set to expire in 2025, 3.8% in 2026, 5.1% in 2027, and 10% of the NRA had expired leases. The servicer-reported NOI DSCR was 1.67x for the TTM November 2024 reporting period, compared to 1.55x at YE 2023, and 1.64x at YE 2022. The loan transferred to special servicing in December 2024 due to monetary default. According to the servicer, the borrower was unable to secure financing at maturity. The special servicer and borrower entered into a forbearance agreement that included a $9 million principal paydown and extended the loan maturity to December 2025 with two six-month extension options, each requiring a 0.5% fee and $2.5 million paydown. Fitch's expected loss of 7% (prior to concentration add-ons) is based on a stress to the most recent appraisal value, reflecting a Fitch-stressed value of $75 psf. Increased Credit Enhancement: As of the October 2025 distribution date, the pool's aggregate principal balance has paid down by 86.2% to $196.7 million from $1,423 million at issuance. Realized losses and interest shortfalls of $21.9 million and $1.7 million, respectively, are impacting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AA-sf' are not expected due to the class being the most senior bond but could occur if Stone 34 is not expected to pay off at maturity and deal-level losses increase significantly from outsized losses on FLOCs and specially serviced loans. Downgrades to 'BBB-sf' and 'Bsf' rated classes could occur with additional performance declines of the FLOCs as well as the loans in special servicing. Further downgrades to distressed classes would occur should additional loans transfer to special servicing or as losses on FLOCs and specially serviced loans are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AA-sf' rated classes are possible with continued improvement in CE from amortization and/or loan paydowns, as well as performance improvement of the FLOCs including Central Plaza and the Walgreen's Portfolios. Upgrades to 'AAAsf' will consider if interest shortfalls are expected. Upgrades to 'BBB-sf' and 'Bsf' rated classes could occur with performance improvements of the FLOCs as well as better recovery prospects of the loans in special servicing, including Central Plaza and 56-15 Northern Boulevard. Classes would not be upgraded above 'AA+sf' if there were the likelihood of interest shortfalls. Upgrades to distressed classes are not expected but would only occur 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. CONNECTICUT AVE 2025-R06: DBRS Finalizes BB(high) on 4 Classes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Connecticut Avenue Securities (CAS) Series 2025-R06 Notes (the Notes) issued by Connecticut Avenue Securities Trust 2025-R06 (CAS 2025-R06 or the Issuer) as follows: -- $204.1 million Class 1A-1 at A (high) (sf) -- $204.1 million Class 1M-1 at A (low) (sf) -- $40.8 million Class 1M-2A at A (low) (sf) -- $40.8 million Class 1M-2B at BBB (high) (sf) -- $40.8 million Class 1M-2C at BBB (high) (sf) -- $57.1 million Class 1B-1A at BBB (sf) -- $57.1 million Class 1B-1B at BB (high) (sf) -- $122.4 million Class 1M-2 at BBB (high) (sf) -- $40.8 million Class 1E-A1 at A (low) (sf) -- $40.8 million Class 1A-I1 at A (low) (sf) -- $40.8 million Class 1E-A2 at A (low) (sf) -- $40.8 million Class 1A-I2 at A (low) (sf) -- $40.8 million Class 1E-A3 at A (low) (sf) -- $40.8 million Class 1A-I3 at A (low) (sf) -- $40.8 million Class 1E-A4 at A (low) (sf) -- $40.8 million Class 1A-I4 at A (low) (sf) -- $40.8 million Class 1E-B1 at BBB (high) (sf) -- $40.8 million Class 1B-I1 at BBB (high) (sf) -- $40.8 million Class 1E-B2 at BBB (high) (sf) -- $40.8 million Class 1B-I2 at BBB (high) (sf) -- $40.8 million Class 1E-B3 at BBB (high) (sf) -- $40.8 million Class 1B-I3 at BBB (high) (sf) -- $40.8 million Class 1E-B4 at BBB (high) (sf) -- $40.8 million Class 1B-I4 at BBB (high) (sf) -- $40.8 million Class 1E-C1 at BBB (high) (sf) -- $40.8 million Class 1C-I1 at BBB (high) (sf) -- $40.8 million Class 1E-C2 at BBB (high) (sf) -- $40.8 million Class 1C-I2 at BBB (high) (sf) -- $40.8 million Class 1E-C3 at BBB (high) (sf) -- $40.8 million Class 1C-I3 at BBB (high) (sf) -- $40.8 million Class 1E-C4 at BBB (high) (sf) -- $40.8 million Class 1C-I4 at BBB (high) (sf) -- $81.6 million Class 1E-D1 at BBB (high) (sf) -- $81.6 million Class 1E-D2 at BBB (high) (sf) -- $81.6 million Class 1E-D3 at BBB (high) (sf) -- $81.6 million Class 1E-D4 at BBB (high) (sf) -- $81.6 million Class 1E-D5 at BBB (high) (sf) -- $81.6 million Class 1E-F1 at BBB (high) (sf) -- $81.6 million Class 1E-F2 at BBB (high) (sf) -- $81.6 million Class 1E-F3 at BBB (high) (sf) -- $81.6 million Class 1E-F4 at BBB (high) (sf) -- $81.6 million Class 1E-F5 at BBB (high) (sf) -- $81.6 million Class 1-X1 at BBB (high) (sf) -- $81.6 million Class 1-X2 at BBB (high) (sf) -- $81.6 million Class 1-X3 at BBB (high) (sf) -- $81.6 million Class 1-X4 at BBB (high) (sf) -- $81.6 million Class 1-Y1 at BBB (high) (sf) -- $81.6 million Class 1-Y2 at BBB (high) (sf) -- $81.6 million Class 1-Y3 at BBB (high) (sf) -- $81.6 million Class 1-Y4 at BBB (high) (sf) -- $40.8 million Class 1-J1 at BBB (high) (sf) -- $40.8 million Class 1-J2 at BBB (high) (sf) -- $40.8 million Class 1-J3 at BBB (high) (sf) -- $40.8 million Class 1-J4 at BBB (high) (sf) -- $81.6 million Class 1-K1 at BBB (high) (sf) -- $81.6 million Class 1-K2 at BBB (high) (sf) -- $81.6 million Class 1-K3 at BBB (high) (sf) -- $81.6 million Class 1-K4 at BBB (high) (sf) -- $122.4 million Class 1M-2Y at BBB (high) (sf) -- $122.4 million Class 1M-2X at BBB (high) (sf) -- $114.3 million Class 1B-1 at BB (high) (sf) -- $114.3 million Class 1B-1Y at BB (high) (sf) -- $114.3 million Class 1B-1X at BB (high) (sf) Classes 1M-2, 1E-A1, 1A-I1, 1E-A2, 1A-I2, 1E-A3, 1A-I3, 1E-A4, 1A-I4, 1E-B1, 1B-I1, 1E-B2, 1B-I2, 1E-B3, 1B-I3, 1E-B4, 1B-I4, 1E-C1, 1C-I1, 1E-C2, 1C-I2, 1E-C3, 1C-I3, 1E-C4, 1C-I4, 1E-D1, 1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4, 1E-F5, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3, 1-Y4, 1-J1, 1-J2, 1-J3, 1-J4, 1-K1, 1-K2, 1-K3, 1-K4, 1M-2Y, 1M-2X, 1B-1, 1B-1Y and 1B-1X are Related Combinable and Recombinable Notes (RCR Notes). Classes 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1C-I1, 1C-I2, 1C-I3, 1C-I4, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3, 1-Y4, 1M-2X and 1B-1X are interest-only (IO) RCR Notes. The A (high) (sf), A (low) (sf), BBB (high) (sf), BBB (sf) and BB (high) (sf) credit ratings reflect 3.80%, 2.30%, 1.80%, 1.45% and 1.10% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CAS 2025-R06 is the 71st benchmark transaction in the CAS series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Fannie Mae-guaranteed mortgage-backed securities (MBS). As of the Cut-Off Date, the Reference Pool consists of 48,435 greater-than-20-year term, fully amortizing, first-lien, fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value ratios (LTVs) ratios greater than 60% and less than or equal to 80%. The mortgage loans were estimated to be originated on or after February 2024 and were acquired by Fannie Mae between October 1, 2024, and December 31, 2024. On the Closing Date, the Issuer will enter into a Collateral Administration Agreement (CAA) with Fannie Mae and the Indenture Trustee. Fannie Mae, as the credit protection buyer, will be required to make transfer amount payments. The Issuer is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a securities account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool is not used to make any payments; instead, a portion of the eligible investments held in the securities account will be liquidated to make principal payments to the Noteholders and return amount, if any, to Fannie Mae upon the occurrence of certain specified credit events and modification events. This transaction includes a rated senior Class 1A-1 Note. The Class 1A-1 Note is subordinate to the Class 1A-H reference tranche. If the Cumulative Net Loss Test is met, the Class 1A-1 Note will receive principal payment based on a pre-determined schedule for the first 36 months, after which 100% of the senior reduction amount will be used to pay down the Class 1A-1 Note. In period 39, if the Class 1A-1 Note is outstanding and Cumulative Net Loss test is met, the Class 1A-1 Note will be paid in full. If the Cumulative Net Loss Test is not met, the Class 1A-1 Note will be locked out from receiving principal payments, except its share of supplemental reduction amount. The coupon rates for the Notes are based on the 30-day average Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Memorandum (OM) for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the Issuer will use the net investment earnings on the eligible investments together with Fannie Mae's transfer amount payments to pay interest to the Noteholders. The calculation of principal payments to the Notes will be based on actual principal collected on the Reference Pool. The scheduled and unscheduled principal will be combined and only be allocated pro rata between the senior and nonsenior tranches if the performance tests are satisfied. The minimum credit enhancement test is set to pass at the Closing Date. This allows rated classes to receive principal payments from the First Payment Date, provided the delinquency test is met. Additionally, the Class 1A-1 and nonsenior tranches will also be entitled to a supplemental reduction amount if the offered reference tranche percentage increases above 5.50%. The interest payments for these transactions are not linked to the performance of the reference obligations except to the extent that modification losses have occurred. The Notes will be scheduled to mature on the payment date in September 2045 but will be subject to mandatory redemption prior to the scheduled maturity date upon the termination of the CAA. Fannie Mae will serve as the Administrator, Trustor, and Master Servicer of the transaction. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend and R-1(low) with a Stable trend by Morningstar DBRS will act as the Indenture Trustee, Exchange Administrator, Custodian, and Investment Agent. U.S. Bank National Association (rated AA with a Stable trend and R-1 (high) with a Stable trend by Morningstar DBRS) will act as the Delaware Trustee. In this transaction, Value Acceptance (Appraisal Waiver), including Value Acceptance with Property Data Collection, was granted for approximately 24.5% of the loans rather than a traditional full appraisal. Loans where the Value Acceptance was granted generally have better credit scores and lower original LTVs. The Reference Pool consists of approximately 5.4% of loans originated under the HomeReady® program. HomeReady® is Fannie Mae's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. If a reference obligation is refinanced under the High LTV Refinance Program, then the resulting refinanced reference obligation may be included in the Reference Pool as a replacement of the original reference obligation. The High LTV Refinance Program provides refinance opportunities to borrowers with existing Fannie Mae mortgages who are current in their mortgage payments but whose LTV ratios exceed the maximum permitted for standard refinance products. The refinancing and replacement of a reference obligation under this program will not constitute a credit event. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2018-CX11: DBRS Confirms B(low) Rating on Class FRR Certs --------------------------------------------------------------- DBRS Limited downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2018-CX11 issued by CSAIL 2018-CX11 Commercial Mortgage Trust as follows: -- Class G-RR to C (sf) from CCC (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E-RR at BB (high) (sf) -- Class F-RR at B (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class X-D at BBB (sf) In addition, Morningstar DBRS changed the trends on Classes X-D, D, E-RR, and F-RR to Negative from Stable. Class G-RR has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The trends on all remaining classes are Stable. The credit rating confirmations reflect Morningstar DBRS' current outlook and loss expectations for the transaction. During the prior review in October 2024, Morningstar DBRS downgraded its credit ratings on five classes primarily because of concerns related to the high concentration of loans secured by office properties, a number of which have exposure to near-term tenant lease rollover, soft submarket fundamentals, and/or have experienced sustained performance declines since issuance. While a select number of those loans continue to perform as expected several others-- including the One State Street loan (Prospectus ID#3; 6.8% of the pool)--continue to exhibit increased credit risk. In the analysis for this review, Morningstar DBRS applied updated loan-to-value ratio (LTV) stresses and probability of default penalties to two loans, representing 9.7% of the pool, resulting in a weighted-average (WA) expected loss that was approximately 2.3 times (x) greater than the pool's average. In addition, the four loans in special servicing, which represented 7.8% of the pool balance, were liquidated from the trust as part of the analysis for this review, resulting in an implied loss of more than $33.0 million, increased from the implied loss of nearly $27.0 million during the previous review. The credit rating downgrade to Class G-RR and the Negative trends on the next three lowest-rated classes reflect these loan-specific challenges and continued credit erosion, considering those classes are most exposed to loss if the underlying collateral's performance continues to deteriorate. Should the concerns about the aforementioned loans not improve in the near to medium term, the Negative trends signal the likelihood of further credit rating downgrades to those identified classes. As of the September 2025 remittance, 45 of the original 56 loans remain active in the pool, with a current trust balance of $733.8 million, representing a collateral reduction of 23.0% since issuance. To date, the trust has incurred a total loss of $8.1 million, which has been contained to the nonrated Class N-RRR certificate. By property type, the pool is most concentrated by office, representing 30.6% of the pool. Eight loans, accounting for 8.1% of the pool, are backed by fully defeased collateral. Eleven loans, representing 28.3% of the pool, are on the servicer's watchlist, and five of them, representing 17.4% of the pool, were flagged for credit-related reasons, including One State Street. The largest loan on the servicer's watchlist, One State Street, is secured by an 891,573 square foot (sf), Class A office building in the Downtown submarket of New York City. The loan was added to the watchlist in August 2024 because its debt service coverage ratio (DSCR) was below breakeven, reflecting poor operating performance. The second-largest tenant, SourceMedia (9.4% of net rentable area (NRA) vacated upon lease expiration February 2025, contributing to a decline in occupancy of roughly 72.0%. However, according to news sources, New York State's Office of General Services recently signed a new lease for 44,000 sf (5.0% of NRA) that would partially offset the recent decline, raising the occupancy rate to nearly 77.0%. Despite this leasing update, the occupancy rate at the property is still well below the issuance rate of 86.3% as the borrower navigates a challenging leasing environment. As of Q2 2025, Reis reported a vacancy rate of 14.7% for the submarket. Given the sustained decline in performance and elevated vacancy rate, Morningstar DBRS analyzed the loan with a stressed LTV, resulting in an expected loss that is more than 1.4x the pool average. The largest specially serviced loan, Penn Center West (Prospectus ID#14; 2.7% of the pool), which is secured by a three-building office complex near Pittsburgh, transferred to special servicing in November 2022 because of imminent default and did not repay on its February 2023 maturity date. An updated appraisal as of July 2024 reflects an as-is value of $14.6 million, down significantly from both the March 2023 and issuance appraisal values of $20.1 million and $29.5 million, respectively. As of December 2024, the property was 60.5% occupied. Morningstar DBRS analyzed the loan with a liquidation scenario based on a haircut to the July 2024 appraisal value, resulting in an implied loss of more than $14.0 million and a loss severity in excess of 70.0%. Loss expectations for 600 Vine (Prospectus ID#19; 2.1% of the pool) and 111 West Jackson - Trust (Prospectus ID#30; 1.5% of the pool) have moderately increased from the previous review, with implied losses totaling $14.5 million and loss severities of approximately 50.0% and 60.0%, respectively. Hyatt House Broomfield Hotel (Prospectus ID#23; 1.7% of the pool) transferred to special servicing in April 2025 for imminent default. The loan has underperformed issuance expectations, hovering below breakeven since 2019. A receiver has been assigned, and the property is currently being listed for sale. No updated value has been received; however, Morningstar DBRS analyzed the loan with a liquidation scenario based on a haircut to the issuance appraised value, resulting in an implied loss of nearly $5.0 million and a loss severity approaching of 40.0%. At issuance, Morningstar DBRS assigned investment-grade shadow ratings to Moffett Towers II Building 2 (Prospectus ID #9, 3.8% of the pool); and Lehigh Valley Mall (Prospectus ID #12, 3.2% of the pool). With this review, Morningstar DBRS confirms the performance for both loans remains in line with the investment-grade shadow ratings. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2019-C15: DBRS Confirms B(low) Rating on Class FRR Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-C15 issued by CSAIL 2019-C15 Commercial Mortgage Trust 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 A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E-RR at BB (high) (sf) -- Class F-RR at B (low) (sf) -- Class G-RR at CCC (sf) All trends are Stable with the exception of Class G-RR, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect the overall stable outlook for the transaction, which remains generally in line with Morningstar DBRS' expectations since the previous credit rating action in October 2024. At the prior credit rating, Morningstar DBRS downgraded Classes C, X-D, D, E-RR, and F-RR because of the following loans' credit deterioration: Continental Towers (Prospectus ID#13, 3.4% of the pool), One Lincoln Center (Prospectus ID#17, 2.9% of the pool), and Town Point Center (Prospectus ID#22, 2.0% of the pool).The Continental Towers loan remains the sole specially serviced loan in the pool. In the current analysis, Morningstar DBRS liquidated the loan, with details on the asset and approach below. The two other loans' performance has either improved slightly or remained stagnant. As per the most recent financial reporting, the transaction continues to exhibit healthy credit metrics overall as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 2.0 times (x) and WA loan-to-value ratio of 58.0%. The pool benefits from uniform distribution of different property types, with loans backed by office, hotel, and retail properties representing 25.5%, 25.1%, and 21.8% of the current pool, respectively. As of the September 2025 remittance, 34 of the 36 original loans remained in the pool, with a trust balance of $742.7 million, reflecting a collateral reduction of 10.4% since issuance. There is minimal defeasance collateral as two loans, which represent 1.0% of the pool balance, have been defeased. Beyond the one specially serviced loan, there are eight loans, representing 27.8% of the pool, on the servicer's watchlist. These loans are being monitored for servicing trigger events, low DSCRs, and occupancy concerns. Continental Towers is a 910,717-square-foot Class A office property in the Chicago suburb of Rolling Meadows, Illinois. The loan was transferred to the special servicer in Apil 2023 because of imminent monetary default and is currently paid through the March 2025 debt service payment. The property's occupancy rate and net cash flow (NCF) have declined persistently since issuance, when the YE2019 figures were 91.0% and $9.1 million, respectively (DSCR of 2.23 times (x)). The property has been unable to rebound from the coronavirus pandemic, as the property was 53.0% occupied according to the July 2025 rent roll, a decrease from the YE2023 figure of 59.0% and the YE2022 figure of 67.0%. The most recently reported property NCF from YE2024 was $3.6 million (DSCR of 0.88x). The property's NCF may decrease further as tenants occupying 11.9% of the net rentable area (NRA) have scheduled lease expirations within the next 12 months. Prospects for an increase in performance are unlikely as, according to Reis, Chicago's Northwest Suburbs submarket reported a vacancy rate of 29.4% in Q2 2025, compared with 26.5% in Q2 2024. The property was recently appraised at $72.8 million in July 2025, representing a 40.8% decrease from the issuance appraised value of $121.7 million. Given the persistent decline in occupancy, the soft submarket, and low NCF, Morningstar DBRS considered a liquidation scenario as part of this review based on a significant haircut to the updated appraisal, resulting in a loss severity of more than 50% or approximately $13.0 million. The projected loss is contained to the $34.2 million nonrated bond. The One Lincoln Center loan is secured by an office building in Syracuse, New York, and it is currently on the servicer's watchlist because of a low DSCR. As of YE2024, the DSCR improved to 1.0x, up from 0.84x at YE2023. The improvement is primarily due to an 18.3% increase in property NCF compared with the previous year. According to the December 2024 rent roll, the property was nearly 78% occupied, an increase from 70.0% at YE2023. The Town Point Center loan is secured by a 12-story, 132,583-square-foot Class A office property in downtown Norfolk, Virginia. The property has reported a below-breakeven DSCR for several years, with the most recent YE2024 figure at 0.96x. As of the June 2025 rent roll, the occupancy rate was 63.6%, down from 74.0% in March 2024 and 92.0% at issuance. The property's occupancy may decrease further as tenants occupying 22.2% of the NRA are on month-to-month leases or have scheduled lease expirations within the next 12 months. This includes Corrie Maccoll (9.7% of the NRA, lease expiration in November 2025). Morningstar DBRS has analyzed both loans with an elevated probability of default, resulting in respective loan expected losses greater than three and four times the pool's expected loss, respectively. With this review, Morningstar DBRS confirmed that the following loans' performance remains consistent with investment-grade characteristics: 787 Eleventh Avenue (Prospectus ID#4, 6.1% of the pool balance) and 2 North 6th Place (Prospectus ID#8, 4.6% of the pool balance). This assessment continues to be supported by the loan's strong credit metrics and experienced sponsorship and the underlying collateral's historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. DLIC REREMIC 2025-FRR1: DBRS Finalizes B(low) Rating on 9 Classes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2025-FRR1 (the Certificates) issued by DLIC Re-REMIC Trust 2025-FRR1 (the Trust): -- Class AK57 at AA (low) (sf) -- Class BK57 at A (low) (sf) -- Class CK57 at BBB (low) (sf) -- Class DK57 at BB (low) (sf) -- Class EK57 at B (low) (sf) -- Class AGX1 at BB (low) (sf) -- Class BGX1 at B (high) (sf) -- Class CGX1 at B (low) (sf) -- Class AK104 at A (low) (sf) -- Class BK104 at BBB (low) (sf) -- Class CK104 at BB (high) (sf) -- Class DK104 at BB (low) (sf) -- Class EK104 at B (low) (sf) -- Class AK111 at BBB (low) (sf) -- Class BK111 at BB (high) (sf) -- Class CK111 at BB (low) (sf) -- Class DK111 at B (low) (sf) -- Class AK120 at BBB (low) (sf) -- Class BK120 at BB (high) (sf) -- Class CK120 at BB (low) (sf) -- Class DK120 at B (low) (sf) -- Class ACX1 at B (low) (sf) -- Class CD104 at BB (low) (sf) -- Class DE104 at B (low) (sf) -- Class BC111 at BB (low) (sf) -- Class CD111 at B (low) (sf) -- Class BC120 at BB (low) (sf) -- Class CD120 at B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by all or a portion of the beneficial interests in 13 commercial mortgage-backed pass-through certificates from five underlying transactions: FREMF 2016-K57 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2016-K57 (FREMF 2016-K57); FREMF 2017-KGS1 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-KGS1 (FREMF 2017-KGS1); FREMF 2020-K104 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2020-K104 (FREMF 2020-K104); FREMF 2020-K111 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2020-K111 (FREMF 2020-K111); and FREMF 2020-K120 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2020-K120 (FREMF 2020-K120). The ratings are dependent on the performance of the underlying transactions. The Class AK57, Class BK57, Class CK57, Class DK57, and Class EK57 certificates (Group 1 certificates) are collateralized by a portion of the beneficial interests in the Class D (principal-only), Class X2-A (interest-only), and Class X2-B (interest-only) multifamily mortgage-backed pass-through certificates from the Morningstar DBRS-rated underlying transaction, FREMF 2016-K57 (see https://dbrs.morningstar.com/issuers/24471). The principal balances of the underlying certificates total approximately $90.7 million, approximately 83.02% of which is being contributed to the Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M, Class B, Class C, and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The Class AGX1, Class BGX1, Class CGX1, and Class ACX1 certificates (Group 2 certificates) are collateralized by a portion of the beneficial interests in the Class C-FX multifamily mortgage-backed pass-through certificate issued by FREMF 2017-KGS1. The principal balance of the underlying certificate is approximately $53.6 million, 50.00% of which is being contributed to the Trust. The Class C-FX certificate is the most subordinate principal-and-interest class in the underlying transaction. The collateral of the FREMF 2017-KGS1 underlying transaction includes fixed-rate loans and hybrid ARM loans; the Class C-FX certificate is collateralized solely by the fixed-rate group of loans. The fixed-rate group of loans currently comprises 12 loans secured by 12 multifamily properties, including three garden-style multifamily properties, six mid-rise apartment complexes, and three high-rise apartment complexes. Two loans, comprising 12.9% of the current fixed-rate pool balance, are defeased as of October 2025. All 12 fixed-rate loans have a 10-year loan term and are full-term IO. Morningstar DBRS analyzed the fixed-rate loans in the FREMF 2017-KGS1 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. Excluding the two defeased loans, the fixed-rate loans have a weighted-average (WA) Issuance Loan-to-Value Ratio (LTV) of 56.2%. Morningstar DBRS concluded to a Morningstar DBRS Value of $623,920,924 for the fixed-rate portion of the pool excluding defeased loans, based on a -7.5% variance to the total Issuer Net Cash Flow and a blended Morningstar DBRS cap rate of 6.71%, resulting in a Morningstar DBRS Issuance LTV of 99.8%. As of the September 2025 underlying monthly reports, none of the fixed-rate loans are delinquent or are on Freddie Mac's watchlist for having a debt service coverage ratio (DSCR) below 1.10 times (x). The Class AK104, Class BK104, Class CK104, Class DK104, Class EK104, Class CD104, and Class DE104 certificates (Group 3 certificates) are collateralized by the beneficial interests in the Class D (principal-only), Class X2-A (interest-only), and Class X2-B (interest-only) multifamily mortgage-backed pass-through certificates issued by FREMF 2020-K104. The principal balances of the underlying certificates total approximately $108.5 million, all of which is being contributed to the Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M, Class B, Class C, and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The collateral of the FREMF 2020-K104 underlying transaction currently comprises 55 loans secured by 55 multifamily properties, including 33 garden-style multifamily properties, four mid-rise apartment complexes, two high-rise apartment complexes, four age- restricted properties, one student housing property, three townhome properties, four manufactured housing communities, two age-restricted manufactured housing communities, one assisted living property, and one independent living property. Five loans, comprising 9.2% of the current pool balance, are defeased as of September 2025. An additional two loans were securitized as part of the underlying securitization but paid off prior to September 2025. All the loans in the pool are fixed-rate loans with a 10-year or 11-year loan term. Of the nondefeased loans, 32 loans (64.6% of the total current pool balance) are partial IO, 11 loans (20.3% of the total current pool balance) are full-term IO, and seven loans (5.9% of the total current pool balance) amortize on a 30-year schedule. Morningstar DBRS analyzed the FREMF 2020-K104 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS WA Issuance LTV of the current pool (excluding defeased and paid-off loans) was 69.1%, and the current pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 62.6% based on the A note balances at maturity. About 63.3% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Morningstar DBRS applied additional stress to the default rate of two loans that are on Freddie Mac's watchlist as of the September 2025 underlying monthly reports due to a decrease in DSCR, comprising 1.7% of the current pool balance. No loans are delinquent as of the September 2025 underlying monthly reports. The Class AK111, Class BK111, Class CK111, Class DK111, Class BC111, and Class CD111 certificates (Group 4 certificates) are collateralized by the beneficial interests in the Class D (principal-only), Class X2-A (interest only), and Class X2-B (interest-only) multifamily mortgage-backed pass-through certificates issued by FREMF 2020-K111. The principal balances of the underlying certificates total approximately $93.9 million, all of which is being contributed to the Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The collateral of the FREMF 2020-K111 underlying transaction currently comprises 59 loans secured by 59 multifamily properties, including 39 garden-style multifamily properties, five mid-rise apartment complexes, one high-rise apartment complex, four age-restricted properties, one townhome property, eight manufactured housing communities, and one military housing property. One loan, comprising 3.5% of the current pool balance, is defeased as of September 2025. No loans have paid off as of September 2025. All the loans in the pool are fixed-rate loans with a 10-year or 11-year loan term. Of the nondefeased loans, 39 loans (60.2% of the total current pool balance) are partial IO, 11 loans (28.7% of the total current pool balance) are full-term IO, and eight loans (7.6% of the total current pool balance) amortize on a 30-year schedule. Morningstar DBRS analyzed the FREMF 2020-K111 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS WA Issuance LTV of the current pool (excluding the one defeased loan) was 71.3%, and the current pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 65.2% based on the A note balances at maturity. About 78.7% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Morningstar DBRS applied additional stress to the default rate of three loans that are on Freddie Mac's watchlist as of the September 2025 underlying monthly reports due to a decrease in DSCR, comprising 10.2% of the current pool balance. No loans are delinquent as of the September 2025 underlying monthly reports. The Class AK120, Class BK120, Class CK120, Class DK120, Class BC120, and Class CD120 certificates (Group 5 certificates) are collateralized by the beneficial interests in the Class D (principal-only), Class X2-A (interest only), and Class X2-B (interest-only) multifamily mortgage-backed pass-through certificates issued by FREMF 2020-K120. The principal balances of the underlying certificates total approximately $101.3 million, all of which is being contributed to the Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The collateral of the underlying securitization currently comprises 57 loans secured by 57 multifamily properties, including 38 garden-style multifamily properties, six mid-rise apartment complexes, one age-restricted property, one student housing property, six manufactured housing communities, three assisted-living properties, one independent living property, and one military housing property. Two loans, comprising 0.3% of the current pool balance, are defeased as of September 2025. No loans have paid off as of September 2025. All the loans in the pool are fixed-rate loans with a loan term of 113, 120, or 126 months. Of the nondefeased loans, 36 loans (74.3% of the total current pool balance) are partial IO, 14 loans (18.9% of the total current pool balance) are full-term IO, and five loans (6.6% of the total current pool balance) amortize on a 30-year schedule. Morningstar DBRS analyzed the FREMF 2020-K120 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS WA Issuance LTV of the current pool (excluding defeased loans) was 69.0%, and the total pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 61.6% based on the A note balances at maturity. About 68.9% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Morningstar DBRS applied additional stress to the default rate of four loans that are on Freddie Mac's watchlist as of the September 2025 underlying monthly reports due to a decrease in DSCR, comprising 2.5% of the current pool balance. In addition, two loans, comprising 1.4% of the current pool balance, were delinquent as of the September 2025 underlying monthly reports. Morningstar DBRS applied an additional stress to the default rate of these loans to mitigate the risk of near-term default. