251221.mbx

251221.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, December 21, 2025, Vol. 29, No. 354 Headlines ABPCI DIRECT 22: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ACHM TRUST 2025-HE3: S&P Assigns B- (sf) Rating on Class F Notes ACREC 2021-FL1: DBRS Confirms CCC Rating on Class G Certs AGL CLO 5: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ALLEGRO CLO VII: Moody's Affirms B1 Rating on $20.4MM Cl. E Notes AMUR EQUIPMENT 2024-1: Moody's Ups Rating on Class E Notes to Ba1 APIDOS CLO XXXIV: Moody's Gives (P)B3 Rating to $500,000 F-R2 Notes AREIT 2022-CRE6: DBRS Confirms B Rating on Class G Notes BANC OF AMERICA 2015-UBS7: DBRS Cuts Rating on 2 Tranches to Csf BATTALION CLO XXII: Moody's Cuts Rating on $16MM Cl. E Notes to B1 BENEFIT STREET 44: S&P Assigns Prelim BB- (sf) Rating on E Notes BLP COMMERCIAL 2023-IND: DBRS Confirms B(low) Rating on Cl. G Certs BRCK TRUST 2025-830B: DBRS Finalizes B Rating on Class F Certs BRYANT PARK 2025-28: S&P Assigns BB- (sf) Rating on Class E Notes BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on GV Certs CANYON CLO 2025-3: Fitch Assigns 'BB+sf' Rating on Class E Notes CANYON CLO 2025-3: Moody's Assigns B3 Rating to $250,000 F Notes CARLYLE US 2025-5: Fitch Assigns 'BB-sf' Rating on Class E Debt CENTERBRIDGE CREDIT 1: Moody's Ups Rating on $24.5MM E Notes to Ba1 CHASE HOME 2025-13: DBRS Gives Prov. B(low) Rating on B5 Certs COMM 2014-CCRE15: DBRS Confirms C Rating on Class F Certs DRYDEN 29 SENIOR: Moody's Cuts Rating on $27MM Class E Notes to B1 EFMT 2025-INV5: S&P Assigns B- (sf) Rating on Class B-2 Certs ELDRIDGE MMPC 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes FIGRE TRUST 2025-FL2: DBRS Gives Prov. B Rating on Class B2 Notes FIGRE TRUST 2025-FL2: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs GLS AUTO 2023-1: DBRS Confirms BB Rating on Class E Notes GOLUB CAPITAL 84: Fitch Assigns 'BB-sf' Rating on Class E Notes HUDSON'S BAY 2015-HBS: DBRS Confirms B(low) Rating on D-10 Certs ICG US CLO 2017-1: S&P Affirms B- (sf) Rating on Class E-RR Notes ICG US CLO 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes JP MORGAN 2018-PHH: Moody's Downgrades Rating on Cl. C Certs to C JP MORGAN 2025-11: DBRS Gives Prov. B(low) Rating on B5 Certs JP MORGAN 2025-CES7: S&P Assigns Prelim. 'B-' Rating on B-2 Notes JP MORGAN 2025-PHNY: DBRS Gives Prov. B(low) Rating on F Certs JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on A-S Certs to Ba2 KEYCORP STUDENT 2006-A: Moody's Cuts Cl. I-A-2 Certs Rating to Ba1 KKR CLO 21: Moody's Lowers Rating on $12MM Class F Notes to Caa2 KSL COMMERCIAL 2024-HT2: DBRS Confirms BB(low) Rating on E Certs LOBEL AUTOMOBILE 2025-1: DBRS Confirms BB Rating on Class E Debt MERCHANTS FLEET 2023-1: DBRS Confirms BB Rating on Class E Notes METRONET INFRASTRUCTURE 2025-4: Fitch Rates Class C Notes 'BB-sf' MFA 2025-NQM5: Fitch Gives 'B-sf' Rating on Class B-2 Certificates MORGAN STANLEY 2016-C28: DBRS Cuts Rating on 4 Tranches to D MORGAN STANLEY 2025-NQM10: DBRS Gives Prov. B Rating on B2 Certs MORGAN STANLEY 2025-NQM10: S&P Gives (P) B Rating on Cl. B-2 Certs NASSAU 2018-I: Moody's Cuts Rating on Class E Notes to Caa1 NASSAU COUNTY TOBACCO: S&P Lowers 2006A-2 Notes Rating to CC (sf) NATIXIS COMMERCIAL 2021-APPL: Moody's Cuts Rating on E Certs to B2 NYT 2019-NYT: DBRS Confirms BB Rating on Class F Certs OAKTREE CLO 2025-33: S&P Assigns BB- (sf) Rating on Class E Notes OBX 2025-R1 TRUST: S&P Assigns B- (sf) Rating on Class B-2 Notes OCTAGON INVESTMENT 39: Moody's Affirms Ba3 Rating on Class E Notes OHA CREDIT 23: Fitch Assigns 'BB-sf' Rating on Class E Notes ONITY LOAN 2025-HB2: DBRS Finalizes B Rating on Class M6 Notes ORL 2024-GLKS: DBRS Confirms BB(low) Rating on Class F Certs OZLM XVIII: Moody's Affirms Ba3 Rating on $21.25MM Cl. E Notes OZLM XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes PALMER SQUARE 2025-3: Moody's Assigns Ba3 Rating to $23.5MM D Notes PIKES PEAK 20: Fitch Assigns 'BB-sf' Final Rating on Class E Notes PMT LOAN 2025-CNF2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2025-INV12: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2025-J5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POLEN CAPITAL 2025-2: Moody's Assigns B3 Rating to $150,000 F Notes POST CLO VII: Fitch Assigns 'BB-sf' Rating on Class E Notes PRESTIGE AUTO 2024-2: S&P Lowers Class E Notes Rating to 'B+ (sf)' PRET 2025-RPL6: Fitch Assigns 'Bsf' Final Rating on Class B-2 Notes PRMI 2025-CMG1: DBRS Gives Prov. B Rating on Class B2 Notes PRPM 2025-RCF6: DBRS Finalizes BB(low) Rating on M-2 Notes RCKT MORTGAGE 2025-CES12: Fitch Gives 'B' Final Rating on 5 Classes SALUDA GRADE 2025-FIG6: DBRS Gives Prov. B(low) Rating on B2 Notes SARANAC CLO III: Moody's Cuts Rating on $24MM Cl. E-R Notes to Ca SG RESIDENTIAL 2025-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs SILVER POINT 3: Moody's Assigns B3 Rating to $250,000 F-R Notes SLM STUDENT 2003-1: S&P Lowers Class B Notes Rating to 'B- (sf)' SOUND POINT IX: Moody's Cuts Rating on $24.5MM E-RR Notes to Caa1 TRIMARAN CAVU: S&P Lowers Class E Notes Rating to 'B+ (sf)' TRUPS FINANCIALS 2025-3: Moody's Gives Ba3 Rating to $22MM D Notes UBS COMMERCIAL 2017-C6: Fitch Affirms 'Bsf' Rating on Two Tranches VELOCITY COMMERCIAL 2025-5: DBRS Finalizes B Rating on 3 Tranches VENTURE XXVIII: Moody's Cuts Rating on $27.9MM E Notes to Caa1 VENTURE XXVIII: Moody's Cuts Rating on Series B/Cl. E Notes to Caa1 WELLS FARGO 2016-C37: DBRS Cuts Rating on 2 Tranches to C WFRBS COMMERCIAL 2014-C23: Moody's Cuts Rating on C Certs to Ba1 WOODMONT 2025-13: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes [] Moody's Hikes 19 Ratings From 8 Deals Issued by JP Morgan Trust [] Moody's Takes Action on 8 Ratings From 4 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds from 8 US RMBS Deals [] S&P Lowers Rating on 22 Classes From 10 U.S. CMBS to 'D (sf)' ********* ABPCI DIRECT 22: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ABPCI Direct Lending Fund CLO 22 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC (ABPCI), a subsidiary of AllianceBerstein L.P. The preliminary ratings are based on information as of Dec. 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 diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ABPCI Direct Lending Fund CLO 22 LLC Class A-1, $280.0 million: AAA (sf) Class A-2, $30.0 million: AAA (sf) Class B, $37.5 million: AA (sf) Class C (deferrable), $35.0 million: A (sf) Class D (deferrable), $27.5 million: BBB- (sf) Class E (deferrable), $30.0 million: BB- (sf) Subordinated notes, $61.2 million: NR NR--Not rated. ACHM TRUST 2025-HE3: S&P Assigns B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to ACHM Trust 2025-HE3's mortgage-backed notes. The transaction is an RMBS securitization backed by first‑ and subordinate‑lien, simple‑interest, fixed‑rate, and fully amortizing open‑ended home equity lines of credit (HELOC) residential mortgage loans. The loans are secured by single‑family residences, planned‑unit developments, condominiums, townhouses, and two‑ to four‑family residential properties. The pool is composed of 3,860 HELOC mortgage loans, which are all ability-to-repay-exempt (ATR-exempt) loans. 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 originator, Achieve Home Loans; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned ACHM Trust 2025-HE3(i) Class A, $176,583,000: AAA (sf) Class B, $25,769,000: AA- (sf) Class C, $45,705,000: A- (sf) Class D, $9,359,000: BBB- (sf) Class E, $6,645,000: BB- (sf) Class F, $4,476,000: B- (sf) Class G, $2,712,797: NR Class XS, notional(ii): NR Class AIOS, notional(ii): NR Class FR(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 WAC shortfall amounts. (ii)The class XS and AIOS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans 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 are 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. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. ACREC 2021-FL1: DBRS Confirms CCC Rating on Class G Certs --------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on two classes issued by ACREC 2021-FL1 Ltd. as follows: -- Class B to AAA (sf) from AA (sf) -- Class C to AA (sf) from A (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (low) (sf) -- Class G at CCC (sf) Morningstar DBRS changed the trend on Class F to Negative from Stable. The trends on the remaining classes are Stable except for Class G, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating upgrades reflect increased credit support to the transaction since Morningstar DBRS' previous credit rating action in May 2025. There has been a collateral reduction of 37.2% since closing, with a 5.0% collateral reduction realized since March 2025. The pool also benefits from a favorable property type concentration as the trust is secured by multifamily properties, which have historically proven better able to retain property value and cash flow compared with other property types. While individual borrowers have had mixed success in implementing their respective business plans to increase property cash flows and asset values, the transaction continues to benefit from significant credit support to the investment-grade-rated notes as the non-investment-grade-rated Classes F and G have a cumulative balance of $82.0 million and the unrated preferred shares piece also has a balance of $74.4 million. These factors provided support for the credit rating upgrades on Classes B and C. The trend change on Class F is the result of prolonged historical interest shortfalls. As of the November 2025 remittance, there were four delinquent loans in special servicing, representing 36.9% of the current pool balance. As a result of the increase in delinquency, accumulated interest shortfalls to Classes F and G totaled $0.1 million and $2.0 million, respectively, as of November 2025 reporting. Class F was previously shorted interest between March 2025 and April 2025 and was brought current in May 2025. Interest shortfalls resumed on Class F in June 2025 and remained outstanding until they were repaid in October 2025. Morningstar DBRS expects interest shortfalls to continue to accrue, given the concentration of delinquent loans and expected prolonged resolution timelines for the loans in special servicing. In the analysis for this review, Morningstar DBRS liquidated three of the loans, with resulting individual loan loss severities ranging from 25.0% to 50.0%. Morningstar DBRS expects the projected cumulative losses to be contained to the unrated $74.4 million first-loss piece; however, the projected deterioration to the bottom of the transaction structure suggests increased risks, particularly for Class F. The three largest specially serviced loans are discussed in greater detail below. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 23 floating-rate mortgages secured by 23 transitional multifamily properties with a cut-off date balance totaling approximately $875.6 million. Most loans were in a period of transition with plans to stabilize performance and improve asset value. The transaction was structured with a reinvestment period that expired at the July 2023 payment date. As of the November 2025 remittance, the pool comprised 13 loans secured by 13 properties with a cumulative trust balance of $548.0 million. Eight of the original 23 loans, representing 60.3% of the current trust balance, remain in the transaction. Leverage across the pool decreased as of November 2025 reporting with a current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) of 70.9% and a current WA stabilized LTV of 66.1% compared with 74.5% and 69.2%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or earlier and may not fully reflect the effects of increased interest rates and/or widening capitalization rates (cap rates) in the current environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across seven loans, representing 49.8% of the current trust balance, which generally reflect higher cap rate assumptions compared with the implied cap rates based on the issuance appraisals. As of the November 2025 remittance, there were four loans in special servicing, representing 36.9% of the current pool balance. The largest loan in special servicing, City Club Apartments - CBD Detroit (Prospectus ID#1; 14.7% of the pool balance), is secured by a 288-unit mid-rise multifamily property in Detroit, Michigan. The loan transferred to special servicing in March 2025 because of maturity default. According to the Q2 2025 update from the collateral manager update, a receiver was installed in June 2025 and the lender was pursuing its enforcement options. As per the Q2 2025 update from the collateral manager, the property was 68.4% occupied with an average in-place rental rate of $1,879/unit as of June 2025, which remains in line with the prior-year reporting. An updated appraisal completed in September 2025 valued the property at $62.9 million, down from the issuance value of $109.7 million. Morningstar DBRS liquidated the loan from the pool based on a 20.0% haircut to the most recent appraisal, resulting in a value of $50.3 million ($174,750 per unit). Morningstar DBRS also incorporated all outstanding servicer advances as well as additional projected advances, resulting in a loan loss severity of approximately 47% or $38.2 million. The second-largest loan in special servicing, City Club Apartments - CBD Cincinnati (Prospectus ID#2; 12.9% of the pool balance), is secured by a mixed-use property consisting of 294 multifamily units along with 31,928 sf of office space and 17,498 sf of retail space in Cincinnati, Ohio. The loan matured in October 2024 and transferred to special servicing in November 2024. In April 2025, the loan was modified to extend loan maturity to October 2025, but the loan has been delinquent since April 2025. As per the Q2 2025 update from the collateral manager, a receiver was put in place in July 2025 and is expected to market the property for sale in Q4 2025. As per the Q2 2025 update from the collateral manager, the property was 67.3% occupied with an average in-place rental rate of $1,811/unit as of June 2025. Morningstar DBRS liquidated the loan from the pool based on a 50.0% haircut to the issuance appraisal, resulting in a value of $55.0 million. Morningstar DBRS also incorporated all outstanding servicer advances as well as additional projected advances, resulting in a loan loss severity of approximately 31% or $22.1 million. The third-largest loan in special servicing, Yardz at West Cheyanne (Prospectus ID#2; 6.0% of the pool balance), is secured by a 180-unit garden-style community located in Las Vegas, Nevada. The loan transferred to special servicing in October 2024 for maturity default. The loan was modified in January 2025 to extend loan maturity to April 2025. As per the Q2 2025 update from the collateral manager, a receiver was put in place in June 2025 and is focused on stabilizing the asset prior to marketing the property for sale in Q1 2026. According to the Q2 2025 update from the collateral manager, the property was 85.0% occupied with an average rent of $1,313/unit as of June 2025. Morningstar DBRS liquidated the loan from the pool based on a 30.0% haircut to the issuance appraisal, resulting in a value of $26.1 million. Morningstar DBRS also incorporated all outstanding servicer advances as well as additional projected advances, resulting in a loan loss severity of approximately 30% or $9.6 million. There are six loans on the servicer's watchlist, representing 44.7% of the current trust balance. The loans have primarily been flagged for below-breakeven debt service coverage ratios and upcoming loan maturity. The second-largest loan on the servicer's watchlist, Millennium Hometown (Prospectus ID#3; 8.7% of the current trust balance), is secured by a 306-unit multifamily property in North Richland Hills, Texas. The loan is being monitored for maturity risk after the loan was extended three months through December 2025 to facilitate additional time for secure take-out financing. According to the Q2 2025 update from the collateral manager, the property was 93.5% occupied with in-place rent of $1,783/unit as of June 2025, which remains in line with Morningstar DBRS' expectations at closing. In its current analysis, Morningstar DBRS applied increased As-Is and As-Stabilized LTV adjustments to reflect the increased credit risk. The resulting expected loss (EL) on the loan remains in line with the EL for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 5: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 5 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 5 Ltd._ 2025 X-R3 LT AAAsf New Rating A-R3 LT AAAsf New Rating A-R3L LT AAAsf New Rating B-R3 LT AAsf New Rating C-1-R3 LT Asf New Rating C-2-R3 LT Asf New Rating D-1A-R3 LT BBBsf New Rating D-1B-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 5 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by AGL CLO Credit Management LLC. The transaction originally closed in June 2020 and was rated by Fitch. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $1 billion 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 99.43% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.67% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1A-R3, between less than 'B-sf' and 'BB+sf' for class D-1B-R3, between less than 'B-sf' and 'BB+sf' for class D-2-R3, and between less than 'B-sf' and 'BB-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 X-R and 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 D-1A-R3, 'A+sf' for class D-1B-R3, 'A-sf' for class D-2-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 AGL CLO 5 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. ALLEGRO CLO VII: Moody's Affirms B1 Rating on $20.4MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Allegro CLO VII, Ltd.: US$20M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 4, 2025 Upgraded to Aa1 (sf) US$26M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Jun 25, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$203.5M (Current outstanding balance US$14,516,153) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 25, 2024 Assigned Aaa (sf) US$41.6M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 25, 2024 Assigned Aaa (sf) US$20.4M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on May 17, 2023 Downgraded to B1 (sf) Allegro CLO VII, Ltd., originally issued in June 2018 and partially refinanced in June 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class C-R and Class D notes is primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in April 2025. The affirmations on the ratings on the Class A-R, B-R and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD109.3 million (53.5%) since the last rating action in April 2025. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 225.16%, 166.00%, 123.73% and 103.13% compared to April 2025[2] levels of 145.28%, 129.58%, 113.61% and 103.60%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD130.1 million Diversity Score: 44 Weighted Average Rating Factor (WARF): 3202 Weighted Average Life (WAL): 3.0 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.05% Weighted Average Recovery Rate (WARR): 46.15% Par haircut in OC tests and interest diversion test: 3.09% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. AMUR EQUIPMENT 2024-1: Moody's Ups Rating on Class E Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded four classes of notes issued by Amur Equipment Finance Receivables XIII LLC, Series 2024-1 (Amur 2024-1). The notes are backed by a pool of fixed-rate loans and leases secured primarily by trucking, transportation and construction equipment. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables XIII LLC, Series 2024-1 Class B Notes, Upgraded to Aaa (sf); previously on Jan 31, 2024 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Jan 31, 2024 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Jan 31, 2024 Definitive Rating Assigned Baa3 (sf) Class E Notes, Upgraded to Ba1 (sf); previously on Jan 31, 2024 Definitive Rating 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 rating actions were primarily driven by the buildup in credit enhancements owing to structural features including a sequential pay structure, non-declining reserve account and overcollateralization as well as collateral performance. Moody's also considered the level of credit enhancement and the subordinated nature of the junior notes. Other considerations include transactions' high exposures to the cyclical trucking and transportation industry which is currently in a downturn and highly correlated with the health of the overall economy. No action was taken on the remaining rated tranches because there were no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectations of pool losses could decline as a result of a lower number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. APIDOS CLO XXXIV: Moody's Gives (P)B3 Rating to $500,000 F-R2 Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by Apidos CLO XXXIV (the Issuer): US$4,000,000 Class X-R2 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$500,000 Class F-R2 Mezzanine Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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 methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3037 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 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. AREIT 2022-CRE6: DBRS Confirms B Rating on Class G Notes -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by AREIT 2022-CRE6 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying loans since the previous Morningstar DBRS credit rating action in May 2025. Additionally, the transaction benefits from a high concentration of loans backed by multifamily collateral, which represents 76.0% of the current trust balance. Morningstar DBRS notes multifamily properties have historically exhibited lower default rates compared with other property types. At the prior credit rating action in May 2025, Morningstar DBRS upgraded the credit ratings on Classes B, C, D, E, F, and G largely as a result of the model impact with Morningstar DBRS' updated methodology. While individual borrowers have had mixed success in implementing their respective business plans to increase property cash flows and asset values, Morningstar DBRS notes the transaction continues to benefit from significant credit support to the investment-grade bonds as the below-investment-grade rated bonds, Classes F and G, have a cumulative balance of $84.8 million, and the unrated first loss piece also has a balance of $84.8 million. These factors supported the credit rating confirmations throughout the capital stack. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 34 floating-rate mortgage loans secured by 37 mostly transitional properties with a cut-off balance totaling $893.1 million. The transaction had a 36-month Permitted Funded Companion Participation Acquisition Period, whereby the issuer could acquire funded loan participation interests in the trust; this period expired with the January 2025 Payment Date. As of the November 2025 remittance, the pool comprised 20 loans secured by 23 properties with a cumulative trust balance of $651.8 million, reflecting a collateral reduction of 27.0% since issuance. Leverage across the pool as of the November 2025 reporting has remained relatively in line with issuance metrics, as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 72.0%, with a current WA stabilized LTV of 64.1%. In comparison, these figures were 71.7% and 64.5%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 or earlier and may not fully reflect the effects of increased interest rates and/or widening capitalization rates (cap rates) in the current environment. In its analysis for this review, Morningstar DBRS applied upward LTV adjustments across 10 loans, representing 64.4% of the current pool balance, to reflect cap rate assumptions that are generally higher than the implied cap rates based on the issuance appraisals. As of November 2025, only one loan, McCallum Meadows (Prospectus ID#14, 4.5% of the current pool balance), is delinquent and in special servicing. The loan transferred to the special servicer in September 2024 for payment default and subsequently did not repay at its October 2024 maturity date. The borrower requested a loan modification, which was not accepted. As per the Q3 2025 collateral manager's report, the issuer foreclosed on the property in November 2024, and it is currently real estate owned. The borrower's original business plan was to invest approximately $5.6 million toward interior/exterior renovations as well as deferred maintenance items. As per the issuer's latest report, $2.8 million in future funding remains outstanding. At loan closing, the appraiser valued the property on an as-is basis at $32.2 million, indicative of an LTV of 90.6% based on the outstanding loan balance of $29.2 million. Given the current performance of the property, Morningstar DBRS believes the current market value of the property has declined. In its analysis, Morningstar DBRS considered a conservative approach and liquidated the loan from the trust based on a 30% haircut to the as-is appraised value at issuance; the resulting loss severity was 32% with implied losses totaling $9.2 million, which would be well contained to the unrated $84.8 million first-loss piece. There are also 14 loans, representing 67.0% of the current trust balance, that are being monitored on the servicer's watchlist. Most of the loans have been flagged for low occupancy rates and low debt service coverage ratios (trends that aren't unexpected considering most of the collateral remains in various stages of stabilization); however, all loans remain current. Additionally, increased debt service payments given the floating-rate nature of all loans in the transaction have placed greater stress on operating cash flows. The transaction also faces heightened maturity risk as all of the outstanding loans are scheduled to mature by January 2027. However, all of the loans have extension options remaining. As individual properties may not achieve the required performance metrics borrowers need to exercise extension options, Morningstar DBRS expects the collateral manager will continue to work with affected sponsors to negotiate mutually beneficial loan modifications to exercise the options. Morningstar DBRS also expects lenders to require borrowers to inject additional capital to fund principal curtailments, fund carry reserves, and/or purchase interest rate cap agreement in order to extend the loans. Through November 2025, the lender had advanced cumulative loan future funding of $66.2 million to 14 outstanding individual borrowers. The largest advance, $20.7 million, was for the borrower of the Balboa Retail Portfolio (Prospectus ID#6, 6.9% of the current trust), which is secured by four cross-collateralized multitenant retail properties across California and Oregon. As of November 2025, no future funding remains. The advanced funds went toward completing capital improvements and leasing costs. The collateral manager reported a consolidated occupancy rate of 80.0% across the portfolio as of Q3 2025, with several ongoing negotiations for the vacant space. The loan has a scheduled maturity in January 2026, with one remaining extension option for a fully extended maturity date in January 2027. An additional $3.3 million of loan future funding allocated to two of the outstanding individual borrowers remains available. The largest portion of available funding ($2.8 million) is allocated to the borrower of McCallum Meadows. Notes: All figures are in U.S. dollars unless otherwise noted. BANC OF AMERICA 2015-UBS7: DBRS Cuts Rating on 2 Tranches to Csf ---------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 issued by Banc of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7 as follows: -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to CCC (sf) from BB (high) (sf) -- Class E to C (sf) from B (low) (sf) -- Class X-D to CCC (sf) from BBB (low) (sf) -- Class X-E to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (low) (sf) -- Class F at C (sf) -- Class G at C (sf) Classes D, E, F, G, X-D, and X-E no longer carry a trend given the CCC (sf) or lower credit rating. Morningstar DBRS assigned a Negative trend to Class C. All other trends are Stable. With this review, Morningstar DBRS removed the credit ratings on eight classes from Under Review with Negative Implications, where they were placed on October 15, 2025. The credit rating downgrades for Classes D and E reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for expected servicer expenses. Across the three specially serviced loans, Morningstar DBRS is projecting total liquidated losses of $29.5 million, up from $1.3 million at the July 2025 review, largely driven by loss projections from the largest specially serviced loan, 261 Fifth Avenue (Prospectus ID#2, 38.7% of the current pool balance), which transferred in September 2025 for maturity default. Projected losses from these liquidation scenarios would erode the entire certificate balances of Classes F, G, and H, and approximately 70.0% of the Class E certificate balance, supporting the credit rating downgrades for Classes D and E. Morningstar DBRS placed all classes Under Review with Negative Implications with the October 2025 credit rating action because of increased interest shortfalls with the September 2025 reporting. The shortfalls were contributed from reimbursed advances tied to the Rite Aid - Carlisle loan (Prospectus ID#37, 1.4% of the current trust balance); the title was transferred to the lender in July 2025 through a foreclosure sale. Cumulative interest shortfalls increased to $3.2 million with the September 2025 reporting from $2.5 million at the July 2025 credit rating action. Since September 2025, approximately $489,000 of interest shortfalls have been repaid, fully repaying unpaid interest outstanding for Classes A-S and B, which are now receiving full scheduled interest payments. In addition, approximately $139,000 of shortfalls were repaid for Class C as of November 2025 while approximately $99,000 of cumulative shortfalls remain outstanding, supporting the credit rating downgrade and Negative trend for that class. Despite the ongoing repayment of shorted interest, Classes C and D have exceeded the Morningstar DBRS thresholds for interest shortfalls at the respective credit rating categories. Ongoing interest shortfalls are accumulating at a rate of approximately $30,000 per month, primarily attributed to servicer fees and nonrecoverable interest from the Rite-Aid - Carlisle loan. In the analysis for this review, Morningstar DBRS considered conservative advancing assumptions for distressed loans, the results of which suggested ongoing interest shortfalls would be contained to the Class D certificate. The credit rating confirmations and Stable trends for the two most senior bonds reflect the recoverability expectations for the Charles River Plaza North (Prospectus ID#1, 29.4% of the pool) and Aviare Place Apartments (Prospectus ID#28, 2.9% of the pool) loans; both are expected to be repaid in full, with a combined $58.3 million in principal proceeds which would fully repay Class A-S and approximately 50.0% of Class B. In addition, the conservative liquidation scenarios for specially serviced loans project another $93.0 million of principal proceeds, sufficient to fully repay Class B. As of the November 2025 remittance, five loans remain in the pool, representing a collateral reduction of 76.1% since issuance. To date, the trust has incurred a total loss of $19.6 million, which has been contained to the nonrated Class H certificate. Three loans, representing 67.7% of the pool, are in special servicing, while two loans, representing 32.3% of the pool, are on the servicer's watchlist for upcoming loan maturities. The largest loan in special servicing, 261 Fifth Avenue, is secured by a Class B office building constructed in 1928 in Midtown Manhattan. The loan has not performed after transferring to special servicing in September 2025 for maturity default. According to the YE2024 financial reporting, the property generated $11.7 million in net cash flow (NCF) (a debt service coverage ratio (DSCR) of 1.44 times (x)), an increase from the YE2023 figure of $10.9 million (a DSCR of 1.35x) but below the issuance figure of $12.2 million (a DSCR of 1.52x). As of the June 2025 rent roll, the property was 85.0% occupied; The three largest tenants, Town and Country Holdings (7.5% of the net rentable area (NRA), lease expiration in September 2031), Dan Klores Communication (6.9% of the NRA, expiring April 2032), and Himatsingka America (6.4% of the NRA, expiring December 2030) have lease expirations at least five years out. Given the recent maturity default, heightened risks associated with seeking replacement financing for Class B office buildings in today's environment, and no updated appraisal made available since issuance, Morningstar DBRS liquidated the loan in its analysis based on a conservative 50.0% haircut to the issuance appraised value of $300.0 million, resulting in a total loss of $18.2 million and loss severity of 26.0%. The second largest loan in special servicing, The Mall of New Hampshire (Prospectus ID#5, 27.7% of the pool), is secured by a 405,723-square-foot (sf) portion of an 811,573-sf Class B single-level enclosed regional mall in Manchester, New Hampshire. The mall is anchored by Macy's, JCPenney, and Dick's Sporting Goods, none of which serve as the collateral for the loan. The loan transferred to the special servicer in July 2025 for maturity default; however, the loan was modified to extend the final maturity date to July 2028 when including a final one-year extension option contingent upon the trailing-12 months (T-12) net operating income remaining at least above $11.0 million. As of the March 2025 rent roll, the collateral was 85.5% occupied, below the YE2024 and issuance figures of 88.3% and 95.5%, respectively. The largest collateral tenants include Best Buy (10.4% of the NRA, expiring January 2034), Old Navy (4.6% of the NRA, expiring January 2027), and Boot Barn (3.3% of the NRA, expiring March 2035). According to the T-12 ended June 30, 2025, financials, the collateral generated NCF of $9.3 million (a DSCR of 1.49x), a decline from the YE2024 and issuance figures of $10.3 million (a DSCR of 1.65x) and $15.8 million (a DSCR of 2.52x), respectively. A June 2025 appraisal valued the collateral at $154.0 million, approximately 40.0% below the issuance appraised value of $256.0 million. While the loan continues to perform and has additional runway with a fully extended maturity date in 2028, the considerable value decline from issuance suggests increased risks for the trust. In the recoverability analysis for this review, Morningstar DBRS evaluated the loan under a liquidation scenario based on a 15.0% haircut to the most recent appraised value, resulting in an implied loss of $9.7 million and loss severity of 19.0%. Morningstar DBRS also considered a liquidation scenario for the third loan in special servicing, Rite Aid - Carlisle, secured by a now fully vacant single-tenant retail building in Carlisle, Pennsylvania, which has been taken through a foreclosure sale in July 2025. The loan was deemed nonrecoverable in March 2025 and, as of the September 2025 remittance, previously advanced interest in the amount of $326,000 was reimbursed to the servicer. The collateral was appraised in August 2025 for $1.3 million, a 77.5% decline from the issuance appraised value of $5.8 million. In the liquidation scenario considered with this review, Morningstar DBRS applied a 20.0% haircut to the most recent appraised value, resulting in an implied loss of $1.6 million and loss severity of 63.0%. Notes: All figures are in U.S. dollars unless otherwise noted. BATTALION CLO XXII: Moody's Cuts Rating on $16MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by Battalion CLO XXII Ltd.: US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on October 29, 2021 Assigned Ba3 (sf) US$5,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to Caa2 (sf); previously on March 13, 2025 Downgraded to B3 (sf) Battalion CLO XXII Ltd., originally issued in October 2021 and partially refinanced in March 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 will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class E and Class F notes reflect 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 OC ratios for the Class E and Class F notes are currently 104.11% and 102.65%, respectively, versus March 2025 levels of 105.16% and 103.68%, respectively. