260111.mbx

260111.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, January 11, 2026, Vol. 30, No. 11 Headlines ACREC 2024-FL4: Fitch Gives B-(EXP) Rating to 3 Tranches ANCHORAGE CAPITAL 34: Fitch Gives 'BBsf' Rating on Class E Notes ANCHORAGE CAPITAL 34: Moody's Gives B3 Rating to $250,000 F Notes APIDOS CLO LV: Fitch Assigns BB+sf Rating to Class E Notes APIDOS CLO XXXVI: Fitch Rates Class E-R Notes 'BB+sf' ARES LXX: Fitch Gives 'BBsf' Rating to Class E-R Notes BALBOA BAY 2025-2: Fitch Assigns 'BB+sf' Rating on Class E Debt BANK 2025-5YR19: Fitch Gives B-sf Rating to 2 Tranches BANK 2025-BNK51: Fitch Rates Class F-RR Certs 'B-sf' BARINGS CLO 2022-I: Fitch Gives BB-sf Rating on Class E-R Notes BBCMS MORTGAGE 2025-C39: Fitch Rates 2 Tranches 'B-sf' BENCHMARK 2025-V19: Fitch Affirms 'B-sf' Rating on 2 Tranches BIRCH GROVE 15: Fitch Gives 'BB-sf' Rating to Class E Notes BLP COMMERCIAL 2024-IND2: DBRS Confirms BB(high) Rating on E Certs BMO 2025-5C13: Fitch Assigns 'B-sf' Rating on Class G-RR Certs CARLYLE US 2025-6: Fitch Rates Class E Debt 'BB-sf' CARLYLE US 2025-7: Fitch Gives 'BB-sf' Rating on Class E Notes CARLYLE US 2025-7: Fitch Gives BB-(EXP) Rating to Class E Notes CBAMR 2020-12: Fitch Rates Class E-R2 Notes 'BB-sf' CIFC FUNDING 2015-IV: Fitch Gives BB-(EXP) Rating on E-R3 Debt DRYDEN 120 CLO: Fitch Gives 'BB-sf' Rating to Class E Notes ELRIDGE CLO 2025-2: Fitch Assigns BB+sf Rating on Class E Notes FLATIRON CLO 13: Fitch Gives 'B-sf' Rating on Class F Notes GARNET CLO 4: Fitch Gives BB-sf Rating on Class E Notes GS MORTGAGE 2014-GC26: Moody's Cuts Rating on 2 Tranches to Ba1 GS MORTGAGE 2025-PJ11: Fitch Gives 'B-sf' Rating to Class B5 Debt HARVEST US 2025-3: Fitch Affirms BB-sf Rating on Class E Notes HOME PARTNERS 2021-2: DBRS Confirms B Rating on Class G Certs JP MORGAN 2025-LTV3: Fitch Gives 'B-sf' Rating on Class B2 Certs JP MORGAN 2025-LTV3: Fitch Rates Class B2 Notes 'B-sf' KKR CLO 44: Fitch Gives 'BB-sf' Rating to Class E-R Notes MADISON PARK LXXV: Fitch Gives BB+sf Rating on Class E Debt MAGNETITE XXXV: Fitch Gives 'BBsf' Rating to Class E-RR Notes MAIN TRUST 2026-OLAS: DBRS Gives Prov. B(low) Rating on F Certs MORGAN STANLEY 2025-RPL2: Fitch Gives 'Bsf' Rating on B2 Notes NYC COMMERCIAL 2025-77C: Fitch Gives Bsf Rating on Class HRR Certs OCTAGON INVESTMENT XVI: S&P Cuts Cl. E-R Notes Rating to 'B- (sf)' ORION CLO 2023-2: Fitch Gives BB-sf Rating on Class E-R Notes PARK BLUE 2025-X: Fitch Gives 'BBsf' Rating on Class E Notes PFP 2026-13: Fitch Gives 'B-(EXP)' Rating to Class G Debt PROGRESS RESIDENTIAL R2026-SFR1: DBRS Gives (P)BB on Class F1 Certs REGATTA XXII: Fitch Gives 'BBsf' Rating on Class E-R2 Notes ROCKFORD TOWER 2025-3: Fitch Gives BB-sf Rating on Class E Notes SEQUOIA MORTGAGE 2026-1: Fitch Gives B(EXP) Rating to Cl. B5 Certs SEQUOIA MORTGAGE: Fitch Gives B(EXP)sf Rating to Class B5 Certs SLG OFFICE 2026-PAT: S&P Assigns Prelim 'BB-' Rating on HRR Certs TOWD POINT 2026-CES1: DBRS Gives Prov. B Rating on 5 Classes TOWD POINT 2026-CES1: Fitch Gives B-(EXP) Rating on 5 Tranches VERUS SECURITIZATION 2026-1: Fitch Gives B-(EXP) to Cl. B-2 Notes VITALITY RE 2026: S&P Assigns Prelim 'B+ (sf)' Rating Cl. C Notes WESTLAKE AUTOMOBILE 2026-1:S&P Assigns Prelim BB Rating on E Notes [] DBRS Confirms 8 Ratings From 6 American Credit Trusts [] DBRS Reviews 178 Classes From 24 US RMBS Transactions [] Moody's Upgrades Ratings on 10 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds from 10 US RMBS Deals [] S&P Lowers Ratings on 114 Classes From 100 U.S. RMBS Deals ********* ACREC 2024-FL4: Fitch Gives B-(EXP) Rating to 3 Tranches -------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to ACREC 2026-FL4 LLC as follows: -- $530,000,000a class A 'AAA(EXP)sf'; Outlook Stable; -- $158,750,000a class A-S 'AAA(EXP)sf'; Outlook Stable; -- $72,500,000a class B 'AA-(EXP)sf'; Outlook Stable; -- $58,750,000a class C 'A-(EXP)sf'; Outlook Stable; -- $35,000,000ab class D 'BBB(EXP)sf'; Outlook Stable; -- $0ab class D-E 'BBB(EXP)sf'; Outlook Stable; -- $0abc class D-X 'BBB(EXP)sf'; Outlook Stable; -- $16,250,000ab class E 'BBB-sf'; Outlook Stable; -- $0ab class E-E 'BBB-(EXP)sf'; Outlook Stable; -- $0abc class E-X 'BBB-(EXP)sf'; Outlook Stable; -- $33,750,000bd class F 'BB-(EXP)sf'; Outlook Stable; -- $0bd class F-E 'BB-(EXP)sf'; Outlook Stable; -- $0bcd class F-X 'BB-(EXP)sf'; Outlook Stable; -- $21,250,000bd class G 'B-(EXP)sf'; Outlook Stable; -- $0bd class G-E 'B-(EXP)sf'; Outlook Stable; -- $0bcd class G-X 