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 113: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 113 CLO, Ltd.'s 2025 refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Dryden 113 CLO, Ltd. A-R2 26253EAZ1 LT PIFsf Paid In Full AAAsf A-R3 LT AAAsf New Rating B-R2 26253EBB3 LT PIFsf Paid In Full AAsf B-R3 LT AAsf New Rating C-R2 26253EBD9 LT PIFsf Paid In Full Asf C-R3 LT Asf New Rating D-1R2 26253EBF4 LT PIFsf Paid In Full BBB-sf D-1R3 LT BBB-sf New Rating D-2R2 26253EBH0 LT PIFsf Paid In Full BBB-sf D-2R3 LT BBB-sf New Rating E-R2 26253GAG8 LT PIFsf Paid In Full BB-sf E-R3 LT BB-sf New Rating Transaction Summary Dryden 113 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $397 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.59, 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 94.95% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.02% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 50% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a two-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 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. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. - All notes are being refinanced with lower spreads across all tranches. - The non-call period for the refinanced notes is extended to Oct. 15, 2026. - Updated Fitch Test Matrix applicable on the refinancing date. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 479 assets from 405 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $397 million. As of the latest trustee report prior to the refinance date the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 52.2% of the current portfolio par balance; ratings for 47.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.7% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 20%, 15%, and 15%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 67.00%; - Maximum weighted average rating factor of 24.00; - Fixed-rate assets: 5%; - Minimum weighted average coupon of 6.5%; The transaction will exit its reinvestment period on Oct. 15, 2027. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R3: 'AAAsf' / Default 38.90% / Recovery 40.10% / Cushion 16.70% - Class B-R3: 'AAsf' / Default 36.20% / Recovery 48.90% / Cushion 15.20% - Class C-R3: 'Asf' / Default 32.00% / Recovery 58.44% / Cushion 14.40% - Class D1-R3: 'BBB-sf' / Default 24.50% / Recovery 67.76% / Cushion 11.50% - Class D2-R3: 'BBB-sf' / Default 24.50% / Recovery 67.76% / Cushion 8.70% - Class E-R3: 'BB-sf' / Default 20.30% / Recovery 73.40% / Cushion 10.70% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R3: 'AAAsf' / Default 48.80% / Recovery 34.78% / Cushion 3.80% - Class B-R3: 'AAsf' / Default 45.20% / Recovery 41.30% / Cushion 1.60% - Class C-R3: 'Asf' / Default 40.00% / Recovery 51.30% / Cushion 2.50% - Class D1-R3: 'BBB-sf' / Default 31.20% / Recovery 60.50% / Cushion 2.50% - Class D2-R3: 'BBB-sf' / Default 31.20% / Recovery 60.50% / Cushion 0.70% - Class E-R3: 'BB-sf' / Default 26.10% / Recovery 65.76% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'BBsf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D1-R3, between less than 'B-sf' and 'BB+sf' for class D2-R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R3 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-R3, 'AAsf' for class C-R3, 'A-sf' for class D1-R3, 'BBB+sf' for class D2-R3, and 'BBB-sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Dryden 113 CLO, 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. DRYDEN 90 CLO: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Dryden 90 CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Dryden 90 CLO, Ltd. A1-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D1-R LT BBB-sf New Rating D2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Dryden 90 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.79, 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 94.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 50% 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 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 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D1-R, and between less than 'B-sf' and 'BB+sf' for class D2-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, 'AA+sf' for class C-R, 'Asf' for class D1-R, and 'Asf' for class D2-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. ESG Considerations Fitch does not provide ESG relevance scores for Dryden 90 CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. FHF TRUST 2022-2: Moody's Lowers Rating on Class C Notes to Ba1 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings of 17 classes of notes and further placed on review for downgrade two classes of notes from six asset-backed securitizations sponsored by First Help Financial, LLC (FHF). The bonds are backed by pools of retail automobile non-prime loan contracts originated and serviced by FHF. The complete rating actions are as follows: Issuer: FHF Trust 2022-1 Class B Notes, Downgraded to A2 (sf); previously on Sep 22, 2023 Upgraded to Aa2 (sf) Issuer: FHF Trust 2022-2 Class B Notes, Downgraded to A2 (sf); previously on Sep 22, 2023 Upgraded to Aa2 (sf) Class C Notes, Downgraded to Ba1 (sf); previously on Sep 22, 2023 Upgraded to Baa1 (sf) Issuer: FHF Trust 2023-1 Class A-2 Notes, Downgraded to A1 (sf); previously on Sep 22, 2023 Upgraded to Aa2 (sf) Class B Notes, Downgraded to A2 (sf); previously on Sep 22, 2023 Upgraded to Aa2 (sf) Class C Notes, Downgraded to Ba1 (sf); previously on Apr 27, 2023 Definitive Rating Assigned Baa1 (sf) Issuer: FHF Issuer Trust 2023-2 Class A-2 Notes, Downgraded to A2 (sf); previously on Oct 31, 2023 Definitive Rating Assigned Aa2 (sf) Class B Notes, Downgraded to A2 (sf); previously on Oct 31, 2023 Definitive Rating Assigned Aa2 (sf) Class C Notes, Downgraded to A3 (sf); previously on Aug 25, 2025 Upgraded to Aa2 (sf) Class D Notes, Downgraded to Ba2 (sf); previously on Oct 31, 2023 Definitive Rating Assigned Baa1 (sf) Issuer: FHF Issuer Trust 2024-1 Class A-2 Notes, Downgraded to A2 (sf); previously on Feb 21, 2024 Definitive Rating Assigned Aa2 (sf) Class B Notes, Downgraded to A3 (sf); previously on Aug 25, 2025 Upgraded to Aa2 (sf) Class C Notes, Downgraded to Ba2 (sf); previously on Feb 21, 2024 Definitive Rating Assigned Baa1 (sf) Issuer: FHF Issuer Trust 2024-2 Class A-2 Notes, Downgraded to A2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa2 (sf) Class B Notes, Downgraded to A3 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa2 (sf) Class C Notes, Downgraded to Baa3 (sf) and Placed On Review for Downgrade; previously on Jun 20, 2024 Definitive Rating Assigned A2 (sf) Class D Notes, Downgraded to B1 (sf) and Placed On Review for Downgrade; previously on Jun 20, 2024 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The downgrade actions are primarily driven by Moody's updated loss expectations on the underlying pools due to deteriorating pool performance and reflect operational risks and their effect on transactions' overall performance. Pool performance has deteriorated significantly in recent months particularly for the transactions issued in 2023 and 2024. Moody's updated expected losses consider the recent performance data on the pools. As of September 2025, the cumulative net loss (CNL) and cumulative net loss-to-liquidation (LTL) levels stood at 5.9% (CNL) and 7.6% (LTL) for FHF 2022-1, 6.5% (CNL) and 9.1% (LTL) for FHF 2022-2, 5.6% (CNL) and 8.8% (LTL) for FHF 2023-1, 5.3% (CNL) and 10.1% (LTL) for FHF 2023-2, 5.1% (CNL) and 10.5% (LTL) for FHF 2024-1 and 5.2% (CNL) and 14.2% (LTL) for FHF 2024-2. A significant portion of the borrowers in FHF's pools consists of undocumented immigrants. Recent changes to US immigration policies have introduced additional performance risks for these borrowers due to increased deportations and employment disruptions. In Moody's analysis, Moody's took into account the increased default risk on the underlying loans resulting from these policy changes. Voluntary or involuntary emigration could undermine these borrowers' ability to repay and limit lenders' usual remedies, such as repossession, resulting in increased delinquencies and losses. The rating actions also consider operational risks and the potential effects on the transactions' performance and servicing expenses in the event of a servicing default and transfer under stressed scenarios. Performance on transactions issued and serviced by sponsors/servicers with a smaller scale of operations (low durability) can deteriorate significantly upon a servicer default and termination. The transactions benefit from a backup servicing arrangement with Vervent, Inc., an experienced backup servicer, and specify a 3% successor servicing fee in the event of a servicing transfer. This fee is determined upfront as part of the transaction structure. However, it is important to note that, in the case of a distressed servicing transfer, such as those observed in other recent cases, overall servicing expenses could increase significantly due to higher costs associated with managing distressed assets, even though the successor servicing fee has been set in advance. For the two classes of notes placed on review for downgrade, during the review period Moody's will assess if continued weakness in pool performance further impacts credit quality. Pool performance on FHF Issuer Trust 2024-2 has weakened considerably in recent months with loss rates and delinquencies continuing to rise. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. FHF Trust 2022-1: 7.50% FHF Trust 2022-2: 9.00% FHF Trust 2023-1: 9.00% FHF Issuer Trust 2023-2: 10.00% FHF Issuer Trust 2024-1: 10.00% FHF Issuer Trust 2024-2: 13.00% No actions were taken on the remaining rated classes in these deals because their expected losses remain commensurate with their current ratings, after considering the updated performance information, structural features, credit enhancement and other qualitative considerations. The hard credit enhancement for the Class A notes in FHF Trust 2022-1 and FHF Trust 2022-2 has increased from 19.30% at closing to 77.77% and 22.68% at closing to 74.45%, respectively, as of the September 2025 payment date. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's current expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans, refinancing opportunities that result in a prepayment of the loan, or if performance volatility associated with alleged fraud declines. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's current expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties including restatement of performance data, lack of transactional governance and fraud. FIGRE TRUST 2025-HE6: S&P Assigns Prelim B- (sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to FIGRE Trust 2025-HE6's mortgage-backed notes. The transaction 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 3,564 initial HELOCs plus 198 subsequent draws (3,762 HELOC mortgage loans), which are all ability-to-repay exempt. The preliminary ratings are based on information as of Oct. 10, 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. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned FIGRE Trust 2025-HE6(i) Class A, $187,099,000: AAA (sf) Class B, $24,867,000: AA- (sf) Class C, $32,713,000: A- (sf) Class D, $18,355,000: BBB- (sf) Class E, $15,690,000: BB- (sf) Class F, $11,398,000: B- (sf) Class G, $5,921,060: 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. GGAM MASTER 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Y Notes ---------------------------------------------------------------- Fitch Ratings expects to assign the following ratings to the issued notes by GGAM Master Trust US LLC (GGAM 2025-1): - $1,145,000,000 class A notes 'A-(EXP)sf'/Stable Outlook; - $125,000,000 class Y notes 'BB-(EXP)sf'/Stable Outlook. Transaction Summary The notes issued by GGAM 2025-1 are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 25 passenger aircraft operated by third-party lessees. Proceeds from the notes will be used to acquire the initial pool of 25 aircraft, fund aircraft acquisition sub-accounts, fund the maintenance reserve, security deposit and expense accounts, pay transaction-related costs, and fund the Y note interest reserve account. After the initial closing date, the issuers may issue one or more additional series of notes designated as class A or class Y. Notes sharing the same alphabetical class generally rank pari passu in right of payment regardless of series. Subsequent notes may have materially different terms (e.g. higher stated rates and faster amortization) while remaining generally pari passu within class, which could increase risk to initial noteholders. Conditions for new issuance when continuing notes remain outstanding include: (i) rating agency confirmation for each series of continuing notes, (ii) pro forma class A loan-to-value (LTV) ratio not exceeding 80%, (iii) any additional class A notes must receive an investment-grade (IG) rating, and (iv) an amortization schedule for additional class A notes no faster than a 10-year straight-line (or equivalent mortgage-style) profile. Please refer to the offering memorandum for the full list on conditions to issuance. Griffin Global Asset Management (Servicer) LLC and Griffin Global Asset Management (DAC) will act as servicers and be responsible for managing the aircraft, including leasing, maintenance and disposition. GGAM 2025-1 represents the inaugural ABS transaction issued and serviced by Griffin Global Asset Management (GGAM) entities. KEY RATING DRIVERS Asset Quality and Tiering (Positive): The pool largely consists of young aircraft with a weighted average (WA) age of 4.1 years. Aircraft models in the pool are in high demand, with 70% Tier 1 and 30% Tier 2 by average maintenance-adjusted base value (MABV). There are no Tier 3 assets. The pool includes five widebody aircraft, representing 44% of MABV. This is one of the highest widebody concentrations Fitch has reviewed in aircraft ABS. Although widebodies are typically less liquid than narrowbodies, all five are new-technology types and benefit from a widebody supply shortage and aging of the prior-generation widebody fleet. Accordingly, Fitch does not view the widebody concentration as a major risk. Pool Concentration (Neutral): Although the pool is geographically, concentrated in Europe (43.1%), all assets are within favorable European jurisdictions. The second-largest geographic concentration is in Asia-Pacific (23.7%), followed by South and Central America (17.7%). Other regions make up the remaining share (15.6%). In terms of lessee concentration, the pool is well diversified. Only two lessees have an exposure over 10%, British Airways (11.8%) and Air France (10.0%), both of which are investment-grade credits. United Airlines Inc. (8.3%, BB/Positive) has the third-highest exposure. Lessee Credit Risk (Neutral): The WA credit rating of the pool is between 'B-' and 'B', which is similar to that of other aircraft ABS. The pool includes 19 lessees, of which three (23.8%) have IG ratings, one (8.3%) has a 'BB' rating and four (7.5%) have 'B' ratings. The remaining 11 (60.4%) are rated 'CCC'. Two aircraft have not yet been delivered from the manufacturer and are subject to a lease letter of intent (LOI). All other assets are on-lease and current. Operational and Servicing Risk (Neutral): Although a young platform, Fitch has found GGAM to be an effective servicer, based on the management team's depth, experience and track record managing aviation assets, combined with the benefits of Bain Capital Credit, LP ownership. Fitch rates Griffin Global Asset Management Holdings, Ltd. 'BB' with a Positive Outlook. Transaction Structure (Negative): With an LTV of 77.1% on class A, the leverage is high for a senior note. The transaction is sequential pay with class A interest and principal senior to the class Y note. The A note has a 14-year mortgage-style amortization profile. The Y note will not have an amortization schedule. Instead, principle will be paid down only with excess cash flow. The initial $3 million interest reserve for the Y note replenishes to cover interest shortfalls. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria". RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'B' credits. Fitch ran a sensitivity test assuming future lessees are rated 'CCC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the commercial aviation industry. The lower assumed lessee credit quality decreased gross cash flows due to increased downtime from aircraft repossessions and remarketing. Expenses also rose due to repossessions and transition costs. The impact was a one-notch decline in the model implied ratings (MIRs) for both class of notes. Value Stress Sensitivity: Fitch ran a sensitivity test assuming a 10% haircut to the starting Fitch Value (FV) to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of commercial aircraft values. This value sensitivity decreased gross cash flows as the lower starting FV drove lower future lease rates and disposition proceeds. The impact was a one-notch decline in MIR for class A and a two-notch decline for class Y. Combined Credit and Value Stress Sensitivity: A combined credit and value stress sensitivity, as described above, lowered the MIRs of both class of notes by two notches. EOL Stress Sensitivity: EOLs can be volatile. Fitch's 'Asf' rated central scenario maintenance cash flows, provided by Alton, already effectively haircut EOLs based on the cumulative probability of default of each lessee associated with their respective credit ratings. Fitch applied an additional 15% haircut to the 'Asf' rated central scenario EOLs in this sensitivity. EOLs provide substantial cash flow to this transaction ($412 million); the 15% haircut amounted to a decrease in cash flow of approximately $61 million. Under this scenario, MIRs of both class of notes dropped one notch. The haircut applied for this sensitivity varies by transaction, based on the ratio of reserve and EOL payers, credit rating of lessees and other factors. 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. 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. GREAT LAKES V: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, A-R-L, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Great Lakes CLO V Ltd./Great Lakes CLO V LLC, a CLO managed by BMO Asset Management Corp that was originally issued in April 2021. The preliminary ratings are based on information as of Oct. 14, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 15, 2025, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B, C, D, and E debt and assign ratings to the replacement class A-R, A-R-L, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Oct. 15, 2027. -- The reinvestment period will be extended to Oct. 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 15, 2037. -- The target initial par amount will be $285.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 15, 2026. -- The proposed new class X debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first 15 payment dates in equal installments of $700,000, beginning the second payment date. -- The required minimum overcollateralization ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Great Lakes CLO V Ltd./Great Lakes CLO V LLC Class X-R, $10.50 million: AAA (sf) Class A-R, $142.30 million: AAA (sf) Class A-R-L, $23.00 million: AAA (sf) Class B-R, $28.50 million: AA (sf) Class C-R (deferrable), $22.80 million: A (sf) Class D-R (deferrable), $17.10 million: BBB- (sf) Class E-R (deferrable), $17.10 million: BB- (sf) Other Debt Great Lakes CLO V Ltd./Great Lakes CLO V LLC Subordinated notes, $35.62 million: NR NR—Not rated. GS MORTGAGE 2013-GCJ14: DBRS Confirms C Rating on Class G Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 issued by GS Mortgage Securities Trust 2013-GCJ14 as follows: -- Class F at B (low) (sf) -- Class G at C (sf) The trend on Class F is Stable, while Class G is assigned a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Since Morningstar DBRS' last credit rating action, one loan, Marketplace Shopping Center (prospectus ID#33), which was previously in special servicing was disposed from the trust with better-than-expected recovery. The credit rating confirmations reflect the transaction's overall risk profile and Morningstar DBRS' recoverability expectations for the two remaining loans in the pool, which are secured by a Class A office portfolio and regional mall. Morningstar DBRS analyzed both loans with liquidation scenarios based on conservative haircuts to the most recent appraised values, which reflect a combination of factors including submarket fundamentals, current and historical performance, property type, and upcoming rollover. The resulting loss projections are contained to the unrated Class H. While Morningstar DBRS expects the principal balance of Class F to be recovered based on the liquidation scenarios, the workout and disposition timelines are uncertain. The largest remaining loan, Cranberry Woods Office Park (Prospectus ID#4; 61.5% of the pool), is secured by a portfolio of three suburban office properties approximately 20 miles north of Pittsburgh. The loan transferred to special servicing in August 2023 for maturity default. As of the October 2025 remittance, the loan was reported to be 60 days delinquent. The resolution strategy remains as foreclosure, with all three buildings being marketed for sale, according to a Business Journal article dated as of August 2025. According to the trailing nine-month ended September 30, 2024, financials, the portfolio reported an annualized net cash flow of $2.2 million (reflecting a debt service coverage ratio (DSCR) of 0.63 times (x)), a notable drop from the YE2023 figure of $5.3 million. However, the portfolio's occupancy remains stable at 87.0%, with an average rental rate of $24.99 per square foot (psf) per the June 2025 rent roll. Despite the stable occupancy rate, cash flow declined predominantly due to a combination of increased operating expenses and decreased base rent. Morningstar DBRS has inquired about the reason for decline in base rents but suspects the decrease may be related to rental abatements granted in recent years. Per Reis, the Northeastern Region submarket's average asking rental and vacancy rate was $21.52 psf and 18.6% for the Q2 2025 period. An updated appraisal as of October 2024 valued the collateral at $59.0 million, a marginal increase from the November 2023 value of $53.0 million, but well below the issuance value of $74.5 million. The updated value implies a loan-to-value ratio (LTV) of 77.5% based on the full-loan exposure. Morningstar DBRS' analysis, which is based on a 30.0% haircut to the most recent appraised value, results in an implied loss severity over 10.0%. The other remaining loan in the pool is Mall St. Matthews (Prospectus ID#6; 38.5% of the pool), which is secured by a regional mall in Louisville, Kentucky, owned and operated by Brookfield Property Group. The pari passu loan is split between the subject transaction and the GSMS 2013-GCJ13 transaction, which is not rated by Morningstar DBRS. The loan transferred to special servicing for the second time as the borrower failed to pay off the loan by the extended maturity date in June 2025. As Morningstar DBRS noted at last review, the loan was subject to a capital event waterfall that stipulated a minimum $75.0 million repayment to the trusts holding the pari passu debt; however, based on the current outstanding balance on the whole loan of $120.7 million, which reflects a $26.8 million reduction from the issuance figure, Morningstar DBRS believes the paydown did not occur. According to the special servicer's recent commentary, another loan modification is being considered. Although the collateral occupancy rate remains steady at 92.1% as of June 2025, the DSCR continues to decline and was reported at 1.27x as of the trailing six-months through the same period. As the servicer has not provided updated appraisals since 2021, Morningstar DBRS increased the haircut to 30.0% on the August 2021 appraised value at $83.0 million, which represents a 70.4% decline from the issuance value of $280.0 million, based on the assumption that property value has likely declined given the aforementioned developments, resulting in a loss severity in excess of 61.0%. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class GRR Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB 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 A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (low) (sf) -- Class G-RR at B (sf) Morningstar DBRS also confirmed its credit ratings on the loan-specific certificates as follows: -- Class SW-A at A (low) (sf) -- Class SW-B at BBB (low) (sf) -- Class SW-C at BB (low) (sf) -- Class SW-D at B (low) (sf) The trends on Classes D, E, F-RR, X-D, and G-RR remain Negative. Trends on the remaining classes are Stable. The credit rating confirmations reflect the overall stable performance of the pool, which remains in line with Morningstar DBRS' expectations since the last rating action. Based on most recent year-end reporting, the pool had a weighted-average (WA) debt service coverage ratio (DSCR) of 3.23 times (x) and benefits from investment-grade shadow ratings on six loans (26.4% of the pool). The pool, however, includes a high concentration of loans secured by office properties or mixed-use properties with significant office components, representing approximately 36.8% of the current balance. While a select number of those loans continue to perform as expected, several others, including 650 Madison Avenue (Prospectus ID#8; 4.0% of the pool), 90 North Campus (Prospectus ID#10; 4.0% of the pool), and The Lincoln (Prospectus ID#16; 2.8% of the pool), all of which are exhibiting increased credit risk, as further outlined below. The Negative trends on the four lowest-rated classes continues to reflect these loan-specific challenges, considering that those classes are most exposed to loss if the underlying collateral's performance continues to deteriorate. For this review, Morningstar DBRS increased the probability of default (POD) penalties and/or applied stressed loan-to-value ratios (LTVs) for six office-backed loans exhibiting increased credit risk, resulting in a WA expected loss (EL) approximately 2.5x the pool average. As of the September 2025 remittance, 51 of the original 55 loans remain in the pool, with an aggregate principal balance of $1.25 billion, representing a collateral reduction of 6.0% since issuance. There is currently one specially serviced loan (3.0% of the pool), and 18 loans (37.9% of the pool) are on the servicer's watchlist, 10 of which Morningstar DBRS considers to be credit related. The pool benefits from six fully defeased loans, representing 7.3% of the pool. The 650 Madison loan is collateralized by a Class A office and retail tower comprising approximately 544,000 square feet (sf) of office space, with ground-floor retail and storage space. The loan has been on the servicer's watchlist since April 2023 due to a low DSCR driven by the departure of several tenants. Occupancy was reported at 81.0% as of June 2025, well below the issuance rate of 97.0%. Occupancy is expected to fall further following the confirmed downsizing of the largest tenant, Ralph Lauren (previously 46.1% of the NRA at issuance), which will vacate 102,756 sf (17.1% of the NRA) upon lease expiration in November 2025. The tenant has signed a long-term extension for the remainder of its space (22.2% of the NRA) through April 2036 at a notably lower base rental rate of $63.0 per square foot (psf; subject to an 8.0% annual escalation) compared with its former rental rate of $75.20 psf. Although the second-largest tenant, BC Partners Inc. (currently 4.3% of the NRA; lease expiration in April 2024), has agreed to extend its lease through August 2037 and expand its space to 7.4% of the NRA, its new base rental rate is also lower than its former rental rate. Both tenants were given one year of free rent as part of their respective lease renewals. As a result, Morningstar DBRS applied elevated LTV and POD adjustments, resulting in a loan EL that was approximately 4.0x greater than the pool's WA EL. Mitigating factors include the strong sponsorship provided by Vornado and Oxford Properties and the building's quality and desirable location, close to major landmarks such as Central Park and the Rockefeller Center. The 90 North Campus loan is secured by a 256,703-sf, four-building office complex in Bellevue, Washington. The loan was added to the servicer's watchlist in August 2024 because of a lockbox trigger tied to the consolidation of the property's largest tenant's (T-Mobile) office footprint (previously 65.9% of NRA). T-Mobile has a lease expiring in November 2029, one month ahead of loan maturity. The tenant has gone fully dark on its 169,185-sf space leased across three buildings; however, the lease is not structured with any termination options. The property's only other tenant, Mindtree Ltd. (36.6% of NRA, expiring August 2029), remains at the property. As of Q2 2025, the Bellevue/Issaquah submarket reported a vacancy rate of 15.7%, up from 11.8% at Q2 2024, according to Reis. According to the YE2024 financial reporting, the DSCR was reported at 2.76x. Morningstar DBRS notes that cash flow is not likely to change significantly if T-Mobile continues to make contractual rent payments. T-Mobile continues to market its space for sublease. An online article from the Puget Sound Business Journal in January 2025 confirmed T-Mobile subleased 31,398 sf to Flexport, a San Francisco-based logistics company. To account for the increased risks associated with a suburban office property that has largely gone dark, Morningstar DBRS applied elevated LTV and POD assumptions in its analysis with this review, resulting in an EL that was more than 3.0x the pool average. The specially serviced loan, Parkmerced - Pooled (Prospectus ID#14; 3.0% of the pool), is secured by a 3,165-unit apartment complex in San Francisco. The $1.5 billion mortgage loan consists of a $547.0 million senior loan and subordinate debt composed of a $708 million B note and a $245.0 million C note. There is also $275.0 million in mezzanine debt in place. The trust debt represents a $37.5 million pari passu portion of the senior loan. The loan was transferred to special servicing at the borrower's request ahead of the December 2024 loan maturity and is now listed as a nonperforming matured balloon. After negotiations over a possible loan modification ended, a receiver was put in place, as the servicer actively pursues a foreclosure action. The property's occupancy rate remains stable year-over-year at 80.0%; however, the YE2024 NCF dropped to $31.2 million (a DSCR of 0.41x). According to a July 2025 article from The San Francisco Standard, the receiver will be investing more than $70.0 million into the property to renovate more than 400 units and a new property management company was hired to improve property performance. The property was revalued in April 2025 at $1.4 billion, in line with the July 2024 value, representative of a healthy LTV of 39.1% for the senior debt, suggesting the likelihood of loss to the trust at resolution remains low. With this review, Morningstar DBRS confirmed its shadow ratings on the six-shadow rated loans as performance of these loans remains consistent with the characteristics of investment-grade loans. These loans include 1633 Broadway (Prospectus ID#1; 4.8% of the current pool), 560 Mission Street (Prospectus ID#2; 4.8% of the pool), Starwood Industrial Portfolio Pooled (Prospectus ID#3; 4.6% of the pool), Bellagio Hotel and Casino (Prospectus ID#4; 4.8% of the pool), Southcenter Mall (Prospectus ID#5; 4.8% of the pool), and 510 East 14th Street (Prospectus ID#17; 2.8% of the pool). Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-NQM5: DBRS Gives Prov. B Rating on B2 Trust ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to GS Mortgage-Backed Securities Trust 2025-NQM5 (GSMBS 2025-NQM5 or the Trust) as follows: -- $244.3 million Class A-1 at (P) AAA (sf) -- $19.4 million Class A-2 at (P) AA (high) (sf) -- $28.0 million Class A-3 at (P) A (high) (sf) -- $12.9 million Class M-1 at (P) BBB (sf) -- $8.9 million Class B-1 at (P) BB (high) (sf) -- $7.3 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Class A-1 certificates reflects 24.90% of credit enhancement provided by subordinate certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 18.95%, 10.35%, 6.40%, 3.65%, and 1.40% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM5. The Certificates are backed by 962 loans with a total principal balance of approximately $342,472,940 as of the Cut-Off Date (October 1, 2025). The pool is, on average, seven months seasoned with loan ages ranging from four to 32 months. The Mortgage Loan Seller acquired approximately 34.1% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-Off Date, from United Wholesale Mortgage, LLC. Approximately 46.8% of the loans were originated by other originators. All the other originators individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint, and Select Portfolio Servicing Inc. will service 97.5% and 2.5% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian and Securities Administrator. U.S. Bank Trust N.A. will act as Delaware Trustee. As of the Cut-Off Date, 98.4% 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, 58.4% of the loans by balance are designated as non-QM. Approximately 40.4% 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 1.2% of the loans in the pool are designated as QM Safe Harbor (by unpaid principal balance), and there are no QM Rebuttable Presumption loans. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent under the MBA method) or the P&I advance is deemed unrecoverable. 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 Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Certificates) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date on which the balance of mortgage loans falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption), purchase all of the outstanding Certificates at the price described in the transaction documents. 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-1 and then in reduction of the Class A-1 balance before a similar allocation to the Class A-2 (IPIP). 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-1, A-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1, A-2, and A-3 certificates coupon rates step up by 100 basis points on and after the payment date in October 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-1, A-2, and A-3 certificates Cap Carryover Amounts. NATURAL DISASTERS/WILDFIRES The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas. The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. 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 U.S. dollars unless otherwise noted. GS MORTGAGE 2025-PJ9: Fitch Gives B-(EXP)sf Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-PJ9 (GSMBS 2025-PJ9). Entity/Debt Rating ----------- ------ GSMBS 2025-PJ9 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX29 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating BX1 LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating BX2 LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The classes are supported by 345 prime loans with a total balance of approximately $413 million as of the cut-off date. The transaction is expected to close on Oct. 31, 2025. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2025-PJ9 has a Final PD of 10.62% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 35.69%. The expected loss in the 'AAAsf' rating stress is 3.79%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2025-PJ9 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. Fitch analyses the capital structure to determine the adequacy of the transaction's Credit Enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2025-PJ9 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2025-PJ9 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any Rating Caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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 and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. 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. GUGGENHEIM MM 2021-4: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R loans and class X, A-R, B-1-R, B-2-R, C-R, D-R, and E-R debt from Guggenheim MM CLO 2021-4 Ltd./Guggenheim MM CLO 2021-4 LLC, a CLO managed by Guggenheim Corporate Funding LLC that was originally issued in April 2021 and not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The 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. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 Guggenheim MM CLO 2021-4 Ltd./Guggenheim MM CLO 2021-4 LLC Class X, $17.00 million: AAA (sf) Class A-R loans, $95.00 million: AAA (sf) Class A-R, $146.86 million: AAA (sf) Class B-1-R, $29.70 million: AA (sf) Class B-2-R, $12.00 million: AA (sf) Class C-R (deferrable), $33.36 million: A (sf) Class D-R (deferrable), 25.02 million: BBB- (sf) Class E-R (deferrable), 25.02 million: BB- (sf) Variable dividend notes, $50.00 million: NR NR--Not rated. HILDENE COMMUNITY CDO: Moody's Ups Rating on C-RR Notes from Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Hildene Community Funding CDO, Ltd.: US$8,625,000 Class B-RR Senior Secured Deferrable Fixed Rate Notes due 2035 (the "Class B-RR Notes"), Upgraded to A1 (sf); previously on March 1, 2023 Upgraded to A3 (sf) US$18,000,000 Class C-RR Senior Secured Deferrable Fixed Rate Notes due 2035 (the "Class C-RR Notes"), Upgraded to Baa3 (sf); previously on November 24, 2021 Assigned Ba1 (sf) Hildene Community Funding CDO, Ltd., originally issued in October 2015, refinanced in November 2020, and partially refinanced in November 2021, 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(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-RR notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since October 2024. The Class A-RR notes have paid down by approximately 13.6% or $24.9 million since October 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class B-RR and Class C-RR notes have improved to 129.93% and 117.31%, respectively, from October 2024 levels of 127.60% and 116.68%, respectively. 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 1316 from 1435 in October 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 and principal proceeds balance: $217.5 million Defaulted par: $5 million Weighted average default probability: 8.33% (implying a WARF of 1316) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class A-RR and Class D 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 "TruPS CDOs" published in June 2025. 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. HILTON GRAND 2024-1B: Fitch Affirms 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Hilton Grand Vacations Trust series 2019-A, 2020-A, 2024-1B, 2024-2 and 2024-3. The Rating Outlooks remain Stable for all classes of notes. Entity/Debt Rating Prior ----------- ------ ----- Hilton Grand Vacations Trust 2019-A A 43284HAA7 LT AAAsf Affirmed AAAsf B 43284HAB5 LT Asf Affirmed Asf C 43284HAC3 LT BBBsf Affirmed BBBsf Hilton Grand Vacations Trust 2024-2 A 43283JAA4 LT AAAsf Affirmed AAAsf B 43283JAB2 LT Asf Affirmed Asf C 43283JAC0 LT BBBsf Affirmed BBBsf Hilton Grand Vacations Trust 2024-3 A 43283NAA5 LT AAAsf Affirmed AAAsf B 43283NAB3 LT A-sf Affirmed A-sf C 43283NAC1 LT BBB-sf Affirmed BBB-sf Hilton Grand Vacations Trust 2024-1B A 43283YAA1 LT AAAsf Affirmed AAAsf B 43283YAB9 LT Asf Affirmed Asf C 43283YAC7 LT BBBsf Affirmed BBBsf D 43283YAD5 LT BB-sf Affirmed BB-sf Hilton Grand Vacations Trust 2020-A A 43285HAA6 LT AAAsf Affirmed AAAsf B 43285HAB4 LT Asf Affirmed Asf C 43285HAC2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS The notes' affirmation reflects loss coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. As of the September 2025 distribution date, cumulative gross defaults (CGDs) for 2019-A, 2020-A, 2024-1B, 2024-2, and 2024-3 are currently at 14.78%, 13.02%, 15.78%, 9.41%, and 5.16%, respectively. When adjusting for cumulative substitutions, CGDs are 11.61%, 10.39%, 15.47%, 8.34%, and 4.73%, respectively. Except for 2020-A and 2024-3, all transactions are tracking above their initial rating cases: 12.00% (2019-A), 22.50% (2024-1B) and 16.00% (2024-2). Due to optional repurchases and substitutions by the seller, none of the transactions have experienced a net loss to date. Accounting for recent performance, Fitch revised the lifetime rating case proxies upward for 2024-1B and 2024-2 to 24.50% and 17.00%, respectively. The lifetime proxy of 2019-A was maintained at 13.00% due to a low pool factor and consistent performance since the previous review, while 2024-3 was maintained at 17.00% given the pool's low seasoning. Strong performance of 2020-A over the past year led to a slight reduction in its rating case proxy, to 12.50% from 13.00%. In certain cases, updated extrapolations were higher than the final CGD proxies. The servicer has the right, but not the obligation, to substitute or repurchase defaulted loans. As such, Fitch's analysis does not give any explicit credit to previously substituted or repurchased defaults, resulting in zero losses to date. When accounting for previously substituted or repurchased defaults, the lifetime CGDs are materially lower than the CGD proxies. Therefore, Fitch believes the CGD proxies are appropriately conservative and account for the current performance. Under Fitch's stressed cash flow assumptions, default coverage for the notes were consistent with the recommended multiples and any shortfalls were considered nominal and are within the range of the multiples for the current ratings. The ratings also reflect the quality of Hilton Grand Vacations timeshare receivable originations, the sound financial and legal structure of the transaction, and the strength of the servicing provided by Grand Vacation Services LLC (GVS). GVS has adequate servicing business continuity plans in place to service the portfolio during the pandemic. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected ratings case default proxy and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact credit enhancement (CE) levels. Lower default coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. Fitch ran a down sensitivity for each transaction that would raise the CGD proxy by 2.0x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to three categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults, would lead to higher CE levels and consideration for potential upgrades. Fitch applied an up sensitivity by reducing the rating case proxy by 20%. Reducing the proxies by 20% from the current proxies could result in up to a category of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2018-MINN: Moody's Downgrades Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Ratings has affirmed one and downgraded the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-MINN, Commercial Mortgage Pass-Through Certificates, Series 2018-MINN as follows: Cl. A, Downgraded to B1 (sf); previously on Mar 14, 2025 Downgraded to Ba1 (sf) Cl. B, Downgraded to B3 (sf); previously on Mar 14, 2025 Downgraded to Ba3 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Mar 14, 2025 Downgraded to B3 (sf) Cl. D, Downgraded to C (sf); previously on Mar 14, 2025 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Mar 14, 2025 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Mar 14, 2025 Downgraded to C (sf) RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from the prolonged delinquency and high servicer advances, increased interest shortfalls and expected declines in property cash flow. The floating rate asset has been REO since October 2023 and the master servicer made a non-recoverability determination in February 2025 in relation to P&I payments. The outstanding interest shortfalls totaled $17.2 million (which includes $9.7 million of cumulative non-recoverable interest) up from $8.5 million at the last review. In addition, as of the September 2025 remittance statement there was an outstanding advance amount (P&I and cumulative accrued unpaid advance interest) of $25.8 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The loan was last paid through its August 2023 payment date. The downgrades also reflect the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution given the Minneapolis hotel market continues to lag behind pre-pandemic performance benchmarks, with Revenue per Available Room (RevPAR) levels below 2019 figures. The property's performance improved year over year in 2024, however, the budgeted 2025 net cash flow (NCF) is expected to decline due to both lower revenues and higher expenses than those of 2024. The rating on Cl. F was affirmed because the rating is consistent with Moody's expected loss. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan and/or an increase in realized and expected losses. DEAL PERFORMANCE As of the September 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $180 million from securitization. The interest only floating rate loan had a final maturity date in November 2023 (inclusive of three one-year extensions) and was secured by the leasehold interests in the Hilton Minneapolis. The loan has been in special servicing since April 2020, originally stemming from COVID related closure, and became REO in October 2023. The property is an AAA Four Diamond rated full-service hotel with approximately 60,500 SF of meeting and event space with a 24,780 SF grand ballroom, the largest ballroom in the state of Minnesota. It is also the largest hotel in the Minneapolis-St. Paul area in terms of room count (821 guestrooms) and meeting space. The hotel hosts events for large groups as well as accommodate spillover needs and room demand for the Minneapolis Convention Center located three blocks away. The property was constructed in 1992 and is subject to a 100- year ground lease with the City of Minneapolis expiring in October 2091. However, starting 2019, the property was not obligated to pay any ground rent for the duration of the ground lease. The property's performance initially rebounded from its COVID lows in 2022 and continued to improve through 2024. The hotel achieved $15.2 million net operating income (NOI) in 2024 versus $14.6 million in 2023 and $14.1 million in 2022. However, the budgeted 2025 NOI is expected to be below historical levels due to lower revenue and higher expense estimates. Despite improvement in recent years, the Downtown Minneapolis hotel market has been unable to return to its pre-pandemic levels. According to CBRE EA, Downtown Minneapolis RevPAR reached $94.04 in 2024, a 13.6% increase compared to 2023, however, that was still 7.9% lower than its RevPAR of $102.07 in 2019. According to STR, Minneapolis RevPAR for the first eight months of 2025 ($81.01) was 1% below that of the same period in 2024 ($81.76). Moody's NCF was decreased to $10.8 million from $11.5 million at the last review and Moody's increased the capitalization rate to 11.5% from 10.75%. The first mortgage balance of $180 million represents a Moody's LTV of 193%. The most recent appraisal from 2024 valued the property at $206.3 million, up slightly from $204.5 million in 2023 but less than total exposure including advances and interest shortfalls. As of the most recent distribution date there are outstanding advances totaling approximately $25.8 million and interest shortfalls totaling approximately $17.2 million. Due to the non-recoverability determination, Moody's expects interest shortfalls to accumulate across all classes until the ultimate disposition of the asset. JPMBB COMMERCIAL 2015-C27: Moody's Cuts Rating on 2 Tranches to Ba1 ------------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on two classes in JPMBB Commercial Mortgage Securities Trust 2015-C27, Commercial Mortgage Pass-Through Certificates, Series 2015-C27 as follows: Cl. A-4, Affirmed Aa2 (sf); previously on Mar 5, 2025 Downgraded to Aa2 (sf) Cl. A-S, Downgraded to Ba1 (sf); previously on Mar 5, 2025 Downgraded to Baa1 (sf) Cl. X-A*, Downgraded to Ba1 (sf); previously on Mar 5, 2025 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on the P&I class, Cl. A-4, was affirmed because of its significant credit support and the expected principal paydowns from the remaining loans in the pool. Cl. A-4 has already paid down 98% since securitization and benefits from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The rating on the P&I class, Cl. A-S, was downgraded due to the decline in pool performance, the increase in interest shortfalls and higher expected losses as a result of the exposure to specially serviced loans. Cl. A-S has not received any interest distributions beginning with the February 2025 remittance due to a portion of interest collections from the remaining loans being used to paydown principal on Cl. A-4. As a result, outstanding interest shortfalls on Cl. A-S have accumulated to $1.2 million as of the September 2025 remittance statement and while the interest shortfalls may be ultimately recouped, the timing of such repayment remains uncertain. Four loans, representing 95.8% of the pool, are in special servicing and have passed their original maturity dates. Three of the specially serviced loans (89.5% of the pool) have had significant declines in cash flow and two specially serviced loans (44.8% of the pool) have been deemed non-recoverable by the master servicer. Due to exposure to poorly performing loans in special servicing, the risk of higher potential losses and interest shortfalls may increase if the outstanding loans remain or become further delinquent. The rating on the IO class, Cl. X-A, was downgraded based on the decline in credit quality of the referenced classes as well as paydowns of higher quality referenced classes. At securitization, Cl. X-A referenced all classes senior to and including Cl. A-4 and Cl. A-S, however, all classes senior to Cl. A-4 have paid off in full and Cl. A-4 has paid down 98% from its original balance. Moody's rating action reflects a base expected loss of 65.3% of the current pooled balance, compared to 51.1% at Moody's last review. Moody's base expected loss plus realized losses is now 20.3% of the original pooled balance, compared to 17.6% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the September 17, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 70.6% to $245.5 million from $836.5 million at securitization. The certificates are collateralized by five mortgage loans ranging in size from 4% to 45% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to four at Moody's last review. As of the September 2025 remittance statement cumulative interest shortfalls were $16.4 million and impacted up to Cl. A-S. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. While there have been no loans liquidated from the pool resulting in a material loss, the transaction has realized a loss of $9.3 million as of the September 2025 remittance statement due to the servicer reimbursement of outstanding advances. Four loans, constituting 95.8% of the pool, are currently in special servicing. The largest specially serviced loan is The Club Row Building Loan ($110 million -- 44.7% of the pool), which represents a pari-passu portion of a $155 million senior mortgage loan. There is also a $25 million subordinate B-note that is secured by the property. The loan is secured by a Class B, 22-story, 365,819 square foot (SF) office tower located in Midtown Manhattan. The property was constructed in 1920 and was renovated between 2011 and 2014, when approximately $6.3 million was spent upgrading the lobby, entrances, elevators, public corridors, bathrooms, mechanical systems, and windows. There is 338,957 SF of office space, 14,295 SF of ground floor retail, 12,389 SF of storage space, and a bicycle room. As of March 2025, the property was 63% leased compared to 76% in 2022, 76% in 2021, and 96% at securitization. Occupancy was impacted after WeWork declared Chapter 11 bankruptcy in November 2023 with plans to renegotiate its lease and debt obligations. This property was included on the list of "rejected leases" as part of the filing. Due to the lower occupancy, the property's NOI has declined since 2020. The June 2025 NOI DSCR declined to 0.47X from 1.92X at year-end 2020. The loan transferred to special servicing in January 2025 due to maturity default and foreclosure was filed during July 2025, while the lender and borrower discuss a potential loan modification. The second largest specially serviced loan is The Branson at Fifth loan ($73.0 million -- 29.7% of the pool), which is secured by a 10-story, mixed-use property containing 31 multifamily units and 14,881 SF of grade-level retail space. The subject property is located on 55th Street between Fifth and Sixth Avenue in New York, New York. After acquiring the property in 2013, the sponsor spent $8.3 million in 2014 to renovate all but seven rent-stabilized units. The city of New York subsequently fined the sponsor for operating several apartments as short-term online rentals. The loan transferred to special servicing in July 2019 after the borrower failed to comply with the special servicer's demand letter seeking a $2 million letter of credit for a deposit to the rollover reserve account due to the retail tenant vacating (50% of the base rent) ahead of their lease expiration. Without the retail tenant, loan DSCR dropped significantly below 1.00X, and the borrower ceased making debt-service payments in March 2020. As of March 2025, the property was only 33% occupied with the retail space remaining largely vacant. A loan modification was executed in January 2021, which lowered the loan interest rate and brought the loan current on debt service payments. Post modification, the loan returned to the master servicer. However, in September 2021, the loan returned to the special servicing for delinquent payments. The most recent appraisal from September 2024 valued the property 68% lower than at securitization and 49% below the total outstanding loan amount. The special servicer is currently dual-tracking foreclosure while negotiating resolution options with the borrower. The loan is last paid through its March 2022 payment date and has been deemed non-recoverable by the master servicer with a 70% appraisal reduction recorded as of the September 2025 remittance date. The third largest specially serviced loan is the 717 14th Street Loan ($37.1 million -- 15.1% of the pool), which is secured by an approximately 120,000 SF, class B office building located in Washington, D.C. The building was constructed in 1928 and renovated in 2012. The improvements primarily consist of approximately 120,215 SF of rentable office space and 25 below-grade parking spaces. The loan transferred to special servicing in February 2023 for imminent default due to cash flow disruption as a result of a decline in occupancy. The property's performance declined after the Office of the Auditor (9.0% of the net rentable area (NRA)) vacated the space in November 2022, and the Office of the Inspector General (9.3% of the NRA) vacated its space at lease expiration in March 2023. As of June 2025, the property was 54% leased, compared to 80% in 2021 and 100% in 2020 and at securitization. The most recent appraisal from December 2024 valued the property 83% lower than at securitization and significantly below the total outstanding loan balance. A receiver is currently operating the property as foreclosure is being pursued, and the loan has been deemed non-recoverable by the master servicer as of the September 2025 remittance statement. The loan was last paid through June 2023 and has amortized by 10.6% since securitization. The fourth largest specially serviced loan is the Blue Lake Center Loan ($15.5 million -- 6.3% of the pool), which is secured by a 166,779 SF class B office building located in Birmingham, Alabama. The loan transferred to special servicing in December 2024 for maturity default as the borrower was unable to pay off the loan at maturity. Property occupancy was 60% as of June 2025 compared to 74% in June 2024, 76% in December 2021, 84% in December 2018, and 86% at securitization. The loan remains current on debt service payments as a potential workout is negotiated with a dual track of foreclosure. The loan remains in cash management and has amortized by 10.0% since securitization. Moody's have estimated an aggregate loss of $160.6 million (a 67.9% expected loss on average) from these specially serviced loans. The sole non-specially serviced loan is the Plymouth Road Tech Center Loan ($10.3 million -- 4.2% of the pool), which is secured by the borrower's fee simple interest in a 1.1 million SF industrial and distribution center located in Livonia, Michigan. The collateral was constructed in 1955 and extensively renovated in 2000. The largest tenant at securitization, Roush Holdings, increased their space at the property from 418,451 SF (38.7% of NRA) at securitization to 673,850 SF (62.3% of NRA) through March 2026. Occupancy was 99% as of March 2025, the same as in December 2017 and compared to 98% at securitization. The loan matures in February 2030. As of the September 2025 remittance, this loan was current on P&I payments and has amortized by 63% since securitization. Moody's LTV and stressed DSCR are 30% and 1.32X, respectively. LCM XV LTD: Moody's Lowers Rating on $27MM Class E-R Notes to B2 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by LCM XV Limited Partnership: US$33,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on September 10, 2024 Upgraded to A3 (sf) Moody's have also downgraded the rating on the following notes: US$27,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2030, Downgraded to B2 (sf); previously on September 21, 2020 Downgraded to B1 (sf) LCM XV Limited Partnership, originally issued in February 2014, refinanced fully in May 2017 and partially 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(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class D-R is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2024. The Class A-R notes have been paid down completely and class B-R notes have been paid down by approximately 57.2% or $36.02 million since then. Based on the trustee's September 2025[1] report, the OC ratios for the Class D-R notes is reported at 131.37%, versus September 2024[2] levels of 118.70%. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's September 2025[3] report, the OC ratio for the Class E-R notes is reported at 103.87% versus September 2024[4] level of 105.34%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is currently 3534 compared to 3005 in September 2024[5] report, failing the triggers of 2793. No actions were taken on the Class B-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $135,788,706 Defaulted par: $2,395,158 Diversity Score: 39 Weighted Average Rating Factor (WARF): 3555 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.47% Weighted Average Recovery Rate (WARR): 45.72% Weighted Average Life (WAL): 2.71 years Par haircut in OC tests: 2.90% 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 "Collateralized Loan Obligations" published in October 2025. 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. LEGENDS SASB: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates (the Certificates) issued by Legends (Kansas City, KS) SASB Pass-Through Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its life cycle, having closed in November 2024. The transaction is secured by the borrower's fee-simple interest in Legends Outlet, a regional outlet mall totaling 739,248 square feet (sf). The property is approximately five miles west of the Kansas City central business district and benefits from being within the Village West retail and entertainment district as it offers leisure and shopping experiences that complement neighboring venues. Legends Outlets is the only outlet center within 175 miles of Kansas City and is the largest outlet center in the state of Kansas. The subject benefits from being near both I-70 and I-435, which provide easy access, and is anchored by collateral tenants Dave & Buster's, H&M, T.J.Maxx, HomeGoods, and AMC Theatres. The property is adjacent to commercial tenants including Nebraska Furniture Mart, Walmart, Target, Sams Club, and other attractions such as Children's Mercy Park, Kansas Speedway, Hollywood Casino, and Great Wolf Lodge. The transaction comprises a three-year interest-only fixed-rate loan with proceeds of $115.0 million that were used to refinance existing debt, fund a tenant improvement/leasing commission (TI/LC) reserve and an outstanding TI/LC reserve, and cover closing costs. The subject has managed to maintain an occupancy rate above 90% since the sponsor's acquisition in 2016 and it fared well during the COVID-19 pandemic. According to the March 2025 rent roll, the subject was 90.9% occupied, however, an online article published in September 2025 indicates the occupancy rate was 93.0%. While no updated sales metrics were provided for this review, the collateral demonstrated steady in-line sales of approximately $369 per square foot (psf) for 2023, excluding food and beverage tenants. This represents a 9.6% increase from the 2021 sales of $337 psf and a 5.4% increase from the 2022 sales of $350 psf, illustrating the collateral's consistent performance as the outlet retail destination within the Kansas City metropolitan statistical area. In September 2025, Tanger Factory Outlet Centers, Inc. (Tanger) acquired the collateral from the former borrower at a cost of approximately $130 million and, as part of the transaction, assumed the subject loan. Tanger is an owner and operator of outlet and open-air retail shopping destinations, with 38 outlet centers and three open-air lifestyle centers comprising more than 16 million sf across the U.S. and Canada. The company has been a publicly traded REIT since 1993 and, according to a press release published September 16, 2025, believes the subject property will deliver a return in the first year, with potential for additional investment and growth over time. This continues the company's external growth strategy and Legends Outlet is the fourth outlet center of that has been added to Tanger's portfolio since 2022. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a capitalization rate of 9.0%, applied to the Morningstar DBRS net cash flow of $10.3 million. The resulting value of $114.3 million represents a variance of 42.3% from the issuance value of $198.3 million, and a 13.7% variance from the recent acquisition price of $130.0 million. Based on the Morningstar DBRS value, the loan had a loan-to-value ratio (LTV) of 100.6%. Morningstar DBRS maintained positive qualitative adjustments of 3.0% to the LTV sizing benchmarks to account for the collateral property's quality, its strategic location within a market with numerous demand drivers, and its historically stable performance. 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. LOANCORE 2025-CRE9: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to LoanCore 2025-CRE9 Issuer LLC as follows: Entity/Debt Rating ----------- ------ LNCR 2025-CRE9 A LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating Income Notes LT NR(EXP)sf Expected Rating - $632,500,000a class A 'AAA(EXP)sf'; Outlook Stable; - $119,625,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $78,375,000a class B 'AA-(EXP)sf'; Outlook Stable; - $63,250,000a class C 'A-(EXP)sf'; Outlook Stable; - $38,500,000a class D 'BBB(EXP)sf'; Outlook Stable; - $19,250,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $37,125,000b class F 'BB-(EXP)sf'; Outlook Stable; - $24,750,000b class G 'B-(EXP)sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $86,625,000b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 13.500% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,100,000,000 and does not include future funding. The expected ratings are based on information provided by the issuer as of Oct. 15, 2025. Transaction Summary The notes are collateralized by 22 loans secured by 26 commercial properties with an aggregate principal balance of $955,975,000 as of the cut-off date, including three delayed-close collateral interests totaling $145.3 million that are expected to close within 90 days after the closing date. The pool also includes ramp-up collateral interest of $144.0 million. The loans were contributed to the trust by LoanCore CRE Seller LLC. The servicer is Situs Asset Management LLC, and the special servicer is Situs Holdings, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 53.7% of the loans by balance, and cash flow analysis and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 16 loans in the pool (82.9% by balance). Fitch's resulting aggregate net cash flow (NCF) of $55.9 million represents a 14.6% decline from the issuer's aggregate underwritten NCF of $65.5 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 than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 135.9% is lower than both the 2025 YTD and 2024 CRE CLO average of 140.7%. The pool's Fitch NCF debt yield (DY) of 6.6% is higher than both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool diversity is better than recently rated Fitch CRE CLO transactions. The top 10 loans make up 65.9% of the pool, which is higher than the 2025 YTD average of 61.8% and lower than the 2024 CRE CLO average 70.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool is 100.0% comprised of interest-only loans, based on fully extended loan terms. This is worse than both the 2025 YTD and 2024 CRE CLO averages of 73.1% and 56.8%, respectively. As a result, the pool is expected to have zero 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 0.5% 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 table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BB-sf' / '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' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'B+sf' SUMMARY OF FINANCIAL ADJUSTMENTS 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 Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MADISON PARK XXXVIII: Moody's Assigns B3 Rating to Class F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXXVIII, Ltd. (the Issuer): US$384,000,000 Class A-1-R Floating Rate Senior Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3106 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MARBLE POINT XX: S&P Lowers Class E Notes Rating to 'B+ (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from Marble Point CLO XX Ltd. and removed it from CreditWatch where it had been placed with negative implications. S&P also affirmed its ratings on the class A, B, C, D-1, and D-2 debt from the same transaction. Marble Point CLO XX Ltd. is a broadly syndicated U.S. CLO transaction managed by Marble Point CLO Management LLC that was originally issued in May 2021. The rating actions follow S&P's review of the transaction's performance using data from the Aug. 11, 2025, trustee report. The lowered rating reflects a decrease in the availability of excess spread as the weighted average spread of the portfolio has declined, lower weighted average recovery rates, and a decrease in credit support following approximately $7.64 million in par losses, since our last rating action. Also, the amount of 'CCC' assets held in the portfolio has increased to $18.83 million as of the August 2025 trustee report, from $2.14 million as of the May 2021 trustee report that S&P used in its analysis. The par loss has led to the following declines in the trustee-reported overcollateralization (O/C) ratios compared with May 2021: -- The class A/B O/C ratio declined to 128.67% from 131.74%, -- The class C O/C ratio declined to 119.25% from 122.10%, -- The class D O/C ratio declined to 111.12% from 113.77%, -- The class E O/C ratio declined to 106.87% from 109.42%, The interest diversion test, which measures the O/C level at class E, has also declined to 106.87% from 109.42%. In the event that this test is not satisfied during the reinvestment period, the lesser of 50% of remaining interest proceeds or the amount necessary to bring the test back into compliance, at the manager's discretion, will be deposited into the principal proceeds collection account or to pay down the senior debt according to the principal payment sequence. The cash flow results, on a standalone basis, showed that the class E debt was not passing at a 'BB- (sf)' rating level. At this time, the lowered rating is limited to one notch, even though the model-implied-rating pointed to a lower rating, citing the portfolio's relatively low exposure to 'CCC' and 'CCC-' and defaulted collateral obligations. Moreover, S&P believes that this class does not meet our definition of 'CCC' risk. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. The affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in changes to the ratings. On a standalone basis, the results of the cash flow analysis indicated lower ratings on the class C, D-1, and D-2 debt than the rating actions reflect. S&P said, "However, we affirmed the ratings after considering the margin of failure, the credit support commensurate with the current rating levels, the relatively low exposure to 'CCC' and 'CCC-' rated collateral obligations, and that the transaction will exit its reinvestment period in April 2026. Once amortization begins in the latter half of 2026, paydowns to the senior debt are expected to improve credit support available across the transaction. In addition, the transaction currently has no exposure to long-dated assets (i.e., assets maturing after the CLO's stated maturity), and we believe it is not exposed to large risks in the near future that would impair the debt at its current rating levels." 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 rated tranche. 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 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. Rating Lowered And Removed From CreditWatch Marble Point CLO XX Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Marble Point CLO XX Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D-1: BBB+ (sf) Class D-2: BBB- (sf) MARINER FINANCE 2025-B: DBRS Finalizes BB Rating on Class 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-B (MFIT 2025-B): -- $252,290,000 Class A Notes at AAA (sf) -- $32,350,000 Class B Notes at AA (low) (sf) -- $33,360,000 Class C Notes at A (sf) -- $24,060,000 Class D Notes at BBB (sf) -- $32,940,000 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: September 2025 Update, published on September 30, 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 27.17% and the transaction includes a reinvestment criteria event that the WAC is less than 24.00%. 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 12.59% which is based on the MFIT 2025-B reinvestment criteria and recent credit performance. -- For this transaction, Morningstar DBRS assumed an overall recovery rate of 5.85% which based on historical recovery performance which varies by product type, with assumptions ranging from 5.00% to 7.50%. (6) The MFIT 2025-B 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 that 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. Notes: All figures are in US Dollars unless otherwise noted. NEUBERGER BERMAN 47: Moody's Assigns Ba3 Rating to $24MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Neuberger Berman Loan Advisers CLO 47, Ltd. (the "Issuer"). Moody's rating action is as follows: US$384,000,000 Class A-R Senior Secured Floating Rate Notes Due 2035 (the "Class A-R Notes"), Assigned Aaa (sf) US$24,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2035 (the "Class E-R Notes"), Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Neuberger Berman Loan Advisers II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, variety of other changes to transaction features will occur in connection with the refinancing. These include: reduction of spread, extensions of non-call period; changes to certain collateral quality tests and covenants,and changes to the CLO's ability to hold workout and restructured assets and acquire uptier priming debt. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $593,702,988 Defaulted par: $1,805,084 Diversity Score: 89 Weighted Average Rating Factor (WARF): 2902 Weighted Average Spread (WAS): 3.13% Weighted Average Recovery Rate (WARR): 46.20% Weighted Average Life (WAL): 5.50 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. NEUBERGER BERMAN I: Fitch Assigns 'BBsf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-1 640977AE4 LT PIFsf Paid In Full Asf C-2 640977AJ3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 640977AG9 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2 640977AL8 LT PIFsf Paid In Full BBB-sf D-2R LT BBB-sf New Rating E 640978AA0 LT PIFsf Paid In Full BB-sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC that originally closed in October 2023. 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: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 94.51% first lien senior secured loans and has a weighted average recovery assumption of 70.52%. 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: 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: The transaction has a three-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 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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture which amended certain provisions of the transaction: - All notes are being refinanced with lower spreads across all tranches; - The non-call period for the refinanced notes is extended to April 25, 2027; - The WAL test has been extended to seven years from 5.25 years; - The end of reinvestment date remains the same which is the payment date in October 2028. Fitch Analysis The portfolio includes 324 assets from 275 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $400 million. As of the latest trustee report, prior to the refinance date the transaction was not passing its maximum Moody's rating factor test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 32.4% of the current portfolio par balance, ratings for 66.9% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map, there is no unidentified asset in the portfolio, and 0.3% were unrated. The analysis focused on the Fitch Stressed Portfolio (FSP) and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: Six years; - Minimum weighted average spread: 3.65%; - Fixed-rate assets: 5.00%; - 'CCC' obligors as derived by Fitch's ratings: 10.0%; - Minimum weighted average coupon: 6.50%; - Non-first priority senior secured assets: 12.4%. The transaction will exit its reinvestment period on Oct. 25, 2028. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-2R: 'AAAsf'/Default 47.90%/Recovery 36.95%/Cushion 9.30%; - Class B-R: 'AAsf'/Default 44.90%/Recovery 45.66%/Cushion 8.90%; - Class C-R: 'Asf'/Default 40.10%/Recovery 55.11%/Cushion 9.00%; - Class D-1R: 'BBB-sf'/Default 31.20%/Recovery 64.74%/Cushion 7.10%; - Class D-2R: 'BBB-sf'/Default 31.20%/Recovery 64.74%/Cushion 6.30%; - Class E-R: 'BBsf'/Default 28.10%/Recovery 70.11%/Cushion 9.90%. FSP Model Outputs: - Class A-2R: 'AAAsf'/Default 54.20%/Recovery 33.03%/Cushion 1.70%; - Class B-R: 'AAsf'/Default 50.80%/Recovery 40.94%/Cushion 1.10%; - Class C-R: 'Asf'/Default 45.60%/Recovery 50.00%/Cushion 1.30%; - Class D-1R: 'BBB-sf'/Default 36.10%/Recovery 59.00%/Cushion 1.30%; - Class D-2R: 'BBB-sf'/Default 36.10%/Recovery 59.00%/Cushion 0.60%; - Class E-R: 'BBsf'/Default 32.50%/Recovery 64.62%/Cushion 1.20%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1R, 'BBB+sf' for class D-2R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEUBERGER BERMAN I: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the "Refinancing Notes") issued by Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. (the "Issuer"). Moody's rating action is as follows: US$240,000,000 Class A-1R Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2036, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologeis and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Neuberger Berman Loan Advisers II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period, changes to the overcollateralization test levels and the updates to the matrices. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $399,388,540 Defaulted par: $1,235,273 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3352 Weighted Average Spread (WAS): 3.6% Weighted Average Recovery Rate (WARR): 44.0% Weighted Average Life (WAL): 6 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. 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. NYACK PARK CLO: Moody's Assigns B3 Rating to $250,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Nyack Park CLO, Ltd. (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of not first lien loans, first lien last out loans, cash and eligible investments. Blackstone CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3083 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. NYACK PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Nyack Park CLO, Ltd. Entity/Debt Rating ----------- ------ Nyack Park CLO, Ltd. Class A-1-R LT NRsf New Rating Class A-2-R LT AAAsf New Rating Class B-R LT AAsf New Rating Class C-R LT A+sf New Rating Class D-1-R LT BBB-sf New Rating Class D-2-R LT BBB-sf New Rating Class E-R LT BB+sf New Rating Class F-R LT NRsf New Rating Class X-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Nyack Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. The deal originally closed in October 2021. Net proceeds from the issuance of the secured and subordinated notes will redeem the existing notes and provide financing on a portfolio of approximately $500 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. 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: The indicative portfolio consists of 96.22% first-lien senior secured loans and has a weighted average recovery assumption of 74.44%. 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: 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: 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: 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 analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and '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 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 Recognised Statistical Rating Organisations 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 Nyack Park CLO, 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. OCP CLO 2020-8R: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2, B-1R2, B-2R2, C-R2, D-1R2, D-2R2, and E-R2 from OCP CLO 2020-8R Ltd./OCP CLO 2020-8R LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in January 2021 and underwent a refinancing in November 2024. The preliminary ratings are based on information as of Oct. 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 17, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-R, B-R, C-R, D-1R, D-2R, and E-R debt and assign ratings to the replacement class A-R2, B-1R2, B-2R2, C-R2, D-1R2, D-2R2, and E-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2, C-R2, D-1R2, and E-R2 debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-1R2 and B-2R2 debt is expected to be issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- The replacement class D-2R2 debt is expected to be issued at a floating spread, replacing the current fixed coupon. -- The reinvestment period will be extended by three years. -- The non-call period and stated maturity will be extended by two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OCP CLO 2020-8R Ltd./OCP CLO 2020-8R LLC Class A-R2, $252.00 million: AAA (sf) Class B-1R2, $47.00 million: AA (sf) Class B-2R2, $5.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1R2 (deferrable), $24.00 million: BBB- (sf) Class D-2R2 (deferrable), $3.00 million: BBB- (sf) Class E-R2 (deferrable), $13.00 million: BB- (sf) Other Debt OCP CLO 2020-8R Ltd./OCP CLO 2020-8R LLC Subordinated notes, $86.83 million: NR NR--Not rated. PARK AVENUE 2017-1: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-1-R2, C-1-R2, and D-R2 debt from Park Avenue Institutional Advisers CLO Ltd. 2017-1/Park Avenue Institutional Advisers CLO LLC 2017-1, a CLO managed by HPS Investment Partners LLC that was originally issued in November 2017 and underwent a refinancing in February 2021. At the same time, S&P withdrew its ratings on the outstanding class A-1R, A-2R, B-1R, C-1R, and D-R debt following payment in full on the Oct. 10, 2025, refinancing date. S&P also affirmed its ratings on the class B-2R and C-2R 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 April 10, 2026. -- No additional assets were purchased on the Oct. 10, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Nov. 14, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1-R2, $255.150 million: Three-month CME term SOFR + 1.07% -- Class A-2-R2, $52.650 million: Three-month CME term SOFR + 1.55% -- Class B-1-R2 (deferrable), $14.000 million: Three-month CME term SOFR + 1.85% -- Class C-1-R2 (deferrable), $14.000 million: Three-month CME term SOFR + 3.20% -- Class D-R2 (deferrable), $14.175 million: Three-month CME term SOFR + 6.75% Outstanding debt -- Class A-1R, $255.150 million: Three-month CME term SOFR + 1.24% + CSA(i) -- Class A-2R, $52.650 million: Three-month CME term SOFR + 1.55% + CSA(i) -- Class B-1R (deferrable), $14.000 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class C-1R (deferrable), $14.000 million: Three-month CME term SOFR + 3.60% + CSA(i) -- Class D-R (deferrable), $14.175 million: Three-month CME term SOFR + 6.81% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Park Avenue Institutional Advisers CLO Ltd. 2017-1/ Park Avenue Institutional Advisers CLO LLC 2017-1 Class A-1-R2, $255.150 million: AAA (sf) Class A-2-R2, $52.650 million: AA (sf) Class B-1-R2 (deferrable), $14.000 million: A (sf) Class C-1-R2 (deferrable), $14.000 million: BBB- (sf) Class D-R2 (deferrable), $14.175 million: BB- (sf) Ratings Withdrawn Park Avenue Institutional Advisers CLO Ltd. 2017-1/ Park Avenue Institutional Advisers CLO LLC 2017-1 Class A-1R to not rated from 'AAA (sf)' Class A-2R to not rated from 'AA (sf)' Class B-1R to not rated from 'A (sf)' Class C-1R to not rated from 'BBB- (sf)' Class D-R to not rated from 'BB- (sf)' Ratings Affirmed Park Avenue Institutional Advisers CLO Ltd. 2017-1/ Park Avenue Institutional Advisers CLO LLC 2017-1 Class B-2R: A (sf) Class C-2R: BBB- (sf) Other Debt Park Avenue Institutional Advisers CLO Ltd. 2017-1/ Park Avenue Institutional Advisers CLO LLC 2017-1 Subordinated notes, $41.900 million: not rated PMT LOAN 2025-J3: DBRS Finalizes B(low) Rating on Class B5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-J3 (the Notes) issued by PMT Loan Trust 2025-J3 (PMTLT 2025-J3 or the Trust) as follows: -- $285.7 million Class A-1 at AAA (sf) -- $285.7 million Class A-2 at AAA (sf) -- $285.7 million Class A-3 at AAA (sf) -- $171.4 million Class A-4 at AAA (sf) -- $171.4 million Class A-5 at AAA (sf) -- $171.4 million Class A-6 at AAA (sf) -- $214.2 million Class A-7 at AAA (sf) -- $214.2 million Class A8- at AAA (sf) -- $214.2 million Class A-9 at AAA (sf) -- $71.4 million Class A-10 at AAA (sf) -- $71.4 million Class A-11 at AAA (sf) -- $71.4 million Class A-12 at AAA (sf) -- $228.5 million Class A-13 at AAA (sf) -- $228.5 million Class A-14 at AAA (sf) -- $228.5 million Class A-15 at AAA (sf) -- $42.8 million Class A-16 at AAA (sf) -- $42.8 million Class A-17 at AAA (sf) -- $42.8 million Class A-18 at AAA (sf) -- $14.3 million Class A-19 at AAA (sf) -- $14.3 million Class A-20 at AAA (sf) -- $14.3 million Class A-21 at AAA (sf) -- $57.1 million Class A-22 at AAA (sf) -- $57.1 million Class A-23 at AAA (sf) -- $57.1 million Class A-24 at AAA (sf) -- $114.3 million Class A-25 at AAA (sf) -- $114.3 million Class A-26 at AAA (sf) -- $114.3 million Class A-27 at AAA (sf) -- $36.3 million Class A-28 at AA (high) (sf) -- $36.3 million Class A-29 at AA (high) (sf) -- $36.3 million Class A-30 at AA (high) (sf) -- $322.0 million Class A-31 at AA (high) (sf) -- $322.0 million Class A-32 at AA (high) (sf) -- $322.0 million Class A-33 at AA (high) (sf) -- $71.4 million Class A-34 at AAA (sf) -- $71.4 million Class A-34X at AAA (sf) -- $95.2 million Class A-35 at AAA (sf) -- $95.2 million Class A-35X at AAA (sf) -- $142.8 million Class A-36 at AAA (sf) -- $142.8 million Class A-36X at AAA (sf) -- $285.7 million Class A-37 at AAA (sf) -- $322.0 million Class A-X1 at AA (high) (sf) -- $285.7 million Class A-X2 at AAA (sf) -- $285.7 million Class A-X3 at AAA (sf) -- $171.4 million Class A-X6 at AAA (sf) -- $171.4 million Class A-X7 at AAA (sf) -- $214.2 million Class A-X8 at AAA (sf) -- $214.2 million Class A-X9 at AAA (sf) -- $71.4 million Class A-X11 at AAA (sf) -- $71.4 million Class A-X12 at AAA (sf) -- $228.5 million Class A-X14 at AAA (sf) -- $228.5 million Class A-X15 at AAA (sf) -- $42.8 million Class A-X18 at AAA (sf) -- $42.8 million Class A-X19 at AAA (sf) -- $14.3 million Class A-X21 at AAA (sf) -- $14.3 million Class A-X22 at AAA (sf) -- $57.1 million Class A-X24 at AAA (sf) -- $57.1 million Class A-X25 at AAA (sf) -- $114.3 million Class A-X26 at AAA (sf) -- $114.3 million Class A-X27 at AAA (sf) -- $36.3 million Class A-X30 at AA (high) (sf) -- $36.3 million Class A-X31 at AA (high) (sf) -- $322.0 million Class A-X32 at AA (high) (sf) -- $322.0 million Class A-X33 at AA (high) (sf) -- $285.7 million Class A-X37 at AAA (sf) -- $3.2 million Class B-1 at AA (low) (sf) -- $6.6 million Class B-2 at A (low) (sf) -- $2.0 million Class B-3 at BBB (low) (sf) -- $1.2 million Class B-4 at BB (low) (sf) -- $336.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1A Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-X1, A-X2, A-X3, A-X6, A-X7, A-X8, A-X9, A-X11, A-X12, A-X14, A-X15, A-X18, A-X19, A-X21, A-X22, A-X24, A-X25, A-X26, A-X27, A-X30, A-X31, A-X32, A-X33, A-X34, A-X35, A-X36 and A-X37 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-25, A-26, A-27, A-28, A-29, A-31, A-32, A-33, A-34, A-34X, A-35, A-35X, A-36, A-36X, A-37, A-X2, A-X3, A-X8, A-X9, A-X11, A-X12, A-X14, A-X15, A-X26, A-X27, A-X32, A-X33, and A-X37 are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-34, A-35, and A-36 are super-senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-28, A-29, and A-30) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 15.01% of credit enhancement provided by subordinated Notes. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 4.20%, 3.25%, 1.30%, 0.70%, 0.35%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 20 to 30 years and a weighted-average (WA) loan age of three months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.2%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2025-J3: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 69 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-J3, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (66.36% by balance) and GSE-eligible (33.64% by balance) residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-37, Definitive Rating Assigned Aaa (sf) Cl. A-X37*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on October 1, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.27%, in a baseline scenario-median is 0.10% and reaches 4.62% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. 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. PRKCM 2025-AFC1: DBRS Finalizes B Rating on Class B2 Notes ---------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the Mortgage-Backed Notes, Series 2025- AFC1 (the Notes) to be issued by PRKCM 2025-AFC1 Trust (the Trust) as follows: -- $265.2 million Class A-1 at AAA (sf) -- $229.8 million Class A-1A at AAA (sf) -- $35.4 million Class A-1B at AAA (sf) -- $25.6 million Class A-2 at AA (high) (sf) -- $29.4 million Class A-3 at A (high) (sf) -- $11.8 million Class M-1 at BBB (high) (sf) -- $13.1 million Class B-1 at BB (sf) -- $5.5 million Class B-2 at B (sf) Class A-1 are exchangeable notes while Classes A-1A and A-1B, are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Classes A-1, A-1A, and A-1B certificates reflects 25.00% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf) and B (sf) credit ratings reflect 17.75%, 9.45%, 6.10%, 2.40% and 0.85% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, primarily first-lien (98.6% by balance) residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-AFC1 (the Notes). The Notes are backed by 845 mortgage loans with a total principal balance of $353,613,772 as of the Cut-Off Date (September 1, 2025). This is the tenth securitization by the Sponsor, Park Capital Management Sponsor LLC, an affiliate of AmWest Funding Corp. (AmWest). AmWest is the Seller, Originator, and Servicer of the mortgage loans. The pool is about one month seasoned on a weighted-average (WA) basis; although, seasoning spans from zero to thirty-seven months. All loans in the pool are current as of the Cut-Off Date. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, 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 QM/ATR rules, approximately 58.6% of the loans are designated as non-QM. Approximately 3.0% of the loans are designated as QM Safe Harbor and approximately 0.3% are designated as QM Rebuttable Presumption. Approximately 38.1% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on the property-level cash flows for approximately 29.3% of the loans, primarily the asset value for 0.8% of the loans, and mortgagor's credit profile and debt-to-income ratio, property value, and the available assets, where applicable, for approximately 8.0% of the loans. Since the loans were made to investors for business purposes, they are exempt from the CFPB ATR rules and Truth in Lending Act (TILA) and the Real Estate Settlement Procedures Act (RESPA) Integrated Disclosure rule. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 90 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails in its obligation to make P&I advances, the Master Servicer (Nationstar Mortgage LLC) will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as the Paying Agent, will be obligated to fund such advances. The Master Servicer and Paying Agent are only responsible for P&I Advances; the Servicer is responsible for P&I Advances and Servicing Advances. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible vertical residual interest collectively representing at least 5% of the fair value of the Notes, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Seller will hold a material net economic interest comprised of at least 5% of the Notes in the transaction necessary to comply with the requirements of the EU Securitization Regulation and the UK Securitization Framework as further described under "EU and UK Risk Retention and Transparency Requirements" described in the transaction documents. On any date on or after the earlier of (1) the payment date occurring in September 2028 or (2) on or after the payment date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 20% of the Cut-Off Date balance, the Sponsor may terminate the Issuer (Optional Termination) by purchasing the loans, any real estate owned (REO) properties, and any other property remaining in the Issuer at the optional termination price, specified in the transaction documents. After such a purchase, the Sponsor will have to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Controlling Holder in the transaction is a majority holder (or majority holders if there is no single majority holder) of the outstanding Class XS Notes, initially, the Seller. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Banker Association (MBA) Method at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction's cash flow structure is generally similar to that of other recent 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 and Class A-1B Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-2 and Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A, Class A-1B, Class A-2, and Class A-3 Notes. Of note, the Class A-1A, Class A-1B, Class A-2, and Class A-3 Notes coupon rates step up by 100 basis points on and after the payment date in October 2029. Interest and principal otherwise available to pay the Class B-3 Notes may be used to pay the Class A coupons' Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. PROVIDENT FUNDING 2025-5: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2025-5, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned 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 Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes 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 0.32%, in a baseline scenario-median is 0.14% and reaches 4.91% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2024-RCF6: DBRS Confirms BBsf Rating on Class M-2 Notes ------------------------------------------------------------ DBRS, Inc. reviewed 19 classes in three U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as reperforming mortgages. Morningstar DBRS confirmed its credit ratings on 19 classes. The ratings are: Debt Rating Action ---- ------ ------ CFMT 2024-R1, LLC Class A-1 Notes AAA(sf) Confirmed Class A-2 Notes AA(high)(sf) Confirmed Class A-3 Notes A(high)(sf) Confirmed Class M-1 Notes BBB(high)(sf) Confirmed Class M-2 Notes BB(low)(sf) Confirmed GS Mortgage-Backed Securities Trust 2024-RPL5 Class A-1 Notes AAA(sf) Confirmed Class A-2 Notes AA(high)(sf) Confirmed Class A-3 Notes AA(high)(sf) Confirmed Class A-4 Notes A(high)(sf) Confirmed Class M-1 Notes A(high)(sf) Confirmed Class A-5 Notes BBB(sf) Confirmed Class M-2 Notes BBB(sf) Confirmed Class B-1 Notes BB(sf) Confirmed Class B-2 Notes B(high)(sf) Confirmed PRPM 2024-RCF6, LLC Class A-1 Notes AAA(sf) Confirmed Class A-2 Notes AA(sf) Confirmed Class A-3 Notes A(sf) Confirmed Class M-1 Notes BBB(sf) Confirmed Class M-2 Notes BB(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2025 Update" published on September 30, 2025 (https://dbrs.morningstar.com/research/463860). 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. PRPM 2025-RCF5: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the series 2025-RCF5 residential mortgage-backed notes to be issued by PRPM 2025-RCF5, LLC. Entity/Debt Rating ----------- ------ PRPM 2025-RCF5 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating M-2 LT BB-(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary The series 2025-RCF5 notes are supported by 773 loans with a balance of $200.30 million as of the cutoff date. This will be the tenth PRPM RCF transaction to be rated by Fitch and the fifth RCF transaction of 2025. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only and balloon, performing and re-performing mortgage loans secured by first and second liens on generally single family residential properties, planned unit developments, condominiums, two-to-four family residential properties, manufactured housing, townhouses, multiple properties, five-to-10 unit multifamily properties and co-operative shares Based on the transaction documents, 72.42% of the pool loans represent collateral with a defect or exception to guidelines that preclude the loans from a government-sponsored entity (GSE) pool (scratch and dent, (S&D)). The remaining loans are reperforming loans or non-qualified mortgage (non-QM) loans or loans to ITIN borrowers. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 77.67% of the loans in the pool; Fay Servicing, rated 'RSS2' by Fitch, will service 13.91% of the loans; and the remaining 8.42% will be serviced by Nationstar Mortgage LLC dba Rushmore Servicing (Rushmore), rated 'RSS2' by Fitch. The loans consist of qualified mortgage (QM), non-QM, and QM-exempt loans. Specifically, 49.09% of the loans are QM/non-HPML, 35.01% are not covered/exempt from the QM rule, 8.25% non-QM, 7.43% are QM/HPML, and 0.22% did not have a designation available. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in October 2029. Fitch was only asked to rate class A-1, A-2, A-3, and M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Prime Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 730, and a 39.2% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 79.8%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 77.7%. Of the loans in the pool, 72.4% are loans that are considered S&D, 19.3% are RPL, 4.9% are ITIN and 3.4 % are non-QM. In addition, 25.1% have less than full documentation (through a bank statement, DSCR, or other). PRPM 2025-RCF5 has a Final PD of 55.73% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 45.98%. The expected loss in the 'AAAsf' rating stress is 26.35%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in PRPM 2025-RCF5 is as indicated below: The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds; in a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (October 2029), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For scratch and dent transactions, credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2025-RCF5 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2025-RCF5 and therefore Fitch is comfortable rating to the highest-possible rating at 'AAAsf' without any Rating Caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Infinity, SitusAMC, Canopy, ProTitle and Selene. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, modification, and title/lien review, as applicable to each TPR's scope of review. ProTitle conducted title/lien reviews on 200 loans, and Infinity on 707 loans. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations to reflect findings such as missing HUD-1s, other state compliance testing failures, ATR risk, high-cost issues, property damage, TILA/RESPA violations, and timeline extensions for missing documents only. Fitch also increased losses for exceptions identified in the scratch-and-dent loans. In total, losses at the 'AAAsf' rating category were increased by approximately 402 bps to account for both the due diligence findings and the scratch-and-dent exceptions. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Infinity, SitusAMC, Canopy, ProTitle, and Selene were engaged to perform the review. Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. See the Third-Party Due Diligence section for more detail. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, 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. RADIAN MORTGAGE 2025-J4: 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-J4 (RMCT 2025-J4). Entity/Debt Rating ----------- ------ Radian Mortgage Capital Trust 2025-J4 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-35-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 AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by Radian Mortgage Capital Trust 2025-J4, as indicated above. The transaction is expected to close on Oct. 23, 2025. The notes were supported by 303 prime loans with a total balance of approximately $297.4 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Radian Mortgage Capital LLC from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Collateral attributes are strong, with a WA FICO of 774, WA DTI of 36.8%, and WA mark-to-market CLTV of 72.0%; all loans are first-lien, fully documented, and current with no delinquencies. The pool is predominantly owner-occupied (94.0%) with second homes at 6.0%, and property types are mainly single-family/PUD, with limited condo exposure. Origination channels are diversified across retail, correspondent, and broker, and the purpose mix is primarily purchase (78.0%), with limited refi and cash-out. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RMCT 2025-J4 has a final probability of default (PD) of 11.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.7%. The expected loss in the 'AAAsf' rating stress is 4.3% (see Highlights and Asset Analysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in RMCT 2025-J4 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. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios (see Highlights and Cash Flow Analysis sections for more details). The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RMCT 2025-J4 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RMCT 2025-J4, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. 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 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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 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. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2025-CES10: Fitch Gives B(EXP) Rating on 5 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES10 (RCKT 2025-CES10). Entity/Debt Rating ----------- ------ RCKT 2025-CES10 A-1A LT AAA(EXP)sf Expected Rating A1-B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by RCKT Mortgage-Backed Notes, Series 2025- CES10 (RCKT 2025-CES10), as indicated above. The notes are supported by 6,496 closed-end second-lien (CES) loans with a total balance of approximately $582 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2025-CES10 has a final probability of default (PD) of 18.30% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 95.86%. The expected loss in the 'AAAsf' rating stress is 18.00% (see Highlights and Asset Analysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2025-CES10 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal first to repay any current or previously allocated cumulative applied realized losses, then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyses the capital structure to determine the adequacy of the transaction's Credit Enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. See Cash Flow Analysis section for more details. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.0% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2025-CES10 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Shortened Liquidation Timelines: Fitch's analysis for this transaction assumed liquidation timelines of six months in the base case up to 12 months in the AAAsf stress compared to 18 months to 36 months for first lien collateral. RCKT 2025-CES10 incorporates an optional loan charge off at 180 days delinquent. Based on historical observations, second lien collateral typically liquidates after 180 days delinquent. Fitch assumes in the Base Case that the charge off feature will be exercised as soon as possible with lower probabilities of charge off in the higher rating cases. When taken together with its presumed modification timelines of 12 months, Fitch's all in timelines ranged from nine months at the Base Case to 12 months at its 'AAAsf' Rating Case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B". 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. REALT 2016-2: DBRS Confirms B(high) Rating on Class G Certs ----------------------------------------------------------- DBRS Limited confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2016-2 issued by Real Estate Asset Liquidity Trust (REALT) Series 2016-2 as follows: -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class X at AA (high) (sf) -- Class D at AA (sf) -- Class E at A (sf) -- Class F at BB (high) (sf) -- Class G at B (high) (sf) Morningstar DBRS changed the trends on Classes D, E, and X to Positive from Stable. The trends on all remaining classes are Stable. The credit rating confirmations and Positive trends reflect the significant deleveraging since issuance and the continued stable performance of the remaining collateral. Since Morningstar DBRS' prior credit rating action, eight loans were repaid in full, bringing the pool's total collateral reduction to 78.5% since issuance, as of the September 2025 remittance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that the majority of the remaining 14 loans are generally well positioned to successfully repay at their respective maturity dates, all of which are scheduled by Q3 2026. While Morningstar DBRS is not forecasting any realized loss to the rated certificates with this review, there are two loans, discussed in further detail below, that are exhibiting characteristics consistent with elevated refinance risk. Although the results of the CMBS Insight Model suggest positive pressure to the credit ratings for Classes F and G, and there remains the full balance of the $8.4 million unrated Class H certificate in the first loss position, Morningstar DBRS opted to confirm the credit ratings for both classes with Stable trends given the uncertain refinancing timelines for both aforementioned loans. As of the September 2025 remittance, there are no delinquent or specially serviced loans; however, nine loans, representing 65.6% of the current pool balance, are on the servicer's watchlist, and are primarily being monitored for upcoming maturities. The pool is most concentrated by loans backed by office and industrial collateral, representing 27.6% and 38.8% of the pool, respectively, with all remaining loans benefitting from some level of meaningful recourse to the loan's sponsor. As part of its analysis, Morningstar DBRS identified two loans, representing 23.3% of the pool, exhibiting elevated refinance risk; both of which were analyzed with stressed loan-to-value ratios (LTVs) and increased probabilities of default (POD). The Cameron Street Industry Hawkesbury (Prospectus ID#6, 12.6% of the pool), is secured by two industrial properties, 1303 Cameron and 1173 Cameron, totaling 264,256 square feet in Hawkesbury, Ontario, and is scheduled to mature in October 2025. The loan has been monitored on the watchlist since August 2024 after the 1173 Cameron property was noted to be in a nonfunctioning state following the departure of its sole tenant. According to servicer commentary, an offer was received to sell the 1173 Cameron property for $3.3 million (an increase from its issuance value of $1.7 million); however, the sale fell through after the buyer failed to meet financing conditions. The 1303 Cameron property remains 100% occupied by Robert Transport on a month-to-month lease. While YE2024 financials have not been reported, Morningstar DBRS expects net cash flow to remain in line with YE2023 levels, when a debt service coverage ratio (DSCR) of 1.24 times (x) was reported. Given the need for capital improvements to the 1173 Cameron property, Morningstar DBRS anticipates that a maturity extension will be necessary to allow for time to either improve the property's quality or sell the property as-is. In the analysis for this review, Morningstar DBRS increased the loan's LTV to 101.5%, reflective of a 50% haircut applied to the collateral's issuance value, and applied an elevated POD, resulting in an expected loss 4.0x greater than the pool average. The Rue Laval loan (Prospectus ID#10, 10.8% of the pool) is secured by an office property in Gatineau, Québec. The loan is being monitored on the servicer's watchlist for its upcoming October 2025 maturity as well as for a decline in DSCR following the departure of its third largest tenant, which previously occupied 14.8% of the net rentable area (NRA). The property's occupancy declined to 74.0% as of YE2024 with a DSCR of 0.89x. According to the December 2024 rent roll, the second largest tenant, Sitecore Canada (12.7% of NRA), had a lease expiry in December 2024. An online leasing brochure from Loopnet shows that the space is currently available to lease, suggesting that tenant has vacated. Based on the available spaces advertised on Loopnet, the implied occupancy of the property is currently 61.5%. Given the significant increase in vacancy, Morningstar DBRS expects a loan extension or modification to be executed to allow the sponsor more time to stabilize operations and refinance the loan. In the analysis for this review, Morningstar DBRS increased the loan's LTV to 100.0% and applied an elevated POD, resulting in an expected loss 2.0x greater than the pool average. Notes: All figures are in Canadian dollars unless otherwise noted. REGATTA VII FUNDING: Moody's Assigns Ba3 Rating to Cl. E-R3 Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Regatta VII Funding Ltd. (the "Issuer"). Moody's rating action is as follows: US$244,000,000 Class A1-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$8,000,000 Class A2-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$41,300,000 Class B-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$21,000,000 Class C-R3 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A1 (sf) US$26,000,000 Class D-R3 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$23,500,000 Class E-R3 Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Regatta Loan Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the Refinancing Notes' non-call period and updates in the Benchmark definition to adopt Term SOFR as the Benchmark for the Refinancing Notes. No action was taken on the Class X notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $385,969,667 Defaulted par: $1,948,037 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2901 Weighted Average Spread (WAS): 3.05% Weighted Average Recovery Rate (WARR): 45.96% Weighted Average Life (WAL): 5.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. 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. RIN IV LTD: Moody's Assigns (P)Ba3 Rating to $8MM Class E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CLO refinancing notes (the Refinancing Notes) to be issued by RIN IV Ltd. (the Issuer): US$256,000,000 Class A-1-R Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$8,000,000 Class A-2-R Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$40,000,000 Class B-R Floating Rate Senior Notes due 2038, Assigned (P)Aa3 (sf) US$24,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)A3 (sf) US$24,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)Baa3 (sf) US$8,000,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)Ba3 (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 project finance collateralized loan obligations' (PF CLO) portfolio and structure. The Issuer is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted and merchant subsectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of permitted debt securities (senior secured bond, senior secured note, second priority senior secured note and high-yield bond) and second lien loans. The portfolio is approximately 90% ramped as of the closing date. RREEF America L.L.C. (the Portfolio Advisor), a subsidiary of DWS Group GmbH & Co. KGaA, will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, reinvestment in assets is not permitted after the reinvestment period. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1806 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2599 Weighted Average Spread (WAS): 2.85% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.70% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.80% Weighted Average Life (WAL): 8.0 Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 17.50% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 14.75% Power Infrastructure Obligors: 44.75% Long Dated Assets: 2.5% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Collateralized Loan Obligations" published in October 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ROMARK CLO-IV: S&P Assigns BB- (sf) Rating on Class D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2a-R, B-R, C-1-R, C-2-R, and D-R debt from Romark CLO-IV Ltd./Romark CLO-IV LLC, a CLO managed by Romark CLO Advisors LLC that was originally issued in June 2021. At the same time, S&P withdrew its ratings on the previous class A-1, A-2a, B, C-1, C-2, and D debt following payment in full on the Oct. 10, 2025, refinancing date. S&P also affirmed its rating on the class A-2b 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 July 26, 2026. -- No additional assets were purchased on the Oct. 10, 2025, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Jan. 10, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the replacement class D-R debt. However, we assigned our 'BB- (sf)' rating on the class D-R debt after considering the margin of failure and positive performance trend of the transaction since the time the rating on the previous class D debt had been placed in CreditWatch with negative implications. Since the CreditWatch placement, credit enhancement has shown improvement, indicating a positive performance trajectory. Exposure to assets rated in the 'CCC' category has declined since both our last rating actions on this transaction and the time of the CreditWatch placement. Additionally, the portfolio quality and coverage tests continue to pass, which reinforces some stability in the performance of the collateral portfolio. The overcollateralization ratio has remained relatively stable since our last rating action. Furthermore, the refinancing--evaluated as credit neutral to credit positive for the transaction--suggests that any impact from the reduced cost of capital is helping to offset some of the cash flow results observed at the time of the CreditWatch placement." Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $245.00 million: Three-month CME term SOFR + 1.14% -- Class A-2a-R, $45.00 million: Three-month CME term SOFR + 1.65% -- Class B-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.05% -- Class C-1-R (deferrable), $16.00 million: Three-month CME term SOFR + 3.15% -- Class C-2-R (deferrable), $8.00 million: Three-month CME term SOFR + 4.65% -- Class D-R (deferrable), $14.20 million: Three-month CME term SOFR + 6.90% Original debt -- Class A-1, $240.00 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class A-2a, $50.00 million: Three-month CME term SOFR + 1.80% + CSA(i) -- Class B (deferrable), $24.00 million: Three-month CME term SOFR + 2.35% + CSA(i) -- Class C-1 (deferrable), $16.00 million: Three-month CME term SOFR + 3.20% + CSA(i) -- Class C-2 (deferrable), $8.00 million: Three-month CME term SOFR + 5.00% + CSA(i) -- Class D (deferrable), $14.20 million: Three-month CME term SOFR + 6.95% + CSA(i) -- Subordinated notes, $36.65 million: N/A (i)The CSA is 0.26161%. CSA--Credit spread adjustment. N/A--Not applicable. 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 rated tranche. "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 Romark CLO-IV Ltd./Romark CLO-IV LLC Class A-1-R, $245.00million: AAA (sf) Class A-2a-R, $45.00 million: AA (sf) Class B-R (deferrable), $24.00 million: A (sf) Class C-1-R (deferrable), $16.00 million: BBB+ (sf) Class C-2-R (deferrable), $8.00 million: BBB- (sf) Class D-R (deferrable), $14.20 million: BB- (sf) Ratings Withdrawn Romark CLO-IV Ltd./Romark CLO-IV LLC Class A-1 to NR from 'AAA (sf)' Class A-2a to NR from 'AA (sf)' Class B (deferrable) to NR from 'A (sf)' Class C-1 (deferrable) to NR from 'BBB+ (sf)' Class C-2 (deferrable) to NR from 'BBB- (sf)' Class D (deferrable) to NR from 'BB- (sf)'/Watch Neg Rating Affirmed Romark CLO-IV Ltd./Romark CLO-IV LLC Class A-2b: AA (sf) Other Debt Romark CLO-IV Ltd./Romark CLO-IV LLC Subordinated notes, $36.65 million: NR NR--Not rated. RR 27 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Outlooks to the RR 27 LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 27 LTD A-1a 78110VAA2 LT PIFsf Paid In Full AAAsf A-1a-R LT NRsf New Rating A-1b 78110VAC8 LT PIFsf Paid In Full AAAsf A-1b-R LT AAAsf New Rating A-2-R LT AAsf New Rating A-2a 78110VAE4 LT PIFsf Paid In Full AA+sf A-2b 78110VAQ7 LT PIFsf Paid In Full AAsf B 78110VAG9 LT PIFsf Paid In Full Asf B-R LT Asf New Rating C-1 78110VAL8 LT PIFsf Paid In Full BBBsf C-1a-R LT BBBsf New Rating C-1b-R LT BBB-sf New Rating C-2 78110VAN4 LT PIFsf Paid In Full BBB-sf C-2-R LT BBB-sf New Rating D 78110WAA0 LT PIFsf Paid In Full BBsf D-R LT BB-sf New Rating Transaction Summary RR 27 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. The existing secured notes will be refinanced in whole on Oct. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.75 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 98.15% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.57% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BBsf' and 'A+sf' for class A-2-R, between 'B-sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1a-R, between less than 'B-sf' and 'BB+sf' for class C-1b-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1a-R, 'Asf' for class C-1b-R, and 'A-sf' for class C-2-R and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 27 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. RWC COMMERCIAL 2025-1: DBRS Finalizes B Rating on Class F Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1 (the Certificates) issued by RWC Commercial Mortgage 2025-1 Trust (RWC 2025-1 or the Trust): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. The collateral for the RWC 2025-1 transaction consists of 48 fixed-rate loans secured by 48 multifamily properties, including 26 garden-style multifamily properties, 13 low-rise apartment complexes, eight mid-rise apartment complexes, and one build-to-rent property (comprised of multiple single-family rentals). The loans have an aggregate cut-off date balance of $165.0 million and an average loan size of $3.4 million. The loans were originated between November 2023 and May 2025. All 48 loans have five-year loan terms and are full-term IO. Morningstar DBRS analyzed the pool to determine the provisional credit ratings, reflecting the long-term probability of default (POD) within the term and its liquidity at maturity. When the cut-off balances are measured against the Morningstar DBRS net cash flow (NCF) and their respective constants, the resulting weighted-average (WA) Morningstar DBRS debt service coverage ratio (DSCR) is 1.06 times (x). Forty-three loans, representing 92.2% of the pool balance, exhibit a Morningstar DBRS DSCR less than or equal to 1.25x, which is typically the threshold that indicates a higher likelihood of midterm default. The deal exhibits a moderately high Morningstar DBRS WA Issuance loan-to-value ratio (LTV) and Morningstar DBRS WA Balloon LTV of 68.1%. Twenty-seven loans, comprising 56.2% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold which typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. On each distribution date, any available monthly excess cashflow (generated from the excess of the net weighted-average coupon rate over the WA of the pass-through rates of the Class A, Class A-S, Class B, Class C, Class D, Class E, Class F, and Class G certificates) will first be used to cover any realized loss on the mortgage loans and reimburse any previously allocated realized losses on the certificates. Any remaining excess cash flow will be distributed to the Class G certificates. All 48 loans in the pool, comprising 100.0% of the pool balance, are secured by multifamily properties. Multifamily properties have historically demonstrated lower rates of default compared with the majority of other commercial property types and, as a result, typically have lower expected losses. The asset class is viewed favorably by Morningstar DBRS because of the current high cost of home ownership and strong rental tailwinds. The pool consists of 48 performing loans secured by 48 properties spread across 14 states and 22 metropolitan statistical areas (MSAs), resulting in a Herfindahl score of 34.2, significantly above the majority of recent traditional commercial mortgage-backed securities (CMBS) conduit transactions. The higher loan count and diversification are credit-positive and result in an overall decrease in credit enhancement levels. The individual exposure to any potentially problematic loan in the pool decreases as the pool size increases. Six loans, representing 16.3% of the pool, are backed by properties with a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area that experiences increased liquidity driven by strong investor demand, even during times of market stress. Additionally, 17 loans, comprising 29.3% of the pool, are backed by properties with a Morningstar DBRS Market Rank of 5 or 6, which are indicative of less-dense urban areas or dense suburban areas and benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. Twenty-two loans, representing 46.8% of the pool, are collateralized by properties in Morningstar DBRS MSA Group 3, which represents the best-performing MSA Group out of the top 25 MSAs in terms of historical CMBS default rates. Only seven loans, comprising 18.7% of the pool, are backed by properties in Morningstar DBRS MSA Group 1, which have historically shown the highest rates of default. Twenty-one loans, comprising 45.3% of the pool, are acquisition loans--a higher percentage of the pool than in many recent CMBS conduit transactions. Morningstar DBRS typically views acquisition financing more favorably than refinancing or recapitalizing existing debt as 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. The pool has a WA Morningstar DBRS DSCR of 1.06x, considerably lower than recent CMBS conduit transactions. Nine loans, representing 19.9% of the pool balance, have a Morningstar DBRS DSCR less than 1.00x, indicating that these loans may have difficulty servicing their debt if cash flows decrease from historical levels. Loans with lower DSCRs receive a POD penalty in Morningstar DBRS' model. The pool has a WA Morningstar DBRS Issuance LTV of 68.1%, indicating moderately high leverage. Three loans, comprising 8.0% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 75.73%, a threshold which typically correlates to the highest frequency of default. All 48 loans in the pool are full-term interest only (IO) and do not benefit from any amortization, resulting in a high WA Morningstar DBRS Balloon LTV of 68.1%. Loans with higher Morningstar DBRS Issuance LTVs and Morningstar DBRS Balloon LTVs receive a POD penalty in Morningstar DBRS' model. Of the 20 loans sampled by Morningstar DBRS, seven loans, comprising 40.9% of the Morningstar DBRS sample, received a property quality assessment of Average -, and two loans, comprising 3.7% of the Morningstar DBRS sample, received a property quality assessment of Below Average. Only one loan, comprising 5.7% of the Morningstar DBRS sample, received a property quality assessment of Average +. Morningstar DBRS applied Average - property quality to all nonsampled loans, resulting in 66.8% of the pool receiving a property quality assessment of Average - or Below Average. Lower-quality properties may be less likely to retain existing tenants and do not attract new tenants as easily, resulting in less stable performance. Five sampled loans, comprising 17.3% of the pool, were classified as having Weak sponsorship, which increases the POD in the Morningstar DBRS model. This designation was generally applied to sponsors that had lower net worth and liquidity, a history of prior defaults or delinquencies, and/or a lack of experience in commercial real estate. Furthermore, only one sampled loan, comprising 1.5% of the pool, was determined to have Strong sponsorship. Morningstar DBRS applied Average sponsor strength to all nonsampled loans. Twenty-five loans, comprising 52.1% of the pool balance, have dated appraisals that will be at least one year old as of the October 1, 2025, cut-off date, including two loans with appraisals that will be almost two years old. In addition, 40 loans, representing 80.4% of the pool balance, have their most recent property financials dated December 2024 or earlier, while 22 loans, representing 40.8% of the pool balance, have their most recent occupancy figures dated December 2024 or earlier. Morningstar DBRS made LTV adjustments to all loans with appraisals that will be at least one year old as of the cut-off date. Morningstar DBRS applied a conservative approach in its cash flow analysis to account for the dated property financials, resulting in an average NCF variance of -13.3% for the 20 sampled loans. This is above the average Morningstar DBRS sampled NCF variance for recent Freddie Mac transactions. Per the terms of the offering circular, property condition reports (PCRs) are not required for loans with an original balance less than $3.5 million. PCRs were not available for 27 loans representing 35.1% of the pool balance, including one loan with a balance of more than $3.5 million secured by a property whose construction was completed within 12 months of origination. Morningstar DBRS applied an NCF variance of -15.0% to the nonsampled loans, above the average sampled NCF variance of -13.3%, to account for the lack of property condition reports for the smaller loans and therefore the possibility that annual replacement reserves could exceed the typical Morningstar DBRS standard. Notes: All figures are in U.S. dollars unless otherwise noted. SANTANDER MORTGAGE 2025-CES1: Fitch Rates Cl. B-2 Notes 'B(EXP)' ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Santander Mortgage Asset Receivable Trust 2025-CES1 (SAN 2025-CES1). Entity/Debt Rating ----------- ------ SAN 2025-CES1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties to be issued by Santander Mortgage Asset Receivable Trust 2025-CES1 (SAN 2025-CES1), as indicated above. This is the first transaction to be rated by Fitch that includes 100% CES loans from SAN. The transaction is scheduled to close on Oct. 28, 2025. The pool consists of 3,741 fixed rate non-seasoned performing CES loans with a current outstanding balance (as of the cutoff date) of $289.33 million, with terms in the 10-30 year range. The mortgaged are secured by the following residential properties: single-family detached or attached dwelling units, planned unit developments, two- to- four family residential properties, individual townhouse unit, and individual condominium units. The loans in the pool are solely originated by PennyMac Loan Services (Acceptable) and serviced solely by PennyMac Loan Services (RPS2). The master servicer is NewRez LLC (RMS3) Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in November 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates or (ii) the net weighted average coupon (WAC) for such distribution date. On and after November 2029, the pass-through rate will be a per annum rate equal to the lower of the sum of the applicable fixed rate set forth in the table above for such class of certificates, and the step-up rate (1.0%), or net WAC rate for the related distribution date. The pass-through rate on the class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of the applicable fixed rate set forth for such class of certificates or the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Credit Risk of High Quality Prime Mortgage 2nd Lien Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 3,741 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]) condos, and townhouses totaling $289.33 million. All loans are fully documented. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of four months, according to Fitch, and three months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 743, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 67.0%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 75.2%. These strong collateral attributes are reflected in Fitch's loss analysis. SAN 2025-CES1 has a Final PD of 17.73% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 96.53%. The expected loss in the 'AAAsf' rating stress is 17.48%. Structural Analysis (Mixed): SAN 2025-CES1 has a Sequential Structure with No Advancing of Delinquent P&I. The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes (pro-rata) and then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. If the transaction is not called in November 2029, the class coupons on the A-1A, A-1B, A-2, and A-3 will step up by 1.00%. The transaction has monthly excess cash flows that are used to repay any realized losses incurred and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and, once the A-2 class is written off, the class A-1B will take losses first and then losses will be allocated to A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SAN 2025-CES1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SAN 2025-CES1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any Rating Caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 10.5% in the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, regulatory compliance, and property valuation. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. 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. SARANAC CLO VI: Moody's Cuts Rating on $17MM Class E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Saranac CLO VI Limited: US$17,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on July 7, 2025 Downgraded to B2 (sf) Saranac CLO VI Limited, originally issued in August 2018 and partially refinanced in September 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2023. A comprehensive review of all credit ratings for the respective transaction(s) 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 OC ratio for the Class E notes is currently 97.98%, versus June 2025 level of 98.86%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3725, compared to 3608 in June 2025. No actions were taken on the Class A-1R, Class A-2FR, Class B, Class C-1R, Class C-FR 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 the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $156,984,896 Defaulted par: $8,254,215 Diversity Score: 47 Weighted Average Rating Factor (WARF): 3725 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.64% Weighted Average Recovery Rate (WARR): 46.95% Weighted Average Life (WAL): 2.9 years Par haircut in OC tests and interest diversion test: 3.87% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. 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. SEQUOIA MORTGAGE 2025-11: Fitch Assigns B+(EXP) Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-11 (SEMT 2025-11). Entity/Debt Rating ----------- ------ SEMT 2025-11 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO31 LT AAA(EXP)sf Expected Rating AIO69 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A+(EXP)sf Expected Rating B2A LT A+(EXP)sf Expected Rating B2X LT A+(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B+(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 410 loans with a total balance of approximately $499.95 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) and originated by Rocket Mortgage and various originators. Servicing is performed by SPS and Cornerstone Servicing. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 775 and 35.5% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 72.3% mark-to-market combined LTV (cLTV). Overall, 92.3% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 100% of the loans were underwritten to full documentation. SEMT 2025-10 is the second Redwood transaction to be analyzed and rated under Fitch's updated U.S. RMBS Rating Criteria published on Oct. 1, 2025. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2025-11 has a final probability of default (PD) of 9.40% in the 'AAAsf' rating stress test. Fitch's final loss severity in the 'AAAsf' rating stress test is 35.33%. The expected loss in the 'AAAsf' rating stress test is 3.32%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2025-11 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. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 98.5% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2025-11 to be fully de-linked and a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2025-11, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIERRA TIMESHARE 2025-3: Fitch Rates Class D Notes 'BBsf' --------------------------------------------------------- Fitch Ratings has assigned final ratings and Outlooks to notes issued by Sierra Timeshare 2025-3 Receivables Funding LLC (Sierra 2025-3). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L; formerly Wyndham Destinations, Inc.). This is T+L's 53rd public Sierra transaction. Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2025-3 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Borrower Risk—Consistent Credit Quality: Approximately 70.48% of Sierra 2025-3 consists of WVRI-originated loans. The remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 742, which is consistent with the prior transaction. The collateral pool has nine months of seasoning and comprises 62.24% of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy—Shifting CGDs: Like other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2023 vintages show increasing gross defaults, tracking outside of peak levels experienced in 2008. This is partially driven by an increased usage of paid product exits (PPEs). The 2022-2024 transactions are generally demonstrating weakening default trends relative to improved performance in 2020-2021 transactions, although trending around the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 21.50%, consistent with 21.50% for 2025-2. Given the current economic environment, default vintages reflecting more recent vintage performance were used, specifically of the 2015-2019 vintages. Structural Analysis—Shifting CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 53.00%, 33.10%, 13.60% and 4.50%, respectively. CE is lower for classes A, B, and C, and the same for class D, relative to 2025-2, mainly due to differences in subordination. Hard CE comprises overcollateralization, a reserve account and subordination. Soft CE is also provided by excess spread and is 9.29% per annum. Default coverage for all notes can support CGD multiples of 3.00x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. Originator/Seller/Servicer Operational Review—Quality of Origination/Servicing: Fitch considers T+L to have demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of up to one rating category for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. STEELE CREEK 2014-1R: Moody's Cuts $18.9MM E Notes Rating to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Steele Creek CLO 2014-1R, Ltd.: US$26,400,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to A1 (sf); previously on May 22, 2025 Upgraded to A3 (sf) Moody's have also downgraded the rating on the following note: US$18,900,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa1 (sf); previously on May 16, 2024 Downgraded to B1 (sf) Steele Creek CLO 2014-1R, Ltd., issued in March 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class B notes have been paid down by approximately 18.1% or $7.3 million since then. Based on Moody's calculations, the OC ratios for the Class B, Class C and Class D notes are currently 317.00%, 183.93% and 125.83%, respectively, versus May 2025 levels of 290.72%, 182.54% and 129.52%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E is currently 102.62%, versus May 2025 level of 107.23%. Furthermore, based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating, and the current levels is 3140 compared to 2924 in May 2025. No actions were taken on the Class B and Class C notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology. 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: $104,219,019 Defaulted par: $2,658,520 Diversity Score: 34 Weighted Average Rating Factor (WARF): 3140 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.08% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.67% Weighted Average Life (WAL): 2.73 years Par haircut in OC tests and interest diversion test: 3.42% 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 "Collateralized Loan Obligations" published in October 2025. 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. STEELE CREEK 2016-1: Moody's Cuts Rating on $13.5MM E-R Notes to B3 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Steele Creek CLO 2016-1, Ltd.: US$13,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to B3 (sf); previously on September 4, 2024 Downgraded to B1 (sf) Steele Creek CLO 2016-1, Ltd., originally issued in June 2016 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in June 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class 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 OC ratio for the Class E notes is currently at 104.28% versus May 2025 level of 105.36%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 2977 compared to 2802 in May 2025. No actions were taken on the Class A-R, Class B-R, Class C-R, Class D-R and Class F-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $117,935,638 Diversity Score: 47 Weighted Average Rating Factor (WARF): 2977 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.07% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.96% Weighted Average Life (WAL): 2.93 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. 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. STEELE CREEK 2018-1: Moody's Cuts Rating on $16MM E Notes to B3 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Steele Creek CLO 2018-1, Ltd.: US$24,500,00 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on November 13, 2024 Upgraded to Aa1 (sf) US$23,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on September 15, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the rating on the following note: US$16,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B3(sf); previously on November 13, 2024 Downgraded to B1(sf) Steele Creek CLO 2018-1, Ltd., issued in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction(s) 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 November 2024. The Class A notes have been paid down by approximately 54.6% or $66.6 million since then. Based on Moody's calculations, the OC ratios for the Class A/B, Class C and Class D notes are currently 170.36%, 136.65% and 114.86%, respectively, versus November 2024 levels of 144.13%, 125.59% and 111.80%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E is currently 103.60%, versus November 2024 level of 104.02%. Furthermore, based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating, and the current level is 3055 compared to 2738 in November 2024. No actions were taken on the Class A and Class B notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $168,133,813 Defaulted par: $2,964,478 Diversity Score: 42 Weighted Average Rating Factor (WARF): 3055 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.08% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.20% Weighted Average Life (WAL): 2.96 years Par haircut in OC tests and interest diversion test: 2.28% 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 "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TCI-SYMPHONY CLO 2016-1: Moody's Cuts Rating on E-R-2 Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by TCI-Symphony CLO 2016-1 Ltd.: US$60,000,000 Class B-R-2 Senior Secured Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on November 23, 2021 Assigned Aa2 (sf) US$27,500,000 Class C-R-2 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa3 (sf); previously on November 23, 2021 Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$24,000,000 Class E-R-2 Senior Secured Deferrable Mezzanine Floating Rate Notes due 2032, Downgraded to B1 (sf); previously on November 23, 2021 Assigned Ba3 (sf) TCI-Symphony CLO 2016-1 Ltd., originally issued in September 2016 and refinanced in November 2018, October 2019 and November 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 November 2023. A comprehensive review of all credit ratings for the respective transaction(s) 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 September 2024. The Class A-R-2 notes have been paid down by approximately 21.8% or $69.9 million since then. Based on the trustee's September 2025 report[1], the OC ratios for the Class B-R-2 and Class C-R-2 notes are reported at 140.73% and 125.53%, respectively, versus September 2024 levels[2] of 134.51% and 123.11%, respectively. The downgrade rating action on the Class E-R-2 notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's September 2025 report[3], the OC ratio for the Class E-R-2 notes is reported at 104.07% versus September 2024 level[4] of 105.97%. No actions were taken on the Class A-R-2 and Class D-R-2 notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $322,143,446 Defaulted par: $6,195,397 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3259 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.08% Weighted Average Coupon (WAC): 3.99% Weighted Average Recovery Rate (WARR): 46.62% Weighted Average Life (WAL): 3.17 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 "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TCW CLO 2017-1: Fitch Assigns 'BB-sf' Rating on Class ER4 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO 2017-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ TCW CLO 2017-1, Ltd. Reset 2025 A1R4 LT NRsf New Rating AL1R4 LT NRsf New Rating AL2R4 LT NRsf New Rating AJR4 LT AAAsf New Rating BR4 LT AAsf New Rating CR4 LT Asf New Rating D1R4 LT BBB+sf New Rating DJR4 LT BBB-sf New Rating ER4 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary TCW CLO 2017-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by TCW Asset Management Company LLC, which originally closed in Aug 2017. This is the fourth refinancing of the transaction where the existing notes will be refinanced in whole on Oct. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $526 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.69, 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 98.24% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.62% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class AJR4, between 'BB+sf' and 'A+sf' for class BR4, between 'B+sf' and 'BBB+sf' for class CR4, between less than 'B-sf' and 'BBB-sf' for class D1R4, and between less than 'B-sf' and 'BB+sf' for class DJR4 and between less than 'B-sf' and 'BBsf' for class ER4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class AJR4 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 BR4, 'AA-sf' for class CR4, 'A+sf' for class D1R4, and 'Asf' for class DJR4 and 'BBB+sf' for class ER4. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for TCW CLO 2017-1, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2025-R2: Fitch Gives 'B-(EXP)sf' Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings expects to rate Towd Point Mortgage Trust 2025-R2 (TPMT 2025-R2). Entity/Debt Rating ----------- ------ TPMT 2025-R2 A1 LT A-(EXP)sf Expected Rating A12 LT BBB-(EXP)sf Expected Rating A2 LT BBB-(EXP)sf Expected Rating M1 LT BB+(EXP)sf Expected Rating M2 LT BB(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating Transaction Summary The transaction is a re-securitization of 26 tranches (comprised of six mezzanine or senior interest-only bonds, and 20 underlying subordinate bonds) from 20 bespoke re-performing Loan (RPL) transactions. These include six underlying Freddie Mac Seasoned Credit Risk Transfer (SCRT) transactions, two Citi Mortgage Loan Trust (CMLTI) transactions, four Mill City Mortgage Loan Trust (MCMLT), three New Residential Mortgage Loan Trust (NRMLT) and five underlying Towd Point Mortgage Trust (TPMT) transactions. KEY RATING DRIVERS Re-REMIC Structure (Positive) TPMT 2025-R2 is a re-securitization of 26 RPL REMIC tranches with a contributing balance totaling approximately $408 million (excluding the contribution from notional interest-only or excess-cashflow classes). The notes benefit from credit enhancement (CE) at the Re-REMIC level, excess cashflow at the Re-REMIC level in the form of the 15% B5 bonds issued as a Principal Only, minimal CE at the underlying level and the potential for excess interest at the underlying level. The transaction utilizes a fully sequential structure whereby interest collections are paid sequentially, and principal collections can be used to pay interest shortfalls on the most senior bond then outstanding prior to paying down the principal balance sequentially. To the extent there is excess interest remaining after all distributions are made, it can be used to turbo down the bonds sequentially, resulting in the creation of over collateralization. Strong Performance to Date (Positive) All of the underlying transactions and associated underlying bonds were issued more than four years ago and comprise loans with average seasoning in excess of 19 years. Since the underlying deals were issued, they have paid down by more than 50% on average and have typically experienced losses less than 1% of the issuance balance. Prepayment rates have consistently run around 5% since interest rates rose in 2022 (prior to the current rate environment they were closer to 10%). Current delinquencies have run at mid-single digits almost exclusively since issuance (except for a temporary spike in late payments during the COVID-19 pandemic), and the percentage of the collateral two or more years clean pay is approximately 90% for both cohorts. This spike has since resolved, and performance has reverted to long-term trends. There have been substantial home price gains with average mark-to-market loan-to-value ratios running at sub-50%. At the bond level, write-downs have been very modest with only one bond incurring a loss of more than 10% of its original balance (while the deals have paid down ~50%). A number of bonds have incurred zero losses to date and also built up over-collateralization to protect against future losses. No Advancing on Underlying Transactions (Mixed): None of the underlying transactions are structured with any amount of servicer advancing for delinquent P&I. For deals structured to not include servicer advances, servicers will not be advancing on delinquent monthly payments of principal and interest. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, so the loan-level loss severities (LS) are less for those transactions than those where the servicer is obligated to advance on P&I. However, given the subordinate nature of the underlying bonds collateralizing the securitization, the lack of advancing can introduce heightened cashflow volatility. There is minimal, if any, credit support on the underlying to protect against delinquencies. Interest Rate Reduction Stress (Negative) The analysis incorporates an interest rate reduction assumption on the underlying mortgage loans due to the sensitivity of certain of the underlying structures to interest rate reductions. The SCRT bonds are highly sensitive to interest rate reductions as the underlying senior bonds are guaranteed a fixed coupon. Running a rate reduction on this collateral led to cashflow being removed at the Re-REMIC level, resulting in much higher CE needed to pass the target rating stresses. Although this stress scenario is highly unlikely given current loan coupons and the interest rate environment, Fitch incorporated it into the rating assessment due to the bonds' sensitivity to this risk. Adjusted Net WAC Stress (Negative) The stated coupon on the P&I bonds at the ReREMIC level is set to the lower of the Fixed rate (4.5% for the class A1/A2, and 4.0% for the Class M1/M2 and B1-B4) or the Adjusted Underlying Net Weighted Average Coupon (WAC) Rate. It is highly likely that in most periods the bonds will be limited by the Adjusted Net WAC and accrue coupon cap shortfalls. The deal prioritizes repayment of coupon cap shortfalls to the most senior bond then outstanding from interest collections. This results in a larger amount of principal being required to repay outstanding interest shortfalls to the A2 bond and below resulting in a higher amount of CE to ensure full payment of principal and repayment of all interest shortfalls. Fitch's rating analysis only assumes payment of interest at the Adjusted Underlying Net WAC rate and not at the stated 4.5%. Updated Sustainable Home Prices (Negative) Fitch views the home price values of these pools as roughly 9.5% above a long-term sustainable level (vs. 10.5% on a national level as of 1Q25, down 0.5% since last quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.3% YoY nationally as of May 2025 despite modest regional declines but are still being supported by limited inventory). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'A-sf' rating, a 10% MVD could result in a downgrade to 'BB+sf', while a 20% or 30% MVD could result in a downgrade to a distressed rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. The analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices could result in an upgrade from 'A-sf' to 'A+sf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PwC. The third-party due diligence described in Form 15E focused on a confirmation of underlying bond characteristics. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UPGRADE AUTO 2025-1: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of Notes issued by Upgrade Auto Receivables Trust 2025-1 (UPGA 2025-1 or the Issuer) as follows: -- $24,400,000 Class A-1 Notes at R-1 (high) (sf) -- $61,000,000 Class A-2 Notes at AAA (sf) -- $61,000,000 Class A-3 Notes at AAA (sf) -- $27,860,000 Class A-4 Notes at AAA (sf) -- $6,770,000 Class B Notes at AA (sf) -- $8,620,000 Class C Notes at A (sf) -- $6,570,000 Class D Notes at BBB (sf) -- $6,160,000 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, credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve account, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date for each respective class. (3) Upgrade's auto executive management team which has more than 20 years' experience in the automobile sector. (4) The capabilities of Upgrade with regard to originations, underwriting (UW), and servicing. -- Morningstar DBRS performed an operational review of Upgrade, Inc. and considers the entity to be an acceptable originator and servicer of prime automobile loan contracts. (5) Upgrade started originating indirect auto loans in August 2023. Although this is Upgrade's first auto loan securitization, they are an experienced player in the unsecured consumer loan industry. -- Upgrade began lending on its auto platform in 2023 and performance history is limited, the managed portfolio has not paid down sufficiently to determine CNL as precisely as desired. The Morningstar DBRS' CNL assumption is 3.60%. Morningstar DBRS analyzed performance of proxy issuers in the ABS market and the performance of Upgrade's auto loan portfolio to determine an expected CNL for the UPGA 2025-1 pool. (6) The credit quality of the collateral and performance of Upgrade's auto loan portfolio. -- The pool includes receivables that are approximately 85.28% used loans and 14.72% new loans. -- On average, the obligors on the automobile loan contracts have FICO scores of 717 (which is calculated using the low point of a FICO08 score band). -- The WA coupon on the loans in the pool is 9.57%. -- The WA stated remaining and original term of the loans in the pool are approximately 72 and 73 months, respectively. -- The WA loan-to-value ratio of the loans in the pool is 109.12%. (7) The UPGA 2025-1 transaction has positive structural features, including the following: -- A nondeclining reserve account that is fully funded at closing (equal to 0.50% of the pool balance as of the cutoff date) -- Initial OC is 1.40%. Thereafter on each distribution date, the Required Overcollateralization Amount will equal 2.90% of the pool balance as of the cutoff date. (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns September 2025 Update, published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (9) The legal structure and presence of legal opinions that address the true sale of the assets to the Depositor; the non-consolidation of the special-purpose vehicle with Upgrade; that the trust has a valid first-priority security interest in the assets; and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. The credit rating on the Class A Notes reflect 15.60% of initial hard credit enhancement provided by the subordinated notes in the pool (13.70%), the reserve account (0.50%), and OC (1.40%). The credit ratings on the Class B, C, D, and E Notes reflect 12.30%, 8.10%, 4.90%, and 1.90% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Upgrade offers consumer credit products such as unsecured consumer loans and auto loans. For auto loan originations, the Company does business primarily with franchised dealerships and a select group of independent dealerships. Additionally, the Company offers Upgrade-branded deposit accounts and provides tools that help consumers understand and monitor their credit. Notes: All figures are in U.S. dollars unless otherwise noted. US CAPITAL I: Moody's Upgrades Ratings on 2 Tranches from Ba1 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by US Capital Funding I LTD: US$45,000,000 Class B-1 Floating Rate Senior Subordinate Notes due 2034 (current balance of $31,937,113.87), Upgraded to Baa2 (sf); previously on February 8, 2019 Upgraded to Ba1 (sf) US$24,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes due 2034 (current balance of $17,033,127.40), Upgraded to Baa2 (sf); previously on February 8, 2019 Upgraded to Ba1 (sf) US Capital Funding I LTD, issued in February 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(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class B-1 and B-2 notes and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class B-1 and B-2 notes have paid down by approximately 11.3% or $4.1 million and 11.3% or 2.2 million, respectively, since October 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class B-2 notes has improved to 119.46%, from October 2024 level of 115.1%. The Class B-1 and B-2 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. Nevertheless, the rating actions also reflect the concentration within the transaction's portfolio. Currently, the five largest assets account for more than 51% of the portfolio 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 658 from 1118 in October 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 methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $58.5 million Defaulted par: $10.0 million Weighted average default probability: 4.72% (implying a WARF of 658) 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. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. 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. US CAPITAL II: Moody's Upgrades Rating on 2 Tranches from Ba2 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by US Capital Funding II Ltd.: US$70,000,000 Class B-1 Floating Rate Senior Subordinate Notes due 2034 (current balance of $58,151,738), Upgraded to Baa2; previously on Sep 21, 2022 Upgraded to Ba2 US$40,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes due 2034 (current balance of $33,229,565), Upgraded to Baa2; previously on Sep 21, 2022 Upgraded to Ba2 US Capital Funding II Ltd. issued in June 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(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the senior-most notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since September 2024. The Class A-2 notes have paid off in full, and the Class B-1 and B-2 notes have been paid down by approximately $11.4 million and $6.5 million, respectively, each by 16.4%, since September 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class B-1 and Class B-2 notes has improved to 122.6%, from 118.6% in September 2024. The Class B-1 and Class B-2 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. 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: $112.0 million Defaulted/deferring par: $18 million Weighted average default probability: 5.46% (implying a WARF of 731) 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 deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. 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 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. US CAPITAL V: Moody's Ups Rating on $42MM Class A-3 Notes from Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by US Capital Funding V, Ltd.: US$193,000,000 Class A-1 Floating Rate Senior Notes Due 2040 (current balance of $39,108,200), Upgraded to Aa1 (sf); previously on Aug 18, 2021 Upgraded to Aa2 (sf) US$30,000,000 Class A-2 Floating Rate Senior Notes Due 2040, Upgraded to Aa3 (sf); previously on Aug 18, 2021 Upgraded to A2 (sf) US$42,000,000 Class A-3 Floating Rate Senior Notes Due 2040, Upgraded to Baa3 (sf); previously on Dec 20, 2019 Upgraded to Ba1 (sf) US Capital Funding V, Ltd., issued in October 2006, 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(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since October 2024. The Class A-1 notes have paid down by approximately 2.88% or $1.16 million since October 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, and Class A-3 notes have improved to 323.59%, 183.12%, and 113.90%, respectively, from October 2024 levels of 316.69%, 181.50%, and 113.60%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. 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 539 from 680 in October 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: $126.55 million Defaulted par: $55.5 million Weighted average default probability: 4.46% (implying a WARF of 539) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class B-1 and Class B-2 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 "TruPS CDOs" published in June 2025. 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. VOYA CLO 2019-3: S&P Affirms BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings placed 66 ratings on 28 U.S. CLO transactions on CreditWatch. Of these 66 CreditWatch placements, 42 were with positive implications and 24 were with negative implications. These CreditWatch placements are based on the classes' performance and changes in metrics. S&P may place ratings on CreditWatch to reflect its opinion that there is at least a one-in-two likelihood of a rating change. Such a CreditWatch placement does not mean a rating change is inevitable. Seven of these transactions are reinvesting, while 21 are in their amortizing phase. Except for three CLOs backed by middle market loans, the rest of the CLOs involved in the actions are backed by broadly syndicated loans. The CreditWatch positive placements are primarily due to the increase of the credit support for those classes at their current rating levels, which is reflected in an increase in their overcollateralization (O/C) ratios and improved cash flow results. The increase in O/C ratios is mostly a result of paydowns to the senior notes. The CreditWatch negative placements are primarily due to a decline of the credit support for those classes at their current rating levels, which is typically reflected in a drop in their O/C ratios and weakened cash flow results. Though the trustee-reported O/C ratios of reinvesting CLOs could be above their minimum required level, these have declined since the respective transactions went effective or since their last rating action (if any after they went effective) While the decline in the O/C ratios of reinvesting CLOs is likely due to par losses, the weakened cash flow results of these reinvesting CLOs are likely due to a combination of par losses and decreases in key metrics of the underlying collateral, such as recovery rates and spreads. The amortizing CLOs could have additional issues--such as increased concentration and higher exposure to 'CCC' rated collateral, etc.--as the portfolio decreases following paydowns. Some amortizing CLOs have senior tranches placed on CreditWatch positive, while, simultaneously, some of their junior tranches were placed on CreditWatch negative. Although the same portfolio backs all of the tranches of each CLO, these CLOs might have opposing rating movements because they experienced both principal paydowns, which increased the senior credit support, and principal losses, which decreased the junior credit support. S&P intends to resolve these CreditWatch placements within 90 days, following a committee review. S&P will continue to monitor the transactions it rates and takes rating actions, including CreditWatch placements, as S&P deems appropriate. Ratings list Rating Issuer Class CUSIP To From Bain Capital Credit CLO 2018-2 Ltd. B-R 05682VAQ8 AA (sf)/Watch Pos AA (sf) Bain Capital Credit CLO 2018-2 Ltd. C-R 05682VAS4 A (sf)/Watch Pos A (sf) Bain Capital Credit CLO 2018-2 Ltd. D-R 05682VAU9 BBB- (sf)/Watch Pos BBB- (sf) Race Point X CLO Ltd. B-1-R 74983DAS6 AA (sf)/Watch Pos AA (sf) Race Point X CLO Ltd. B-2-R 74983DBA4 AA (sf)/Watch Pos AA (sf) Race Point X CLO Ltd. C-1-R 74983DAU1 A (sf)/Watch Pos A (sf) Race Point X CLO Ltd. C-2-R 74983DAW7 A (sf)/Watch Pos A (sf) Race Point X CLO Ltd. D-R 74983DAY3 BBB- (sf)/Watch Pos BBB- (sf) Blackrock Baker CLO 2021-1 Ltd. E 91734KAL1 B- (sf)/Watch Neg B- (sf) Magnetite XXIII Ltd. E-R 55954RAG5 BB- (sf)/Watch Neg BB- (sf) Buttermilk Park CLO Ltd. B-1-R 124166AU3 AA (sf)/Watch Pos AA (sf) Buttermilk Park CLO Ltd. B-2-R 124166AN9 AA (sf)/Watch Pos AA (sf) Buttermilk Park CLO Ltd. C-R 124166AW9 A (sf)/Watch Pos A (sf) Atlas Senior Loan Fund XV Ltd. B-1 04942MAE4 AA (sf)/Watch Pos AA (sf) Atlas Senior Loan Fund XV Ltd. B-2 04942MAG9 AA (sf)/Watch Pos AA (sf) Atlas Senior Loan Fund XV Ltd. C-R 04942MAS3 A (sf)/Watch Pos A (sf) Atlas Senior Loan Fund XV Ltd. E 04942NAA0 BB- (sf)/Watch Neg BB- (sf) Apidos CLO XXIV A-2F-RR 03759CAW0 AA (sf)/Watch Pos AA (sf) Apidos CLO XXIV A-2L-RR 03759CAV2 AA (sf)/Watch Pos AA (sf) Apidos CLO XXIV B-RR 03759CAX8 A (sf)/Watch Pos A (sf) Apidos CLO XXIV C-RR 03759CAY6 BBB- (sf)/Watch Pos BBB- (sf) Fortress Credit BSL VII Ltd. B-R 34956NAQ5 AA (sf)/Watch Pos AA (sf) Fortress Credit BSL VII Ltd. C-R 34956NAS1 A (sf)/Watch Pos A (sf) Fortress Credit BSL VII Ltd. D-R 34956NAU6 BBB- (sf)/Watch Pos BBB- (sf) Mount Logan Funding 2018-1 LP B-R 621887AC2 AA (sf)/Watch Pos AA (sf) Mount Logan Funding 2018-1 LP C-1-R 621887AE8 A (sf)/Watch Pos A (sf) Mount Logan Funding 2018-1 LP C-2-R 621887AG3 A (sf)/Watch Pos A (sf) Greywolf CLO II, Ltd. C-2 398079BL6 BBB- (sf)/Watch Neg BBB- (sf) Greywolf CLO II Ltd. D 39808GAN6 BB- (sf)/Watch Neg BB- (sf) Greywolf CLO III Ltd. (Re-issue) D-R 39809JAA7 BB- (sf)/Watch Neg BB- (sf) Greywolf CLO III Ltd. (Re-issue) E-R 39809JAC3 B- (sf)/Watch Neg B- (sf) Greywolf CLO VII Ltd. A-2 39809AAC2 AA (sf)/Watch Pos AA (sf) Greywolf CLO VII Ltd. B 39809AAE8 A (sf)/Watch Pos A (sf) Greywolf CLO VII Ltd. C 39809AAG3 BBB- (sf)/Watch Pos BBB- (sf) ICG US CLO 2020-1 Ltd. E-R 449252AE5 BB- (sf)/Watch Neg BB- (sf) KCAP F3C Senior Funding LLC C 48669RAC5 A+ (sf)/Watch Pos A+ (sf) KCAP F3C Senior Funding LLC D 48669RAD3 BBB- (sf)/Watch Pos BBB- (sf) KKR CLO 31 Ltd. E 48254MAA1 BB- (sf)/Watch Neg BB- (sf) LCM 28 Ltd. B 50200WAC6 AA+ (sf)/Watch Pos AA+ (sf) LCM 28 Ltd. C 50200WAD4 A (sf)/Watch Pos A (sf) LCM 28 Ltd. E 50200QAA3 B (sf)/Watch Neg B (sf) LCM XVII L.P. B-RR 50190AAR3 AA (sf)/Watch Pos AA (sf) LCM XVII L.P. C-RR 50190AAT9 A (sf)/Watch Pos A (sf) LCM XVII L.P. E-R 50190BAB6 B+ (sf)/Watch Neg B+ (sf) LCM XXII Ltd. C-R 50189GAJ1 BBB (sf)/Watch Pos BBB (sf) 522 Funding CLO 2019-5 Ltd. E-R 33829UAA1 BB- (sf)/Watch Neg BB- (sf) Octagon Investment Partners XVI Ltd. C-R 67590BAW0 A (sf)/Watch Pos A (sf) Octagon Investment Partners XVI Ltd. E-R 67590DAG1 B+ (sf)/Watch Neg B+ (sf) Octagon Investment Partners XVI Ltd. F-R 67590DAJ5 B- (sf)/Watch Neg B- (sf) OCP CLO 2014-5 Ltd. B-R 67102SAQ7 AA- (sf)/Watch Pos AA- (sf) OCP CLO 2014-5 Ltd. C-R 67102SAS3 BBB- (sf)/Watch Pos BBB- (sf) OCP CLO 2014-5 Ltd. D-R 67103SAJ2 B+ (sf)/Watch Neg B+ (sf) OCP CLO 2014-5 Ltd. E-R 67103SAL7 CCC+ (sf)/Watch Neg CCC+ (sf) OCP CLO 2019-16 Ltd. E-R 67570RAE9 BB- (sf)/Watch Neg BB- (sf) Dryden 65 CLO Ltd. B 26251YAE6 AA (sf)/Watch Pos AA (sf) Dryden 65 CLO Ltd. C 26251YAG1 A (sf)/Watch Pos A (sf) Dryden 65 CLO Ltd. E 26252AAA5 BB- (sf)/Watch Neg BB- (sf) Dryden 72 CLO Ltd. E-R 26252MAE1 BB- (sf)/Watch Neg BB- (sf) Dryden 90 CLO Ltd. E 26251KAA4 BB- (sf)/Watch Neg BB- (sf) Dryden XXVI Senior Loan Fund XXVI B-R 26250UAS4 AA (sf)/Watch Pos AA (sf) Dryden XXVI Senior Loan Fund XXVI C-R 26250UAU9 A (sf)/Watch Pos A (sf) Dryden XXVI Senior Loan Fund XXVI D-R 26250UAW5 BBB- (sf)/Watch Pos BBB- (sf) Dryden XXVI Senior Loan Fund XXVI E-R 26250UAY1 BB- (sf)/Watch Neg BB- (sf) Dryden XXVI Senior Loan Fund XXVI F-R 26250UBA2 CCC+ (sf)/Watch Neg CCC+ (sf) Trimaran CAVU 2021-2 Ltd. E 89624VAA8 BB- (sf)/Watch Neg BB- (sf) Voya CLO 2019-3 Ltd. E-R 92891FAC9 BB- (sf)/Watch Neg BB- (sf) WELLS FARGO 2018-C45: DBRS Confirms C Rating on Class HRR Certs --------------------------------------------------------------- DBRS, Inc. downgraded credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C45 issued by Wells Fargo Commercial Mortgage Trust as follows: -- Class C to A (low) (sf) from A (high) (sf) -- Class D to BBB (low) (sf) from BBB (high) (sf) -- Class E-RR to BB (low) (sf) from BBB (low) (sf) -- Class F-RR to CCC (sf) from BB (sf) -- Class G-RR to C (sf) from CCC (sf) -- Class X-B to A (sf) from AA (low) (sf) -- Class X-D to BBB (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class H-RR at C (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trend on Class E-RR to Stable from Negative. All other trends are Stable. Classes F-RR, G-RR, and H-RR have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on Classes C, X-B, D, X-D, E-RR, F-RR, and G-RR reflect Morningstar DBRS' increased loss projections for the loan in special servicing, Parkway Center (Prospectus ID#3, 6.8% of the pool), which is secured by a Class B office park in suburban Pittsburgh. In its analysis as further discussed below, Morningstar DBRS liquidated the loan from the trust at a projected loss of $34.6 million, partially eroding the balance of Class G-RR and the entirety of Classes H-RR and J-RR. The downgrades also reflect the decline in credit support to Classes C, D, and E-RR as a result of the projected losses and Morningstar DBRS' increased expected loss projections for additional loan collateral Morningstar DBRS has deemed to be at increased risk of default. In total, Morningstar DBRS identified four loans backed by office properties that have exhibited signs of distress with either decreasing occupancy rates and/or property net cash flows (NCFs), most notably the 5800 North Course Office (Prospectus ID#27, 1.1% of the pool) and Mission Center (Prospectus ID#6, 5.0% of the pool) loans, which are further discussed below. Morningstar DBRS analyzed these loans with elevated loan-to-value ratios (LTVs) and/or probability of default (PD) penalties, resulting in loan expected loss (EL) figures approximately 4.5 times (x) and 2.5x the pool EL respectively. As of the September 2025 remittance, 44 of the original 49 loans remain the pool, representing a collateral reduction of approximately 11.0% since issuance. Beyond the one loan in special servicing, there are nine loans, representing 11.2% of the pool, on the servicer's watchlist; however, only five of these loans, representing 7.0% of the pool, have been flagged for performance-related concerns. Additionally, there are eight loans, representing 9.0% of the pool, that have been fully defeased. The Parkway Center loan transferred to the special servicer in November 2022 because of imminent default following the lease default of two tenants that have since vacated, Alorica (formerly occupied 6.5% of the net rentable area (NRA), lease expiry in October 2023) and McKesson Corporation (formerly occupied 8.4% of the NRA, lease expiry in December 2022). According to the servicer, the court granted the lender's motion for entry of a consensual foreclosure judgment and signed the foreclosure judgment. While the loan is in cash management, it is delinquent with debt service last paid in October 2024. As of February 2025, a receiver was appointed. The most recent rent roll available, dated May 2025, indicated an occupancy rate of 51.5%, down from 80.0% at YE2021 and 86.0% at issuance. The decline in occupancy has caused downward pressure on NCF, which was $1.38 million, per the annualized financials for the trailing five months ended May 31, 2025, provided by the servicer. In comparison, the YE2021 NCF prior to the loan's transfer was $3.7 million and the Morningstar DBRS NCF derived at issuance was $3.5 million. The most recent property appraisal, dated September 2024, valued the property at $26.3 million, a 60.0% decline from the $66.6 million appraised value at issuance. Given the property's declining performance and ongoing foreclosure proceedings, Morningstar DBRS applied a stressed 55% haircut to the September 2024 appraisal and included outstanding loan advances as well as additional projected advances in the loan liquidation analysis. The resulting projected loan loss severity was approximately 85.0%, or $35.0 million. The 5800 North Course Office loan is secured by a 78,450-square-foot (sf) Class B suburban office building in Houston, which is fully leased to Alltran Financial LP (100% of the NRA, lease expiry in December 2025). Although the tenant continues to make rental payments, the tenant has not been in occupancy since March 2023. Morningstar DBRS has not received an update from the servicer regarding the lease maturity as of the date of this press release; however, given the space remains dark, Morningstar DBRS expects the property's NCF to become negative in the near term. The property is in the Southwest submarket of Houston, which reported a Q2 2025 vacancy rate of 28.2%, according to Reis. A May 2023 appraisal valued the property at $7.0 million, down from $12.8 million at issuance. In its analysis of the loan, Morningstar DBRS made an upward adjustment to the loan's LTV, resulting in a figure of 113.0% and also applied an elevated PD adjustment to reflect the high risk of default if the borrower is unable to secure a replacement tenant or unwilling to fund debt service shortfalls out of pocket. Should the loan transfer to special servicing, Morningstar DBRS' projected losses across the pool could also increase, further supporting the downgrades. One of the largest office loans in the pool, Mission Center, is secured by three, Class B suburban office properties totaling 183,410 sf in San Diego's Mission Valley. The property was 87% occupied as of March 2025, down from 95% at issuance. The YE2024 NCF of $2.8 million is slightly below the issuer's underwritten figure of $3.0 million but remains above the Morningstar DBRS-derived figure of $2.3 million at issuance. Morningstar DBRS is highlighting the loan given the significant tenant rollover risk over the next 12 months, which includes approximately 40.0% of the NRA. This includes the property's largest tenant, County of San Diego (28.90% of the NRA), which has a lease expiration in May 2026. Morningstar DBRS has inquired about the tenant's plan upon lease expiration but has not received a response as of the date of this press release. As a result, Morningstar DBRS evaluated this loan with a stressed LTV of approximately 100% based on the stressed capitalization rate to the YE2024 NCF. As noted above, the resulting loan EL was approximately 2.5x greater than EL for the pool. With this review, Morningstar DBRS removed the investment-grade shadow rating for Cool Springs Galleria (Prospectus ID#11, 2.97% of the pool) as the performance of the loan no longer remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2019-C49: DBRS Confirms B(low) Rating on JRR Certs -------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2019-C49 issued by Wells Fargo Commercial Mortgage Trust 2019-C49 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) -- Class J-RR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying loans in the pool as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 1.89 times (x) based on the most recent year-end financials reported. Additionally, the pool benefits from a relatively low office concentration, with only eight loans, representing 15.8% of the pool, secured by office collateral. The pool is most concentrated by loans backed by retail and lodging properties, which represent 29.0% and 22.2% of the pool, respectively. As of the September 2025 remittance, 59 of the original 64 loans remain in the pool, with a collateral reduction of 8.8% since issuance. A total of 10 loans, representing 9.3% of the pool have fully defeased. Eight loans, representing 23.6% of the pool, are on the servicer's watchlist, including two top 15 office loans in Merge Office (Prospectus ID#11; 2.2% of the pool) and Dominion Tower (Prospectus ID#13, 2.1% of the pool). Both loans are backed by office properties in more suburban markets and are reporting performance declines since issuance. Merge Office is backed by a 130,000-square foot (sf) office property in Westminster, California. The servicer's reporting shows the property's occupancy rate had fallen to 64.0% as of March 2024 (most recent reporting available), down from 98.0% at issuance. The loan was last paid in July 2025 and was reported 60 days to 89 days delinquent as of the September 2025 reporting and has previously been late on payments several times over the last year. The occupancy rate has been dropping since 2021, when it was reported at 83.0% but reported cash flows through the annualized March 31, 2024, financials showed coverage above breakeven. It appears property cash flows have since declined, however, given the delinquency. Given these factors, a stressed scenario was modeled to increase the loan's expected loss in the CMBS Insight Model to over three times the pool average EL. The Dominion Tower loan is backed by a 403,000-sf office property in downtown Norfolk, Virginia, right on the Elizabeth River. The loan was added to the servicer's watchlist following the activation of a cash trap that was initiated when the largest tenant, Trader Interactive LLC, failed to renew its lease expiring in December 2025. The tenant represents a relatively small 10.0% of the net rentable area (NRA) but the property also has exposure to scheduled rollover for the other four largest tenants, which collectively represent another 24.3% of the NRA and have leases which have already expired or will expire next year. Property occupancy at March 2025 was reported at 78.0%, down from 88.0% at issuance, with the March 2025 DSCR at 1.24x. Given the low in-place coverage that could further decline, a stressed scenario was analyzed to increase the loan's EL to more than four times the pool average EL. There are two small loans delinquent and in special servicing, collectively representing 2.1% of the pool in Rockaway Commons (Prospectus ID#28, 1.3% of the pool) and 659 Broadway (Prospectus ID#46, 0.8% of the pool). A formerly specially serviced loan, Florissant Marketplace (Prospectus ID#19, formerly 1.6% of the pool), was liquidated in the last year, and the Rockaway Commons transferred to special servicing in December 2024. For this review, Morningstar DBRS analyzed a liquidation scenario for both loans, based on haircuts to the most recent appraised values, which resulted in a cumulative projected liquidated loss of $5.5 million, eroding approximately 25.7% of the unrated Class K-RR. Although this reduction in support is noteworthy, the credit impact to the lower part of the capital stack is minor given the below investment grade credit ratings assigned for the four lowest-rated certificates in Classes F-RR, G-RR, H-RR, and J-RR, with a combined balance of $37.7 million. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-AURA: Moody's Assigns B2 Rating to 2 Tranches -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities issued by Wells Fargo Commercial Mortgage Trust 2025-AURA, Commercial Mortgage Pass-Through Certificates, Series 2025-AURA. 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. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The certificates are collateralized by single floating-rate loan backed by the borrower's fee simple interest in 24 warehouse/distribution/manufacturing industrial facilities containing a total of 4,773,432 SF. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The facilities are geographically diversified across four markets in two states - Akron, OH (42.5% of NRA, 47.6% of in-place NOI), Detroit, MI (37.4%, 29.0%), Cleveland, OH (19.4%, 22.0%), Ann Arbor, MI (0.8%, 1.4%). The 10 largest properties account for approximately 3,739,357 SF, or 78.3% of NRA. The Portfolio offers a wide distribution of box sizes, ranging from a low of 14,355 SF to a high of 1,003,500 SF. The average box size is 198,893 SF. However, approximately 74.4% of NRA is contained within nine properties that are larger than 200,000 SF. These larger offerings attract large institutional industrial users such as Arhaus (1,003,500 SF), RMG Investment (573,551 SF) and Global Tooling System (215,000 SF), the three largest tenants by SF across the Portfolio. Construction dates range between 1957 and 2020 and exhibit a weighted average year built of 1986 (age of ~41 years). 