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $383.1 million, or $16.9 million less than the $400 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported [1] weighted average spread (WAS) has been deteriorating and the current level is 3.49% compared to 3.60% in March 2025 [2]. No actions were taken on the Class A-L Loans, Class A-R, Class A-N-R, Class B-R, 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 "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: $381,432,720 Defaulted par: $6,351,991 Diversity Score: 83 Weighted Average Rating Factor (WARF): 2817 Weighted Average Spread (WAS): 3.51% Weighted Average Recovery Rate (WARR): 45.39% Weighted Average Life (WAL): 5.06 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. BENEFIT STREET 44: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 44 Ltd./Benefit Street Partners CLO 44 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Resources Inc. (operating as Franklin Templeton Investments). The preliminary ratings are based on information as of Dec. 11, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO 44 Ltd./ Benefit Street Partners CLO 44 LLC Class A-1, $378.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $54.20 million: NR NR--Not rated. BLP COMMERCIAL 2023-IND: DBRS Confirms B(low) Rating on Cl. G Certs ------------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2023-IND issued by BLP Commercial Mortgage Trust 2023-IND as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance, as evidenced by the steady occupancy across the portfolio since issuance. The portfolio is predominately backed by industrial properties and benefits from experienced sponsorship, long-term leases, and geographical and sectoral diversity. Since Morningstar DBRS' previous credit rating action in January 2025, the rental concessions at the largest property in the portfolio (I-10 Logistics Center, 42.2% of the net rentable area (NRA)) have ended, contributing to a meaningful improvement in financial performance. The transaction is collateralized by the borrower's fee-simple or leasehold interest in 29 cross-collateralized properties totaling 4.3 million square feet. The portfolio consists of 28 industrial properties and one office property spread across 12 states, including California, New Jersey, and Maryland. The sponsor, Brookfield Strategic Real Estate Partners IV, a fund controlled by Brookfield Asset Management, contributed $329.2 million of equity in the subject portfolio's $807.7 million acquisition price. According to the November 2025 reporting, one of the original 30 properties, 6300 Park of Commerce (1.0% of the allocated loan amount (ALA) at issuance), has been released, contributing to a paydown of the pool balance to $538.2 million from the issuance balance of $550.0 million. The release was subject to a 110.0% release premium in accordance with the issuance documents, which stipulates that the borrower can release any property in the portfolio at a release price of 110.0% of the ALA as long as the portfolio debt yield does not drop below the debt yield prior to the release or the portfolio's debt yield at issuance. In addition, the issuance documents included a provision stating if the release was to a third-party purchaser in an arm's length sale or to a sponsor affiliate for market price, the borrower could obtain the release for the greater of the release price or 100% of the net proceeds of the sale. According to media sources, the property was sold in June 2025 for $12.4 million, of which the $11.8 million in net proceeds was applied as principal paydown. The loan also has a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 20.0% of the unpaid principal balance. The interest-only, floating-rate loan was structured with an initial two-year term and three one-year extension options, one of which has been exercised, extending the loan's current maturity date to March 2026. Each extension option requires the purchase of an interest rate cap agreement that yields a debt service coverage ratio (DSCR) of 1.05 times (x); however, no performance tests are required to exercise any option. According to the servicer, there has not yet been any indication of the borrower's plans regarding the second extension option. As of the June 2025 rent roll, the portfolio reported an occupancy rate of 89.1%, compared with the YE2024 and issuance figures of 92.7% and 93.0%, respectively. Approximately 3.5% of the portfolio's NRA has leases scheduled to expire within the next 12 months, and approximately 20.4% of the NRA has leases scheduled to expire in 2027, ahead of the loan's fully extended maturity date in March 2028. I-10 Logistics Center previously had rent concessions for the sole tenant, Shein (51.2% of the Morningstar DBRS base rent), which has two leases at the property. According to the servicer, both leases' rent concession periods ended in September 2024, adding an additional $21.3 million of annual rental revenue to the portfolio. With the addition of Shein's rental obligations, there was a notable increase in the portfolio's financial performance, with the annualized June 2025 financials yielding a net cash flow (NCF) of $41.5 million (DSCR of 0.99x), compared with $20.4 million (DSCR of 0.44x) at YE2024. At issuance, Morningstar DBRS derived an NCF of $34.9 million (DSCR of 0.97x), which gave credit to Shein's full rental obligations. Although the loan is on the watchlist for a low DSCR, the in-place interest rate cap agreement ensures a minimum DSCR of 1.05x. With this review, Morningstar DBRS updated its value and NCF for the portfolio to account for the decrease in potential rental revenue from the property release. Morningstar DBRS derived a value of $515.5 million based on the Morningstar DBRS NCF of $34.5 million and a capitalization rate of 6.75%, resulting in a current Morningstar DBRS loan-to-value ratio (LTV) of 104.4% compared with the LTV of 59.3% based on the issuance appraised value of $906.9 million. Positive qualitative adjustments totaling 7.25% were applied to the LTV Sizing Benchmarks to reflect the portfolio's quality, cash flow volatility, and strong market fundamentals. Overall, Morningstar DBRS expects the portfolio to continue to perform in line with issuance expectations throughout the remainder of the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. BRCK TRUST 2025-830B: 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 2025-830B (the Certificates) issued by BRCK Trust 2025-830B (the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The Trust is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest in 830 Brickell, a 55-story, 650,148-sqaure-foot (sf) office property. The property is in Miami within the Brickell office submarket and as of September 17, 2025, was 99.3% leased to a mix of tenants including major financial firms with a weighted-average remaining lease term of 9.7 years. The property benefits from its location and an impressive collection of high-quality top 10 tenants. Together, these tenants comprise 89.6% of the total net rentable area (NRA) and include Citadel LLC (Citadel); Kirkland & Ellis LLP; Santander Bank (Santander); Corient Private Wealth LLC; Sidley Austin LLP; Banco Master S.A.; Thoma Bravo, LP; Microsoft; Marsh; and AerCap Holdings N.V. The subject is in the Brickell submarket, which is Miami's most desirable office submarket and one of the strongest office submarkets in the country. This submarket has seen an influx of financial firms in recent years and has become known as the Manhattan of the South. The building takes up half a city block on Brickell Plaza just east of South Miami Avenue and the SLS LUX Brickell hotel, north of 9th Street, and across the street from the Brickell City Centre. The Class A+ office tower was the first office tower of its quality built from the ground up in at least a decade and has 16 tenants. The collateral was recently constructed and achieved a final occupancy permit in late 2024. The sponsor reported an investment of approximately $88 million in tenant improvements, while tenants also made significant investments in their build-outs with some spending upward of an additional $500 per sf, according to the sponsor. Two of the largest tenants, representing 35.6% of the total NRA at the property, are developing or planning to construct new buildings close to the subject; therefore, both tenants pose vacancy risk upon lease expiration or termination. Citadel, which occupies 138,577 sf, represents 21.3% of the total NRA and has been looking to develop a new property at 1201 Brickell Bay Drive, and it would anchor the building. The Citadel project is expected to be a 54-story 1.7 million-sf office and hotel property, which is now expected to start construction in mid to late 2026 but is still subject to obtaining approvals. The third-largest tenant, Santander, has secured approvals and is currently in the process of developing a new building at 1401 Brickell Avenue, which will likely lead to the tenant vacating all or a majority of its space at the collateral. Upon its lease expiry in October 2034, Santander is likely to give back its 92,942-sf space, which represents 14.3% of the total NRA. Additionally, Santander also has an early termination option, which takes effect in October 2029 with one-year prior notice and has no termination fee. In total, 0% of the total NRA will expire through loan maturity in 2030. The earliest lease expiration, subject to termination options, is 120,424 sf of Citadel space in 2031, which represents 18.5% of the total NRA. The property was completed in late 2024 and has been in a period of lease-up from late 2024 through the first half of 2025. In addition to paying off the existing debt, proceeds will be applied to capitalize the remaining outstanding lease-up costs for the property. These costs consist of $8.1 million for deferred maintenance, $63.2 million for payment of free rent and operating expenses, $15.7 million for remaining tenant improvement/leasing commission reserves, and $7.7 million for closing costs for the loan. The property was 99.3% leased as of September 17, 2025, with only 4,381 sf of vacancy. The building is owned by a joint venture (JV; 50/50) between Cain International and OKO Group. The JV is the developer of the property, which was recently completed in 2024. Cain International is a vertically integrated real estate and private equity firm with $13.6 billion assets under management. It manages a diverse portfolio across hospitality, industrial, residential, and office properties. Its private equity platform primarily focuses on investments in business and brands across the lifestyle and entertainment industries. OKO Group is an international real estate development and investment firm headquartered in Miami. OKO Group has invested more than $10 billion in real estate projects since being founded in 2015 across residential, hospitality, and Class A office space. The sponsor is using the proceeds from this refinancing to pay off existing debt, capitalize contractual leasing costs, and fund upfront reserves associated with the lease-up of the recently developed property and closing costs associated with the refinancing. Notes: All figures are in U.S. dollars unless otherwise noted. BRYANT PARK 2025-28: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bryant Park Funding 2025-28 Ltd./Bryant Park Funding 2025-28 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Marathon Asset Management L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; --The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Bryant Park Funding 2025-28 Ltd./ Bryant Park Funding 2025-28 LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $37.5 million: Not rated BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on GV Certs ---------------------------------------------------------- DBRS Limited upgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LBA issued by BX TRUST 2021-LBA as follows: -- Class B-JV to AAA (sf) from AA (high) (sf) -- Class C-JV to AA (high) (sf) from AA (low) (sf) -- Class D-JV to A (high) (sf) from A (low) (sf) -- Class E-JV to BBB (high) (sf) from BBB (low) (sf) -- Class X-JV-NCP to AA (low) (sf) from A (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-V at AAA (sf) -- Class B-V at AA (high) (sf) -- Class C-V at AA (low) (sf) -- Class D-V at A (sf) -- Class E-V at BBB (low) (sf) -- Class F-V at BB (low) (sf) -- Class G-V at B (low) (sf) -- Class X-V-NCP at A (high) (sf) -- Class A-JV at AAA (sf) -- Class F-JV at BB (low) (sf) -- Class G-JV at B (low) (sf) Morningstar DBRS also changed the trends on Classes B-V, C-V, D-V, E-V, X-V-NCP, C-JV, D-JV, E-JV, F-JV, G-JV, and X-JV-NCP to Positive from Stable. The trends on the remaining classes are Stable. The credit rating upgrades reflect the Fund JV portfolio's overall stable to improving performance, as evidenced by the year-over-year growth in net cash flow (NCF) and stable weighted-average portfolio occupancy rate, which has remained above 90.0% since issuance. In the analysis for this review, Morningstar DBRS updated the loan-to-value (LTV) Sizing Benchmarks for both portfolios. In order to further test the durability of the credit ratings, Morningstar DBRS' analysis considered both base-case and stressed scenarios, the results of which provide additional support for the credit rating upgrades and trend changes to Positive from Stable made with this review. The transaction consists of two separate, uncrossed portfolios of assets, each of which supports the payments on its respective series of certificates. Each of the portfolios consist of functional bulk warehouse product that exhibits strong functionality metrics and favorable locations within major industrial markets. Both loans are floating-rate, interest-only (IO) loans that are structured with an initial two-year term with five one-year extension options for a fully extended maturity date in February 2028. The loans are sponsored by a joint-venture partnership between Blackstone Real Estate Income Trust, Inc. and LBA Logistics. Fund V is secured by 16 industrial properties, totaling approximately 2.6 million square feet (sf), across California, Oregon, and Washington. Fund JV consists of 35 industrial properties, totaling approximately 6.6 million sf in Washington, Nevada, California, Utah, Texas, and Colorado. One property has been released from Fund V, reflecting an 8.6% collateral reduction since issuance. Both loans have a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the unpaid principal balance at a release premium of 105.0% of the allocated loan amount, which increases to 110.0% for the remaining 70.0% of the principal balance. At issuance, Morningstar DBRS noted that leases representing approximately 72.5% and 87.1% of Morningstar DBRS' base rent were scheduled to roll through the fully extended loan term across the Fund V and Fund JV portfolios, respectively. Although Morningstar DBRS maintains a cautious outlook on the elevated rollover risk at maturity, this risk is mitigated by the continued strong demand for industrial space driven by e-commerce dominance. In addition to this, the pool is well diversified across well-performing West Coast markets, with a geographic concentration in Southern California. Based on the June 2025 rent rolls, Funds V and JV continue to demonstrate steady weighted-average occupancy rates, which were reported at 94.5% and 97.0%, respectively, a slight decline from the June 2024 figures of 96.0% and 97.5%, respectively. According to June 2025 financial reporting, Fund V generated an NCF of $26.8 million for the trailing 12 months (T-12) ended June 30, 2025, corresponding to a debt service coverage ratio (DSCR) of 1.32 times (x), an improvement over the NCF of $24.7 million (DSCR of 1.11x) for the T-12 period ended June 30, 2024, and a significant increase compared with the Morningstar DBRS issuance NCF of $19.8 million for the 16 remaining properties. During the same period, Fund JV reported an NCF of $50.6 million (DSCR of 1.36x), an increase from the NCF of $47.3 million (DSCR of 1.16x) for the T-12 period ended June 30, 2024, and the Morningstar DBRS issuance figure of $34.1 million. To test the durability of the credit ratings and evaluate potential for the credit rating upgrades, Morningstar DBRS analyzed both loans under base-case and stressed scenarios. For Fund V, Morningstar DBRS took a conservative 20% haircut to the NCF of $26.8 million for the T-12 period ended June 30, 2025, and applied a capitalization (cap) rate of 6.75%, which resulted in a stressed value of $317.8 million (LTV of 96.8%), a variance of -36.0% from the issuance appraised value of $496.8 million. Morningstar DBRS maintained positive qualitative adjustments totaling 8.5% to reflect the low cash flow volatility, the collateral's good quality, and its location within strong markets. Based on the stressed analysis, credit rating upgrades were not warranted with this review. For Fund JV, Morningstar DBRS took a 20% haircut to the NCF of $50.6 million for the T-12 period ended June 30, 2025, and applied a 7.0% cap rate, resulting in a stressed value of $578.2 million (LTV of 96.0%), representing a -35.8% variance from the issuance appraised value of $900.0 million. Morningstar DBRS maintained positive qualitative adjustments totaling 8.0% to reflect the low cash flow volatility, the collateral's good quality, and its location within strong markets. The upward pressure implied by the Morningstar DBRS LTV Sizing Benchmarks in the stressed analysis throughout the capital stack further supports Morningstar DBRS' credit rating upgrades with this review. The credit ratings on Classes F-JV and G-JV are lower than the results implied by the LTV Sizing Benchmarks by three or more notches. Although the improvement in NCF since issuance is notable, there is significant rollover risk through the remainder of the loan's term. To account for this risk, Morningstar DBRS opted not to upgrade Classes F-JV and G-JV with this review. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2025-3: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2025-3, Ltd. Entity/Debt Rating ----------- ------ Canyon CLO 2025-3, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating D-3 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Canyon CLO 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 73.82%. 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The Weighted Average Life (WAL) used for the transaction stress portfolio is up to 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C-1, between 'B+sf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'A+sf' for class D-1, 'Asf' for class D-2, and 'A-sf' for class D-3 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Canyon CLO 2025-3, 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. CANYON CLO 2025-3: Moody's Assigns B3 Rating to $250,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Canyon CLO 2025-3, Ltd. (the Issuer or Canyon CLO 2025-3): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Canyon CLO 2025-3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of obligations that are not senior secured loans. The portfolio is approximately 95% ramped as of the closing date. Canyon CLO Advisors L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued eight other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3052 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.1 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. CARLYLE US 2025-5: Fitch Assigns 'BB-sf' Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2025-5, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2025-5, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2025-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. 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 24.0 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.65% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.31% 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 other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for Class A-2 notes, between 'BB+sf' and 'A+sf' for Class B notes, between 'B+sf' and 'A-sf' for Class C-1 notes, between 'Bsf' and 'BBB+sf' for Class C-2 notes, between less than 'B-sf' and 'BB+sf' for Class D-1 notes, between less than 'B-sf' and 'BB+sf' for Class D-2 notes, and between less than 'B-sf' and 'B+sf' for Class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B notes, 'AA+sf' for Class C-1 notes, 'AAsf' for Class C-2 notes, 'Asf' for Class D-1 notes, 'A-sf' for Class D-2 notes, and 'BBB+sf' for Class E 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 2025-5, 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. CENTERBRIDGE CREDIT 1: Moody's Ups Rating on $24.5MM E Notes to Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Centerbridge Credit Funding 1, Ltd.: US$42,000,000 Class B Senior Secured Fixed Rate Notes due 2039 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on December 22, 2021 Upgraded to Aa2 (sf) US$22,750,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class C Notes"), Upgraded to Aa3 (sf); previously on May 13, 2021 Definitive Rating Assigned A3 (sf) US$15,750,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class D Notes"), Upgraded to A3 (sf); previously on May 13, 2021 Definitive Rating Assigned Baa3 (sf) US$24,500,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2039 (the "Class E Notes"), Upgraded to Ba1 (sf); previously on May 13, 2021 Definitive Rating Assigned Ba3 (sf) Centerbridge Credit Funding 1, Ltd., issued in May 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in July 2026. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the portfolio's weighted average life (WAL) since December 2021, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the deal will be exiting its reinvestment period in July 2026, which increases the likelihood that the deal will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposure to approximately 61% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 3.90%. Moody's also noted that based on Moody's calculations, the deal has a significantly lower weighted average rating factor of 3061, compared to its current covenant of 3224. No action was taken on the Class A notes because its expected loss remain commensurate with its current rating, after taking into account the CBO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: Performing par and principal proceeds balance: $350,000,000 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3224 Weighted Average Coupon (WAC): 4.70% Weighted Average Recovery Rate (WARR): 35.40% Weighted Average Life (WAL): 5.0 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. CHASE HOME 2025-13: DBRS Gives Prov. B(low) Rating on B5 Certs -------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-13 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-13: -- $433.9 million Class A-1 at (P) AAA (sf) -- $374.2 million Class A-2 at (P) AAA (sf) -- $374.2 million Class A-3 at (P) AAA (sf) -- $374.2 million Class A-3-A at (P) AAA (sf) -- $374.2 million Class A-3-X1 at (P) AAA (sf) -- $374.2 million Class A-3-X2 at (P) AAA (sf) -- $374.2 million Class A-3-X3 at (P) AAA (sf) -- $280.7 million Class A-4 at (P) AAA (sf) -- $280.7 million Class A-4-A at (P) AAA (sf) -- $280.7 million Class A-4-B at (P) AAA (sf) -- $280.7 million Class A-4-X1 at (P) AAA (sf) -- $280.7 million Class A-4-X2 at (P) AAA (sf) -- $280.7 million Class A-4-X3 at (P) AAA (sf) -- $93.6 million Class A-5 at (P) AAA (sf) -- $93.6 million Class A-5-A at (P) AAA (sf) -- $93.6 million Class A-5-B at (P) AAA (sf) -- $93.6 million Class A-5-X1 at (P) AAA (sf) -- $93.6 million Class A-5-X2 at (P) AAA (sf) -- $93.6 million Class A-5-X3 at (P) AAA (sf) -- $224.5 million Class A-6 at (P) AAA (sf) -- $224.5 million Class A-6-A at (P) AAA (sf) -- $224.5 million Class A-6-B at (P) AAA (sf) -- $224.5 million Class A-6-X1 at (P) AAA (sf) -- $224.5 million Class A-6-X2 at (P) AAA (sf) -- $224.5 million Class A-6-X3 at (P) AAA (sf) -- $149.7 million Class A-7 at (P) AAA (sf) -- $149.7 million Class A-7-A at (P) AAA (sf) -- $149.7 million Class A-7-B at (P) AAA (sf) -- $149.7 million Class A-7-X1 at (P) AAA (sf) -- $149.7 million Class A-7-X2 at (P) AAA (sf) -- $149.7 million Class A-7-X3 at (P) AAA (sf) -- $56.1 million Class A-8 at (P) AAA (sf) -- $56.1 million Class A-8-A at (P) AAA (sf) -- $56.1 million Class A-8-B at (P) AAA (sf) -- $56.1 million Class A-8-X1 at (P) AAA (sf) -- $56.1 million Class A-8-X2 at (P) AAA (sf) -- $56.1 million Class A-8-X3 at (P) AAA (sf) -- $48.5 million Class A-9 at (P) AAA (sf) -- $48.5 million Class A-9-A at (P) AAA (sf) -- $48.5 million Class A-9-B at (P) AAA (sf) -- $48.5 million Class A-9-X1 at (P) AAA (sf) -- $48.5 million Class A-9-X2 at (P) AAA (sf) -- $48.5 million Class A-9-X3 at (P) AAA (sf) -- $149.7 million Class A-10 at (P) AAA (sf) -- $149.7 million Class A-10-A at (P) AAA (sf) -- $149.7 million Class A-10-B at (P) AAA (sf) -- $149.7 million Class A-10-X1 at (P) AAA (sf) -- $149.7 million Class A-10-X2 at (P) AAA (sf) -- $149.7 million Class A-10-X3 at (P) AAA (sf) -- $59.7 million Class A-11 at (P) AAA (sf) -- $59.7 million Class A-11-X at (P) AAA (sf) -- $59.7 million Class A-12 at (P) AAA (sf) -- $59.7 million Class A-13 at (P) AAA (sf) -- $59.7 million Class A-13-X at (P) AAA (sf) -- $59.7 million Class A-14 at (P) AAA (sf) -- $59.7 million Class A-14-X at (P) AAA (sf) -- $59.7 million Class A-14-X2 at (P) AAA (sf) -- $59.7 million Class A-14-X3 at (P) AAA (sf) -- $59.7 million Class A-14-X4 at (P) AAA (sf) -- $74.8 million Class A-15 at (P) AAA (sf) -- $74.8 million Class A-15-A at (P) AAA (sf) -- $74.8 million Class A-15-B at (P) AAA (sf) -- $74.8 million Class A-15-X1 at (P) AAA (sf) -- $74.8 million Class A-15-X2 at (P) AAA (sf) -- $74.8 million Class A-15-X3 at (P) AAA (sf) -- $74.8 million Class A-16 at (P) AAA (sf) -- $74.8 million Class A-16-A at (P) AAA (sf) -- $74.8 million Class A-16-B at (P) AAA (sf) -- $74.8 million Class A-16-X1 at (P) AAA (sf) -- $74.8 million Class A-16-X2 at (P) AAA (sf) -- $74.8 million Class A-16-X3 at (P) AAA (sf) -- $74.8 million Class A-17 at (P) AAA (sf) -- $74.8 million Class A-17-A at (P) AAA (sf) -- $74.8 million Class A-17-B at (P) AAA (sf) -- $74.8 million Class A-17-X1 at (P) AAA (sf) -- $74.8 million Class A-17-X2 at (P) AAA (sf) -- $74.8 million Class A-17-X3 at (P) AAA (sf) -- $131.0 million Class A-18 at (P) AAA (sf) -- $131.0 million Class A-18-A at (P) AAA (sf) -- $131.0 million Class A-18-B at (P) AAA (sf) -- $131.0 million Class A-18-X1 at (P) AAA (sf) -- $131.0 million Class A-18-X2 at (P) AAA (sf) -- $131.0 million Class A-18-X3 at (P) AAA (sf) -- $482.4 million Class A-X-1 at (P) AAA (sf) -- $482.4 million Class A-X-2 at (P) AAA (sf) -- $482.4 million Class A-X-3 at (P) AAA (sf) -- $11.5 million Class B-1 at (P) AA (low) (sf) -- $11.5 million Class B-1-A at (P) AA (low) (sf) -- $11.5 million Class B-1-X at (P) AA (low) (sf) -- $6.6 million Class B-2 at (P) A (low) (sf) -- $6.6 million Class B-2-A at (P) A (low) (sf) -- $6.6 million Class B-2-X at (P) A (low) (sf) -- $4.6 million Class B-3 at (P) BBB (low) (sf) -- $2.8 million Class B-4 at (P) BB (low) (sf) -- $1.0 million Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-3-A, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.50% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.25%, 1.95%, 1.05%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 480 loans with a total principal balance of $537,306,704 as of the Cut-Off Date (December 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 62.3% of the loans were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association (rated AA with a Stable trend), will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE15: DBRS Confirms C Rating on Class F Certs --------------------------------------------------------- DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE15 issued by COMM 2014-CCRE15 Mortgage Trust as follows: -- Class D to CCC (sf) from BBB (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-B to CCC (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class F at C (sf) -- Class PEZ at AA (sf) The trends on Classes C and PEZ are Negative while the trend on Class B remains Stable. Classes D, E, F, and X-B no longer carry a trend, given the CCC (sf) or lower credit rating. With this review, Morningstar DBRS also removed the credit ratings on Classes C, D, E, X-B, and PEZ from Under Review with Negative Implications, where they were placed on October 31, 2025, because of the accumulation of interest shortfalls affecting Class D. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections and ongoing interest shortfalls attributed to two specially serviced loans: 25 West 45th Street (Prospectus ID#4; 32.6% of the current pool balance) and 840 Westchester (Prospectus ID#23; 5.2% of the current pool balance). As the pool continues to wind down, Morningstar DBRS analyzed the recoverability for the remaining loans, with the scenarios generally based on conservative haircuts to the most recent appraised values for the specially serviced and otherwise troubled loans in the pool. The analysis suggested that realized losses totaling $61.9 million would eliminate the remaining Class F and G certificate balances and approximately half of the Class E certificate balance, which supports the credit rating downgrade for that class. Morningstar DBRS' recoverability analysis suggests that Classes B and C will be recovered, supporting the credit rating confirmations for both classes.. The Negative trend on Class C and credit rating downgrade on Class D reflect ongoing interest shortfalls. Total unpaid interest increased to $4.0 million as of the November 2025 remittance from $2.4 million at the June 2025 credit rating action. The Class D certificate has not received full interest since July 2025 and approximately $94,000 of the $141,000 of interest owed to that class was shorted with the November 2025 remittance. Interest shortfalls continue to accumulate at a rate of $326,000 per month, up from $110,000 per month at the previous credit rating action. Morningstar DBRS expects that shortfalls will continue to accrue, given that the master servicer deemed the two specially serviced loans nonrecoverable. Although Class C is currently receiving full interest, Morningstar DBRS notes that there is one non-specially serviced loan, 600 Commonwealth (Prospectus ID #6; 16.1% of the current pool balance), that is scheduled to mature in January 2026 and is underperforming compared with expectations at issuance. If that loan does not repay and/or transfers to special servicing, there could be additional increases in shortfalls, which could affect Class C, supporting the Negative trend on that class. As of the November 2025 remittance, five loans remained in the pool with an aggregate principal balance of $192.0 million, representing an 80.1% collateral reduction from issuance. Of the remaining loans, three (45.6% of the current pool balance) are in special servicing while the two non-specially serviced loans are on the servicer's watchlist for upcoming maturities and/or low debt service coverage ratio or occupancy rates. Morningstar DBRS ultimately expects a full repayment for the largest remaining loan in the pool, 625 Madison Avenue (Prospectus ID#1; 38.4% of the current pool balance), which continues to exhibit a favorable credit profile. The largest contributor to Morningstar DBRS' loss projections and interest shortfalls is the 25 West 45th Street loan, secured by a 17-story Class B office tower in Manhattan's Grand Central submarket. The loan transferred to special servicing after failing to repay at maturity in January 2024. Recent servicer commentary states that the lender intends to proceed with a foreclosure. Two large tenants, WeWork and FedEx (collectively representing 17.0% of net rentable area (NRA)), vacated in 2023. Since their departures, the property's occupancy rate has been relatively unchanged at 70.4% as of the March 30, 2025, rent roll, whereas the Grand Central submarket reported an average vacancy figure of 11.8% as of Q3 2025, according to Reis. The property was appraised at a value of $55.0 million ($289 per square foot (sf)) in August 2025, a sharp decline from the appraised value of $107.0 million at issuance and below the $62.5 million loan balance. As a result of the property's Class B quality and the decline in value from issuance, Morningstar DBRS analyzed the loan with a liquidation scenario, applying a conservative 40.0% haircut to the most recent appraised value, resulting in an implied loss of $36.6 million and a loss severity of 58.0%. The other contributor to the ongoing interest shortfalls is the 840 Westchester loan, secured by a 47,963-sf mixed-use office and retail property in the Bronx. The loan originally transferred to special servicing in January 2021 for payment default and matured in January 2024. A foreclosure sale was completed in September 2025 and the title was transferred to the lender. Although Morningstar DBRS did not receive updated reporting, three of the top five tenants have expired leases. The collateral was appraised at a value of $12.4 million in February 2025, well below the appraised value of $21.6 million at issuance. Given the asset recently became real estate owned, Morningstar DBRS analyzed the loan with a liquidation scenario, applying a 40.0% haircut to the February 2025 appraised value, resulting in an implied loss of $6.4 million and a loss severity of 64.0%. 600 Commonwealth (Prospectus ID#6; 16.1% of the current pool balance) is secured by a 316,000-sf office property in Los Angeles. The loan transferred to special servicing as it failed to repay at its January 2024 maturity date. A loan modification closed in October 2024, and the loan was transferred back to the master servicer with a loan term extension. The loan was modified again in February 2025 to extend the loan to January 2026. According to online news sources from January 2024, the property was slated for a multifamily conversion by developer Jamison Services Inc. The project has been pending city approvals since that time, with no updates available. The servicer noted that attempts to reach the borrower were unsuccessful; however, the loan remained current as of the November 2025 reporting. Only one tenant, Los Angeles County Department of Health Services (38.1% of NRA), appeared on the most recent rent roll, with a lease that expired in February 2025. The subject was appraised at a value of $31.4 million in February 2024, a significant drop from the appraised value of $50.0 million at issuance. Morningstar DBRS also considered a liquidation scenario for the loan, which included a conservative 60.0% haircut to the February 2024 appraised value and resulted in an implied loss of $18.3 million and a loss severity of 59.3%. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 29 SENIOR: Moody's Cuts Rating on $27MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 49 Senior Loan Fund: US$39M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 8, 2025 Upgraded to Aa1 (sf) US$30M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on May 8, 2025 Upgraded to Baa2 (sf) US$27M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Jun 27, 2017 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$384M (Current outstanding amount US$58,231,189) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 19, 2021 Assigned Aaa (sf) US$72M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 10, 2023 Upgraded to Aaa (sf) US$7.75M Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Jul 8, 2024 Downgraded to Caa3 (sf) Dryden 49 Senior Loan Fund, originally issued in June 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 portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in May 2025. The downgrade on the rating on the Class E notes is primarily a result of the deterioration in the credit quality of the underlying collateral pool since May 2025. The affirmations on the ratings on the Class A-R, B-R and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated October 2025[1], the WARF was 2866, compared with 2779 as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 9.09% of the underlying portfolio, versus 7.75% in March 2025[2]. The Class A-R notes have paid down by approximately USD85.1 million (22.2%) since the last rating action in May 2025 and USD325.8 million (84.8%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated October 2025[1], the Class A/B, Class C, Class D and Class E OC ratios are reported at 181.14%, 139.39%, 118.40% and 104.27%, compared to March 2025[2] levels of 140.93%, 122.92%, 111.92% and 103.58%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD235,910,818 Defaulted Securities: USD1,676,693 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2879 Weighted Average Life (WAL): 3.09 years Weighted Average Spread (WAS): 3.08% Weighted Average Recovery Rate (WARR): 47.71% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. EFMT 2025-INV5: S&P Assigns B- (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to EFMT 2025-INV5's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, manufactured housing, condotels, and five- to 10-unit multifamily residential properties to prime and nonprime borrowers. The pool consists of 1,232 ability-to-repay (ATR)-exempt residential mortgage loans backed by 1,445 properties, including 39 cross-collateralized loans backed by 252 properties. S&P said, "After we assigned preliminary ratings on Dec. 2, 2025, the pool decreased by approximately $50,000, the classes A-1FCF and A1LCF were issued and the classes A-1F and A-IO were withdrawn. The credit support at each rating level remained the same. After reviewing the final structure, we assigned final ratings that are consistent with the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned(i) EFMT 2025-INV5 Class A-1, $182,525,783: AAA (sf) Class A-1A, $152,750,000: AAA (sf) Class A-1B, $29,775,783: AAA (sf) Class A-1FCF, $68,422,000: AAA (sf) Class A-1LCF, $25,307,217: AAA (sf) Class A-2, $39,433,000: AA- (sf) Class A-3, $58,586,000: A- (sf) Class M-1, $28,392,000: BBB- (sf) Class B-1, $21,632,000: BB- (sf) Class B-1A, $21,632,000: BB- (sf) Class B-X-1A, $21,632,000(ii): BB- (sf) Class B-2, $15,548,000: B- (sf) Class B-3A, $5,407,000: NR Class B-3B, $5,408,927: NR Class B-3, $10,815,927: NR Class A-IO-S, notional(iii): NR Class X, notional(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii) Notional amount equal to the balance of Class B-1A. (iii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. NR--Not rated. N/A--Not applicable. ELDRIDGE MMPC 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Eldridge MMPC CLO 2025-2 Ltd./Eldridge MMPC CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Eldridge Credit Advisers LLC, a subsidiary of Elridge Industries. The preliminary ratings are based on information as of Dec. 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 diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Eldridge MMPC CLO 2025-2 Ltd./Eldridge MMPC CLO 2025-2 LLC Class A-1, $288.00 million: AAA (sf) Class A-1-L loans, $60.00 million: AAA (sf) Class A-2, $24.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C (deferrable), $48.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB (sf) Class D-2 (deferrable), $12.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $72.00 million: NR NR--Not rated. FIGRE TRUST 2025-FL2: DBRS Gives Prov. B Rating on Class B2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2025-FL2 (the Notes) to be issued by FIGRE Trust 2025-FL2 (FIGRE 2025-FL2 or the Trust): -- $197.5 million Class A-1 at (P) AAA (sf) -- $21.2 million Class A-2 at (P) AA (high) (sf) -- $10.9 million Class A-3 at (P) AA (low) (sf) -- $6.7 million Class M-1 at (P) BBB (low) (sf) -- $2.4 million Class B-1 at (P) BB (sf) -- $1.8 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating on the Notes reflects 18.50% of credit enhancement provided by subordinate notes. The (P) AA (high) (sf), (P) AA (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 9.75%, 5.25%, 2.50%, 1.50%, and 0.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by recently originated first-lien home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,951 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $242,341,393 and a total current credit limit of $263,630,115 as of the Cut-Off Date (November 30, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from two to 11 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure or the Company) is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the Company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 31, 2024, Figure originated, funded, and serviced more than 124,000 HELOCs totaling approximately $8.5 billion Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2025-FL2 is the 22nd rated securitization of HELOCs by Figure. However, FIGRE 2025-FL2 is the second rated securitization of HELOCs by Figure to contain primarily first-lien HELOCs. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all but one loans (99.8%) are open HELOCs that have a draw period of two, three, four, or five years, during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only (IO) payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 96.7% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure generally uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were generally treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations and generally stepped up expected losses from the model to account for this and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A-1 A-2, A-3, M-1, B-1, B-2, B-3, and XS note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date, and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Retaining Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged-off and will instead continue to be serviced. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike prior FIGRE securitizations, the Reserve Account will not be funded at closing. Instead, the Class FR Certificate holders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Class FR Certificates will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount funded by the Class FR Certificate holders. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (December 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes--Class M-1, Class B-1, and Class B-2--that receive their principal payments after the pro rata classes (Class A-1, Class A-2, and Class A-3) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). The Depositor may, at its option, on or after the earlier of (1) the payment date in December 2028, and (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (NPLs) (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible NPLs) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2025-FL2: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 6 classes of residential mortgage-backed securities (RMBS) to be issued by FIGRE Trust 2025-FL2, and sponsored by Figure Lending LLC. The securities are backed by a pool of predominantly first-lien, performing, simple interest, fixed rate, fully amortizing and predominantly open-ended Home Equity Lines of Credit (HELOCs), originated by Figure Lending LLC and various other originators and serviced by Figure Lending LLC. The complete rating actions are as follows: Issuer: FIGRE Trust 2025-FL2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A1 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the HELOCs, 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 1.53%, in a baseline scenario-median is 1.05% and reaches 14.24% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings 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. GLS AUTO 2023-1: DBRS Confirms BB Rating on Class E Notes --------------------------------------------------------- DBRS, Inc. upgraded six credit ratings and confirmed 17 credit ratings from five GLS Auto Receivables Issuer Trust and two GLS Auto Select Receivables Trust Transactions: Debt Rated Rating Action ---------- ------ ------ GLS Auto Receivables Issuer Trust 2020-3 Class E Notes AAA (sf) Confirmed GLS Auto Receivables Issuer Trust 2020-4 Class E Notes AAA (sf) Confirmed GLS Auto Receivables Issuer Trust 2023-1 Class C Notes AAA (sf) Confirmed Class D Notes A (high)(sf) Upgraded Class E Notes BB (sf) Confirmed GLS Auto Receivables Issuer Trust 2023-4 Class B Notes AAA (sf) Confirmed Class C Notes AAA (sf) Upgraded Class D Notes A (low) (sf) Upgraded Class E Notes BB (sf) Confirmed GLS Auto Receivables Issuer Trust 2025-1 Class A-2 Notes AAA (sf) Confirmed Class A-3 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Upgraded Class C Notes A (sf) Confirmed Class D Notes BBB(low)(sf) Confirmed Class E Notes BB (sf) Confirmed GLS Auto Select Receivables Trust 2024-1 Class A-2 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Confirmed Class C Notes AA (sf) Upgraded Class D Notes BBB (sf) Confirmed GLS Auto Select Receivables Trust 2024-4 Class A-2 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Upgraded Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed Credit rating rationale includes the key analytical considerations. -- For GLS Auto Receivables Issuer Trust 2020-3 and GLS Auto Receivables Issuer Trust 2020-4, losses are tracking below Morningstar DBRS' initial base case cumulative net loss (CNL) expectations. The current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Receivables Issuer Trust 2023-1 and GLS Auto Receivables Issuer Trust 2023-4, losses are tracking above Morningstar DBRS' initial base case CNL expectations. However, due to the transaction structures, CE has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Select Receivables Trust 2024-1, losses are tracking above Morningstar DBRS' initial base case CNL expectation. However, due to the transaction structure, CE has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Select Receivables Trust 2024-4, losses are tracking in line with Morningstar DBRS' initial base case CNL expectation. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Receivables Issuer Trust 2025-1, losses are tracking in line with Morningstar DBRS' initial base case CNL expectation. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- Current CE levels have increased in each transaction compared to initial levels. -- 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 March 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. GOLUB CAPITAL 84: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital CLO 84(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital CLO 84(B), Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Golub Capital CLO 84(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 24.19 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 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.17% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 03 December 2025 ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital CLO 84(B), 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. HUDSON'S BAY 2015-HBS: DBRS Confirms B(low) Rating on D-10 Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS as follows: -- Class C-7 at BB (sf) -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class X-A-10 at AAA (sf) -- Class A-10 at AA (high) (sf) -- Class X-B-10 at A (sf) -- Class B-10 at A (low) (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) All trends on all classes are Stable with the exception of Classes E-7 and E-10, which have credit ratings that do not typically carry trends in Commercial Mortgage Backed Securities (CMBS) credit ratings. Morningstar DBRS discontinued the credit ratings on Classes A-7, B-7, X-A-7, and X-B-7 as those classes were repaid with the November 2025 remittance. The credit rating confirmations reflect Morningstar DBRS' outlook on the transaction since the previous credit rating action in December 2024. The loan transferred to the special servicer in July 2025 for imminent maturity default and subsequently did not repay at its August 2025 maturity date. According to updates from the servicer, the loan's maturity has been extended to December 22, 2025, however, the negotiations surrounding a modification remain ongoing. While the trust continues to pay down as a result of loan amortization and property releases and exhibits healthy performance metrics, Morningstar DBRS maintains its conservative view on the transaction given the increased propensity for adverse selection and the portfolio's sustained high exposure to vacant properties. Morningstar DBRS maintained a stressed value scenario for its review, which supports the credit rating confirmations. At issuance, the transaction consisted of an $846.2 million first-mortgage loan secured by 34 cross-collateralized properties previously leased to 24 Lord & Taylor stores and nine Saks Fifth Avenue stores in 15 states. The collateral properties represented 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance), totaling 4.5 million square feet. Individual tenant storefronts are located in various malls and freestanding locations with concentrations in New Jersey and New York. The loan is sponsored by a joint venture between Hudson's Bay Company (HBC) and Simon Property Group (SPG). The loan included a $149.9 million floating-rate Component A, which was paid off as of the November 2023 payment period, as well as a $371.2 million fixed-rate Component B and a $324.9 million fixed-rate Component C. Principal proceeds are now being used to pay down Component B. Property releases are subject to release premiums of 115.0% of the allocated loan amount (ALA). Since Morningstar DBRS' last review, three additional properties, Northbrook Court, Rockaway Town Square, and Stamford Mall (formerly 6.9% of the issuance ALA in aggregate), were released from the portfolio for a combined premium of approximately $73.8 million. The Northbrook Court release price came in lower than the property's go-dark value while the remaining two properties came in over 20.0% more than their go-dark values derived in 2019. In total, seven properties have been released since issuance and, as of November 2025, the loan reported a current balance of $466.4 million, representing a collateral reduction of 44.9% since issuance, which includes property releases, loan amortization, and the additional principal reduction from the loan modification executed in September 2021. The portfolio was formerly 100% leased to Lord & Taylor and Saks Fifth Avenue on two master leases with 20-year initial terms and six five-year extension options for each store. The operating leases are fully guaranteed by HBC. Following Lord & Taylor's bankruptcy filing in 2020, all Lord & Taylor stores were closed, resulting in 25 of the 34 collateral properties, representing 54.7% of the issuance ALA, becoming fully vacant. Seven of these vacant properties have been released since issuance and now represent 51.0% of the current ALA. The borrower continues to abide by the terms of the October 2021 loan modification that mandated the borrower to pay the full difference between total monthly rent and debt service as well as to use all excess cash flow to amortize the principal balance. Various reserves have also been funded to help reposition the dark collateral properties. As of November 2025, the loan reported a total of $9.0 million across all reserves. According to the most recent financial statement, the portfolio reported an annualized consolidated net cash flow (NCF) of $96.4 million for the trailing six months ended June 30, 2025, including the released properties, and reflects a debt service coverage ratio of 2.73 times (x). In comparison, the annualized YE2024 and YE2023 NCFs were $94.6 million and $90.1 million, respectively, while Morningstar DBRS' NCF derived in 2020 was approximately $41.8 million (excluding released properties). The year-over-year improvement is driven by an increase in base rents. Despite the improvement, given the prolonged vacant status of the majority of the Lord & Taylor properties, as well as the dated appraisals from 2019, Morningstar DBRS maintained a stressed scenario in its analysis for this review. Morningstar DBRS updated its value to exclude the released properties and maintained a conservative haircut of 20% to the 2019 appraisal values, resulting in a value of $499.6 million, which represents a -55.0% variance from the 2019 as-is appraised value of $1.1 billion for the unreleased properties and reflects an as-is loan-to-value ratio of 93.4%. 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. ICG US CLO 2017-1: S&P Affirms B- (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, and C-R3 notes from ICG US CLO 2017-1, Ltd./ICG US CLO 2017-1 LLC, a CLO originally issued in 2021 that is managed by ICG Debt Advisors LLC. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, and C-RR notes following payment in full on the Dec. 11, 2025, refinancing date. S&P also affirmed its rating on the class D-RR and E-RR notes, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Jan. 28, 2026. -- The non-call period was extended to June 11, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R3 notes, $246.00 million: Three-month CME term SOFR + 1.13000% -- Class B-R3 notes, $58.00 million: Three-month CME term SOFR + 1.60000% -- Class C-R3 notes (deferrable), $24.00 million: Three-month CME term SOFR + 2.05000% Previous debt -- Class A-RR notes, $246.00 million: Three-month CME term SOFR + 1.43161% -- Class B-RR notes, $58.00 million: Three-month CME term SOFR + 2.06161% -- Class C-RR notes (deferrable), $24.00 million: Three-month CME term SOFR + 2.66161% -- Class D-RR notes (deferrable), $24.00 million: Three-month CME term SOFR + 3.81161% -- Class E-RR notes (deferrable), $15.00 million: Three-month CME term SOFR + 7.62161% -- Subordinated notes (deferrable), $38.80 million S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. 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 ICG US CLO 2017-1 Ltd. / ICG US CLO 2017-1 LLC Class A-R3 notes, $246.00 million: AAA (sf) Class B-R3 notes, $58.00 million: AA (sf) Class C-R3 notes (deferrable), $24.00 million: A (sf) Ratings Withdrawn ICG US CLO 2017-1 Ltd. / ICG US CLO 2017-1 LLC Class A-RR notes to NR from 'AAA (sf)' Class B-RR notes to NR from 'AA (sf)' Class C-RR notes to NR from 'A (sf)' Rating Affirmed ICG US CLO 2017-1 Ltd. / ICG US CLO 2017-1 LLC Class D-RR notes: BB+ (sf) Class E-RR notes: B- (sf) Other Debt ICG US CLO 2017-1 Ltd. / ICG US CLO 2017-1 LLC Subordinated notes, $38.80 million: NR NR--Not rated. ICG US CLO 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to ICG US CLO 2025-2 Ltd./ICG US CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned ICG US CLO 2025-2 Ltd./ICG US CLO 2025-2 LLC Class A, $252.000 million: AAA (sf) Class B, $52.000 million: AA (sf) Class C (deferrable), $24.000 million: A (sf) Class D-1 (deferrable), $20.000 million: BBB- (sf) Class D-2 (deferrable), $4.000 million: BBB- (sf) Class E (deferrable), $14.000 million: BB- (sf) Subordinated notes, $36.725 million: NR NR--Not rated. JP MORGAN 2018-PHH: Moody's Downgrades Rating on Cl. C Certs to C ----------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH, Commercial Mortgage Pass-Through Certificates, Series 2018-PHH as follows: Cl. A, Downgraded to Caa1 (sf); previously on Mar 28, 2025 Downgraded to B2 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Mar 28, 2025 Downgraded to Caa1 (sf) Cl. C, Downgraded to C (sf); previously on Mar 28, 2025 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Mar 28, 2025 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Mar 28, 2025 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Mar 28, 2025 Affirmed C (sf) Cl. HRR, Affirmed C (sf); previously on Mar 28, 2025 Affirmed C (sf) RATINGS RATIONALE The ratings on three P&I classes, Cl. A, Cl. B, and Cl. C, were downgraded primarily due to the continued significant advances from the ongoing delinquency, cashflow underperformance of the property and uncertainty around the timing and proceeds from the ultimate resolution of the asset. The property's 2025 net cash flow (NCF) is expected to decline year over year as operating expense growth is outpacing the increase in RevPAR growth and there has been recent slowing RevPAR growth in the Chicago CBD hotel market. Furthermore, as of the November 2025 distribution date the loan was last paid through its September 2022 payment date and there was approximately $63.3 million in advances (inclusive of P&I, T&I, other expense advances and cumulative accrued unpaid advance interest outstanding) which amounts to 19.2% of the outstanding loan balance. Moody's actions reflects the high Moody's LTV ratio and the potential for higher losses and interest shortfall concerns due to the ongoing delinquency and uncertainty of resolution timeline. The ratings on four P&I classes, Cl. D, Cl. E, Cl. F and Cl. HRR, were affirmed because the ratings are consistent with Moody's expected loss. From 2021 through 2024, the property's cash flow performance improved year over year, however, growth has recently slowed and the NCF through year-to-date August 2025 is now trending lower than 2024 due to the combination of increased operating expenses and slower pace of revenue growth. The property's performance remains well below its levels in 2019 and the NCF DSCR has remained below 1.00X due to the cash flow trends and the significant increase in its floating interest rate in recent years. As a result, Moody's expects the advances to remain outstanding and may continue to increase if the property's cash flow does not improve. 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. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy nature 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 loan performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or increase in interest shortfalls. DEAL PERFORMANCE As of the November 17, 2025 distribution date, the transaction's aggregate certificate balance remains unchanged from Moody's prior review at approximately $329 million. The decrease from approximately $333 million at securitization was due to a scheduled annual principal paydown from 25% of excess cash flow in 2019. The securitization is backed by a single floating-rate loan collateralized by the borrower's fee simple interest in the Palmer House Hilton. The 24-story, 1,642-guestroom property is located in the central business district of Chicago, Illinois, one block west of Millennium Park and Michigan Avenue. There is approximately $94 million of mezzanine debt held outside of the trust. The loan was transferred to the special servicer in April 2020 due to the impact of the coronavirus outbreak and the loan is classified as "Foreclosure" as of the November 2025 remittance statement. The property's performance had declined prior to the coronavirus outbreak and its reported NCF in 2019 was $25.9 million, representing a 22% decline from 2018. After experiencing negative cash flow in 2020 and 2021 due to COVID-related closures between April 2020 and June 2021, the cash flow turned positive in 2022 and reached $16.3 million in 2023 NCF. The property continued positive cash flow trends in 2024 and reported an NCF of $18.8 million, however, this was still below 2019 levels and well below levels at securitization. While the Downtown / Loop Chicago hotel market has recovered to RevPAR levels above its pre-pandemic levels, the property's size and reliance on the meeting and group segment has elongated its recovery timing. According to CBRE EA, Chicago CBD Revenue per Available Room (RevPAR) reached $216.00 in Q3 2025, 21% above its RevPAR of $177.90 in Q3 2019, however, the pace of growth recently slowed in 2025, and over the same timeframe and despite improvements in recent years, the property's estimated RevPAR as of August 2025 remained below its 2019 and 2024 levels. Additionally, the property's recent NCF growth may stall or reverse its positive trend in 2025 due to an expected increase in expenses from higher anticipated real estate tax payments, property insurance, rooms expenses, advertising/marketing expenses, and slower RevPAR growth. The property is in need of a comprehensive renovation, specifically focused on guestrooms and F&B facilities, in order to maintain its competitive status and while small, targeted improvements have been executed through 2025, there is currently no indication of a greater capital improvement. The cash flow trends combined with the floating rate loan's interest rate of above 6% as of the November 2025 remittance statement, resulted in a DSCR of less than 1.00X on the interest-only debt service and the loan was last paid through its September 2022 payment date causing loan advances to remain at elevated levels. As of the November 2025 distribution date, the outstanding advances (including P&I advances, T&I advances, other expenses, and cumulative accrued unpaid advance interest) totaled $63.3 million, representing 19.2% of the loan outstanding balance. The most recently reported appraisal value dated April 2025, was materially lower than the prior year and while it remained above the outstanding mortgage loan balance, the value was approximately 23% lower than the total senior mortgage loan exposure (inclusive of outstanding advances). As a result, an appraisal reduction of $121.7 million was reported as of the November 2025 remittance statement and outstanding interest shortfalls totaled $22.6 million, impacting Cl. E, Cl. F, and Cl. HRR. There have been no losses as of the current distribution date. The special servicer indicated they have filed for judicial foreclosure and a receiver has been appointed. Servicer commentary also indicated there is ongoing litigation in regard to a license agreement between the original borrower and a borrower related entity for space located in an adjacent office/annex building. Moody's NCF is now $17.5 million and Moody's LTV and stressed DSCR for the first mortgage loan balance are 197% and 0.58X, respectively, compared to 188% and 0.60X at Moody's last review. However, Moody's analysis also factored in the potential for higher expected losses given cash flow underperformance, significant loan advances and the interest shortfall concerns given the continued loan delinquency and uncertainty of the timing of the ultimate resolution of the asset. The total outstanding advances of $63.3 million cause the aggregate senior mortgage loan exposure to be $392.2 million as of the current distribution date. The advances are likely to be outstanding through the loan's ultimate resolution. JP MORGAN 2025-11: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-11 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-11: -- $389.0 million Class A-1 at (P) AAA (sf) -- $389.0 million Class A-1-A at (P) AAA (sf) -- $389.0 million Class A-2 at (P) AAA (sf) -- $389.0 million Class A-2-A at (P) AAA (sf) -- $389.0 million Class A-2-B at (P) AAA (sf) -- $389.0 million Class A-2-X1 at (P) AAA (sf) -- $389.0 million Class A-2-X2 at (P) AAA (sf) -- $389.0 million Class A-2-X3 at (P) AAA (sf) -- $350.6 million Class A-3 at (P) AAA (sf) -- $350.6 million Class A-3-A at (P) AAA (sf) -- $350.6 million Class A-3-B at (P) AAA (sf) -- $350.6 million Class A-3-X1 at (P) AAA (sf) -- $350.6 million Class A-3-X2 at (P) AAA (sf) -- $350.6 million Class A-3-X3 at (P) AAA (sf) -- $263.0 million Class A-4 at (P) AAA (sf) -- $263.0 million Class A-4-A at (P) AAA (sf) -- $263.0 million Class A-4-B at (P) AAA (sf) -- $263.0 million Class A-4-X1 at (P) AAA (sf) -- $263.0 million Class A-4-X2 at (P) AAA (sf) -- $263.0 million Class A-4-X3 at (P) AAA (sf) -- $87.7 million Class A-5 at (P) AAA (sf) -- $87.7 million Class A-5-A at (P) AAA (sf) -- $87.7 million Class A-5-B at (P) AAA (sf) -- $87.7 million Class A-5-X1 at (P) AAA (sf) -- $87.7 million Class A-5-X2 at (P) AAA (sf) -- $87.7 million Class A-5-X3 at (P) AAA (sf) -- $210.4 million Class A-6 at (P) AAA (sf) -- $210.4 million Class A-6-A at (P) AAA (sf) -- $210.4 million Class A-6-B at (P) AAA (sf) -- $210.4 million Class A-6-X1 at (P) AAA (sf) -- $210.4 million Class A-6-X2 at (P) AAA (sf) -- $210.4 million Class A-6-X3 at (P) AAA (sf) -- $140.2 million Class A-7 at (P) AAA (sf) -- $140.2 million Class A-7-A at (P) AAA (sf) -- $140.2 million Class A-7-B at (P) AAA (sf) -- $140.2 million Class A-7-X1 at (P) AAA (sf) -- $140.2 million Class A-7-X2 at (P) AAA (sf) -- $140.2 million Class A-7-X3 at (P) AAA (sf) -- $52.6 million Class A-8 at (P) AAA (sf) -- $52.6 million Class A-8-A at (P) AAA (sf) -- $52.6 million Class A-8-B at (P) AAA (sf) -- $52.6 million Class A-8-X1 at (P) AAA (sf) -- $52.6 million Class A-8-X2 at (P) AAA (sf) -- $52.6 million Class A-8-X3 at (P) AAA (sf) -- $38.4 million Class A-9 at (P) AAA (sf) -- $38.4 million Class A-9-A at (P) AAA (sf) -- $38.4 million Class A-9-B at (P) AAA (sf) -- $38.4 million Class A-9-X1 at (P) AAA (sf) -- $38.4 million Class A-9-X2 at (P) AAA (sf) -- $38.4 million Class A-9-X3 at (P) AAA (sf) -- $70.1 million Class A-10 at (P) AAA (sf) -- $70.1 million Class A-10-A at (P) AAA (sf) -- $70.1 million Class A-10-B at (P) AAA (sf) -- $70.1 million Class A-10-X1 at (P) AAA (sf) -- $70.1 million Class A-10-X2 at (P) AAA (sf) -- $70.1 million Class A-10-X3 at (P) AAA (sf) -- $70.1 million Class A-11 at (P) AAA (sf) -- $70.1 million Class A-11-A at (P) AAA (sf) -- $70.1 million Class A-11-B at (P) AAA (sf) -- $70.1 million Class A-11-X1 at (P) AAA (sf) -- $70.1 million Class A-11-X2 at (P) AAA (sf) -- $70.1 million Class A-11-X3 at (P) AAA (sf) -- $70.1 million Class A-12 at (P) AAA (sf) -- $70.1 million Class A-12-A at (P) AAA (sf) -- $70.1 million Class A-12-B at (P) AAA (sf) -- $70.1 million Class A-12-X1 at (P) AAA (sf) -- $70.1 million Class A-12-X2 at (P) AAA (sf) -- $70.1 million Class A-12-X3 at (P) AAA (sf) -- $140.2 million Class A-13 at (P) AAA (sf) -- $140.2 million Class A-13-A at (P) AAA (sf) -- $140.2 million Class A-13-B at (P) AAA (sf) -- $140.2 million Class A-13-X1 at (P) AAA (sf) -- $140.2 million Class A-13-X2 at (P) AAA (sf) -- $140.2 million Class A-13-X3 at (P) AAA (sf) -- $122.7 million Class A-14 at (P) AAA (sf) -- $122.7 million Class A-14-A at (P) AAA (sf) -- $122.7 million Class A-14-B at (P) AAA (sf) -- $122.7 million Class A-14-X1 at (P) AAA (sf) -- $122.7 million Class A-14-X2 at (P) AAA (sf) -- $122.7 million Class A-14-X3 at (P) AAA (sf) -- $389.0 million Class A-X-1 at (P) AAA (sf) -- $389.0 million Class A-X-2 at (P) AAA (sf) -- $389.0 million Class A-X-3 at (P) AAA (sf) -- $8.5 million Class B-1 at (P) AA (low) (sf) -- $8.5 million Class B-1-A at (P) AA (low) (sf) -- $8.5 million Class B-1-X at (P) AA (low) (sf) -- $6.2 million Class B-2 at (P) A (low) (sf) -- $6.2 million Class B-2-A at (P) A (low) (sf) -- $6.2 million Class B-2-X at (P) A (low) (sf) -- $4.5 million Class B-3 at (P) BBB (low) (sf) -- $2.3 million Class B-4 at (P) BB (low) (sf) -- $825.0 thousand Class B-5 at (P) B (low) (sf) Classes A-2-X1, A-2-X2, A-2-X3, A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X1, A-11-X2, A-11-X3, A-12-X1, A-12-X2, A-12-X3. A-13-X1, A-13-X2, A-13-X3, A-14-X1, A-14-X2, A-14-X3, A-X-1, A-X-2, A-X-3, B-1-X and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-2-X1, A-2-X2, A-2-X3, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-X1, A-11, A-11-A, A-11-X1, A-12, A-12-A, A-12-X1, A-13, A-13-A, A-13-B, A-13-X1, A-13-X2, A-13-X3, A-14, A-14-A, A-14-B, A-14-X1, A-14-X2, A-14-X3, A-X-1, B-1 and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-11-A, A-11-B, A-12, A-12-A, A-12-B, A-13, A-13-A, A-13-B, A-14, A-14-A, and A-14-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.70% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.65%, 2.15%, 1.05%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-11 (the Certificates). The Certificates are backed by 306 loans with a total principal balance of $412,497,989 as of the Cut-Off Date (December 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 90.3% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 9.7% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) and PennyMac Loan Services, LLC originated 45.9%, and 13.5% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by UWM (45.6%), JPMorgan Chase Bank, N.A. (37.6%), PennyMac Loan Services, LLC (13.5%), and loanDepot (3.3%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 1, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-CES7: S&P Assigns Prelim. 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-CES7's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans (including loans with interest-only features) to both prime and nonprime borrowers. The loans are secured by single-family residential, planned-unit development, condominium, two- to four-family residential, townhouse, manufactured housing, and condotel properties. The pool has 4,315 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), non-QM/compliant loans, QM rebuttable presumption loans, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of Dec. 12, 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, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES7(i) Class A-1A, $370,388,000: AAA (sf) Class A-1B, $22,884,000: AAA (sf) Class A-1, $393,272,000: AAA (sf) Class A-2, $21,940,000: AA- (sf) Class A-3, $18,166,000: A- (sf) Class M-1, $11,088,000: BBB (sf) Class B-1, $14,391,000: BB- (sf) Class B-2, $8,021,000: B- (sf) Class B-3, $4,954,493: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(iii): Not rated Class A-R, not applicable(iv): Not rated (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)Prior to the servicing transfer date (on or about January 31, 2026), the class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the SPS- and Shellpoint-serviced mortgage loans as of the first day of the related due period, and after the servicing transfer date, the aggregate unpaid principal balance of the SPS serviced loans. The class A-IO-S will not be entitled to payments of principal. (iii)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (iv)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. JP MORGAN 2025-PHNY: DBRS Gives Prov. B(low) Rating on F Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-PHNY (the Certificates) to be issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-PHNY (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (low) (sf) All trends are Stable. The Trust transaction is secured by the borrower's fee-simple interest in the PUBLIC Hotel (the Hotel). Constructed in 2017, the 17-story, full-service Hotel features 367 guest rooms. The Hotel is well located in the Lower East Side neighborhood of Manhattan, providing convenient access to some of New York City's most vibrant neighborhoods, such as SoHo, NoLita, NoHo, Chinatown, and the West Village. The Hotel's amenities include seven food and beverage (F&B) outlets, 8,930 sf of meeting space, and a health and wellness program through which the Hotel partners with exercise trainers to host daily workout classes. The collateral is in a high-demand area of New York City thanks to its proximity to boutique retailers, trendy restaurants, bars, nightlife venues, and art galleries. The Hotel benefits from strong brand affiliation and experienced sponsorship via affiliates controlled by the Ian Schrager Company and the Witkoff Group. Ian Schrager is the world-renowned boutique hotel developer that created the PUBLIC brand, which embodies thoughtful design, service, and style to deliver a unique, one-of-a-kind experience to hotel guests. Morningstar DBRS has a generally positive view of the subject property, considering its prime location in Manhattan, brand affiliation, and strong performance. Delivered in 2017, the Hotel emphasizes sophisticated design and style across guest rooms and amenities paired with great service to ensure exceptional value for guests. Through the combination of stylish design, service and value, the PUBLIC brand creates a luxury for all experience for guests. Furthermore, the Hotel specializes in entertainment and socializing through its various venue spaces to attract hotel guests as well as city residents. Between 2019 and 2024, the sponsor invested approximately $13.8 million ($37,657 per key) in capex and repairs at the Hotel. In 2024, the sponsor spent $1.3 million ($3,544 per key) to renovate the cocktail lounge, Two Fifteen, and repair flooring on the roof. The largest capex investment of $10.1 million was made during 2020-21 to repair the damage from a flood that occurred in 2020 while the Hotel was closed during the height of the COVID-19 pandemic. To further enhance the offerings at the Hotel, three F&B outlets, Popular, Cantina & Pisco Bar, and Louis, will close in the near future because of underperformance. The three spaces will be replaced by a new concept by an affiliate of Union Square Hospitality. Founded by Danny Meyer in 1985, Union Square Hospitality Group is a world-renowned restaurant group that comprises some of New York City's most coveted restaurants such as Gramercy Tavern, The Modern, and Maialino. The new F&B concept is anticipated to open in the first half of 2026. The mortgage loan of $253.0 million, in conjunction with $57.0 million of mezzanine debt made by TKO Public hotel SCSp, and $43.3 million of preferred equity was used to refinance existing senior and mezzanine debt, cover closing costs, and fund upfront reserves. The loan is a two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the WA mortgage loan component spread of 3.250%. The borrower will enter an interest rate cap agreement with an assumed SOFR cap of 2.570% during the initial term. The sponsors for the transaction are the Ian Schrager Company and the Witkoff Group. Founded in 2005, by hotel developer Ian Schrager, the Ian Schrager Company's portfolio includes such high-profile projects as the transformation of the Gramercy Park Hotel and development of two residential projects, 40 Bond and 50 Gramercy Park North. The firm also has a partnership with Marriott International through the EDITION brand, one of Marriott's luxurious, top-tier brands. Based in Miami, the Witkoff Group is a global real estate development and investment firm that specializes in purchasing undervalued properties and successfully repositioning the assets in major cities across the U.S. Since the Witkoff Group's inception in 1997, the firm has executed more than 100 transactions totaling more than $30.0 billion. The Ian Schrager Company and the Witkoff group benefit from an established partnership shaping both the hospitality and residential markets in New York City through its various projects. The Hotel is ranked number two in its competitive set for revenue per available room (RevPAR) in the T-12 ended October 31, 2025, period, and achieved occupancy, average daily rate (ADR) and RevPAR indexes of 106.6%, 104.9%, and 111.8%, respectively, over this period. To improve RevPAR after a slight decline in YE2023 and further support long-term ADR growth, the Hotel established a partnership with Premiere Advisory Group (PAG), a third-party revenue management team in 2023. PAG successfully implemented its business plan by focusing on direct bookings, investing in marketing efforts, and increasing revenue through the establishment of an amenity fee. Since YE2023, the Hotel has seen overall RevPAR growth year over year. The collateral's strong performance is further demonstrated by an increase in RevPAR that was greater than the competitive set's RevPAR increase over the same period. In 2019, prior to the COVID-19 pandemic, the subject reported an occupancy rate of 86.1% and an ADR of $317.62 for a RevPAR of $273.52. The property achieved a RevPAR of $300.01 as of YE2024 and a RevPAR of $314.90 as of the T-12 ended October 31, 2025, highlighting increases of 9.7% and 15.1%, respectively, from pre-pandemic levels. The Hotel's favorable location in the Lower East Side neighborhood and Ian Schrager's brand value should position it well to remain a strong performer in its competitive set. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on A-S Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on five classes in JPMBB Commercial Mortgage Securities Trust 2015-C32, Commercial Pass-Through Certificates, Series 2015-C32 as follows: Cl. A-5, Downgraded to Aa3 (sf); previously on Apr 21, 2025 Affirmed Aaa (sf Cl. A-S, Downgraded to Ba2 (sf); previously on Apr 21, 2025 Downgraded to Baa2 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Apr 21, 2025 Downgraded to B1 (sf) Cl. X-A*, Downgraded to Baa2 (sf); previously on Apr 21, 2025 Downgraded to Aa3 (sf) Cl. X-B*, Downgraded to Caa1 (sf); previously on Apr 21, 2025 Downgraded to B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the three principal and interest (P&I) classes were downgraded due to higher expected losses and increased interest shortfall risk driven by a decline in pool performance due to the significant exposure to specially serviced loans. Twelve loans (98.5% of the pool) are in special servicing, of which six loans (68.4% of the pool) have been deemed non-recoverable by the master servicer causing interest shortfalls to impact up to Cl. A-S since July 2025. The thee largest non-recoverable specially serviced loans are secured by mix of property types located in the Chicago CBD, Civic Opera Building loan (17.1% of the pool), Hilton Suites Chicago Magnificent Mile loan (16.7% of the pool) and Palmer House Retail Shops loan (14.9% of the pool), and have been delinquent on debt service payments since 2021 and have experienced significant declines in value. All the remaining loans have now passed their original maturity dates and given the higher interest rate environment, loan performance and continued delinquencies, there is a higher risk of additional interest shortfalls and higher expected losses for the outstanding classes. The action also reflects increased realized losses since last review which were largely due to the servicer reimbursement of outstanding loan advances on the non-recoverable loans and as of the November 2025 remittance date there are cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $1.4 million. In Moody's rating analysis Moody's also analyzed loss and recovery scenarios to reflect the recovery value, the current cash flow of the properties and timing to ultimate resolution on the remaining loans in the pool. The rating on the interest-only (IO) class, Cl. X-A, was downgraded due to decline in credit quality of the referenced classes and from paydowns of higher rated reference classes. Cl. X-A originally referenced all classes senior to and including Cl. A-S, however, Classes A-SB, A-4, A-3, A-2 and A-1 have previously paid off in full and the only outstanding reference classes are now Cl. A-5 and Cl. A-S. The rating on the IO class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 53.3% of the current pooled balance, compared to 30.6% at Moody's last review. Moody's base expected loss plus realized losses is now 23.6% of the original pooled balance, compared to 19.6% 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 98.5% of the pool is in special servicing. In this approach, Moody's determine a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the November 2025 distribution date, the transaction's aggregate certificate balance has decreased by 66% to $386.6 million from $1.1 billion at securitization. The certificates are collateralized by thirteen mortgage loans, and there are cumulative outstanding advances (P&I, T&I, other expenses and unpaid advance interest) of $1.4 million. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $13.7 million (for an average loss severity of 47.6%). The majority of realized losses have resulted from the servicer reimbursement of prior advances. Twelve loans, constituting 98.5% of the pool, are currently in special servicing, of which six loans (68.4% of the pool) have been deemed non-recoverable by the master servicer. The largest specially serviced loan is the Civic Opera Building Loan ($66.2 million – 17.1% of the pool), which represents a pari-passu portion of a $144.8 million whole loan. The loan is secured by a 915,162 square foot (SF), 44-story office property located in the West Loop of Chicago. The property was constructed in 1929 and most recently renovated in 2015. The property is home to the non-collateral Lyric Opera, a 3,500-seat performance venue. The loan transferred to special servicing in July 2020 due to imminent monetary default at the borrower's request in relation to business disruptions from the coronavirus pandemic. Occupancy rates have decreased to 46% as of March 2025, down from 54% as of September 2024, 80% in 2019 and 92% at securitization. An updated appraised value from May 2025 represented a 54% decline from its value at securitization and was 30% below the outstanding loan amount. An appraisal reduction of $35.1 million has been recognized on this loan as of the November 2025 remittance statement and the loan has been deemed non-recoverable. Servicer commentary indicates that the lender and borrower are awaiting a court ruling on a motion to add a recourse component to the foreclosure. As of the November 2025 remittance, the loan was last paid through May 2021 and has amortized 11.8% since securitization. The second largest specially serviced loan is the Hilton Suites Chicago Magnificent Mile Loan ($64.4 million – 16.7% of the pool), which is secured by a 345 key full-service hotel located on Chicago's Magnificent Mile. The hotel was built in 1989 and renovated in 2014. The hotel features two F&B outlets, 8,400 SF of meeting space and an indoor pool. Property performance began to deteriorate starting in 2019, due to new hotel supply in the submarket since securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default in relation to business disruptions from the coronavirus pandemic. The lender began the foreclosure process in July 2022, and the loan became REO in April 2023. Based on the servicer commentary, the property is currently not for sale on market, but anticipating for marketing process at the conclusion of the tax appeal process. For the trailing twelve months ending August 2025, the occupancy, average daily rate and revenue per available room (RevPAR) were similar to August 2024 at 69.3%, $210.5 and $145.9, respectively. An updated appraised value from January 2025 represented a 57% decline from the value at securitization. As of the March 2025 remittance statement, an appraisal reduction of $39.0 million has been recorded for this loan and the loan has been classified as non-recoverable. As of the November 2025 remittance, the loan was last paid through December 2021 and has amortized 16.6% since securitization. The third largest specially serviced loan is the Palmer House Retail Shops Loan ($57.7 million – 14.9% of the pool), which is secured by the 134,564 SF ground floor interest underneath the non-collateral Palmer House hotel located in Chicago's central loop. The collateral net rentable area (NRA) is approximately 49% parking (166 spaces), 40% retail and 11% office. Property performance had been significantly impacted by the pandemic as the access to the collateral's retail portion is provided through the non-collateral Palmer House Hilton Hotel, which was closed between April 2020 and June 2021. The parking operator (49% of the collateral NRA) exercised their one-time termination option and vacated the property in July 2020. The loan transferred to special servicing in July 2020 due to delinquent payments and became REO in August 2024. The most recent appraisal from May 2025 valued the property 85% below the value at securitization and as of the November 2025 remittance statement, the master servicer has recognized a 100% appraisal reduction based on the current loan balance and the loan has been classified as non-recoverable. As of the November 2025 remittance, the loan was last paid through January 2021 and has amortized 7% since securitization. The fourth largest specially serviced loan is the Gateway Business Park Loan ($46.3 million – 12.0% of the pool), which is secured by a 514,037 SF, office park located in Mount Laurel, NJ, east of the Philadelphia Central Business District (CBD). The collateral consists of eight low-rise suburban office buildings with a granular tenant roster. The loan transferred to special servicing in April 2025 for payment default and foreclosure was filed in September 2025. The loan did not pay off at its scheduled maturity date in September 2025. Property performance started to decline since 2022 due to a decline in occupancy. Occupancy as of December 2024 was 71%, compared to 82% at securitization. Per the servicer commentary, they are continuing discussions with the borrower over possible outcomes. The most recent appraisal from May 2025 valued the property 52% below the value at securitization and as of the November 2025 remittance statement, the master servicer has recognized a 31% appraisal reduction based on the current loan balance and the loan has been classified as non-recoverable. As of the November 2025 remittance, the loan was last paid through May 2025 and has amortized 17% since securitization. The fifth largest specially serviced loan is the One Shell Square Loan ($29.5 million – 7.6% of the pool), which represents a pari passu portion of a $102.9 million A-note. The loan is also structured with $20 million of mezzanine debt. The loan is secured by a 1.2 million SF, LEED Gold certified office tower located in New Orleans, LA CBD. The 51-story building was constructed in 1972 and is the tallest building in Louisiana. The largest tenant, Shell Oil Company, reduced its presence at the property since securitization and announced that they plan to move to a new development. The building was renamed to Hancock Whitney Center when the second largest tenant, Hancock Whitney (17% of NRA), moved their regional headquarters to the property in 2018. The loan transferred to special servicing in July 2025 after the loan did not pay off at its scheduled July 2025 maturity date. Servicer commentary indicates that cash management is in place and lender has engaged counsel and will dual track foreclosure with workout discussions. As of the November 2025 remittance, the loan was current on debt service payments and has amortized 18% since securitization. The remaining seven specially serviced loans are secured by a mix of property types and each make up less than 7% of the pool and have now passed their original maturity dates. Moody's estimates an aggregate $206.0 million loss for the specially serviced loans (59% expected loss on average). As of the November 2025 remittance statement cumulative interest shortfalls were $33.8 million and impact up to Class 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), non-recoverable determinations, loan modifications and extraordinary trust expenses. The only loan not in special servicing is the University Studios Loan ($6.0 million – 1.5% of the pool), which is secured by a 150-unit multifamily property located on Cleveland, OH. The property was built in 1964 and renovated in 2010. Property performance has been relatively stable performance since securitization. The property was 86% occupied as of June 2025, compared to 78% in 2018 and 88% at securitization. The loan matured in October 2025. The borrower has requested a 60-day forbearance with the intention to pay off the loan. As of the November 2025 remittance, the loan has amortized 14%. Moody's LTV and stressed DSCR are 109% and 0.89X, respectively. KEYCORP STUDENT 2006-A: Moody's Cuts Cl. I-A-2 Certs Rating to Ba1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings of two classes of notes issued by KeyCorp Student Loan Trust 2006-A. The underlying collateral for this transaction includes loans originated under the Federal Family Education Loan Program (FFELP) and private student loans (PSLs). The FFELP and the PSLs collateral is separated into group I and group II, respectively, with each group collateralizing its own set of notes with independent reserve accounts and payment waterfalls. The residual cash flow in each group can be used to cover any payment shortfalls in the other group. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. Issuer: KeyCorp Student Loan Trust 2006-A Cl. I-A-2, Downgraded to Ba1 (sf); previously on Feb 14, 2025 Downgraded to Baa2 (sf) Cl. I-B, Downgraded to Baa3 (sf); previously on Feb 14, 2025 Downgraded to Baa1 (sf) RATINGS RATIONALE The downgraded tranches are backed by FFELP student loans (group I). FFELP student loans backing the securitizations are guaranteed by the US Department of Education for a minimum of 97% of defaulted principal and accrued interest. The rating actions reflect updated performance of the transaction and updated expected loss on the bonds across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss of the bond using 28 cash flow scenarios with weights accorded to each scenario. The rating downgrades are a result of Moody's analysis indicating that the bonds will not pay off by final maturity date in some of Moody's cash flow scenarios, thus causing the bonds to incur expected losses that are higher than the expected loss benchmarks set in Moody's idealized loss tables for the current ratings. Moody's did not give credit to cross-collateralization releases from the PSL and FFELP collaterals because the payment priority waterfalls for the transactions are currently directing all excess spread to pay noteholders, and releases are only generated once all notes from each respective group are paid in full. Additionally, the transaction documents do not include provisions that would prevent the FFELP or PSL collateral from being released from the trusts once their respective notes are no longer outstanding. Moody's expected lifetime default as a percentage of original pool balance is 26.15% for the underlying PSL pool. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGY The methodologies used in these ratings were "FFELP Student Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Because the DOE guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could upgrade the rating of the FFELP bonds if Moody's were to upgrade the rating on the United States government. Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Moody's could upgrade the ratings of the PSL bonds if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. Down Moody's could downgrade the rating of the FFELP bonds if Moody's were to downgrade the rating on the United States government. Further, Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the ratings owing to a reduction in credit enhancement. Moody's could downgrade the ratings of the PSL bonds if net losses are higher than Moody's expectations, or if the servicer's financial stability or quality of servicing deteriorates. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. KKR CLO 21: Moody's Lowers Rating on $12MM Class F Notes to Caa2 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by KKR CLO 21 Ltd.: US$32.4M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 10, 2024 Upgraded to Aa1 (sf) US$38.1M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Dec 10, 2024 Upgraded to Baa1 (sf) US$12M Class F Senior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Dec 10, 2024 Downgraded to Caa1 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding amount US$86,096,506) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 10, 2024 Affirmed Aaa (sf) US$63M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 10, 2024 Upgraded to Aaa (sf) US$28.5M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 10, 2024 Affirmed Ba3 (sf) KKR CLO 21 Ltd., originally issued in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over the last 12 months. The Class A notes have paid down by approximately USD158.1 million (40.5% of original balance) over the last 12 months and USD303.9 million (77.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A/B, Class C and Class D. According to the trustee report dated October 2025[1] the Class A/B, Class C and Class D OC ratios are reported at 176.70%, 145.16% and 119.97%, compared to October 2024[2] levels of 140.79%, 127.36% and 114.51%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by credit deterioration in the underlying CLO portfolio over the last 12 months. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated October 2024[2], the WARF was 3314, compared with 3587 in October 2025[1]. Securities with ratings of Caa1 or lower currently make up approximately 18.70% of the underlying portfolio, as per the October 2025 report[1], versus 11.30% in October 2024[2]. The affirmations on the ratings on the Class A, Class B and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Key model inputs: The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD276.7m Defaulted Securities: USD1.3m Diversity Score: 50 Weighted Average Rating Factor (WARF): 3346 Weighted Average Life (WAL): 3.45 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.31% Weighted Average Recovery Rate (WARR): 46.18% Par haircut in OC tests and interest diversion test: 5.40% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KSL COMMERCIAL 2024-HT2: DBRS Confirms BB(low) Rating on E Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HT2 (the Certificates) issued by KSL Commercial Mortgage Trust 2024-HT2 (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its lifecycle, having closed in December 2024. At closing, the transaction was secured by the fee-simple and/or leasehold interests in 13 hospitality properties across six states, totaling 2,384 total keys. Four properties (1,072 keys, representing 42.9% of allocated loan amount (ALA)) operated under the Marriott brand family; four properties (398 keys, representing 21.7% of ALA) operated as independent brands; three properties (549 keys, representing 20.6% of ALA) operated under the Hilton brand family; and two properties (365 keys, representing 14.9% of ALA) operated under the Hyatt brand family. The properties were constructed between 1904 and 2015 and had a weighted-average (WA) year built of 1997 and WA renovation year of 2021. The transaction benefits from experienced sponsorship in KSL Capital Partners (KSL), an industry leader for its 30 years of operations in managing lodging and leisure-oriented assets. The sponsor used the subject trust loan along with a $104.0 million of mezzanine debt to refinance $740.9 million of existing debt, redistribute $77.6 million to the sponsor, and establish a $29.2 million property improvement plan (PIP) letter of credit (LOC). At closing, the sponsor had invested $161.3 million ($67,647 per key) in capital expenditure (capex) across the portfolio since 2016. The LOC was established to fund an additional $29.2 million in capex across seven individual properties ranging from $0.3 million at the Westin Philadelphia ($1,020 per key) to $6.2 million at both the Hyatt Union Square ($1,060 per key) and the Hilton Garden Inn New York/Manhattan - Midtown East ($66,667 per key) properties. The PIPs were expected to be completed between 2024 and 2027; however, the first draw on the line of credit for $3.2 million did not occur until November 2025, according to servicer reporting. This suggests the timeline for select individual PIPs may be delayed. Morningstar DBRS has requested additional information regarding which assets have begun capex projects as well as an updated timeline for all property upgrades with a response pending as of the date of this press release. Since closing, one property has been released from the portfolio. The Boxer (80 keys), the smallest of the independently operated properties, had an initial ALA of $20.8 million and was released in April 2025. As of the November 2025 reporting, the loan had a trust amount of $738.8 million, reflecting a collateral reduction of 2.9%. The floating-rate loan has a two-year term with up to three one-year extension options. Property releases are subject to a payment release price of 105.0% of the ALA for the first 30.0% of the original principal balance. For any amount released thereafter, the payment release price increases in 110.0% of the ALA. Proceeds from the first 30.0% of property releases are distributed on a pro rata basis across the capital stack, while all subsequent principal repayments are applied subsequently. According to the financial reporting for the trailing 12 months ended June 30, 2025 (T-12), the collateral generated net cash flow (NCF) of $72.6 million, which remains in line with the Morningstar DBRS NCF figure derived at closing of $74.6 million. During the same period, the portfolio reported a WA occupancy, average daily rate, and revenue per available room of 79.9%, $275, and $221, respectively, which remains in line with the Morningstar DBRS figures derived at issuance of 78.8%, $278, and $219 respectively. At issuance, Morningstar DBRS derived an aggregate portfolio value of $906.5 million based on a Morningstar DBRS NCF of $74.6 million and a capitalization rate of 8.2%. For this review, Morningstar DBRS updated the LTV Sizing Benchmarks to exclude the NCF associated with The Boxer property, reducing the Morningstar DBRS NCF to $72.7 million; however, the cap rate remained unchanged. Morningstar DBRS also maintained the $5.0 million value deduction to recognize the PIP funding shortfall during the two-year loan term. The resulting Morningstar DBRS value of $882.6 million represents a variance of 27.6% from the issuance appraised value of 1.22 billion and results in Morningstar DBRS loan-to-value ratio of 83.7%. Morningstar DBRS maintained positive qualitative adjustments of 6.25% to reflect the property's quality, cash flow volatility, and strong market fundamentals given the geographical diversity. Notes: All figures are in U.S. dollars unless otherwise noted. LOBEL AUTOMOBILE 2025-1: DBRS Confirms BB Rating on Class E Debt ---------------------------------------------------------------- DBRS, Inc. upgraded six credit ratings and confirmed four credit ratings from three Lobel Automobile Receivables Trust transactions. Lobel Automobile Receivables Trust 2023-1 Debt Rated Rating Action ---------- ------ ------ Class C Notes AAA (sf) Upgraded Class D Notes AAA (sf) Upgraded Lobel Automobile Receivables Trust 2023-2 Class B AAA (sf) Upgraded Class C AAA (sf) Upgraded Class D BBB (sf) Confirmed Lobel Automobile Receivables Trust 2025-1 Class A AAA (sf) Confirmed Class B AAA (sf) Upgraded Class C A (high) (sf) Upgraded Class D BBB (sf) Confirmed Class E BB (sf) Confirmed The credit rating action is based on the following analytical considerations: -- For Lobel Automobile Receivables Trust 2023-1, Lobel Automobile Receivables Trust 2023-2, Lobel Automobile Receivables Trust 2025-1, although current losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions multiples of coverage commensurate with the credit ratings. -- Current CE levels have increased in each transaction compared to initial levels. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have been stable 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. MERCHANTS FLEET 2023-1: DBRS Confirms BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on thirteen securities issued by three Merchant Fleet Funding LLC transactions. Merchants Fleet Funding LLC, Series 2022-2 Class A AAA (sf) Confirmed Class B AA (sf) Confirmed Class C A (sf) Confirmed Merchants Fleet Funding LLC, Series 2023-1 Class A Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed Class E Notes BB (sf) Confirmed Merchants Fleet Funding LLC, Series 2024-1 Class A AAA (sf) Confirmed Class B AA (sf) Confirmed Class C A (high)(sf) Confirmed Class D BBB (sf) Confirmed Class E BB (sf) Confirmed The credit rating confirmations are based on the following analytical considerations: -- Transaction's capital structure, current rating, and sufficient credit enhancement (CE) levels. Current CE has increased relative to initial levels and at the required levels for each class of notes which is sufficient to support Morningstar DBRS stressed loss assumptions under various scenarios. -- Collateral performance is within expectations. The master trust is in compliance with respect to the key concentration limits and all performance related triggers. -- The credit quality of the collateral pool and historical performance, with low delinquencies and charge-offs to date. Cumulative charge-offs to date remain well below our initial base case expectations. -- The transaction parties' capabilities with respect to origination, underwriting, and servicing. -- The credit ratings address timely payment of interest on the notes as well as the ultimate payment of principal by legal final maturity. -- 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. METRONET INFRASTRUCTURE 2025-4: Fitch Rates Class C Notes 'BB-sf' ----------------------------------------------------------------- Fitch Ratings assigns final ratings to Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-4 as follows: - $538,400,000 Series 2025-4, Class A-2 'A-sf'; Outlook Stable; - $134,600,000 Series 2025-4, Class B 'BBBsf'; Outlook Stable; - $77,000,000 Series 2025-4, Class C 'BB-sf'; Outlook Stable. Additionally, Fitch assigns final ratings to the previously issued Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, 2025-1 B Series and C Series and 2025-2 B Series and C Series as follows: - $271,000,000 Series 2025-2 Class B 'BBBsf'; Outlook Stable; - $154,800,000 Series 2025-2 Class C 'BB-sf'; Outlook Stable; - $180,100,000 Series 2025-1 Class B 'BBBsf'; Outlook Stable; - $102,900,000 Series 2025-1 Class C 'BB-sf'; Outlook Stable. Fitch has also affirmed the ratings on the Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-1, 2025-2 and 2025-3 notes as follows: - $400,000,000 Series 2025-3, Class A-1 at 'A-sf': Outlook Stable; - $1,084,000,000 Series 2025-2, Class A-2 at 'A-sf': Outlook Stable; - $720,400,000 Series 2025-1, Class A-2 'at A-sf': Outlook Stable. Entity/Debt Rating Prior ----------- ------ ----- Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-4 A-2 LT A-sf New Rating A-(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-1 A-2 59170JAR9 LT A-sf Affirmed A-sf B 59170JAS7 LT BBBsf New Rating BBB(EXP)sf C 59170JAT5 LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-2 Class A-2 59170JAX6 LT A-sf Affirmed A-sf Class B 59170JAZ1 LT BBBsf New Rating BBB(EXP)sf Class C 59170JBB3 LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-3 A-1 LT A-sf Affirmed A-sf Transaction Summary The transaction is a securitization of 100% fiber infrastructure operated by Metronet under a wholesale framework and the associated issuance of $750 million of notes. These notes will represent the fourth issuance under the master trust established with base indenture executed in July 2025. Under this base indenture, the 2025-1 issuance refinanced the existing securitized debt, the 2025-2 issuance refinanced a portion of Metronet's warehouse facility, and the 2025-3 issuance established a variable funding note (VFN). The subject transaction refinances additional assets from the warehouse, and upon closing, the assets in the master trust will represent 58% of Metronet's total passes. As with the other notes issued under the 2025 Base Indenture, the transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity of the asset entities, the wholesale and related agreements with T-Mobile (discussed later), and a shared infrastructure service agreement for common assets. The wholesale fiber network is owned and operated by Metronet, which was acquired in 2025 by a joint venture (JV) owned by T-Mobile (BBB+/Stable) and KKR. T-Mobile invested $4.6 billion for a 50% equity stake in the JV. Through the acquisition, T-Mobile acquired 713,000 residential fiber customers from Metronet. Immediately following the acquisition, Metronet entered into a wholesale agreement with T-Mobile covering most of the securitized assets in which T-Mobile acts as the named internet provider (under the T-Fiber brand) and provides internet and phone services to retail customers via the network. Under the terms of this contract, T-Mobile will pay Metronet a portion of the rate paid by the underlying customer base, subject to fixed minimum levels for defined time periods. T-Mobile will serve as the sole retail fiber provider on the network, subject to performance thresholds. The Metronet sales and marketing and customer care teams were re-badged and became employees of T-Mobile, which will provide these services under the terms of the wholesale agreement. The wholesale agreement has an initial term of 15 years with one 15-year renewal option at Metronet's sole discretion, followed by three automatic five-year renewal options subject to T-Mobile's termination rights (180-day notice period). The assets contributed to the Series 2025-4 issuance are in line with the quality and composition of the assets that are in the master trust. Contributed assets will be in existing states and are seasoned with average operating history in the markets of 4.8 years. Weighted average penetration rate will remain unchanged at around 38%. The revenue mix will remain largely unchanged, with residential revenue comprising over two-thirds of total revenue. The contributed assets add an incremental 31% gross revenue to the master trust. Regarding seniority, if there is no event of default, the Class A-1 notes will receive accrued interest prior to the Class A-2 notes. However, in the event of default, the Class A-1 and Class A-2 notes have the same priority regarding the distribution of collateral proceeds. Otherwise, seniority follows alphanumerical designation. Fitch's analysis and rating recommendations are based on an analysis of cash flows and debt encompassing all of the assets that will be in the master trust and related cash flows, debt, and repayment, giving effect to priority of payments and transaction structure. Consequently, the recommendation for the Series 2025-4 Class B and Class C notes is also applicable to Fitch's recommendation on the Series 2025-1 and 2025-2 Class B and C notes. In September 2025, the issuer established a $400 million variable funding note (VFN or A-1 note). Ninety million dollars is currently outstanding under the VFN, although it will be paid down to $0 at closing of the Series 2025-4 issuance. Any borrowings under the VFN are subject to several draw conditions, and no borrowings are permitted after the ARD. The draw conditions include a maximum 7.00x pro forma Class A Leverage Ratio based on the Annualized Run Rate Revenue (ARRR) and outstanding senior debt after giving effect to the additional borrowings under the VFN. Class A Leverage Ratio at close is around 7.0x and Senior DSCR is approximately 1.98x. Draws are also conditioned upon the pro forma Senior DSCR being greater than or equal to 1.85x. The Senior DSCR formula is also based on ARRR and does not give credit to revenue source other than broadband exceeding 15%. Any borrowings under the VFN are subject to no event of default, default, manager termination event, amortization period, cash-trap condition or cash-sweep condition. Fitch assessed the VFN with the Series 2025-3 issuance. Given the recency of that issuance and the continued relevance of the VFN structure analysis and its impact on other notes in the master trust, Fitch will not perform additional analysis or sensitivities in evaluating the Series 2025-4 issuance. The notes feature a liquidity reserve sized to six months of interest and other fees and direct costs. Triggers are the same as the other series of notes, which Fitch evaluated in the Series 2025-1, 2025-2 and 2025-3 transactions. Fitch's ratings address the likelihood of timely payment of monthly interest and ultimate payment of principal by the legal final maturity of the notes. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic networks, rather than an assessment of the corporate default risk of Metronet or its beneficial owners. As a condition precedent to the subject issuance, Fitch is issuing a Rating Agency Confirmation Letter, which states that the subject issuance would not result in a downgrade, qualification or withdrawal of the current credit ratings of the previously issued notes relating to Series 2025-1, 2025-2, and 2025-3 issuances. KEY RATING DRIVERS Fitch Net Cash Flow and Leverage Multiples: Fitch Net Cash Flow (FNCF) in its central scenario is $280.5 million, representing an approximately 16.2% haircut compared to the issuer's modeled cash flow of $334.7 million. The debt multiples at close, applying FNCF are as follows: 8.35x for the Class A notes (versus 7.00x on issuer net cash flow); 10.44x for the Class B notes (versus 8.75x on issuer net cash flow), and 11.63x on the Class C notes (versus 9.75x on issuer net cash flow.) FNCF in the Series 2025-3 issuances represented an approximately 21% haircut compared to the issuer's modeled net cash flow. In its evaluation of the current transaction, Fitch reviewed updated historical financial data, re-assessed the wholesale framework and associated economics as well as haircuts to revenue. While Fitch's revised assessment resulted in a slight increase in total expenses as a percentage of gross revenue, the overall reduction in haircut was driven by a lower haircut applied to residential broadband revenue based on Fitch's view that the wholesale agreement and partnership with T-Mobile results in a more durable revenue stream than under a retail operating model. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale and diversity of the underlying customer base, strong branding support and reputation of T-Mobile, strong market position and penetration, capability and track record of the operator, increased durability of cash flow as a result of the MFA, and the strength of the transaction structure. In the repayment analysis, the Class A notes are paid in full prior to year 15; the Class B notes are not paid in full by year 15, but the combined outstanding principal balance of Class B and Class C at year 15 is 15% of the balance of all of the notes in the master trust at inception. Fitch considered some of the risk related to non-renewal or termination of the MFA mitigated if the notes paid in full prior to this 15-year period, or if there is substantial paydown of principal by this time. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of data through fiber optic cables — will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. T-Mobile Sensitivity: Fitch's assessment of MPL reflects exposure to durable cash flows from the T-Mobile wholesale agreement. Fitch's ratings, and the potential for the Class A notes to attain credit ratings above T-Mobile's Long-Term IDR of 'BBB+', are based on a thorough analysis of the underlying collateral network and the transaction's capability to perform independently of the agreement. The evaluation also considers whether the transaction triggers are sufficient to mitigate a potential decline in T-Mobile's creditworthiness. In its analysis following T-Mobile's downgrade to below investment grade, Fitch conducted stress scenarios to evaluate the adequacy of the 75% cash sweep trigger and to assess the timeliness of Class A-2 deleveraging to a 6.0x debt-to-issuer SNCF leverage ratio and the likelihood of ultimate repayment of the note following the transaction's anticipated repayment date (ARD). Fitch assumed the cash sweep trigger occurs as of the closing date and stressed closing date revenue by 0%, 15% and 20%. The results for these scenarios are as follows: - No Revenue Stress: Class A-2 leverage ratio equals 6.0x in 1.8 years and is repaid in full in 11.0 years following the transaction closing date; Class B and Class C is repaid in full in 12.1 years and 13.5 years respectively. - 15% Revenue Stress: Class A-2 leverage ratio equals 6.0x in 4.8 years and is repaid in full in 11.5 years following the transaction closing date; Class B and Class C is repaid in full in 13.6 years and 15.3 years respectively. - 20% Revenue Stress: Class A-2 leverage ratio does not deleverage to 6.0x by the ARD period and class balance is repaid in full in 13.3 years following the transaction closing date; Class B and Class C is repaid in full in 14.7 years and 16.7 years, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. - For the Series 2025-3 issuance, Fitch performed interest rate sensitivities associated with the VFN, which modeled higher SOFR rates. Two such sensitivities were performed for the two scenarios presented above regarding the low and high revenue growth cases. Neither sensitivity resulted in a material deterioration in repayment analysis that would constitute a downgrade. - Fitch's base-case NCF was 16.2% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 to 'BBB+sf' from 'A-sf'; Class B to 'BBsf' from 'BBBsf'; Class C to 'B+sf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A to 'Asf' from 'A-sf'; Class B to 'BBB+sf' from 'BBBsf'; Class C to 'BB+sf' from 'BB-sf'. - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. MFA 2025-NQM5: Fitch Gives 'B-sf' Rating on Class B-2 Certificates ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2025-NQM5 Trust (MFA 2025-NQM5). Entity/Debt Rating Prior ----------- ------ ----- MFA 2025-NQM5 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-1F LT AAAsf New Rating AAA(EXP)sf A-1IO LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 821 nonprime loans with a total balance of around $445.8 million as of the cutoff date. Loans in the pool were originated by multiple originators and are currently serviced by Planet Home Lending, LLC and Citadel Servicing Corporation (Citadel). All Citadel loans are subserviced by ServiceMac, LLC. MFA 2025-NQM5 has a weighted average (WA) Fitch FICO of 742 and a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 69.0%. The pool consists of 53.5% of loans where the borrower maintains a primary residence, while 46.5% constitute a second home or investor property. Of the pool, 84.2% were underwritten to less than full documentation. Within this, 40.2% were underwritten to a 12-or 24-month bank statement program, 30.9% used debt service coverage ratio (DSCR) or DSCR no-ratio product,15.8% were underwritten to a full documentation program, and 13.2% were underwritten to other products. Of the pool, 55.3% are nonqualified mortgages (non-QM, or NQM). The structure was updated post-pricing and the coupons for A-1, A-1A, A-1B, A-1F, A-1-IO, A-2, A-3, M-1 and B-1 classes decreased approximately between 5 bps and 12 bps. The balance for the floater classes declined from $35 million to $3.5 million, with the difference reallocated to the A-1A and A-1B classes. As a result, the weighted average excess spread decreased to 173 bps, down 7 bps from the previous level of 180 bps. Fitch re-ran its cash flow analysis and confirmed there were no changes to its expected ratings. 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. MFA 2025-NQM5 has a final probability of default (PD) of 41.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.2%. The expected loss in the 'AAAsf' rating stress is 16.6%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2025-NQM5 are based on a modified sequential payment structure, whereby principal is distributed pro rata among the senior notes (A-1A, A-1B, A-1F, A-2, and A-3 classes) while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, first to A-1 notes, and then sequentially, to A-2 and A-3 notes until they are reduced to zero. 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 was sufficient for the given rating levels. 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 all loans in the transaction. Fitch applies a 5-bps 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 as described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects MFA 2025-NQM5 to be fully de-linked and to serve as 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 MFA 2025-NQM5. As such, 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's sensitivity analysis provides three levels of rating sensitivities to demonstrate how the ratings would react to steeper MVDs than those assumed at issuance. The various rating sensitivities include defined stresses and defined sensitivities. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction is exposed or are considered during the surveillance process. Furthermore, the sensitivity analyses are calculated based on pool-level WA attributes and may differ from a loan-level re-analysis of the pool at the additional stress levels. The defined stresses show the impact of three defined stress assumptions where the SHP level is 10, 20 and 30 percentage points lower than that derived at transaction issuance. These assumptions result in higher sLTVs and steeper sMVDs, the most significant drivers of PD and loss severity in Fitch's loss model. 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Consolidated Analytics, Opus, Evolve, Maxwell, Clarifii, Selene, Infinity, AMC, Inglet Blair. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2016-C28: DBRS Cuts Rating on 4 Tranches to D ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C28 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 as follows: -- Class G-1 to D (sf) from C (sf) -- Class G-2 to D (sf) from C (sf) -- Class EFG to D (sf) from C (sf) -- Class G to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on these classes. The credit rating downgrades resulted from a loss to the trust as reflected in the November 2025 remittance. The transaction incurred a loss of $41.6 million, wiping out the unrated Class H-1 and H-2 certificates, Class G-2, and eroding into Class G-1. The Princeton South Corporate Center loan (Prospectus ID#6) was liquidated, incurring a loss of $31.1 million. The loan-level loss was slightly below Morningstar DBRS' expectation of $36.0 million at the last review. In addition, $10.5 million of nonrecoverable advances tied to the DoubleTree by Hilton - Cleveland, OH loan (Prospectus ID#13; 4.8% of the pool) were clawed back. At the last review, Morningstar DBRS analyzed this loan with a liquidation scenario, with implied losses of $25.3 million and a loss severity of 100%. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM10: DBRS Gives Prov. B Rating on B2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-NQM10 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10 (the Issuer) as follows: -- $105.0 million Class A-1FCF at (P) AAA (sf) -- $35.0 million Class A-1LCF at (P) AAA (sf) -- $159.9 million Class A-1 at (P) AAA (sf) -- $139.1 million Class A-1-A at (P) AAA (sf) -- $20.9 million Class A-1-B at (P) AAA (sf) -- $20.7 million Class A-2 at (P) AA (sf) -- $39.3 million Class A-3 at (P) A (low) (sf) -- $13.5 million Class M-1 at (P) BBB (low) (sf) -- $6.8 million Class B-1 at (P) BB (sf) -- $6.7 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 23.35% of credit enhancement provided by the subordinated Certificates. The (P) AA (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 18.05%, 8.00%, 4.55%, 2.80%, and 1.10% 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 Certificates. The Certificates are backed by 867 loans with a total principal balance of approximately $391,308,653 as of the Cut-Off Date (December 1, 2025). The pool is, on average, four months seasoned with loan ages ranging from one to 38 months. Approximately 10.5% of the Mortgage Loans were originated by Guaranteed Rate, Inc. and its affiliates. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint will service 79.4% of the loans, Select Portfolio Servicing Inc. will service 12.8% of the loans and Selene will service 7.8% of the loans respectively. Computershare Trust Company, N.A. will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 42.2% of the loans by balance are designated as non-QM. Approximately 48.5% 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 9.0% of the pool are designated as QM Safe Harbor, and there are 0.3% QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (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, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in December 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. 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). The Class A-1-A and Class A-1-B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1-A and Class A-1-B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in January 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. 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. MORGAN STANLEY 2025-NQM10: S&P Gives (P) B Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans have primarily 30-year maturity and some with 40-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 867 loans backed by 927 properties, which are QM safe harbor (APOR), QM/HPML, non-QM/ATR-compliant, and ATR-exempt loans. Of the 867 loans, 14 loans are cross-collateralized loans backed by 74 properties. The preliminary ratings are based on information as of Dec. 10, 2025, including the balances as per the printed term sheet dated Dec. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10 Class A-1FCF, $105,000,000: AAA (sf) Class A-1LCF, $35,000,000: AAA (sf) Class A-1, $159,938,000: AAA (sf) Class A-1-A, $139,066,000: AAA (sf) Class A-1-B, $20,872,000: AAA (sf) Class A-2, $20,739,000: AA- (sf) Class A-3, $39,326,000: A- (sf) Class M-1, $13,501,000: BBB- (sf) Class B-1, $6,848,000: BB (sf) Class B-2, $6,652,000: B (sf) Class B-3, $4,304,653: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,568,553: NR Class R, $0.00: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $391,308,654. WAC--Weighted average coupon. NR--Not rated. NASSAU 2018-I: Moody's Cuts Rating on Class E Notes to Caa1 ----------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Nassau 2018-I Ltd.: US$28.3M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Nov 15, 2024 Upgraded to Aa1 (sf) US$31.6M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Aug 7, 2020 Confirmed at Baa3 (sf) US$20.1M Class E Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Apr 9, 2025 Downgraded to Caa1 (sf) US$32.6M Rated Repack B Notes (composed of components representing $11,800,000 of Class C Notes, $11,300,000 of Class D Notes, and US$9,500,000 of Subordinated Notes due 2031 (collectively, the "Repack B Underlying Components")) (Current outstanding balance $15,527,585), (the "Repack B Rated Notes"), Upgraded to Aaa (sf); previously on Apr 9, 2025 Upgraded to Aa1 (sf) Moody's have also affirmed the ratings on the following notes: US$323.7M (Current outstanding balance US$7,000,375) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 21, 2018 Assigned Aaa (sf) US$56.3M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 15, 2024 Upgraded to Aaa (sf) US$32.6M Rated Repack A Notes (composed of components representing $5,000,000 of Class B Notes, $16,500,000 of Class C Notes, $1,700,000 of Class D Notes, and US$9,400,000 of Subordinated Notes due 2031 (collectively, the "Repack A Underlying Components")) (Current outstanding balance $16,294,210) (the "Repack A Rated Notes"), Affirmed Aaa (sf); previously on Nov 15, 2024 Upgraded to Aaa (sf) Nassau 2018-I Ltd., issued in June 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by NGC CLO Manager LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in April 2025. The Class A notes have paid down by approximately USD92.5 million (28.6%) since the last rating action in April 2025 and USD316.7 million (97.8%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class A/B, Class C and Class D OC ratios are reported at 230.3%, 159.1% and 118.3% compared to March 2025[2] levels of 155.1%, 131.2% and 112.0%, respectively. The rating upgrade on the Repack B Rated Note is primarily the result of reductions in its note balance. The Repack B Rated Notes have been paid down by USD1.2 million (3.8%) since the last rating action in April 2025 and USD17.1 million (52.4%) since closing. Additionally, the Repack B Rated Notes balance is fully covered by the Class C notes and Class D notes components. The downgrade on the ratings on the Class E notes is primarily a result of the deterioration in over-collateralisation ratios since the last rating action in April 2025. The over-collateralisation ratio of the Class E notes has deteriorated since the rating action in April 2025 due to par loss. According to the trustee report dated November 2025[1] the Class E OC ratio is reported at 101.7% compared to March 2025[2] levels of 102.4%. The affirmations on the ratings on the Class A, Class B and Repack A Rated Notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD145.7 million Defaulted Securities: USD0.2 million Diversity Score: 34 Weighted Average Rating Factor (WARF): 2528 Weighted Average Life (WAL): 3.5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.2% Weighted Average Recovery Rate (WARR): 46.1% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NASSAU COUNTY TOBACCO: S&P Lowers 2006A-2 Notes Rating to CC (sf) ----------------------------------------------------------------- S&P Global Ratings reviewed its ratings on 34 tobacco settlement bonds from three transactions. The review resulted in nine downgrades and 25 affirmations. The bond issuances are ABS transactions backed by tobacco settlement revenues from the master settlement agreement (MSA) payments, liquidity reserve accounts, and interest income. MSA payment calculations typically reflect inflation, annual shipment volume, and market shift in non-participating manufacturers (NPMs). In April 2025, the National Association of Attorneys General (NAAG) released its annual domestic cigarette volume data, indicating a 6.76% decrease in sales for 2024 year. Additionally, there was a 7.92% decline in the MSA payments made to the states. When factoring in 3% inflation and 11.7% NPM market share, as reported by NAAG, total MSA distribution payments decreased in the 2024 sales year for most states and territories. The average consumption decline per annum was 5.71% for the past five years and 4.51% for the past 10 years. S&P expects the cigarette consumption decline percentage for the 2025 sales year to be a high single digit. In S&P's view, recent inflation trends affected total MSA payments in two ways. On the one hand, higher inflation (floored at 3.00%) offset the decline in consumption in the MSA payment calculation. On the other hand, the cumulative effect of inflation in the past few years continued to put pressure on consumer discretionary spending, potentially driving smokers to cheaper NPM products or other alternative products not covered by MSA, thereby reducing overall MSA payments. Nevertheless, NPM adjustments under MSA at least partially reduce the impact of market shares being shifted toward NPMs. S&P said, "We reviewed multiple tobacco consumption data sources to better frame our expectations, including Altria Group Inc.'s quarterly reported cigarette shipment volume for 2025 and monthly data from the Alcohol and Tobacco Tax and Trade Bureau, a bureau under the U.S. Department of the Treasury that tracks taxes paid on wholesale sales of cigarettes and roll-your-own tobacco. Although a reported 10.6% decline in cigarette shipment volume for the first nine months (Altria Report Q3 2025) indicates that the overall decline in consumption for 2025 is likely to exceed our base-case assumption of 5.00%, we believe that total MSA payments will continue to be influenced by inflation and NPM adjustments." The volume decline stress table shows S&P's current volume decline assumptions applied in S&P's cash flow analysis: Total annual cigarette volume decline assumptions by rating (%) Rating Total volume decline (%) A 7.25 A- 7.00 BBB+ 6.75 BBB 6.50 BBB- 6.25 BB+ 6.00 BB 5.75 BB- 5.50 B+ 5.25 B 5.00 S&P said, "During our review, we applied a cash flow analysis that includes a cigarette volume decline test, a participating manufacturer bankruptcy test, and a nonparticipating manufacturer adjustment (collectively, rating tests), as well as additional sensitivity stresses on market share shifts and spikes in the decline of volume. The sensitivity runs are designed to test the transactions' tolerance to event risks such as a menthol ban, tax increases, and new product replacement. Our cash flow results reflect the transactions' ability to pay timely interest and scheduled principal on each bond's stated maturity date, based on their underlying credit support and payment priorities. "The rating actions mainly indicate our view of the transactions' performances reflecting bond amortization to date and our forward-looking payment expectation. "If a current interest bond failed all the rating tests, we, in a manner consistent with our prior reviews, assigned a 'B-' rating if a steady state test is passed (defined as 0% consumption decline with 'B-' recovery assumption on NPM adjustments); otherwise, we assigned a 'CCC+' rating. "Most of our rating actions were consistent with the model-implied results. However, we made additional qualitative adjustments on the Nassau County Tobacco Settlement Corp. transaction. We lowered our ratings on all three bonds to 'CC' from 'CCC+', reflecting our expectation of a virtual certainty of default. The series 2006's class A-2 bond has a legal final maturity of June 1, 2026, and the current outstanding balance of the bond is $35,915,000. Our analysis reveals that the transaction is not likely to meet the required principal payment on the next payment date even in the most favorable scenarios and with the remaining balance in the liquidity reserve account. The transaction has been underperforming due to a decline in its accelerated consumption since issuance. "We will continue to monitor the tobacco sector and the tobacco settlement bonds and assess any potential impact on our outstanding ratings." Ratings list Rating Issuer State Series Maturity date Class CUSIP To From Nassau County Tobacco Settlement Corp. NY 2006 June 1, 2026 2006A-2 63166MBZ1 CC (sf) CCC+ (sf) Nassau County Tobacco Settlement Corp. NY 2006 June 1, 2035 2006A-3 63166MCA5 CC (sf) CCC+ (sf) Nassau County Tobacco Settlement Corp. NY 2006 June 1, 2046 2006A-3 63166MCB3 CC (sf) CCC+ (sf) New York Counties Tobacco Trust VI NY VI June 1, 2035 A-1 64945JAZ5 A- (sf) A- (sf) New York Counties Tobacco Trust VI NY VI June 1, 2035 A-1 64945JBA9 A- (sf) A- (sf) New York Counties Tobacco Trust VI NY VI June 1, 2040 A-1 64945JBB7 BBB (sf) BBB (sf) New York Counties Tobacco Trust VI NY VI June 1, 2043 A-1 64945JBC5 BB BB+ (sf) New York Counties Tobacco Trust VI NY VI June 1, 2043 A-1 64945JBD3 BBB- (sf) BBB (sf) New York Counties Tobacco Trust VI NY VI June 1, 2045 A-2B 64945JAE2 B+ (sf) BB- (sf) New York Counties Tobacco Trust VI NY VI June 1, 2026 B 64945JAQ5 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2027 B 64945JAR3 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2028 B 64945JAS1 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2029 B 64945JAT9 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2030 B 64945JAU6 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2031 B 64945JAV4 A (sf) A (sf) New York Counties Tobacco Trust VI NY VI June 1, 2036 B 64945JAW2 A- (sf) A- (sf) New York Counties Tobacco Trust VI NY VI June 1, 2041 B 64945JAX0 A- (sf) A- (sf) New York Counties Tobacco Trust VI NY VI June 1, 2042 C 64945JAC6 BB+ (sf) BB+ (sf) New York Counties Tobacco Trust VI NY VI June 1, 2045 C 64945JAA0 BB- (sf) BB (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2026 B 957480BE5 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2027 B 957480BF2 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2028 B 957480BG0 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2029 B 957480BH8 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2030 B 957480BJ4 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2031 B 957480BK1 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2032 B 957480BL9 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2033 B 957480BM7 A (sf) A (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2034 B 957480BN5 A- (sf) A- (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2035 B 957480BP0 A- (sf) A- (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2036 B 957480BQ8 A- (sf) A- (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2041 B 957480BR6 A- (sf) A- (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2042 C 957480BS4 B+ (sf) BB- (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2045 C 957480BT2 B- (sf) B (sf) Westchester Tobacco Asset Securitization Corporation NY 2017 June 1, 2051 C 957480BU9 B- (sf) B- (sf) NATIXIS COMMERCIAL 2021-APPL: Moody's Cuts Rating on E Certs to B2 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on six classes in Natixis Commercial Mortgage Securities Trust 2021-APPL, Commercial Mortgage Pass-Through Certificates, Series 2021-APPL as follows: Cl. A, Downgraded to Aa1 (sf); previously on Oct 7, 2021 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf) Cl. C, Downgraded to Baa2 (sf); previously on Feb 9, 2022 Upgraded to A2 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Feb 9, 2022 Upgraded to Baa2 (sf) Cl. E, Downgraded to B2 (sf); previously on Feb 9, 2022 Confirmed at Ba3 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Feb 9, 2022 Confirmed at B3 (sf) RATINGS RATIONALE The ratings on six principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from anticipated declines in property cash flows from lower renewal rents and weaker fundamentals in the Sunnyvale office market. The action also reflects the loan's upcoming refinance risk at its August 2026 final maturity date due to the loan's low debt service coverage ratio (DSCR) and single tenant concentration. The loan remains current on its debt service payments and would have a mortgage loan DSCR of approximately 1.27X based on the 2024 net operating income (NOI) and the current 1-month SOFR rate, however, the total debt DSCR (inclusive of the mezzanine debt) would be approximately 1.0X. Furthermore, as part of lease renewals across two of the three buildings, the total scheduled base rent dropped approximately 20% in December 2025 and Moody's expects this will lead to lower cash flow and DSCR in 2026. The loan is secured by a three office building complex located in the Sunnyvale office market. The property is currently fully leased to Apple through July 2030, approximately four years after the loan's final maturity date. Although interest rates have risen significantly since securitization and cash flow is expected to decline, the borrower purchased an interest rate cap agreement as part of its final extension option and the resulted capped interest rate is expected to maintain a NOI DSCR above 1.00x through the August 2026 final maturity date. As a result, Moody's anticipates the loan will remain current on its monthly debt service payments due, however, Moody's rating action reflects the refinance risks associated with the expected cash flow decline, higher market interest rates and single tenant concentration. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the November 2025 distribution date, the transaction's certificate balance was $209.0 million. The interest only, floating rate loan had an initial two-year term that matured in August 2023 with three successive one-year extensions with the final maturity date in August 2026. The interest only loan accrues interest at one month Term SOFR, plus a weighted average spread of approximately 2.45% during the second and third extension terms. The loan was required to have an interest rate cap with a strike price equal to a rate of 2.50% during the last extension period. The borrower has executed the final extension option and has a current maturity date in August 2026. The loan is secured by the fee simple interest in a suburban office complex comprised of three free-standing 3-story buildings offering approximately 349,758 SF of aggregate net rentable area (NRA), located in Sunnyvale office market. The property was originally built between 1989 and 1982, and underwent renovations in 2008, 2010 and 2016. The complex features a total of 1,129 parking spaces provided for all three buildings, including a two-level keycard-access parking garage, and has indoor and outdoor amenities including two courtyards located between the buildings. The property is 100% leased to Apple pursuant to three separate net lease agreements at the three buildings - 410 N. Mary Ave, 420 N. Mary Ave and 430 N. Mary Ave, all of which currently expire in July 2030. The leases at 420 and 430 N. Mary Ave were renewed with considerably lower base rents effective December 2025, reflecting decreases of approximately 27% and 29%, respectively, compared to the most recent prior rents. As a result, the total base rent across the properties is anticipated to reduce by approximately 20%. The property's reported 2024 net operating income (NOI) was $17.1 million, above both the 2023 NOI of $14.6 million and the underwritten NOI of $15.8 million at securitization and the reported NOI for the first half of 2025 is $8.8 million, which on an annualized basis is slightly higher than the 2024 NOI. The rise in NOI in 2024 and 2025 was due to the scheduled annual rent steps in the base rent, however, with the reduced base rents at two of the buildings starting in December 2025, Moody's anticipates the property cash flows to decline in 2026. Although the property enjoys a prime location in San Jose's Sunnyvale submarket, office vacancies have risen sharply since the securitization. According to CBRE Econometric Advisors, the Sunnyvale submarket included 14.0 million SF of office space as of Q3 2025 with a vacancy rate of 15.9% in Q3 2025 and 20.5% in Q2 2025, compared to a vacancy rate of 18.5% as of Q4 2024: 9.7% in Q4 2023 and 5.0% at securitization. The net asking rent, as reported by CBRE, has decreased from $72.1 per SF as of Q3 2021 to $58.0 per SF as of Q3 2025. Given the weaker fundamentals of the submarket market and the concentrated lease expiration in 2030, the loan faces significant refinance risk at its maturity in August 2026. Moody's NCF is now $12.3 million compared to $14.0 million at securitization. Moody's cash flow analysis incorporated a lit-dark analysis on Apple's space and included a "lit" NCF of approximately $13.3 million. Moody's LTV ratio for the first mortgage balance is 149% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 146% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed debt service coverage ratio (DSCR) is 0.64X compared to 0.70X at securitization. There are no outstanding advances and no interest shortfalls as of the current distribution date. NYT 2019-NYT: DBRS Confirms BB Rating on Class F Certs ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-NYT issued by NYT 2019-NYT Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-EXT at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) Morningstar DBRS also changed the trends on Classes B, C, D, E, F, and X-EXT to Negative from Stable. The trend on Class A remains Stable. The $635.0 million transaction is secured by the borrower's leasehold interest in a portion of the New York Times Building, a Class A office building in Midtown Manhattan. The Negative trends reflect Morningstar DBRS' concerns about the loan's recent transfer to special servicing in November 2025 because of imminent balloon default, ahead of its final maturity date in December 2025. The transfer comes on the heels of a departure of major tenant, Covington & Burling LLP (26.7% of the net rentable area (NRA)). According to the servicer, Covington & Burling LLP moved out of its 200,000-square foot (sf) space in early 2025 with two years remaining on its lease and no termination or contraction options available. While the tenant is obligated to continue making rental payments for the remainder of its lease term, cash flow is susceptible to volatility upon lease expiration in 2027 if the borrower is unable to backfill the entirety of the space, which accounts for more than 25.0% of the current annual base rent. The property does, however, benefit from its desirable location in Midtown Manhattan and generally healthy submarket. The credit rating confirmations considered these mitigating factors, along with the property's historically strong occupancy rate and performance. The collateral for the loan includes office space on floors 28 through 50, representing approximately 715,000 sf and 23,000 sf of ground-floor retail space, respectively. Floors 2 through 27, which are occupied by the New York Times, are not a part of the collateral. The floating-rate loan had an initial loan term of two years with five one-year extension options available, each of which has been exercised. The sponsor, Forest City Enterprises L.P., is owned by Brookfield Asset Management which contributed $279.6 million of equity at loan closing to acquire the property. As of the June 30, 2025, rent roll, the property was 98.6% occupied, in line with the YE2024 and YE2023 figures of 98.8% and 98.4%, respectively. The largest collateral tenants include Datadog, Inc. (Datadog; 44.6% of the NRA with lease expiry in June 2033); Covington & Burling LLP (26.7% of the NRA with lease expiry in September 2027); and Seyfarth Shaw LLP (17.9% of the NRA with lease expiry in December 2032). There is minimal rollover across the five largest tenants, which account for more than 95.0% of the NRA, in the next 12 months as only Troutman Pepper Hamilton Sanders LLP (2.7% of the NRA) has a lease expiry in February 2026. However, Morningstar DBRS remains concerned about the ability to backfill the large footprint vacated by Covington & Burling LLP ahead of its lease expiry date. The annualized net cash flow (NCF) for the trailing six-month period ended June 30, 2025, was $35.9 million with a debt service coverage ratio (DSCR) of 1.06 times (x) compared with NCF of $42.3 million with a DSCR of 1.10x at YE2024 and NCF of $43.3 million with a DSCR of 1.21x at YE2023. The property has experienced NCF declines, which can be attributed to multiple rent abatements for the largest tenant at the property, Datadog. The most recent rent abatement totals $12.0 million for the 15-month period beginning in January 2025; previously, the tenant had a 15-month rental abatement period totaling $11.8 million commencing in January 2024 and two separate 11-month rental abatement periods totaling $12.4 million commencing in June 2023 and September 2022. With this review, Morningstar DBRS applied a 2.0% haircut to the YE2024 NCF reported by the servicer, resulting in a Morningstar DBRS NCF of $41.4 million. In its Loan-to-Value (LTV) Sizing, Morningstar DBRS maintained the capitalization rate of 7.0% applied at the previous credit rating action, resulting in a Morningstar DBRS Value of $592.0 million. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 5.25% to reflect the subject's low historical vacancy, low cash flow volatility, and desirable property quality. The Morningstar DBRS Value represents a -38.8% variance from the issuance appraised value of $967.8 million and implies an all-in LTV of 126.7%. This approach resulted in negative pressure throughout the capital stack; therefore, the Negative trends reflect the increased refinance risk. The credit ratings assigned to Classes B, C, D, and E are higher than the results implied by the LTV Sizing Benchmarks. The variances are warranted given the subject's desirable location in Midtown Manhattan as well as its historically strong occupancy rate. In the event that the sponsor is unable to backfill the space currently leased by Covington & Burling LLP and property performance declines further, credit rating downgrades may be warranted as signaled by the Negative trends. 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. OAKTREE CLO 2025-33: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Oaktree CLO 2025-33 Ltd./Oaktree CLO 2025-33 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree CLO Management. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Oaktree CLO 2025-33 Ltd./Oaktree CLO 2025-33 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB+ (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.50 million: Not rated OBX 2025-R1 TRUST: S&P Assigns B- (sf) Rating on Class B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to OBX 2025-R1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, and condominiums. The pool has 856 loans, mostly composed of non-qualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. The loans were previously securitized in three Onslow Bay transactions (OBX 2019-EXP1, OBX 2022-NQM8, and OBX 2022-NQM9); none of which, were rated by S&P Global Ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, Onslow Bay Financial LLC, and the S&P Global Ratings-reviewed mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned OBX 2025-R1 Trust Class A-1A, $274,744,000: AAA (sf) Class A-1B, $40,793,000: AAA (sf) Class A-1(i), $315,537,000: AAA (sf) Class A-2, $21,621,000: AA (sf) Class A-3, $33,859,000: A (sf) Class M-1, $16,725,000: BBB- (sf) Class B-1, $9,178,000: BB- (sf) Class B-2, $6,323,000: B- (sf) Class B-3, $4,692,187: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(iii): NR Class R, Not applicable: NR (i)The class A-1 notes are exchangeable. (ii)The class A-IO-S notes have a notional amount equal to the aggregate stated principal balance of the SPS-serviced mortgage loans and Shellpoint-serviced mortgage loans as of the first day of the related due period and are not be entitled to payments of principal. (iii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $407,935,188. NR--Not rated. SPS--Select Portfolio Servicing Inc. Shellpoint--NewRez LLC, doing business as Shellpoint Mortgage Servicing. OCTAGON INVESTMENT 39: Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Octagon Investment Partners 39, Ltd.: US$27.6M Class C Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 27, 2024 Upgraded to Aa1 (sf) US$37.8M Class D Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Dec 27, 2024 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$372.5M Class A-R (Current outstanding balance US$57,520,953) Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 18, 2024 Assigned Aaa (sf) US$69M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 18, 2024 Assigned Aaa (sf) US$30.6M Class E Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 7, 2020 Confirmed at Ba3 (sf) US$12M Class F Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Dec 27, 2024 Downgraded to Caa2 (sf) Octagon Investment Partners 39, Ltd., issued in November 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Octagon Credit Investors, LLC. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C and D notes are primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in December 2024. The affirmations on the ratings on the Class A-R, B-R, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by USD181.9 million (48.8%) since the last rating action in December 2024 and USD315.0 million (84.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated November 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 189.59%, 155.64%, 124.98% and 107.80% compared to December 2024[2] levels of 139.16%, 127.73%, 114.82% and 106.13% respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD248,155,499 Defaulted Securities: USD375,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3209 Weighted Average Life (WAL): 2.9 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.27% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: 3.69% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OHA CREDIT 23: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 23, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 23, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating D-3 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary OHA Credit Funding 23, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. Net proceeds from issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 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 23.63 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 (CE) and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% 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 Ratings' 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 (P&I) waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for Class A-2 notes, between 'BB+sf' and 'A+sf' for Class B notes, between 'B+sf' and 'BBB+sf' for Class C notes, between less than 'B-sf' and 'BBB-sf' for Class D-1 notes, between less than 'B-sf' and 'BB+sf' for Class D-2 notes, between less than 'B-sf' and 'BB+sf' for Class D-3 notes, and between less than 'B-sf' and 'BB-sf' for Class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to Class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. For all other classes, 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 notes, 'AA+sf' for Class C notes, 'A+sf' for Class D-1 notes, 'Asf' for Class D-2 notes, 'A-sf' for Class D-3 notes, and 'BBB+sf' for Class E 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 OHA Credit Funding 23, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ONITY LOAN 2025-HB2: DBRS Finalizes B Rating on Class M6 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes (the Notes), Series 2025-HB2 issued by Onity Loan Investment Trust 2025-HB2 as follows: -- $263.4 million Class A at AAA (sf) -- $48.5 million Class M1 at AA (low) (sf) -- $34.5 million Class M2 at A (low) (sf) -- $30.6 million Class M3 at BBB (low) (sf) -- $30.7 million Class M4 at BB (low) (sf) -- $5.6 million Class M5 at B (high) (sf) -- $13.6 million Class M6 at B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The AAA (sf) credit rating reflects 36.3% of credit enhancement (CE). The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), B (high) (sf), and B (sf) credit ratings reflect 24.5%, 16.2%, 8.8%, 1.4%, 0.0%, and -3.3% of CE, respectively. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over 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), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association (HOA) dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (September 30, 2025), the collateral has approximately $413.34 million in unpaid principal balance (UPB) from 1,348 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate owned (REO) assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 2002 and 2021. Of the total assets, 349 have a fixed interest rate (31.95% of the balance), with a 5.28% weighted-average (WA) interest rate. The remaining 999 assets have floating-rate interest (68.05% of the balance) with a 6.73% WA interest rate, bringing the entire collateral pool to a 6.27% interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; therefore, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (November 2028) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the Notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the Notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4, Class M5, and Class M6 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. ORL 2024-GLKS: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GLKS (the Certificates) issued by ORL 2024-GLKS Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is based on a relatively short performance history, given the transaction closed in December 2024. The transaction benefits from the collateral's high quality and favorable location in the Grande Lakes area of Orlando, Florida, a popular tourist destination for both domestic and international travelers. The transaction is secured by the fee-simple interest in the Grande Lakes Resort, a 1,592-key, full-service hotel that includes both a 582-key Ritz Carlton (the Ritz) and 1,010-key JW Marriott. The 409-acre resort is within 10 miles of Orlando's biggest attractions such as Universal Studios and Walt Disney World and is less than 15 miles from Orlando International Airport. The resort offers strong amenities including 14 food and beverage (F&B) outlets, three pools, a waterpark and lazy river, a 40,000-square-foot (sf) spa, and an 18-hole golf course. Additionally, the Ritz is a AAA Five-Diamond rated hotel and the JW Marriott is a AAA Four-Diamond rated hotel. The total loan amount of $800.0 million was used to refinance $750.0 million in existing debt, return $34.0 million to the sponsor, and cover closing costs. The two-year floating-rate loan is interest only and has three one-year extension options. The borrower sponsor for this transaction is a joint venture between Trinity Real Estate Investments LLC (Trinity) and Elliott Management Corporation (Elliott). The sponsors acquired the property in 2018 and subsequently spent nearly $139.6 million on renovations across the resort. The JW Marriott has benefited from $91.8 million ($90,000 per key) in renovations since 2019, with funds primarily used to renovate 1,010 guest rooms, and also included some upgrades to meeting spaces, common areas, and the property's pool/waterpark. The Ritz has seen $43.6 million ($79,500 per key) in renovations that have included a full replacement of hard and soft goods in all 582 guest rooms, with the remainder allocated to the pool areas and F&B outlets. At issuance, it was noted that the sponsor planned to renovate all of the meeting and event space at the Ritz in 2025 for approximately $6.1 million. Morningstar DBRS has received confirmation from the servicer that the work was completed by late October 2025. According to the most recent STR, Inc. report provided by the servicer, the JW Marriot property reported trailing 12 month (T-12) ended June 30, 2025, occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures of 71.3%, $311, and $222, respectively, with growth in occupancy and RevPAR, but a decline in ADR when comparing with T-12 ended September 30, 2024, figures of 68.2%, $315, and $136, respectively. During the same period, the Ritz reported T-12 occupancy, ADR, and RevPAR figures of 66.5%, $433, and $288, respectively, also with increases in occupancy and RevPAR, and a decline in ADR compared with T-12 September 2024 figures of 63.1%, $450, and $284, respectively. Per the June 2025 STR, Inc. report, both resorts are outperforming their competitive sets. With this review, Morningstar DBRS maintained the Morningstar DBRS Value and resulting LTV Sizing Benchmarks from issuance, which were based on a capitalization rate of 8.25% applied to the Morningstar DBRS Net Cash Flow (NCF) of $79.4 million. The resulting value of $963.2 million represents a variance of -27.0% from the issuance appraised value of $1.32 billion and represents a Morningstar DBRS Loan-to-Value Ratio (LTV) of 83.0%. Morningstar DBRS maintained positive qualitative adjustments of 5.0% to the LTV Sizing Benchmarks to account for the collateral's favorable location and superior quality. Notes: All figures are in U.S. dollars unless otherwise noted. OZLM XVIII: Moody's Affirms Ba3 Rating on $21.25MM Cl. E Notes -------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by OZLM XVIII, Ltd.: US$30M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Mar 21, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$38,732,618) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 4, 2018 Assigned Aaa (sf) US$60M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 14, 2024 Upgraded to Aaa (sf) US$28.75M Class C Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 21, 2025 Upgraded to Aaa (sf) US$21.25M Class E Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 6, 2020 Confirmed at Ba3 (sf) US$10M Class F Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Mar 21, 2025 Downgraded to Caa3 (sf) OZLM XVIII, Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor Loan Management LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A, B, C, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD92.3 million (28.8%) since the last rating action in March 2025 and USD281.3 million (87.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated November 2025[1], the Class A/B, Class C and Class D OC ratios are reported at 190.94%, 147.88% and 119.71% compared to March 2025[2] levels of 148.86%, 129.39% and 113.85%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD195.5m Defaulted Securities: USD0 Diversity Score: 46 Weighted Average Rating Factor (WARF): 3373 Weighted Average Life (WAL): 2.80 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.27% Weighted Average Recovery Rate (WARR): 45.59% Par haircut in OC tests and interest diversion test: 3.91% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OZLM XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes ------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by OZLM XXII, Ltd.: US$28.8M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Jun 5, 2025 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$48M (Current outstanding balance US$34,466,125) Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 5, 2025 Affirmed Aaa (sf) US$28.8M Class B Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 5, 2025 Upgraded to Aaa (sf) US$24M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jun 5, 2025 Affirmed Ba3 (sf) US$9.6M (Current outstanding balance US$10,241,292) Class E Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Jun 5, 2025 Affirmed Caa3 (sf) OZLM XXII, Ltd., issued in February 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor CLO Management LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrade on the Class C notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in June 2025. The affirmations on the ratings on the Class A-2, B, D and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have been fully repaid, and the Class A-2 notes have been paid down by approximately USD13.5 million (28.2%) since the last rating action in June 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for senior and mezzanine rated notes. According to the trustee report dated November 2025[1], the Class A, Class B and Class C OC ratios are reported at 350.46%, 190.92% and 131.20% compared to May 2025[2] levels of 202.16%, 152.54% and 122.47%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD130.6m Defaulted Securities: USD0 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3750 Weighted Average Life (WAL): 2.90 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.45% Weighted Average Recovery Rate (WARR): 44.53% Par haircut in OC tests and interest diversion test: 8.07% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PALMER SQUARE 2025-3: Moody's Assigns Ba3 Rating to $23.5MM D Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of notes issued by Palmer Square Loan Funding 2025-3, Ltd. (the Issuer or Palmer Square 2025-3): US$442,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$78,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$32,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$28,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$23,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Assigned 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 CLO's portfolio and structure. Palmer Square 2025-3 is a static cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. The portfolio is fully ramped as of the closing date. Palmer Square Capital Management LLC (the Servicer) may engage in disposition of the assets on behalf of the Issuer, during the life of the transaction. Reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $650,125,904 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2511 Weighted Average Spread (WAS): 2.91% (actual spread vector of the portfolio) Weighted Average Coupon (WAC): 4.11% (actual coupon vector of the portfolio) Weighted Average Recovery Rate (WARR): 46.32% Weighted Average Life (WAL): 4.94 years (actual amortization vector of the portfolio) 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. PIKES PEAK 20: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Pikes Peak CLO 20. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 20 A-1 72132MAA9 LT NRsf New Rating NR(EXP)sf A-2 72132MAC5 LT AAAsf New Rating AAA(EXP)sf B 72132MAE1 LT AAsf New Rating AA(EXP)sf C-1 72132MAG6 LT A+sf New Rating A+(EXP)sf C-2 72132MAJ0 LT Asf New Rating A(EXP)sf D 72132MAL5 LT BBB-sf New Rating BBB-(EXP)sf E 72132RAA8 LT BB-sf New Rating BB-(EXP)sf Subordinated Notes 72132RAE0 LT NRsf New Rating NR(EXP)sf Transaction Summary Pikes Peak CLO 20 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group CLO Advisers LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured 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 23.67 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 98.21% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.02% 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 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 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C-1, between 'Bsf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 01-Dec-2025 ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 20. 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. PMT LOAN 2025-CNF2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 56 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-CNF2, and sponsored by PennyMac Corp. The securities are backed by a pool of owner occupied GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-CNF2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25X*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-26X*, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-27X*, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-28X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-29X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X5*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (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 0.40%, in a baseline scenario-median is 0.19% and reaches 5.61% 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. PMT LOAN 2025-INV12: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 58 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV12, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV12 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-X1*, Definitive Rating Assigned Aa1 (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-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X29*, Definitive Rating Assigned Aa1 (sf) Cl. A-X30*, 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 December 02, 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 0.71%, in a baseline scenario-median is 0.41% and reaches 7.56% 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. PMT LOAN 2025-J5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 56 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-J5, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (69.2% by balance) and GSE-eligible (30.8% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P) Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25X*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-26X*, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-27X*, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-28X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-29X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X5*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (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 0.33%, in a baseline scenario-median is 0.15% and reaches 4.49% 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. POLEN CAPITAL 2025-2: Moody's Assigns B3 Rating to $150,000 F Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Polen Capital CLO 2025-2, Ltd. (the Issuer): US$248,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$150,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of non-senior secured loans. The portfolio is approximately 90% ramped as of the closing date. Polen Capital CLO Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 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. POST CLO VII: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Post CLO VII, Ltd. Entity/Debt Rating ----------- ------ Post CLO VII Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Post CLO VII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 22.6 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 99.38% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.09% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 5.5% 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 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'Asf' for class C-1, between 'Bsf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Post CLO VII, 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. PRESTIGE AUTO 2024-2: S&P Lowers Class E Notes Rating to 'B+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class E notes and affirmed its ratings on the class A-2, B, C, and D notes from Prestige Auto Receivables Trust 2024-2 (PART 2024-2), which is an ABS transaction backed by subprime retail auto loan receivables originated and serviced by Prestige Financial Services Inc. The rating actions reflect: -- The transaction's collateral performance to date; -- S&P's remaining cumulative net loss (CNL) expectations for the transaction, and the transaction's structure and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, sector- and issuer-specific analyses, and our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors, S&P believes the notes' creditworthiness is consistent with the ratings actions. The PART 2024-2 transaction is performing worse than our initial expectations as a result of higher-than-expected gross charge-offs and low recoveries. A key pillar of Prestige's business model is funding auto retail contracts for obligors whose credit history displays a period of good credit followed by a period of poor credit, which may include a recent bankruptcy (Chapter 7 or 13). Historically, Prestige's bankruptcy collateral performed better than its non-bankruptcy collateral. However, the relatively higher non-bankruptcy collateral in PART 2024-2 (74%), together with the economic headwinds and lower wholesale used vehicle prices, negatively impacted performance and negated the performance differential between the two collateral types. S&P said, "The PART 2024-2 performance is trending more in line with PART series from 2023 and early 2024 for which we had previously raised our expected CNL (ECNL). Likewise, in view of the transaction's poor performance to date, we have revised and raised our ECNL for PART 2024-2." Table 1 PART 2024-2 collateral performance (%) Pool 60+ day Mo. Factor CGL CRR CNL delinq. Ext. Sep-24 99.21 0.01 0.00 0.01 0.06 0.20 Oct-24 100.00 0.04 2.25 0.03 0.83 0.37 Nov-24 97.04 0.28 0.45 0.27 1.32 0.43 Dec-24 95.57 0.72 7.22 0.67 2.44 0.81 Jan-25 93.64 1.43 8.16 1.31 2.90 1.55 Feb-25 91.23 2.39 11.14 2.12 2.87 2.08 Mar-25 88.61 3.37 15.33 2.85 2.88 2.44 Apr-25 86.19 4.30 17.10 3.57 2.95 3.23 May-25 83.83 5.21 19.68 4.18 3.42 3.70 Jun-25 81.50 6.05 21.02 4.78 4.45 4.53 Jul-25 79.09 7.12 21.45 5.59 4.50 5.34 Aug-25 76.79 8.28 21.44 6.50 4.73 5.16 Sep-25 74.71 9.28 20.76 7.36 5.25 5.29 Oct-25 72.34 10.36 20.92 8.19 5.79 5.16 Nov-25 70.37 11.40 21.23 8.98 7.33 4.95 CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 2 PART 2024-2 CNL expectations (%) Original lifetime Revised lifetime CNL exp. CNL exp. 19.50% 31.00% CNL exp.--Cumulative net loss expectations. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes, except the lowest-rated subordinate class. The transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, and excess spread. As of the December 2025 distribution date, the PART 2024-2 overcollateralization and nonamortizing reserve are at their respective targets. Hard credit enhancement (without credit to excess spread) has increased as the series' pool has amortized. Table 3 PART 2024-2 hard credit support(i) Total hard Current total hard credit support credit support Class at issuance (% of current)(ii) A-2 57.55 89.13 B 40.60 65.04 C 26.60 45.14 D 11.60 23.82 E 6.00 15.86 (i)As of the December 2025 distribution date. (ii)Calculated as a percentage of the total receivable pool balance, which consists of a reserve account, subordination, and overcollateralization. Excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated a cash flow analysis, giving credit to stressed excess spread, to assess the loss coverage levels, given our revised ECNL for the notes. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective lowered and affirmed rating levels, which is based on our analysis as of the collection period ended Nov. 30, 2025. "We will continue to monitor the performance of the transaction to ensure that credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each rated class." Rating Lowered Prestige Auto Receivables Trust 2024-2 Class E to 'B+ (sf)' from 'BB (sf)' Ratings Affirmed Prestige Auto Receivables Trust 2024-2 Class A-2: 'AAA (sf)' Class B: 'AA (sf)' Class C: 'A (sf)' Class D: 'BBB (sf)' PRET 2025-RPL6: Fitch Assigns 'Bsf' Final Rating on Class B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRET 2025-RPL6 Trust. Entity/Debt Rating Prior ----------- ------ ----- PRET 2025-RPL6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf B LT NRsf New Rating NR(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf RISKRETE LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 2,967 seasoned performing loans and reperforming loans (RPLs) that had a balance of $461.08 million, including deferred balances, as of the cut-off date. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial IO period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, land and multifamily homes/commercial properties. All of the loans are SPLs or RPLs. In the pool, 100% of the loans are seasoned performing loans and RPLs. Based on Fitch's analysis of the pool, Fitch considered majority of the loans exempt from the qualified mortgage (QM) rule as they are investment properties or were originated prior to the Ability to Repay (ATR) rule taking effect in January 2014. Selene Finance LP will service 100.0% of the loans in the pool. Fitch rates Selene 'RSS2-'. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although 5.5% of the pool comprises step-rate loans or loans with an adjustable rate. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming 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. The borrowers in this pool have relatively strong credit profiles, with a Fitch-determined weighted average (WA) FICO score of 668, and a 41.7% Fitch-determined debt-to-income ratio (DTI). The borrowers also have relatively low leverage, consistent with seasoned transactions, and an original combined loan-to-value ratio (CLTV), determined by Fitch, of 80.57%, and current mark to market LTV of 47.75%. This results in a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 54.12%. Of the loans, 90. 8% have been modified. The vast majority of the loans are performing, with 95.4% being current and 4.65% are 30 days delinquent as of the cut-off date. In all, 93.4% of the loans have not been 90 days or more delinquent in the past 12 months, and 76, 5% have not had a delinquency in 12 months or more. Based on the transaction documents, 41.3% have not had a delinquency in the past 24+ months. PRET 2025-RPL6 has a final PD of 41.47% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 27.82%. The expected loss in the 'AAAsf' rating stress is 11.54%. Structural Analysis (Mixed); Sequential Mortgage Cash Flow in PRET 2025-RPL6 with No DQ P and I Advancing The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which supports class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to but excluding the payment date in December 2029, and for the related accrual period, will be a per annum rate equal to the lower of (i) the fixed rate for such class (as set forth in the table on page 1 of the presale), (ii) the net WA coupon (WAC) rate for such payment date, and (iii) the applicable note available funds cap for such interest accrual period and payment date. Beginning on the payment date in December 2029 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lower of (a) the net WAC rate for such payment date and (b) the sum of (i) the fixed rate set forth in the table on page 1 of the presale for such class of notes, (ii) 1.000% (with such increased note rate referred to as the step-up note rate), and (iii) the applicable note available funds cap for such interest accrual period and payment date. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the (i) the net WAC rate and (ii) the applicable note available funds cap for such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses. The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. 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 RPL 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRET 2025-RPL6 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 PRET 2025-RPL6; therefore, Fitch rates to the highest possible rating at 'AAAsf' without any rating caps. Fitch ran the cash flow analysis assuming a servicing fee of 0.35% and it was determined that all rated classes had sufficient CE to pass the rating stresses that they are currently assigned. The servicing fee assumption is based on using the average of the highest cost to service the loans based on Fitch's criteria. Fitch ran additional analysis assuming the servicing fee was 0.60% — the highest cost to service — and the rated classes would need roughly 10 bps more CE to pass their assigned rating stress in the most conservative scenario — the backloaded benchmark — with the model implied rating being one tick lower for each rated class. The committee decided the difference in CE was not material especially since it occurred in the most conservative scenario not likely to occur, and per Fitch's criteria a class does not have to pass all of scenarios in order to be assigned the rating. Fitch believes the transaction has sufficient CE for the assigned rating stresses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 38.3%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A portion of the loans received 'C' or 'D' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues, potential high-cost issues, or ATR Risk/Fail issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses. A ProTitle search found outstanding liens that predate the mortgage. It was confirmed that a majority of these liens are retired and nothing is owed. There were 115 loans with a clean title search for which potentially superior post-origination liens/judgments were found totaling $436,757.77. In addition, 211 mortgage loans indicated potentially superior post-origination liens/judgments totaling $1,293,727.32. The trust will be responsible for these amounts. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicer for this amount. The amount of the adjustment was not material and had no impact on the expected losses. The ProTitle search noted less than 10 loans not in a first lien position. Fitch received confirmation from the servicer that these loans are in a first lien position. The servicer is monitoring for liens that could take priority over the first lien status of the mortgages in the pool and will advance, per standard servicing practices, to maintain the first lien position of the mortgages in the pool. As a result, Fitch considered 100% of the loans in the pool to be in the first lien position. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. As a result, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans. Please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations 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. PRMI 2025-CMG1: DBRS Gives Prov. B Rating on Class B2 Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-CMG1 (the Notes) to be issued by PRMI Securitization Trust 2025-CMG1 (PRMI 2025-CMG1 or the Trust) as follows: -- $316.9 million Class A-1 at (P) AAA (sf) -- $10.7 million Class A1S at (P) AAA (sf) -- $8.1 million Class A-2 at (P) AA (sf) -- $8.0 million Class A-3 at (P) A (sf) -- $8.3 million Class M-1 at (P) BBB (sf) -- $5.4 million Class B-1 at (P) BB (sf) -- $2.9 million Class B-2 at (P) B (sf) The (P) AAA (sf) rating on the Class A-1 Notes reflects 9.55% of credit enhancement provided by subordinated certificates. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) ratings reflect 7.30%, 5.10%, 2.80%, 1.30%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of newly originated and seasoned, performing, adjustable-rate, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 676 LOC loans with a total unpaid principal balance (UPB) of $362,172,618 and a total current credit limit of $453,822,198 as of the Cut-Off Date (November 30, 2025). On a weighted average basis, the Morningstar DBRS-calculated loan seasoning is ten months, though seasoning ranges from one to 69 months. Approximately 97.4% of the LOC loans have been performing since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development (PUDs), townhouses and condominiums. CMG Mortgage, Inc. (CMG) or CMG-qualified correspondents are the Originators of all LOC loans in the pool. CMG is a wholly owned subsidiary of CMG Financial Services, Inc., a privately held company that was founded in 1993 as CMG Mortgage, Inc. The company originates conventional, government, and jumbo mortgages. CMG also originates first-lien LOC loans to prime borrowers under the All-In-One loan program, which offers borrowers convenient cash management features and an opportunity to reduce the interest charges and accelerate principal repayment. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The transaction is the fifth securitization of first-lien HELOC loans by the Sponsor. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $19.4 billion in assets. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of 25 or 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. A 25 or 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline (in period 121) after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All of the LOC loans in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio (DTI) calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing Morningstar DBRS-rated deals, the loans in the pool generally have high borrower credit scores, are all in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. The transaction, based on a static pool, employs a sequential-pay cash flow structure subject to a performance trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. Principal proceeds can be used to cover interest shortfalls on the most senior notes outstanding (IPIP) after the Class A-1 and A-1S Notes are paid (IIPP). 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 down to Class B-3 Notes. The Trust Certificates have a pro rata principal distribution with the Class A-1 Notes while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RCF6: DBRS Finalizes BB(low) Rating on M-2 Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RCF6 (the Notes) to be issued by PRPM 2025-RCF6, LLC (PRPM 2025-RCF6 or the Issuer) as follows: -- $159.1 million Class A-1 at AAA (sf) -- $24.0 million Class A-2 at AA (low) (sf) -- $15.9 million Class A-3 at A (low) (sf) -- $13.1 million Class M-1 at BBB (low) (sf) -- $11.4 million Class M-2 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 35.75% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (low) (sf) credit ratings on the Class A-2, Class A-3, Class M-1, and Class M-2 Notes reflect 26.05%, 19.65%, 14.35%, and 9.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of newly originated and seasoned performing and reperforming first and second-lien residential mortgages to be funded by the issuance of the Notes. The Notes were backed by 734 loans with a total principal balance of $247,683,516 as of the Cut-Off Date (October 31, 2025). Morningstar DBRS calculated the portfolio to be approximately 41 months seasoned on average, though the age of the loans ranges from two months to 345 months. Approximately 85.0% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, and consequently increased expected losses on the mortgage pool. In the portfolio, 10.8% of the loans are modified. The modifications happened more than two years ago for 47.4% of the modified loans. Within the portfolio, 76 mortgages have non-interest-bearing deferred amounts, representing 1.2% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in the related credit rating report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (20.7%) are not subject to or are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (63.2%), QM Rebuttable Presumption (8.6%), and Non-Qualified Mortgage (7.5%) by UPB. BM-SC, LLC (the Sponsor) acquired the mortgage loans prior to the upcoming closing date and, through a wholly owned subsidiary, PRP Depositor 2025-RCF6, LLC, will contribute the loans to the Issuer. The Sponsor, or one of its majority-owned affiliates, will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2025-RCF6 is the 14th scratch-and-dent rated securitization for the Issuer, 13 of which are rated by Morningstar DBRS. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. On or before 45 days after the closing date, loans serviced by interim servicers, representing 52.5% of the mortgage loans, will be transferred to SN Servicing Corporation (SNSC). Subsequent to the transfer from interim servicers, SNSC will service 87.2% and Fay Servicing, LLC (together with SNSC, the Servicers) will service 12.8% of the mortgage loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred while servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date, including any Cap Carryover; and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in December 2027 (Optional Redemption). Additionally, a failure to pay the Notes in full by the payment date in December 2030 will trigger a mandatory auction of the underlying certificates on the January 2031 payment date by PRP Advisors, LLC (the Asset Manager) or an agent appointed by the Asset Manager. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequent auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, the holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Expected Redemption Date (Payment Date in December 2029) or the occurrence of a Credit Event. Interest and principal collections are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Classes A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sale proceeds of the mortgage loans. Prior to the Expected Redemption Date or a Credit Event, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in July 2031, the Class A-1 and the other offered Notes will be entitled to the initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2031, or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Notes: All figures are in U.S. dollars unless otherwise noted. RCKT MORTGAGE 2025-CES12: Fitch Gives 'B' Final Rating on 5 Classes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES12 (RCKT 2025-CES12). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES12 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf BX2A LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 5,485 closed-end second lien (CES) loans with a total balance of approximately $499 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage 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. RCKT 2025-CES12 has a Final PD of 19.0% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 98.3%. The expected loss in the 'AAAsf' rating stress is 18.7%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in RCKT 2025-CES12 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. 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. Fitch applies a 5-bp 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2025-CES12 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. 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. SALUDA GRADE 2025-FIG6: DBRS Gives Prov. B(low) Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2025-FIG6 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2025-FIG6 (GRADE 2025-FIG6 or the Trust): -- $264.0 million Class A-1 at (P) AAA (sf) -- $19.1 million Class M-1 at (P) AA (low) (sf) -- $21.0 million Class M-2 at (P) A (low) (sf) -- $10.7 million Class M-3 at (P) BBB (low) (sf) -- $16.4 million Class B-1 at (P) BB (low) (sf) -- $15.2 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 25.95% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low), (P) BB (low), and (P) B (low) credit ratings reflect 20.60%, 14.70%, 11.70%, 7.10%, and 2.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to Saluda Grade Alternative Mortgage Trust 2025-FIG6 (GRADE 2025-FIG6 or the Trust), a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 4,579 loans (individual HELOC draws) that correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $356,560,196 and a total current credit limit of $390,581,245 as of the Cut-Off Date (November 30, 2025). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 75 months. All the HELOCs are current and vast majority of the loans (approximately 99.6%) have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2025-FIG6 represents the sixth Figure Lending LLC (Figure) HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). Figure is the one of the Originators and the Servicer of 94.4% of the loans in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. In addition to the Figure securitization by the Sponsor, Figure-originated HELOCs are included in 21 rated securitizations sponsored by Figure. These transactions' performances to date are satisfactory. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. The transaction includes mostly junior liens and some first-lien HELOCs. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period of two, three, four or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from three to 25 years and are no longer allowed to draw. During the draw period and the repayment period, the outstanding principal balance is fully amortized over the remaining term of the HELOC. Vast majority of the HELOCs (approximately 99.4%) in this transaction are fixed-rate loans. None of the HELOCs have interest-only (IO) payment periods, and no loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate is approximately 96.3% after two months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate, floored at the original rate. Relative to traditional HELOCs, 99.4% of the loans in the pool are fixed-rate, all the loans are fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year terms. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Figure uses a property valuation provided by an automatic valuation model (AVM) instead of a full property appraisal. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the Morningstar DBRS RMBS Insight Model. In addition, Morningstar DBRS applied haircuts to the provided AVM valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of this report for details. Transaction and Other Counterparties In addition to the Figure-originated HELOCs, the mortgages were originated by Loan Store, LLC (44.8%), West Capital Lending, Inc (11.8%), and Valon Mortgage (11.0%), as well as other originators (together, the White Label Partner Originators) each comprising less than 10.0% of the pool by balance. The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Figure will service 94.4% of the loans within the pool for a servicing fee of 0.25% per year and NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 5.6% of the loans within the pool for a servicing fee of 0.20% per year. For Figure serviced loans, Cornerstone Servicing will act as a Special Servicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,426,240.78 (0.40% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in December 2030, the Reserve Account Required Amount will be 0.25% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in December 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0, at which point the funds will be released through the transaction waterfall. If the Reserve Account is not at target, the Paying Agent will use the principal collections in subsequent collection periods to reimburse the Servicer for any unreimbursed Net Draws. The top-up of the reserve account occurs before making any principal payments to the Class G Certificate holders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class G Certificate holders will be required to use their own funds to reimburse the Servicer for any Net Draws. Nevertheless, the Servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Sponsor, as a holder of the Class G Certificates, will have the ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The balance of Class G Certificates will be increased by the amount of any Net Draws funded by the Class G Certificate holders. The Reserve Account's required amount will become $0 on the payment date in December 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or the Sponsor. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure Similar to more recent HELOC transactions, this transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. The Delinquency Trigger is applicable on or after the 12th payment date (December 2026) rather than being applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of this report for more details. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date or after the first payment date when the Fixed Rate Notes balance falls to or below 20% of the initial balance, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. SARANAC CLO III: Moody's Cuts Rating on $24MM Cl. E-R Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Saranac CLO III Limited: US$24,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2030, Upgraded to Baa1 (sf); previously on August 27, 2025 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$24,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2030 (current balance including interest shortfall of $24,267,100), Downgraded to Ca (sf); previously on August 27, 2025 Downgraded to Caa3 (sf) Saranac CLO III Limited, originally issued in August 2014 and refinanced 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 May 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 August 2025. The Class A-LR notes and the Class A-FR notes were fully paid down. The Class B-R notes have been paid down by approximately 47.2% or $21.2 million since then. Based on Moody's calculations, the OC ratio for the Class D-R notes is currently at 120.17%, versus August 2025 level of 116.10%. 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 Moody's calculations, the OC ratio for the Class E-R notes is currently at 89.96% versus August 2025 level of 93.01%. No actions were taken on the Class B-R and 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" 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: $89,263,315 Defaulted par: $2,410,917 Diversity Score: 27 Weighted Average Rating Factor (WARF): 3738 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.03% Weighted Average Recovery Rate (WARR): 47.16% Weighted Average Life (WAL): 2.75 years Par haircut in OC tests and interest diversion test: 3.52% 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. SG RESIDENTIAL 2025-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2025-1's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, a co-operative, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 462 loans. The preliminary ratings are based on information as of Dec. 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, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending; -- 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, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned SG Residential Mortgage Trust 2025-1(i) Class A-1A, $108,033,000: AAA Class A-1B, $16,258,000: AAA Class A-1, $124,291,000: AAA Class A-1FCF, $75,000,000: AAA Class A-1FCX, $75,000,000(ii): AAA Class A-1LCF, $25,000,000: AAA Class A-2, $14,523,000: AA Class A-3, $28,458,000: A Class M-1, $12,029,000: BBB- Class B-1, $6,748,000: BB- Class B-2, $4,400,000: B- Class B-3, $2,934,725: NR Class A-IO-S, Notional(iii): N/A Class XS, Notional(iii): N/A Class R, N/A: N/A (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 A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of 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. NR—Not rated. N/A--Not applicable. SILVER POINT 3: Moody's Assigns B3 Rating to $250,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Silver Point CLO 3, Ltd. (the Issuer): US$283,500,000 Class A-1-R Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. 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. Silver Point RR Manager, L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the 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 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 methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3121 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 45.50% 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 a 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. SLM STUDENT 2003-1: S&P Lowers Class B Notes Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class A-5A, A-5B, A-5C, and B notes from SLM Student Loan Trust 2003-1 to 'B- (sf)' from 'BBB (sf)'. The transaction is backed by a pool of student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). The rating actions primarily reflect the liquidity pressure the senior classes are experiencing relative to their maturity dates in December 2032 and not the credit enhancement levels available to the notes for ultimate principal repayment. The pace of the note principal payment has declined substantially over the last year due to lower loan consolidation activity. Rationale S&P said, "In assigning our ratings, we calculate a principal payment haircut based on the note principal payment amount paid over the past 12 months. The haircut indicates the percentage of decline that the periodic note payment can immediately withstand and still fully repay the note by its legal final maturity date. A lower haircut indicates that a note can withstand a smaller decline in its principal payment amount than a higher haircut. A negative haircut implies that a note will need a sustained increase in principal payments to be paid off by its legal final maturity date. "We downgraded the ratings on these classes in 2020, 2022, and recently in May 2025 due to their weak liquidity profile. We have continued to observe low principal payment rates since our last rating action. If the bond principal payments remain at these lower rates, it is less likely that the classes will be repaid by their legal final maturity dates. "Our criteria suggest that the rating should be 'B (sf)' or lower on a note that has a legal final maturity in seven years and a liquidity haircut of less than 0% (which indicates that all remaining note principal payments must be higher than the average payment received over the last year). Due to the significantly reduced principal payments, the current haircut for the senior notes has dropped below 0%, and if the transaction continues to receive payments in line with the most recent period, the haircut is likely to stay negative. "Our lowered ratings reflect the current principal payment haircut based on average principal payments, as well as the recent trend in the principal payment haircut, which is attributed to a decline in the notes' principal payments. We also considered the ongoing uncertainty related to federal policy decisions that could either positively or negatively affect obligor behavior, and ultimately, principal payments. While the subordinate class has a later maturity date, in June 2037, allowing for more collection periods to repay the notes, a default on the senior class would allow for actions that could negatively affect the subordinate notes. As such, the subordinate class rating is the same as the senior class rating." Transaction Summary The transaction primarily consists of seasoned loans that are supported by an ED guarantee of at least 97.00% of defaulted loan principal and interest. Loans that have been serviced according to the FFELP guidelines retain this guarantee, and therefore, S&P expects net losses to be minimal. There are three senior classes (class A-5A, A-5B, and A-5C) and one subordinate class (class B) currently outstanding in this trust. The principal distribution amount is allocated pro rata between the senior and subordinate classes and pro rata within the senior classes. Credit enhancement includes a reserve account and excess spread. Parity for the class is greater than 100%. The reserve account, which is measured as greater than 0.25% of the pool balance and a nonamortizing fixed amount, grows as the notes amortize and may be used to make a payment on a note's legal final maturity date. Because the pool factor is below 10.00%, the transaction no longer allows releases, and the amounts that would have been released are used to make accelerated payments to the noteholders. S&P will continue to monitor the transaction's performance, including the pool's performance, available credit enhancement, and each class's liquidity, and take ratings actions as it deems appropriate. Ratings Lowered SLM Student Loan Trust 2003-1 Class A-5A to 'B- (sf)' from 'BBB (sf)' Class A-5B to 'B- (sf)' from 'BBB (sf)' Class A-5C to 'B- (sf)' from 'BBB (sf)' Class B to 'B- (sf)' from 'BBB (sf)' SOUND POINT IX: Moody's Cuts Rating on $24.5MM E-RR Notes to Caa1 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes: US$55M Class B-RRR Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on May 12, 2025 Upgraded to Aa1 (sf) US$25M Class C-RRR Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Sep 16, 2021 Assigned A2 (sf) US$24.5M (Current outstanding amount US$25,927,148) Class E-RR Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on May 12, 2025 Downgraded to B2 (sf) Moody's have also affirmed the ratings on the following notes: US$325M (Current outstanding amount US$194,886,119) Class A-RRR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 16, 2021 Assigned Aaa (sf) US$30.5M Class D-RRR Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Sep 16, 2021 Assigned Baa3 (sf) US$10M (Current outstanding amount US$11,035,508) Class F-RR Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on May 12, 2025 Downgraded to Caa3 (sf) Sound Point CLO IX, Ltd., originally issued in July 2015 and most recently refinanced in September 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in July 2024. RATINGS RATIONALE The upgrades on the ratings on the Class B-RRR and C-RRR notes are primarily a result of the deleveraging of the Class A-RRR notes following amortisation of the underlying portfolio since the last rating action in May 2025; The Class A-RRR notes have paid down by approximately USD130.1 million (40%) in the last 12 months, of which USD78.6 million (24.2%) was repaid since the last rating action in May 2025. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class A/B and Class C OC ratios are reported at 131.51% and 119.55% compared to May 2025[2] levels of 127.53% and 118.51%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The downgrades to the ratings on the Class E-RR notes are due to the deterioration of the key credit metrics of the underlying pool since the last rating action in May 2025. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated November 2025[1], the WARF was 3270, compared with 2996 the May 2025[2] report. Securities with ratings of Caa1 or lower currently make up approximately 18.92% of the underlying portfolio, versus 9.74% previously in May 2025[2]. Furthermore, overcollateralization levels have continued to decline at the more junior levels. The Class D and Class E OC ratios are reported in November 2025[1] at 107.61% and 99.19% compared to May 2025[2] levels of 109.10% and 102.56%, respectively. The affirmations on the ratings on the Class A-RRR, D-RRR and F-RR notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD345.1m Defaulted Securities: USD3.3m Diversity Score: 70 Weighted Average Rating Factor (WARF): 3278 Weighted Average Life (WAL): 3.54 years Weighted Average Spread (WAS): 3.36% Weighted Average Recovery Rate (WARR): 46.62% Par haircut in OC tests and interest diversion test: 5.09% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. TRIMARAN CAVU: S&P Lowers Class E Notes Rating to 'B+ (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from Trimaran CAVU 2021-2 Ltd. and removed it from CreditWatch, where S&P had placed it with negative implications on Oct. 10, 2025. S&P also affirmed its ratings on the class A, B-1, B-2, C, D-1, and D-2 debt. The transaction is a broadly syndicated CLO originally issued in November 2021. The transaction is reinvesting until October 2026 and is managed by Trimaran Advisors LLC. On Oct. 10, 2025, S&P placed its rating on the class E debt from the transaction on CreditWatch with negative implications primarily due to the class's decreased credit support and indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from October 2025 trustee reports. All reported overcollateralization (O/C) ratios have declined when compared to the March 2022 effective date trustee report: -- The class A/B O/C ratio declined to 129.22% from 131.70%, -- The class C O/C ratio declined to 119.76% from 122.07%, -- The class D O/C ratio declined to 111.60% from 113.75%, and -- The class E O/C ratio declined to 106.92% from 108.98%. The decline in the O/C ratios largely reflects the aggregate par loss the portfolio has sustained since close in 2021. In addition, although assets rated in the 'CCC' category are below the threshold at $16.26 million as of the October 2025 trustee report, the decline in the portfolio's weighted average spread and decline in weighted average recovery rates also affected the cash flow results of the mezzanine (class D-1 and D-2) notes and the junior (class E) notes. The class E note rating was lowered by a notch following the decline in its credit support and failing cash flow results at its previous rating. S&P said, "Although our cash flow results indicate a lower rating on class E on a standalone basis, we restricted the downgrade to one notch based on its credit enhancement, the relatively low exposure to 'CCC' assets, and overall credit quality of portfolio--which, as indicated by the S&P Global Ratings' weighted average rating factor, is relatively stable. In our opinion, this class is currently not dependent on favorable conditions for ultimate principal paydowns as per our 'CCC' definitions." S&P said, "Though our cash flow results indicated a one-notch downgrade on the class D-1 and D-2 notes, we affirmed their respective ratings after considering their margin of failure and their existing credit enhancement--which, in our opinion, is commensurate with their respective current ratings and the portfolio's credit quality and exposures to 'CCC' assets and which remain lower than the threshold." Also, the cash flow results indicated higher ratings for the class B- 1 and B-2 notes. But considering that the transaction is still in its reinvestment period, which is not scheduled to end until October 2026, and that reinvestment activity could change some of the portfolio characteristics, S&P affirmed their ratings. The class A notes' 'AAA (sf)' rating was also affirmed based on its passing cash flows at its current rating. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Negative Trimaran CAVU 2021-2 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Trimaran CAVU 2021-2 Ltd. Class A: AAA (sf) Class B-1: AA (sf) Class B-2: AA (sf) Class C: A (sf) Class D-1: BBB (sf) Class D-2: BBB- (sf) TRUPS FINANCIALS 2025-3: Moody's Gives Ba3 Rating to $22MM D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to seven classes of notes issued by TruPS Financials Note Securitization 2025-3 (the Issuer or TFNS 2025-3): US$265,500,000 Class A-1 Senior Secured Floating Rate Notes due 2041, Definitive Rating Assigned Aaa (sf) US$93,000,000 Class A-2 Senior Secured Floating Rate Notes due 2041, Definitive Rating Assigned Aa2 (sf) US$13,000,000 Class B-1 Mezzanine Deferrable Floating Rate Notes due 2041, Definitive Rating Assigned A3 (sf) US$10,000,000 Class B-2 Mezzanine Deferrable Fixed Rate Notes due 2041, Definitive Rating Assigned A3 (sf) US$16,000,000 Class C-1 Mezzanine Deferrable Floating Rate Notes due 2041, Definitive Rating Assigned Baa3 (sf) US$15,000,000 Class C-2 Mezzanine Deferrable Fixed Rate Notes due 2041, Definitive Rating Assigned Baa3 (sf) US$22,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2041, Definitive Rating Assigned 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 CDO's portfolio and structure. TFNS 2025-3 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank senior notes or bank subordinated note issued after January 1, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer issued one class of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt, surplus notes and senior unsecured notes issued by 58 US community banks and 10 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q2-2025 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $483,034,000 Weighted Average Rating Factor (WARF): 714 Weighted Average Spread (WAS) Float only: 3.08% Weighted Average Coupon (WAC) Fixed only: 6.55% Weighted Average Coupon (WAC) Fixed to float: 6.54% Weighted Average Spread (WAS) Fixed to float: 4.54% Weighted Average Life (WAL): 7.5 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action The principal methodology used in these ratings was "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 assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. UBS COMMERCIAL 2017-C6: Fitch Affirms 'Bsf' Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 16 classes of UBS Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-C6. The Outlooks remain Negative for Classes A-S, B, X-B, C, D and X-D. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C6 A-4 90276UAW1 LT AAAsf Affirmed AAAsf A-5 90276UAX9 LT AAAsf Affirmed AAAsf A-BP 90276UAY7 LT AAAsf Affirmed AAAsf A-S 90276UBC4 LT AAAsf Affirmed AAAsf A-SB 90276UAU5 LT AAAsf Affirmed AAAsf B 90276UBD2 LT AA-sf Affirmed AA-sf C 90276UBE0 LT BBBsf Affirmed BBBsf D 90276UAJ0 LT Bsf Affirmed Bsf E 90276UAL5 LT CCsf Affirmed CCsf F 90276UAN1 LT Csf Affirmed Csf X-A 90276UAZ4 LT AAAsf Affirmed AAAsf X-B 90276UBB6 LT AA-sf Affirmed AA-sf X-BP 90276UBA8 LT AAAsf Affirmed AAAsf X-D 90276UAA9 LT Bsf Affirmed Bsf X-E 90276UAC5 LT CCsf Affirmed CCsf X-F 90276UAE1 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss was 8.7% compared to 8% at Fitch's prior rating action. Eleven loans (38.1% of the pool) were flagged as Fitch Loans Concerns (FLOCs), including five loans (20.9%) in special servicing. The pool has significant maturity concentration in 2027 when all loans are scheduled to mature. Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. The Negative Outlooks reflect continuing concerns with the potential for additional loan defaults as loans approach their maturity dates in 2027. Downgrades are possible if performance of FLOCs—most notably, larger loans National Office Portfolio, and the specially serviced One Cleveland Center, 111 West Jackson and 2U Headquarters—deteriorate beyond current expectations, including worsened recovery and/or prolonged workout on the specially serviced loans/assets, and/or more loans than anticipated fail to refinance at maturity. Office assets comprise 31.3% of the pool. Largest Contributors to Loss Expectations/Specially Serviced Assets: The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations, is 111 West Jackson (6.3%), a 574,878-sf office building in Chicago, IL. The asset transferred to special servicing in May 2023 for imminent monetary default. It has been Real Estate Owned (REO) since August 2025. The most recently reported property occupancy was 54% as of June 2025, down from 90% at YE 2020 after multiple tenants vacated or downsized. Fitch's 'Bsf' rating case loss of 38.7% (prior to a concentration adjustment) is based on the most recent appraised value, reflecting a value of $44 psf. The second largest contributor to overall pool loss expectations is the 2U Headquarters loan (3.9%), which is secured by a 309,303-sf suburban office property in Lanham, MD. The loan was transferred to special servicing in August 2024 due to imminent monetary default. As of the November 2025 remittance reporting, the loan was 90+ days delinquent. The sole tenant of the property, 2U, filed Chapter 11 bankruptcy in July 2024 and vacated the property in August 2024, prior to its scheduled 2028 lease expiration. The property remains 100% vacant. The borrower identified a potential new lease with an investment-grade tenant for the entire property by mid-2025. This prospect led to negotiations for a sale of the asset, which ultimately failed to materialize. Fitch performed a dark value analysis, which assumed a 25% vacancy rate and a rental rate of $25 psf, in line with current market conditions. Fitch's 'Bsf' rating case loss of 40.1% (prior to a concentration adjustment) reflects a stressed value of $110 psf. The third largest contributor to overall pool loss expectations is the 20 South Charles Street loan (1.3%), which is secured by a 121,438-sf office building located in Baltimore, MD. The loan transferred to special servicing in November 2023. As of the November 2025 remittance reporting, the loan was 90+ days delinquent. Occupancy and DSCR have been trending downward since YE 2021 following the loss of several tenants, including the second-largest tenant, Baltimore Regional Housing Partnership, Inc (9.8% of NRA), which vacated at its 2022 lease expiration. YE 2024 servicer-reported occupancy and DSCR were 57% and 0.43x, respectively, compared with 64% and 1.04x at YE 2023 and 78% and 1.41x at YE 2021. The borrower has listed the property for sale for a potential discounted payoff (DPO). Fitch's 'Bsf' rating case loss of 80.4% (prior to a concentration adjustment) is based on a discount to the most recent appraised value, reflecting a stressed value of $16 psf. The largest loan in the transaction, One Cleveland Center (7.3%), transferred to special servicing in September 2025 for imminent monetary default. The loan is collateralized by a 544,245-sf office building built in 1983, renovated in 2010, and located in Cleveland, OH. The largest tenants are Baker & Hostetler LLP (7.4% NRA, November 2026), Bellwether Ent Re Capital LLC (6.4% NRA, March 2031) and Cleveland Metropolitan Bar (5.6% NRA, March 2025). The tenant Kohrman Jackson & Krantz Pll (5.4% NRA) recently signed a five-year lease renewal to October 2030. According to the Cleveland Metropolitan Bar website, they remain at the location. Occupancy has declined to approximately 73% as of October 2025 from 80% at YE 2024 following the loss of two tenants. KPMG LLP (3.7%) vacated prior to its January 2026 lease expiration and GSA tenant (IRS; 3.5%) vacated at its September 2025 lease expiration. The loan has remained current. Fitch's 'Bsf' rating case loss of 4.2% reflects a 10% cap rate and a 15% stress to the YE 2024 NOI, given concerns with the performance decline and specially serviced status, reflecting a value of $82 psf. Increased Credit Enhancement (C/E): As of the November 2025 remittance report, the transaction has been reduced by 30.7% since issuance. Realized losses to date total $2.8 million. Six loans (13.2%) have been defeased. Interest shortfalls of approximately $1.5 million are impacting non-rated Classes E, F and NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due increasing CE and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes, which have Negative Outlooks, are possible with further value declines of the specially serviced office assets, including One Cleveland Center, 111 West Jackson and 2U Headquarters, and/or increased pool expected losses if more loans default at maturity than are currently expected, and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to the 'AAsf' rated classes could occur with further value declines for 111 West Jackson and 2U Headquarters, if performance of the other FLOCs deteriorates further or if more loans than expected default at or prior to maturity. Downgrades for classes rated in the 'BBBsf' and 'Bsf' categories are likely with additional deterioration in performance of the FLOCs, if additional loans or with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to the 'CCsf' and 'Csf' rated classes would occur, should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' rated classes may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. This includes One Cleveland Center, 111 West Jackson, 2U Headquarters, 20 South Charles Street and Murrieta Plaza. Upgrades to 'BBBsf' and 'Bsf' rated categories are not expected but could occur with performance improvements of the aforementioned FLOCs as well as better recovery prospects of the loans in special servicing, including 111 West Jackson, 2U Headquarters and 20 South Charles Street, or if more loans that expected pay in full at maturity. Upgrades to the distressed 'CCsf' and 'Csf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VELOCITY COMMERCIAL 2025-5: DBRS Finalizes B Rating on 3 Tranches ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2025-5 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-5 (VCC 2025-5 or the Issuer) as follows: -- $314.7 million Class A at AAA (sf) -- $314.7 million Class A-S at AAA (sf) -- $314.7 million Class A-IO at AAA (sf) -- $22.8 million Class M-1 at AA (low) (sf) -- $22.8 million Class M1-A at AA (low) (sf) -- $22.8 million Class M1-IO at AA (low) (sf) -- $21.0 million Class M-2 at A (low) (sf) -- $21.0 million Class M2-A at A (low) (sf) -- $21.0 million Class M2-IO at A (low) (sf) -- $41.0 million Class M-3 at BBB (low) (sf) -- $41.0 million Class M3-A at BBB (low) (sf) -- $41.0 million Class M3-IO at BBB (low) (sf) -- $28.2 million Class M-4 at BB (sf) -- $28.2 million Class M4-A at BB (sf) -- $28.2 million Class M4-IO at BB (sf) -- $11.7 million Class M-5 at B (high) (sf) -- $11.7 million Class M5-A at B (high) (sf) -- $11.7 million Class M5-IO at B (high) (sf) -- $5.6 million Class M-6 at B (sf) -- $5.6 million Class M6-A at B (sf) -- $5.6 million Class M6-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 30.15% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) credit ratings reflect 25.10%, 20.45%, 11.35%, 5.10%, 2.50%, and 1.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-5 is securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. 12 of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-5 (the Certificates). The Certificates are backed by 1,181 mortgage loans with a total principal balance of $450,558,095 as of the Cut-Off Date (November 1, 2025). Approximately 44.8% of the pool comprises residential investor loans, about 50.9% of traditional SBC loans, and about 4.3% are the SBA 504 loans mentioned above. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). 40 loans (11.2%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the 12 SBA 504 loans which, according to SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows, but the loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 40 New Day originated loans (including the 12 SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent P&I until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association, will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed principal and interest (P&I) and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real-estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the Small Balance Commercial portion of the pool consists of 408 individual loans secured by 408 commercial and multifamily properties with an average cut-off date loan balance of $561,817. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted average (WA) fixed interest rate of 10.9%. This is approximately 10 basis points (bps) lower than the VCC 2025-4 transaction, 10 bps higher than the VCC 2025-3 transaction, in line with the VCC 2025-2 transaction, and 30 bps lower than the VCC 2025-1 transaction. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 14 loans, which represent 5.7% of the SBC pool, have an initial interest only (IO) period of 60 months or 120 months. All the SBC loans were originated between August 2025 and October 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.4 months. The SBC pool has a WA original term length of approximately 360 months, or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.0%. However, Morningstar DBRS made LTV adjustments to 40 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 63.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with VCC transactions in 2022 and 2023. Consequently, approximately 52.9% of the deal (206 SBC loans) has an Issuer net operating income DSCR less than 1.0 time (x), which is slightly below the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 712 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. Morningstar DBRS also applied an additional 2.5% penalty to the fully adjusted cumulative default assumptions to account for the anticipated delinquencies based on performance from the prior VCC transactions in 2025. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $561,817, a concentration profile equivalent to that of a transaction with 208 equal-size loans, and a top 10 loan concentration of 13.1%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains three loans where an Income Approach to value was not contemplated in the appraisal, and an Issuer net cash flow (NCF) was not provided. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. The SBC pool includes eight loans originated via New Day's Lite Doc Investor Loan Program, which does not require tax returns to be reviewed. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (30.1% of the SBC pool) and office (18.9% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 49.0% of the SBC pool balance. Morningstar DBRS applied a -25.7% reduction to the NCF for retail properties and a -36.6% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, one was Average + (0.5% of sample), 17 were Average quality (17.6%), 40 were Average - quality (53.8%), 21 were Below Average quality (23.8%), and one loan was Poor (4.2%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, Property Condition Reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 20 SBC loans in the pool, which represent 20.7% of the SBC pool balance. These appraisals were issued between July 2025 and October 2025. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.9%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through October 31, 2025. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans in the SBC pool. SBA 504 LOANS The transaction includes 12 SBA 504 loans, totaling approximately $19.38 million or 4.30% of the aggregate 2025-5 collateral pool. These are predominantly owner-occupied first-lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program (SBA 504) in conjunction with community development companies (CDC), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between May 5, 2025, and October 17, 2025, via New Day, which will also act as subservicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $19,382,136, with an average balance of $1,615,178. The weighted average interest rate of the 504 loan subpool is 9.456%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2%, and 1% respectively in the first five years from origination. These loans are for properties that are owner-occupied by the small business borrower. Weighted average loan to value is 53.56%. Weighted average debt service coverage ratio is approximately 1.32x, and the weighted average FICO of this sub-pool is 751. For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan-to-value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 761 mortgage loans with a total balance of approximately $202 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. 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. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE XXVIII: Moody's Cuts Rating on $27.9MM E Notes to Caa1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture XXVIII CLO, Limited.: US$13,157,895 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-1 Notes"), Upgraded to Aaa (sf); previously on March 26, 2025 Upgraded Aa1 (sf) US$22,950,000 Class C2R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C2R Notes"), Upgraded to Aaa (sf); previously on March 26, 2025 Upgraded Aa1 (sf) US$31,742,381 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to A3 (sf); previously on March 26, 2025 Upgraded at Baa1 (sf) Moody's have also downgraded the rating on the following note: US$27,900,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030, Downgraded to Caa1 (sf); previously on October 30, 2020 Confirmed to Ba3 (sf) Venture XXVIII CLO, Limited, originally issued in July 2017 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 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 actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since March 2025. The Class A1R and Class A2R notes have been paid down completely, Class B1R notes have been paid down by approximately 8.84% or $3.30 million and Class B2R notes have been paid down by approximately 8.84% or $2.45 million since then. Based on Moody's calculations, the OC ratios for the Class B1R/B2R, Class C-1/C2R, and Class D notes are currently 271.30%, 168.69%, and 126.60% respectively, versus March 2025 levels of 156.10%, 131.01%, and 114.79%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's November 2025 report, the OC ratio for the Class E notes was 97.21%[1] versus 103.53%[2] in February 2025. Furthermore, based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating, and the current level is 3677 compared to 3050 in March 2025. No actions were taken on the Class B1R and Class B2R 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 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: $159,819,087 Defaulted par: $9,561,021 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3677 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.92% Weighted Average Recovery Rate (WARR): 46.1% Weighted Average Life (WAL): 2.66 years Par haircut in OC tests and interest diversion test: 6.84% 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. VENTURE XXVIII: Moody's Cuts Rating on Series B/Cl. E Notes to Caa1 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by MJX Venture Management II LLC (the "Issuer") and collateralized by Venture XXVIII CLO, Limited: US$1,395,000 Series B/Class E Notes due 2030, Downgraded to Caa1 (sf); previously on March 26, 2025 Downgraded to Ba3 (sf) The Series B/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXVIII CLO, Limited (the "Underlying CLO"). The Rated Notes were originally issued in July 2017 in order to comply with the retention requirements of the US Risk Retention Rules. 