13 facilities (53.3% of NRA) were built before 1980; seven facilities (14.6% of NRA) were built between 1980 and 1999; four facilities (32.1% of NRA) were built since 2000. The Portfolio has a weighted average clear height of approximately 31.0', an overall office exposure of 12.4% of Portfolio NRA. The collateral improvements are in overall good condition and well maintained as observed during Moody's site inspections and echoed in the appraisals. As of July 01, 2025, the Portfolio was 91.5% leased. The largest tenant by base rent accounts for approximately 21.0% of NRA and 27.3% of in-place base rent and the top five tenants account for approximately 35.7% of NRA and 45.8% of in-place base rent. Moody's approach to rating this transaction involved the application Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.07X and Moody's first mortgage actual stressed DSCR is 0.82X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $275,000,000 represents a Moody's LTV ratio of 109.0% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 105.8%, compared to 105.2% at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The collateral's overall quality grade is 1.25. Notable strengths of the transaction include: include functionality characteristics, strong recent leasing, below market leases, multiple property pooling, and implied equity. Notable concerns of the transaction include: rollover risk, property age, cash out, floating-rate interest-only loan profile, and 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. WORLDWIDE PLAZA 2017-WWP: DBRS Cuts Certs Rating on 5 Classes to C ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-WWP issued by Worldwide Plaza Trust 2017-WWP as follows: -- Class A to CCC (sf) from BBB (low) (sf) -- Class X-A to CCC (sf) from BBB (sf) -- Class B to C (sf) from BB (low) (sf) -- Class C to C (sf) from B (low) (sf) -- Class D to C (sf) from CCC (sf) -- Class E to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) All classes have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Morningstar DBRS removed the Under Review with Negative Implications (UR-N) designation with this review and downgraded its credit ratings on all outstanding classes. The credit rating downgrades are supported by a liquidation analysis, which was based on the estimated as-is value decline as estimated in the April 2025 appraisal obtained by the special servicer for the underlying collateral office tower, Worldwide Plaza. The updated appraisal was first reported with the August 2025 remittance. Morningstar DBRS' liquidation analysis indicates losses may be realized up through the entirety of the capital structure, including the most senior Class A certificate, supporting the credit rating downgrades as listed above. The subject transaction represents part of the $1.2 billion in total issuance debt secured by the 2.0 million-square-foot (sf) Manhattan office tower, which is owned by a joint venture between affiliates of SL Green Realty Corporation and RXR Realty LLC. At the previous credit rating action in July 2025, Morningstar DBRS maintained the UR-N designation because of a lack of concrete developments related to the largest tenant, Nomura Holding America, Inc. (Nomura; 34.3% of the net rentable area (NRA), lease expiry in September 2033). Since that time, the servicer has reported that Nomura relinquished two floors (approximately 3.6% of NRA) effective January 2027 and has not extended the remainder of its space set to expire in September 2033. The special servicer continues to negotiate with the borrower regarding the requested loan modification. The August 2025 appraisal valued the collateral on an as-is basis at $390.0 million (whole loan-to-value ratio (LTV) of 241% exclusive of $260.0 million in unsecuritized mezzanine debt), representing a nearly 80% decline from the issuance value of $1.74 billion. A previous loan modification allowed the borrower to fund operating and debt service shortfalls from the reserve accounts, meaning the loan has been reported current through the September 2025 remittance. However, as the cash flows are expected to have fallen below breakeven because of an occupancy decline, the loan could go delinquent again. In July 2024, Morningstar DBRS previously downgraded its credit ratings across the capital stack to reflect increased risks for the loan because of the then-upcoming departure of the then-second-largest tenant at the property, Cravath, Swaine & Moore LLP (Cravath; 30.1% of the NRA), which departed at lease expiration in August 2024. Morningstar DBRS analyzed the loan based on a dark value of $503.6 million (LTV of 187%). In May 2025, following news that Nomura was in talks for space at the Penn 2 tower (also owned by the subject loan sponsor) Morningstar DBRS placed all classes UR-N. A subsequent credit rating action in July 2025 maintained the UR-N designation for all classes but noted an update to Morningstar DBRS' dark value estimate, which was reduced to $361.5 million (260% LTV) based on increased tenant improvement cost estimates. The delta between Morningstar DBRS' dark value estimate and the April 2025 appraised value is largely a result of the stressed cap rate assumed by Morningstar DBRS of 9.0%. Whole-loan proceeds of $940.0 million and $260.0 million of mezzanine debt facilitated the recapitalization financing of the collateral in 2017. The whole loan consists of $616.3 million of senior debt and $323.7 million of junior debt; the subject trust holds the entirety of the junior mortgage debt and $381.3 million of the senior mortgage debt. The collateral occupies an entire block between 49th Street and 50th Street at 825 Eighth Avenue in New York City's Midtown West submarket. The office component accounts for approximately 1.8 million sf (inclusive of a small retail component) and the remaining area is composed of an amenity parcel containing a parking garage, theater, and various other retail tenants. According to the June 2025 rent rolls, the subject reported a March 2025 occupancy rate of 62.8% compared with the YE2023 rate of 91.4%; occupancy has fallen following the departure of Cravath. The remaining tenancy outside of Nomura is quite granular. According to the property's website, approximately 39.0% of the NRA is listed as available for lease. Nomura has now downsized twice since issuance: in 2022 and again in 2025 with the most recent termination suggesting a physical occupancy rate of just below 60% in 2027. In 2022, Nomura paid a termination fee of $11.2 million and $8.0 million is to be paid with the most recent termination. As of the YE2024 financials, the subject property reported a net cash flow (NCF) and debt service coverage ratio (DSCR) of $58.6 million and 1.70 times (x), respectively, compared with the YE2023 figures of $73.5 million and 2.14x, respectively. The most recent financials do not reflect the full departure of Cravath or the most recent downsizing of Nomura space, both of which are expected to push the DSCR below break even with the 2025 reporting. Morningstar DBRS' analyzed liquidation scenario for this review was based on a 20% haircut to the April 2025 appraised value of $390.0 million; the applied haircut cushions against further volatility in the collateral value as the workout period progresses. The analysis also incorporated a liquidation fee, any outstanding ASER and advances, as well as expected additional expenses, which cumulatively totaled approximately $44.0 million. Morningstar DBRS did not give credit to the in-place reserves (approximately $1.8 million as of the September 2025 reporting). The analysis suggested a loss severity approaching 72%, or nearly $672 million, which, if realized would result in a loss for all outstanding certificates, including Class A. As the workout remains ongoing, there could be upside to the as-is value if lease up of the vacant space is achieved. Should that or other positive developments with regard to the overall risk profile be observed, Morningstar DBRS will consider them as part of its ongoing surveillance for the transaction. Notes: All figures are in U.S. dollars unless otherwise noted. ZAIS CLO 7: Moody's Cuts Rating on $24.75MM Class E Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by ZAIS CLO 7, Limited: US$24,750,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on August 11, 2025 Downgraded to B3 (sf) ZAIS CLO 7, Limited, issued in October 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2022. A comprehensive review of all credit ratings for the respective transaction(s) 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 calculation, the over-collateralization (OC) ratio for the Class E notes is currently 100.49% compared to August 2025 level of 103.38%. Furthermore, the Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3725 compared to 3624 in August 2025. No actions were taken on the 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 the "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $116,305,080 Defaulted par: $2,567,169 Diversity Score: 30 Weighted Average Rating Factor (WARF): 3725 Weighted Average Spread (WAS): 3.79% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.99% Weighted Average Life (WAL): 2.87 years Par haircut in OC tests: 8.43% In addition to the 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 "Collateralized Loan Obligations" published in October 2025. 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. [] DBRS Confirms 10 Credit Ratings on College Ave Loans ------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of securities included in ten College Ave Student Loans Transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/3WaDqqY The Issuers are: College Ave Student Loans 2021-A, LLC College Ave Student Loans 2021-B, LLC College Ave Student Loans 2018-A, LLC College Ave Student Loans 2017-A, LLC College Ave Student Loans 2021-C, LLC College Ave Student Loans 2024-A, LLC College Ave Student Loans 2023-B, LLC College Ave Student Loans 2024-B, LLC College Ave Student Loans 2023-A, LLC College Ave Student Loans 2019-A, LLC The credit rating confirmations are based on the following analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the September 2025 payment date. -- While losses are tracking above, for several of the more seasoned transactions or in line for most of the newer transactions with the Morningstar DBRS initial base-case CNL expectations, the current level of credit enhancement ('CE'), which has increased since inception and along with estimated excess spread is sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- CE in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes. -- Collateral performance is mostly within expectations with no triggers in effect. Forbearance levels have remained relatively stable while there has been an increase in deferment and delinquency trends. -- Transaction capital structure, current credit ratings, and sufficient cash flow from the underlying trusts. -- 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 September 2025 Update," published on September 30, 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 (June 17, 2025). [] DBRS Confirms 17 Ratings on 10 Flagship Credit Auto Deals ------------------------------------------------------------ DBRS, Inc. confirmed 17 credit ratings, upgraded one credit rating, and placed one credit rating under review with negative implications from Ten Flagship Credit Auto Trust transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/4qglDwg The Issuers are: Flagship Credit Auto Trust 2021-1 Flagship Credit Auto Trust 2020-4 Flagship Credit Auto Trust 2020-2 Flagship Credit Auto Trust 2021-2 Flagship Credit Auto Trust 2020-1 Flagship Credit Auto Trust 2019-4 Flagship Credit Auto Trust 2020-3 Flagship Credit Auto Trust 2019-3 Flagship Credit Auto Trust 2021-3 Flagship Credit Auto Trust 2021-4 The credit rating actions are based on the following analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the September 2025 payment date. -- For Flagship Credit Auto Trust 2019-3 through Flagship Credit Auto Trust 2021-2, current losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS revised remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For Flagship Credit Auto Trust 2021-3, although losses are tracking above the Morningstar DBRS initial base-case CNL expectation, the current level of hard CE and estimated excess spread are currently sufficient to support the Morningstar DBRS revised remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- Flagship Credit Auto Trust 2021-4 has amortized to a pool factor of 17.54% and has a current CNL of 14.54%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 11.00%. Consequently, the revised base-case loss expectation was increased to 16.85%. As of the September 2025 payment date, the current overcollateralization percentage is 0.00% relative to the target of 4.00% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining reserve account (RA) of 1.00% of the initial pool balance. As of the September 2025 payment date, the RA percentage, which is currently declining, is 4.71% of the current pool balance. As a result, the current level of hard CE and estimated excess spread may be insufficient to support the current credit rating on the Class E Notes and, consequently, the current credit rating has been placed under review with negative implications. While CNL is tracking above the initial expectation, the Class C Notes and Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have increased in recent months. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2025 Update," published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] DBRS Confirms 27 Credit Ratings on 9 Flagship Credit Auto Deals ------------------------------------------------------------------ DBRS, Inc. confirmed 27 credit ratings, upgraded eight credit ratings, downgraded four credit ratings, discontinued one credit rating due to repayment, and placed two credit ratings under review with negative implications from Nine Flagship Credit Auto Trust transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/4hc8Neo The Issuers are: Flagship Credit Auto Trust 2022-2 Flagship Credit Auto Trust 2024-3 Flagship Credit Auto Trust 2024-1 Flagship Credit Auto Trust 2022-4 Flagship Credit Auto Trust 2022-1 Flagship Credit Auto Trust 2023-3 Flagship Credit Auto Trust 2023-2 Flagship Credit Auto Trust 2023-1 Flagship Credit Auto Trust 2022-3 The credit rating actions are based on the following analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the September 2025 payment date. -- Flagship Credit Auto Trust 2022-1 has amortized to a pool factor of 20.68% and has a current cumulative net loss (CNL) to date of 15.50%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 18.35%. The current overcollateralization percentage is 0.00% relative to the target of 4.40% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining reserve account (RA) of 1.85% of the initial pool balance. As of the September 2025 payment date, the RA percentage, which is currently declining, is 5.70% of the current pool balance. As a result, the current level of hard credit enhancement (CE) and estimated excess spread may be insufficient to support the current credit rating on the Class E Notes and, consequently, the current credit rating has been placed under review with negative implications. While CNL is tracking above the initial expectation, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- Flagship Credit Auto Trust 2022-2 has amortized to a pool factor of 24.80% and has a current CNL to date of 19.38%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.60%. Consequently, the revised base-case loss expectation was increased to 23.50%. The current overcollateralization percentage is 0.00% relative to the target of 7.25% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.05% of the initial pool balance. The RA percentage is currently 0.00%. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit ratings on the Class D Notes and the Class E Notes. Consequently, the credit ratings were downgraded to rating levels commensurate with the current implied multiples. While CNL is tracking above the initial expectation, the Class B Notes and Class C Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class D Notes in Flagship Credit Auto Trust 2022-2, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class D Notes will not receive full interest and principal payments by the legal final maturity. -- For the Class E Notes in Flagship Credit Auto Trust 2022-2, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2022-3 has amortized to a pool factor of 28.12% and has a current CNL to date of 19.15%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 24.15%. The current overcollateralization amount is 0.00% relative to the target of 6.70% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. The RA percentage, which is currently declining, is 2.74%. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit ratings on the Class D Notes and the Class E Notes. Consequently, the credit rating on the Class D Notes was placed Under Review with Negative Implications. Additionally, the credit rating on the Class E Notes was downgraded to rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class B Notes and Class C Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2022-3, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2022-4 has amortized to a pool factor of 32.59% and has a current CNL to date of 17.12%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.15%. Consequently, the revised base-case loss expectation was increased to 22.40%. The current over-collateralization percentage is 4.40% relative to the target of 9.90% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. As of the September 2025 payment date, the RA percentage, which is currently declining, is 4.34% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class B Notes, Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2022-4, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- For Flagship Credit Auto Trust 2023-1, Flagship Credit Auto Trust 2023-2, Flagship Credit Auto Trust 2023-3, and Flagship Credit Auto Trust 2024-1, Flagship Credit Auto Trust 2024-3, while losses are tracking above or in line with the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread is sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have increased in recent months. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2025 Update," published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] Moody's Cuts 18 US Structured Finance Bonds Guaranteed by MBIA ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings of 18 classes of US RMBS securities wrapped by MBIA Insurance Corporation. The involved issuers are: ContiMortgage Home Equity Loan Trust 1996-04 ContiMortgage Home Equity Loan Trust 1996-04 Provident Bank Home Equity Loan Trust 1998-4 Provident Bank Home Equity Loan Trust 1998-4 AFC Mtg Loan AB Notes 2000-2 AFC Mtg Loan AB Notes 2000-4 ABFS Mortgage Loan Trust 2001-1 Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-4XS Morgan Stanley Mortgage Loan Trust 2006-15XS Morgan Stanley Mortgage Loan Trust 2006-15XS Morgan Stanley Mortgage Loan Trust 2006-15XS Morgan Stanley Mortgage Loan Trust 2006-15XS Morgan Stanley Mortgage Loan Trust 2006-17XS Morgan Stanley Mortgage Loan Trust 2006-17XS TBW Mortgage-Backed Trust Series 2006-6 TBW Mortgage-Backed Trust Series 2006-6 TBW Mortgage-Backed Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1 Morgan Stanley Mortgage Loan Trust 2007-8XS A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=H313cA RATINGS RATIONALE This action is solely driven by Moody's announcement on October 9, 2025 that it has downgraded the Insurance Financial Strength (IFS) rating of MBIA Insurance Corporation to Caa3 from Caa2, with a stable outlook. Moody's ratings on structured finance securities that are guaranteed or "wrapped" by a financial guarantor are generally maintained at a level equal to the higher of the following: a) the rating of the guarantor; or b) the published or unpublished underlying rating (as applicable). Principal Methodology The principal methodology used in these ratings was "Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: This action is driven solely by the rating action on MBIA Insurance Corporation and is not a result of change in key assumptions, expected losses, cash flows and stress scenarios on the underlying assets. Any future changes to the ratings of MBIA Insurance Corporation could have an impact on the ratings of the affected securities. [] Moody's Upgrades Ratings on 13 Bonds from 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 13 bonds from two US residential mortgage-backed transactions (RMBS), backed by Alt-A mortgages issued by two issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Banc of America Funding 2007-3 Trust Cl. T-A-1A, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. T-A-1B, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. T-A-5, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. T-A-6, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. T-A-8, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Issuer: RALI Series 2006-QS6 Trust Cl. I-A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-2, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-9, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-10*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-11, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-12*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-13, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 20 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 20 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2024-INV1 Trust Cl. 1-A-13, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. 1-A-14, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. 1-A-X-14*, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-13, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-14, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-X-14*, Upgraded to Aaa (sf); previously on Jan 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Dec 10, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Dec 10, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Dec 10, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Dec 10, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Dec 10, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Dec 10, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Dec 10, 2024 Upgraded to Ba2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Dec 10, 2024 Upgraded to Aa2 (sf) Cl. B-X-2*, Upgraded to Aa2 (sf); previously on Dec 10, 2024 Upgraded to Aa3 (sf) Issuer: Oceanview Mortgage Trust 2021-1 Cl. B-4, Upgraded to Baa2 (sf); previously on Dec 10, 2024 Upgraded to Baa3 (sf) Issuer: Oceanview Mortgage Trust 2021-3 Cl. B-3, Upgraded to A3 (sf); previously on Dec 10, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Dec 10, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 10, 2024 Upgraded to Ba3 (sf) Issuer: Oceanview Mortgage Trust 2021-5 Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 29, 2024 Upgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with minimal cumulative losses for each transaction and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, by 1.4x for the tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. 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. [] S&P Takes Various Actions on 133 Classes From 5 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 133 classes from five U.S. RMBS prime transactions issued between 2018 and 2021. The review yielded 10 upgrades and 123 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/ydbysdwj Analytical Considerations S&P said, "For each transaction, we performed a credit analysis for each mortgage pool using updated loan-level information to determine foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. We then applied our cash flow stresses, where relevant. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool compositions. "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 The upgrades primarily reflect deleveraging. The rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, and the degree of credit enhancement relative to delinquencies. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. [] S&P Takes Various Actions on 276 Classes From 36 US CMBS Deals ----------------------------------------------------------------- S&P Global Ratings reviewed its ratings on 276 classes from 36 U.S. CMBS conduit transactions. Each transaction is secured by a diversified pool of commercial real estate assets to unrelated borrowers. The ratings were previously placed under criteria observation (UCO) on Aug. 21, 2025, following the publication of our revised global criteria framework for rating CMBS transactions. S&P also removed the ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/2vr89mwa S&P said, "Of the 2,088 ratings that were placed on UCO following our August 2025 CMBS criteria revision, we have resolved 903 of them to date. We expect to review the remaining ratings with the UCO identifier within six months from the date they were placed on UCO." Rating Actions And Analytical Considerations S&P said, "In resolving the UCO placements, we conducted a cursory review of collateral and transaction performance trends. In the review, in most cases, we concluded that our existing S&P Global Ratings' net cash flows (NCFs), capitalization rates, and values for the collateral loans remain appropriate from our last published comprehensive reviews. "However, where we observed a sustained decline in property performance and/or a perceived increase in the level of risk associated with the property NCF, we revised our NCF downward and/or increased our capitalization rate assumption to account for these developments. For portfolio loans with property releases since our last review, we also adjusted our metrics accordingly. For any defaulted and credit-impaired loans that we assess will liquidate from the trust, we generally considered the latest available appraisal value, broker's opinion of value, or S&P Global Ratings' liquidation value (whichever is the lowest) in forecasting principal losses and recoveries on the assets. "We determined asset quality and income stability scores for all the collateral loans, and we applied loan-level and additional adjustments in accordance with our revised criteria to arrive at our required credit enhancement levels by rating category for each transaction. "For the Benchmark 2020-B20 Mortgage Trust, GS Mortgage Securities Trust 2019-GC40, JPMDB Commercial Mortgage Securities Trust 2019-COR6, and JPMDB Commercial Mortgage Securities Trust 2020-COR7 transactions, we also modeled the pattern of losses and recoveries from defaults under a 'AAA' stress scenario, as described in Appendix 6 of our updated criteria, to assess the ratings of the super-senior classes. "For the loan-specific raked classes in the Benchmark 2019-B12 Mortgage Trust transaction, we specifically considered the performance of the Woodlands Mall ("WM") and The Centre ("TC") loans, which serve as the sole collateral for the respective raked classes. "The rating actions on the principal- and interest-paying classes primarily reflect the application of our updated methodology and the considerations highlighted above." The ratings on the exchangeable certificates reflect the lowest rating of the certificates for which they can be exchanged. The ratings on the IO certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. For certain principal- and interest-paying classes, S&P affirmed its existing ratings or moderated its rating upgrades (versus the higher model-indicated ratings) due to qualitative considerations including the following: -- Credit subordination levels and positions of the classes within the capital structure; -- Collateral property performance (both historical and expected), particularly where it may have influenced comprehensive reviews; -- Loan performance, including current and expected payment status; -- Significant exposure to concerning property types; -- Material exposure to near-term maturities; -- Adverse selection risk, including transactions that are currently, or could potentially be, secured solely by worse-performing or defaulted loan collateral; and -- Current and expected bond-level liquidity. [] S&P Takes Various Actions on 286 Classes from 97 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 286 ratings from 97 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 42 upgrades, 36 downgrades, 157 affirmations, 48 withdrawals, and three discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/95zpdczw Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Interest-only criteria; -- Principal-only criteria; -- Credit-related reductions in interest; Principal-write-downs -- Assessment of reduced interest due to loan modifications and other credit-related events; -- Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. The downgrades primarily reflect our assessment of the loan modifications, failed base-case loss stresses, and increased delinquencies S&P said, "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 48 classes from 16 transactions due to the small remaining loan count on the related structures. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. "We discontinued our ratings on three classes from three transactions as two of those classes were paid down and the third was not likely to receive repayment of interest at higher rating levels." [] S&P Takes Various Actions on 92 Classes From 16 U.S. CLO Deals ----------------------------------------------------------------- S&P Global Ratings took various rating actions on 92 classes of debt from 16 broadly syndicated U.S. CLO transactions. S&P lowered its ratings on 24 classes and removed 22 of them from CreditWatch where they had been placed with negative implications on Aug. 11, 2025, due to indicative cash flow results and credit support at that time. At the same time, S&P affirmed its ratings on 68 other classes from the same transactions. A list of Affected Ratings can be viewed at: https://tinyurl.com/bdhhytvr S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. "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 each 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." While each class's indicative cash flow results are a primary factor, S&P also incorporates other considerations into our decision to raise, lower, or affirm ratings, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its debt; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The downgrades primarily reflect the class's indicative cash flow results and decreased credit support resulting from a combination of principal losses, deterioration in recovery rating distributions, and a decline in the weighted average spread in their respective portfolios. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. Although S&P's cash flow analysis indicated a different rating for some classes of debt, it affirmed or took the rating action, as listed below, after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. S&P 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 will take rating actions as we deem necessary. ********* 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. 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