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 Series B/Class E Notes reflects the specific risks to the Underlying CLO's Class E notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on the trustee's November 2025 report, the OC ratio for the Underlying CLO Class E notes was 97.21%[1] versus 103.53%[2] in February 2025 . Furthermore, based on Moody's calculations, the weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 3667, compared to 3050 in March 2025. No actions were taken on the Series B/Class B-1 Notes, Series B/Class B-F Notes, Series B/Class C-1 Notes, Series B/Class C-F Notes and Series B/Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying CLO's latest portfolio information, and the Issuer's and Underlying CLO's relevant structural features and 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 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 for the Underlying CLO: Performing par and principal proceeds balance: $159,819,087 Defaulted par: $9,561,021 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3677 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.92% Weighted Average Recovery Rate (WARR): 46.1% Weighted Average Life (WAL): 2.66 years Par haircut in OC tests and interest diversion test: 6.84% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "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 CLO's 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. WELLS FARGO 2016-C37: DBRS Cuts Rating on 2 Tranches to C --------------------------------------------------------- DBRS Limited downgraded the credit ratings on nine classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C37 issued by Wells Fargo Commercial Mortgage Trust 2016-C37 as follows: -- Class X-D to B (low) (sf) from A (low) (sf) -- Class D to B (low) (sf) from BBB (high) (sf) -- Class E to CCC (sf) from BBB (sf) -- Class X-EF to CCC (sf) from BBB (sf) -- Class F to CCC (sf) from BBB (low) (sf) -- Class X-G to CCC (sf) from BBB (low) (sf) -- Class G to CCC (sf) from BB (high) (sf) -- Class X-H to C (sf) from BB (low) (sf) -- Class H to C (sf) from B (high) (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 X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) The trend on Classes X-D was changed to Negative from Stable. The trend on Class D is Negative. Classes E, X-EF, F, X-G, G, X-H, and H have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) transactions. The trends on all other classes are Stable. Morningstar DBRS removed Classes D, E, X-EF, F, X-G, G, X-H, and H from Under Review with Negative Implications where they were placed on October 31, 2025, because of outstanding interest shortfalls approaching Morningstar DBRS' shortfall tolerance levels at the respective credit rating categories. The interest shortfalls have primarily been driven by reoccurring advances tied to the nonrecoverable determination for the 1140 Avenue of the Americas loan (Prospectus ID#6, 5.9 of the pool), with total monthly shortfalls of approximately $112,000 for that loan, pushing outstanding shortfalls up through Class E. When combined with approximately $32,000 of additional interest shortfalls stemming from the servicing fees associated with the nine other specially serviced loans (10.1% of the pool), which all share the same sponsor, shortfalls reach Class D. Morningstar DBRS expects interest shortfalls to continue beyond Morningstar DBRS' shortfall tolerance for Classes E, X-EF, F, X-G, G, X-H, and H, supporting the credit rating downgrades to CCC (sf) and C (sf), respectively. The pari passu loan is backed by a 22-story 250,000-square-foot (sf) office building in Midtown Manhattan, which transferred to special servicing because of monetary default in March 2025. A receiver has been appointed, and foreclosure is actively being pursued; however, the workout will likely be delayed. Net cash flow for the property has been declining year over year since issuance and the debt service coverage ratio (DSCR) has been below breakeven since YE2021, stemming from occupancy declines after a handful of tenants vacated. The property was most recently appraised in May 2025 at a value of $17.2 million, well below the issuance appraised value of $180.0 million. Given the sharp value decline and extended workout expected, Morningstar DBRS applied a 30% haircut to the May 2025 value in its liquidation scenario, nearly resulting in a full write down of the trust debt of $30.0 million, with the implied loss nearly wiping out the full certificate balances of Class J and H. The credit rating downgrades on Classes X-D and D to B (low) (sf) reflect Morningstar DBRS' concerns over the timing of the resolution for the nine remaining specially serviced loans, which transferred for nonmonetary default in October 2024 because of ongoing litigation over ownership and control of the family real estate business While performance across all properties has improved since issuance, with December 2024 appraisals indicating nearly a 40.0% increase in value when compared with issuance appraisals, the receiver has not provided a clear timeline for resolution, only indicating plans to repay the loans in full prior to maturity, in November 2026. Morningstar DBRS has tolerance thresholds for unpaid interest of five to six remittance periods at the BB and B credit rating categories. Should interest shortfalls continue to accrue and/or persist beyond Morningstar DBRS' shortfall tolerance levels, further credit rating downgrades may be warranted, as signaled by the Negative trends assigned. The credit rating confirmations reflect the otherwise stable performance for the remainder of the loans in the pool as evidenced by the weighted-average DSCR of 2.62 times (x). The transaction also benefits from the two largest loans (17.5% of the pool), being shadow-rated investment grade by Morningstar DBRS. In addition, the $93.8 million combined certificate balance below the Class C certificate provides a significant cushion against realized losses for the most senior classes. According to the November 2025 remittance, 55 of the original 63 loans remain in the pool, with an aggregate trust balance of $509.3 million, reflecting a collateral reduction of 32.1% since issuance. The pool is most concentrated by loans secured by lodging, multifamily, and retail properties, together representing 60% of the pool balance, with a smaller exposure to loans secured by office properties, representing 12.2% of the pool balance. There are 10 loans, representing 16.0% of the pool, in special servicing, and three loans, representing 4.0% of the pool, on the servicer's watchlist. The 80 Park Plaza loan (Prospectus ID#13, 3.7% of the pool) is secured by a 960,869 sf, Class A office building in the Newark CBD. The property, which was constructed in 1979 as a built-to-suit headquarters for PSEG Services Corporation (PSEG; 85.8% of the net rentable area), a diversified electric company. PSEG has been confirmed to be relocating its headquarters and will not renew upon lease expiration in September 2030. While the tenant has no termination options and is expected to continue making its lease payments through expiration, recent servicer site inspections confirm a portion of PSEG's space is dark, as the tenant actively markets the space for sublease. As of Q1 2025, CBRE reported that Class A office properties in the Urban Essex submarket reported a vacancy rate of 15.6%, with an average asking rental rate of $31.10 per sf (psf), well above PSEG's fixed rate through expiration of $17.52 psf. While the market rental rates suggest there may be upside in re-leasing the vacant space, the sheer amount of space to lease will be a challenge and will likely impair the borrower's ability to secure a refinance at the October 2026 maturity without a significant equity injection. At issuance, Morningstar DBRS shadow-rated the Hilton Hawaiian Village loan and the Potomac Mills loan investment grade, reflective of the loans' strong credit metrics, strong sponsorship strength, and historically stable performance. With this review, Morningstar DBRS confirms that the characteristics of these loans remain consistent with the investment-grade shadow ratings for each. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C23: Moody's Cuts Rating on C Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2014-C23, Commercial Mortgage Pass-Through Certificates, Series 2014-C23 as follows: Cl. A-S, Downgraded to Aa2 (sf); previously on Mar 11, 2025 Affirmed Aa1 (sf) Cl. B, Downgraded to Baa1 (sf); previously on Mar 11, 2025 Downgraded to A2 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Mar 11, 2025 Downgraded to Baa2 (sf) Cl. PEX, Downgraded to Baa2 (sf); previously on Mar 11, 2025 Downgraded to A2 (sf) RATINGS RATIONALE The ratings on the three P&I classes, Cl. A-S, Cl. B and Cl. C, were downgraded primarily due to the increased risk of interest shortfall and potential for higher expected losses resulting from the significant exposure to specially serviced and previously modified loans. Three loans, representing 76% of the pool, are currently in special servicing. The largest specially serviced loan (Bank of America Plaza – 43% of the pool) has been in special servicing since July 2024 and has experienced continued declines in cash flow and valuation leading to an appraisal reduction of 56% of its loan balance as of the November 2025 remittance date. The second largest specially serviced loan is the Columbus Square Portfolio (25% of the pool), which has maintained a DSCR above 1.00X but is more than 90 days delinquent on its debt service payments. Furthermore, the two non-specially serviced loans have been previously modified and have suffered from recent declines in cash flow or occupancy and face further upcoming lease rollover risk. All loans have now passed their original maturity dates and given the higher interest rate environment and loan performance, the outstanding classes face increased risk of interest shortfalls and higher potential losses if the outstanding loans remain or become further delinquent. The rating on the exchangeable class, Cl. PEX, was downgraded based on a decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 39.5% of the current pooled balance, compared to 38.6% at Moody's last reviews. Moody's base expected loss plus realized losses is now 11.4% of the original pooled balance, in-line with the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant 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 or troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I class in this deal since three loans (76% of the pool) are in special servicing and two modified loans (24% of the pool) were recognized as troubled loans. In this approach, Moody's determines a probability of default for each specially serviced and troubled loans that it expects will generate a loss and estimate 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 and troubled loan to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 2025 distribution date, the transaction's aggregate certificate balance has decreased by 71% to $271.2 million from $940.8 million at securitization. The certificates are collateralized by five mortgages and all the remaining loans have passed their original maturity dates. No loans have been liquidated from the pool and three loans, constituting 76% of the pool, are currently in special servicing and there are cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $4.3 million. As of the November 2025 remittance statement cumulative interest shortfalls were $1.4 million and impact class D. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest non-specially serviced loan is the DC Metro Mixed Use Portfolio Loan ($41.0 million – 15.1% of the pool), which was originally secured by 15 mixed use, office, retail and multifamily properties located in Washington, D.C., Virginia and Maryland. It is now secured by 10 properties after one was released through defeasance and four were sold, with net sale proceeds applied to reduce the principal balance. This reduction in collateral has contributed to a 31% decrease in the outstanding loan balance since securitization. The loan previously transferred to special servicing in July 2024 ahead of its August 2024 maturity date, and was subsequently modified and returned to the master servicer in September 2025. The modification included a loan extension to August 2027 and the loan remains current on its debt service payments. While the loan maintains a loan DSCR well above 1.00X, the loan will likely faced increased refinance risk due to lease rollover risk and higher vacancy. The second non-specially serviced loan is the 677 Broadway Loan ($23.8 million – 8.8% of the pool), which is secured by a 12-story, 177,039 SF, Class A office property located in Albany, New York. The loan first transferred to special servicing in May 2020 because of a payment default and was modified in March 2021, extending its maturity by five years to September 2025. The loan then returned to special servicing in September 2024 and a second modification was executed, extending the maturity to September 2026 in exchange for a $1.75 million upfront equity contribution, with an option to extend for an additional year. The loan was returned to the master servicer in July 2025 as a corrected loan and as of the November 2025 remittance date, the loan has amortized by 17% since securitization and remains current on payments. However, an October 2024 appraisal valued the property 25% below the outstanding loan balance. Due to the distressed cash flow and value Moody's expected this loan to have increased refinance risk at its already extended maturity date. The largest specially serviced loan is the Bank of America Plaza Loan ($116.7 million – 43.0% of the pool), which represents a pari passu portion of a $400 million mortgage loan. The loan is secured by a 55-story, 1.43 million SF, Class A office tower located in downtown Los Angeles, California. The loan transferred to special servicing in July 2024 and has passed its September 2024 maturity date. Occupancy declined to 67% as of August 2025, down from 86% in December 2023 and 90% at securitization. A December 2024 appraisal valued the property 65% below its securitization value and 47% below the outstanding loan balance. While the loan reported an in-place NOI DSCR above 1.60X as of June 2025 (based on interest-only payments at a 4.1%) interest rate, the loan is cash-managed and last paid through its April 2025 payment date and has accrued $2.6 million in servicer advance. The loan sponsor is Brookfield Office Properties Inc. and the guarantor of certain nonrecourse carveouts is Brookfield DTLA Holdings LLC. Brookfield DTLA has previously reported defaults and sales on other office properties in Downtown Los Angeles. Servicer commentary indicated a foreclosure complaint was filed and a receiver appointed in May 2025. The second specially serviced loan is the Columbus Square Portfolio Loan ($67.3 million – 24.8% of the pool), which represents a pari passu portion of a $359.2 million mortgage loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The property contains 31 condominium units at 775, 795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue, a retail component, which contains approximately 276,000 SF and three parking garages. The retail component is anchored by Whole Foods and other national tenants and has exhibited strong performance and high occupancy. As of March 2025, the property was 99% leased, up from 98% in Dec 2022, and 91% at securitization. The property's reported March 2025 NOI DSCR was above 1.1X. The loan previously received a three-year extension, pushing maturity to August 2027, however, the loan transferred back to special servicing in September 2025 after the borrower defaulted on loan covenants and debt service payments. According to servicer commentary, the transfer was triggered by missed loan payments and lockbox defaults in mid-2025 and counsel has been engaged, and a pre-negotiation agreement is in process. As of the November 2025 remittance date, the loan has amortized by 10% since securitization and was last paid through its July 2025 payment date. The third largest specially serviced loan is the Slatten Ranch Shopping Center Loan ($22.3 million – 8.2% of the pool), which is secured by an anchored retail center located in Antioch, California that contains approximately 118,250 SF of rentable area. The property is shadow anchored by Target and Best Buy (not part of the collateral). As of early 2024, the collateral was approximately 73% leased and the lower occupancy has caused the NOI DSCR to decline in recent years. The loan transferred to special servicing in July 2024 after it failed to pay off by its initial maturity in July 2024 and the special servicer and borrower subsequently agreed to a 12-month maturity extension to July 2025. The borrower signed over 60,000 SF of new leases in 2025, however, the loan failed to payoff at its extended July 2025 maturity and returned to special servicing. Servicer commentary indicates the borrower accepted an offer to sell the property with proceeds expected to payoff the loan in full, and the sale expected to close by year-end 2025 and Moody's estimates an aggregate $107 million loss for the specially serviced and troubled loans (40% expected loss on average). WOODMONT 2025-13: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Woodmont 2025-13 L.P./Woodmont 2025-13 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by MidCap Financial Services Capital Management LLC (MidCap Financial), which has a management agreement with Apollo Capital Management L.P., a subsidiary of Apollo Global Management Inc. The preliminary ratings are based on information as of Dec. 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Woodmont 2025-13 L.P./Woodmont 2025-13 LLC Class A-1, $165.00 million: AAA (sf) Class A-1A loans, $75.00 million: AAA (sf) Class A-1B loans, $50.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $25.00 million: BB- (sf) Subordinated notes, $57.11 million: NR NR--Not rated. [] Moody's Hikes 19 Ratings From 8 Deals Issued by JP Morgan Trust ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 19 bonds from eight US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by J.P. Morgan Mortgage Trust. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=CXss5O A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2019-INV3 Cl. B-5, Upgraded to Aa3 (sf); previously on Mar 14, 2025 Upgraded to A1 (sf) Cl. B-5-Y, Upgraded to Aa3 (sf); previously on Mar 14, 2025 Upgraded to A1 (sf) Issuer: J.P. Morgan Mortgage Trust 2020-INV1 Cl. B-4, Upgraded to Aa2 (sf); previously on May 31, 2024 Upgraded to Aa3 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Mar 14, 2025 Upgraded to A2 (sf) Cl. B-5-Y, Upgraded to A1 (sf); previously on Mar 14, 2025 Upgraded to A2 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-10 Cl. B-2, Upgraded to Aa2 (sf); previously on May 31, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on May 31, 2024 Upgraded to Aa3 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on May 31, 2024 Upgraded to Aa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-13 Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 3, 2025 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-4 Cl. B-3, Upgraded to A3 (sf); previously on Jul 14, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 15, 2024 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-6 Cl. B-3, Upgraded to A3 (sf); previously on May 15, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 15, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 3, 2025 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-8 Cl. B-3, Upgraded to A3 (sf); previously on May 31, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 3, 2025 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-LTV2 Cl. A-2, Upgraded to Aaa (sf); previously on Jul 14, 2023 Upgraded to Aa1 (sf) Cl. B-1, Upgraded to Aa3 (sf); previously on Mar 3, 2025 Upgraded to A1 (sf) Cl. B-2, Upgraded to Baa1 (sf); previously on Mar 3, 2025 Upgraded to Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.10% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize. The credit enhancement since closing has grown, on average, by 1.8x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. 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 and credit enhancement. 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. [] Moody's Takes Action on 8 Ratings From 4 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the rating of one bond from four US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=pAu9uM 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: CDC Mortgage Capital Trust 2003-HE4 Cl. A-1, Upgraded to Aaa (sf); previously on Mar 18, 2011 Downgraded to Aa1 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Mar 18, 2011 Downgraded to Aa1 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed A1, Outlook Stable on July 10, 2024) Cl. A-3, Upgraded to Aaa (sf); previously on Mar 18, 2011 Downgraded to Aa1 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF1 Cl. M-2, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC4 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3 Cl. A-2, Upgraded to Aaa (sf); previously on Mar 15, 2011 Downgraded to Aa2 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Mar 15, 2011 Downgraded to Aa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa3, Outlook Stable on October 09, 2025) Cl. A-3, Upgraded to Aaa (sf); previously on Mar 15, 2011 Downgraded to Aa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrade of Class M-1 issued by Morgan Stanley ABS Capital I Inc. Trust 2004-NC4 is due to outstanding credit interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. No action was taken on the other rated class in these deals because its expected losses remain commensurate with its current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 14 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from eight US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Nomura Home Equity Loan Trust 2005-FM1 Cl. M-3, Upgraded to Aaa (sf); previously on Nov 5, 2024 Upgraded to A1 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: Nomura Home Equity Loan Trust 2005-HE1 Cl. M-6, Upgraded to Caa3 (sf); previously on Feb 3, 2017 Upgraded to Ca (sf) Issuer: Nomura Home Equity Loan Trust 2006-HE2 Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Nomura Home Equity Loan Trust 2006-WF1 Cl. M-3, Upgraded to Aaa (sf); previously on May 16, 2024 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: Ownit Mortgage Loan Trust 2006-3 Cl. A-2D, Upgraded to Aaa (sf); previously on Jul 12, 2023 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-5 Cl. AF-5, Upgraded to Aaa (sf); previously on Sep 16, 2024 Upgraded to A1 (sf) Cl. MF-1, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-E Cl. A-3, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: Thornburg Mortgage Securities Trust 2003-4 Cl. A-1, Upgraded to Aa1 (sf); previously on Jul 3, 2023 Upgraded to Aa3 (sf) Cl. A-2, Upgraded to Aa1 (sf); previously on May 16, 2024 Upgraded to A1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.13x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Lowers Rating on 22 Classes From 10 U.S. CMBS to 'D (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on 22 classes of commercial mortgage pass-through certificates from 10 U.S. CMBS transactions. S&P said, "The downgrades of the 20 principal- and interest-paying classes reflect our expectation that the accumulated interest shortfalls outstanding will remain outstanding for the foreseeable future. Our assessment also indicates that some of these classes may also incur principal losses upon the eventual liquidation of the specially serviced assets in the respective transactions. "The downgrades of the two interest-only (IO) certificates reflect our criteria for rating IO securities, which state that the ratings on the IO securities would not be higher than that of the lowest rated reference class." The interest shortfalls are primarily due to one or more factors: -- A nonrecoverable determination because of a new lower appraisal value received, -- The appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets, -- Special servicing fees, -- Loan rate modifications resulting in lower interest proceeds, and -- Interest due on prior advances. Our analysis primarily considered ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance determinations and special servicing fees, which are likely, in our view, to cause recurring interest shortfalls. The servicer implements ARAs and the resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. We primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change or even reversal once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance determinations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverability has been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. CG-CCRE Commercial Mortgage Trust 2014-FL2 S&P said, "We lowered our ratings on the class C and D from CG-CCRE Commercial Mortgage Trust 2014-FL2 to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced Colonie Center loan." In November 2025, the servicer deemed the sole remaining loan in the pool, Colonie Center, nonrecoverable. As a result, according to the November 2025 trustee remittance report, none of the certificates receive their monthly interest distribution. The accumulated interest shortfalls on classes C and D have been outstanding for one month. JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 S&P said, "We lowered our ratings on the class C, D, E, and F from JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the sole specially serviced loan, Gateway Center." According to the November 2025 trustee remittance report, the trust incurred $368,395 of monthly interest shortfalls and $123,812 in principal losses this month. This was primarily due to interest not advanced of $354,503 from nonrecoverable determination made on the larger of the two remaining loans in the pool, Gateway Center, and special servicing fees of $19,765. In addition, the servicer recovered $123,812 from principal proceeds collected for the West County Center loan (32.6% of total pool) to repay prior advances on the Gateway Center loan. The accumulated interest shortfalls on classes C, D, E, and F have been outstanding for three or four consecutive months. BB-UBS Trust 2012-TFT S&P said, "We lowered our ratings on the class C, D, and E certificates from BB-UBS Trust 2012-TFT to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future, as well as our assessment of the likelihood of principal losses upon the eventual resolution of the sole remaining loan in the pool, Tucson Mall, which is in special servicing." According to the December 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $220,956 due primarily to an ASER amount of $220,957 after the servicer implemented an ARA of $74.4 million on the loan. The accumulated interest shortfalls on the class C (totaling $59,363), D ($431,489), and E ($474,248) certificates have been outstanding for three or more consecutive months. JPMBB Commercial Mortgage Securities Trust 2013-C12 S&P said, "We lowered our rating on the class E certificates from JPMBB Commercial Mortgage Securities Trust 2013-C12 to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for at least 12 months." According to the November 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $181,320 primarily due to interest not advanced of $169,349 resulting from nonrecoverable determination and special servicing fees of $12,186 on the two specially serviced assets in the pool. While class E did not incur current monthly interest shortfalls, it has $14,306 of accumulated interest shortfalls remaining that have been outstanding for five consecutive months. S&P said, "In addition, we believe the transaction is exposed to adverse selection risk with the three remaining performing loans in the pool either previously modified or did not repay upon their anticipated maturity dates. As a result, we believe this class is highly susceptible to interest shortfalls and that the accumulated interest shortfalls will remain outstanding for a protracted timing." J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 S&P said, "We lowered our rating on the class G certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the sole remaining loan in the pool, the Ashford Office Complex, which is in special servicing." According to the November 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $143,072 (causing all principal- and interest-paying classes to receive no interest distributions) primarily due to modified interest rate reduction of $128,735, special servicing fees of $9,466, and reimbursement for interest on advances of $1,047. The Ashford Office Complex loan was transferred to the special servicer on Aug. 11, 2022, due to maturity default (originally matured in August 2022). In March 2025, the loan was modified and bifurcated into a $34.0 million senior A note at a reduced pay interest rate of 2.0% and a subordinate B note of $12.5 million at a reduced pay interest rate of 0%. The loan was extended to April 2030. The borrower also paid down the A note balance by $3.0 million to $31.0 million at closing of the loan modification agreement. The loan transferred back to the special servicer in September 2025 due to imminent payment default and discussions are ongoing regarding a potential resolution. The accumulated interest shortfalls on class G have been outstanding for six consecutive months. J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 S&P said, "We lowered our ratings on the class F and G certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 to 'D (sf)' due to accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan, One South Broad Street." According to the November 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $131,028 due to interest not advanced of $123,498 from the nonrecoverable determination made in October 2025 on the specially serviced One South Broad Street loan and special servicing fees of $7,530. According to the special servicer, it is pursuing foreclosure and receivership, which were filed in September 2025. Classes F and G have accumulated interest shortfalls outstanding for two consecutive months. BAMLL Commercial Mortgage Securities Trust 2016-SS1 S&P lowered its rating on the class F certificates from BAMLL Commercial Mortgage Securities Trust 2016-SS1 to 'D (sf)' due to accumulated interest shortfalls that it expects will remain outstanding for the foreseeable future until the eventual resolution of the sole loan in the pool, One Channel Center and Garage, which is in special servicing. The special servicer has indicated that it is currently evaluating the borrower's proposed workout terms. According to the November 2025 trustee remittance report, the trust experienced current monthly de minimis interest shortfalls ($576) likely due to, according to the special servicer, fees associated with a delay in processing a prior payment and has accumulated interest shortfalls outstanding totaling $33,054 primarily due to special servicing fees reported in September 2025 and October 2025. These shortfalls affected class F. Wells Fargo Commercial Mortgage Trust 2016-BNK1 S&P said, "We lowered our rating on the class C certificates from Wells Fargo Commercial Mortgage Trust 2016-BNK1 to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced assets. "We also lowered our rating on the class X-B IO certificates to 'D (sf)' based on our criteria for rating IO securities. Class X-B references classes A-S, B, and C." According to the November 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $266,305 primarily due to reimbursement for interest on prior advances of $144,144, ASER amount of $102,686, and special servicing fees of $19,474. The current shortfalls affected classes subordinate to and including class C. S&P said, "While the reimbursement for interest on prior advances amount may change, the total monthly shortfalls may, at minimum, stay close to the current level because we considered that the largest asset in special servicing (transferred in March 2019), One Stamford Forum ($54.8 million; 7.2% of the total pool balance) could be deemed nonrecoverable due to increasing exposure ($67.5 million) and declining appraised value ($77.0 million as of May 2025; down from $227.0 million at issuance). We assessed that if no interest is advanced on the One Stamford Forum real estate owned asset, an additional $130,000 of interest shortfalls would affect the trust. Class C has accumulated interest shortfalls outstanding for three consecutive months." HMH Trust 2017-NSS S&P said, "We lowered our ratings to on the class A, B, and C certificates from HMH Trust 2017-NSS to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future and upon the eventual resolution of the sole loan in the pool, Shidler/NSSP – Hospitality Portfolio, which has been in special servicing since May 2020." According to the December 2025 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $810,314 due to interest not advanced because of nonrecoverable determination made on the specially serviced loan. This resulted in no interest distributed to any of the certificate classes. According to the special servicer's comments, while individual lodging properties (21 leasehold and one fee simple interest located in nine U.S. states) are currently being marketed for sales, with one property sold in November 2025 and three currently under contract, the sales proceeds will be used to pay down outstanding advances. The $204.0 million loan has a total exposure, including advances and accruals, of $243.3 million as of December 2025. Based on the April 2025 appraised value of $133.8 million, S&P expects classes B and C to potentially experience principal losses. Classes A, B, and C have accumulated interest shortfalls outstanding between three to five consecutive months. CF 2019-CF1 Mortgage Trust S&P said, "We lowered our ratings on the class 65A and 65B loan-specific certificates from CF 2019-CF1 Mortgage Trust to 'D (sf)' due to accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced 65 Broadway whole loan. "We also lowered our rating on the class 65X1 IO certificates based on our criteria for rating IO securities. Class 65X1 references classes 65A and 65B." According to the November 2025 trustee remittance report, the class 65 raked certificates received no monthly interest distribution due to nonrecoverable determination made on the $96.0 million subordinate nonpooled component of the $151.5 million whole loan backed by 65 Broadway, a 21-story, approximately 355,200-sq.-ft. office building in Downtown Manhattan. According to the special servicer, it is in discussions with the borrower regarding a potential loan modification. However, it is unclear if a loan modification will result in the borrower reimbursing the trust for prior interest shortfalls and paying full interest on the whole loan. Classes 65A, 65B, and 65X1 have accumulated interest shortfalls outstanding for four consecutive months. Ratings list Rating Issuer Series Class CUSIP To From BB-UBS Trust 2012-TFT 2012-TFT C 05490AAE3 D (sf) CCC (sf) BB-UBS Trust 2012-TFT 2012-TFT D 05490AAG8 D (sf) CCC- (sf) BB-UBS Trust 2012-TFT 2012-TFT E 05490AAJ2 D (sf) CCC- (sf) BAMLL Commercial Mortgage Securities Trust 2016-SS1 2016-SS1 F 05525JAQ6 D (sf) CCC- (sf) CF 2019-CF1 Mortgage Trust 2019-C1 65A 12529MAW8 D (sf) CCC- (sf) CF 2019-CF1 Mortgage Trust 2019-C1 65B 12529MAX6 D (sf) CCC- (sf) CF 2019-CF1 Mortgage Trust 2019-C1 65X1 12529MBC1 D (sf) CCC- (sf) CG-CCRE Commercial Mortgage Trust 2014-FL2 2014-FL2 C 12528PAC6 D (sf) CCC (sf) CG-CCRE Commercial Mortgage Trust 2014-FL2 2014-FL2 D 12528PAD4 D (sf) CCC (sf) HMH Trust 2017-NSS 2017-NSS A 40390AAA9 D (sf) CCC (sf) HMH Trust 2017-NSS 2017-NSS B 40390AAC5 D (sf) CCC (sf) HMH Trust 2017-NSS 2017-NSS C 40390AAE1 D (sf) CCC (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 2012-C8 G 46638UAX4 D (sf) CCC (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 2012-LC9 F 46639EAQ4 D (sf) CCC- (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 2012-LC9 G 46639EAR2 D (sf) CCC- (sf) JPMBB Commercial Mortgage Securities Trust 2013-C12 2013 C-12 E 46639NAC5 D (sf) CCC- (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 2013-C10 C 46639JAK6 D (sf) CCC- (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 2013-C10 D 46639JAL4 D (sf) CCC- (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 2013-C10 E 46639JAP5 D (sf) CCC- (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 2013-C10 F 46639JAR1 D (sf) CCC- (sf) Wells Fargo Commercial Mortgage Trust 2016-BNK1 2016-BNK1 C 95000GBE3 D (sf) CCC- (sf) Wells Fargo Commercial Mortgage Trust 2016-BNK1 2016-BNK1 X-B 95000GBC7 D (sf) CCC- (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***