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $73,750,000d Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes. The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.875% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $946,130,681 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 5, 2026. TRANSACTION SUMMARY The notes will be secured by a pool of collateral interests consisting of 23 loans secured by 24 commercial properties with an aggregate principal balance of $946,130,681 as of the cutoff date. The pool includes a ramp-up collateral interest of approximately $53.9 million. The loans were contributed to the trust by ACREC Fund II Seller LLC. The servicer is expected to be Situs Asset Management LLC and the special servicer is expected to be KeyBank National Association. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans in the pool (84.8% by balance). Fitch's resulting aggregate net cash flow (NCF) of $25.9 million represents a 9.96% decline from the issuer's aggregate underwritten NCF of $28.8 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 143.9% is higher than both the 2025 and 2024 CRE CLO averages of 140.5% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.9% is lower than both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: Pool diversity is better than that of any other Fitch-rated CRE CLO transaction. The top 10 loans make up 59.9% of the pool, which is lower than the 2025 CRE CLO average of 61.2% and the 2024 average of 70.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool is comprised entirely of multifamily properties, compared with the 2025 and 2024 CRE CLO averages of 77.1% and 78.4%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property-type concentration adjustment, as it does for Freddie Mac and Fitch-rated MF1 CRE CLO transactions. No Amortization: The pool is comprised entirely of interest-only (IO) loans, compared with the 2025 and 2024 CRE CLO averages of 73.3% and 56.8%, respectively. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. ANCHORAGE CAPITAL 34: Fitch Gives 'BBsf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 34, Ltd. RATING ACTIONS Rating Prior ------ ----- Anchorage Capital CLO 34, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Anchorage Capital CLO 34, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.7% first lien senior secured loans and has a weighted average recovery assumption of 73.38%. 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 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. ANCHORAGE CAPITAL 34: Moody's Gives B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Anchorage Capital CLO 34, Ltd. (the Issuer or Anchorage 34): US$256,000,000 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. Anchorage 34 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. Anchorage Collateral Management, L.L.C. (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: 65 Weighted Average Rating Factor (WARF): 3120 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. APIDOS CLO LV: Fitch Assigns BB+sf Rating to Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LV. RATING ACTIONS Apidos CLO LV A-1 03771VAA0 LT NRsf New Rating A-2 03771VAC6 LT AAAsf New Rating B 03771VAE2 LT AAsf New Rating C 03771VAG7 LT Asf New Rating D-1 03771VAJ1 LT BBB+sf New Rating D-2 03771VAL6 LT BBB-sf New Rating D-3 03771VAQ5 LT BBB-sf New Rating E 037972AC0 LT BB+sf New Rating F 037972AE6 LT NRsf New Rating Subordinated Notes 037972AG1 LT NRsf New Rating X 03771VAN2 LT AAAsf New Rating TRANSACTION SUMMARY Apidos CLO LV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 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 97.75% first-lien senior secured loans and has a weighted average recovery assumption of 72.44%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for Class X, 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 'BBB-sf' for Class D-1, between less than 'B-sf' and 'BB+sf' for Class D-2, and between less than 'B-sf' and 'BB+sf' for Class D-3 and between less than 'B-sf' and 'B+sf' for Class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class X and Class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B, 'AAsf' for Class C, 'A+sf' for Class D-1, 'A+sf' for Class D-2, and 'A-sf' for Class D-3 and 'BBB+sf' for Class E. APIDOS CLO XXXVI: Fitch Rates Class E-R Notes 'BB+sf' ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Apidos CLO XXXVI reset transaction. RATING ACTIONS Rating Prior ------ ----- Apidos CLO XXXVI X-R LT NRsf New Rating NR(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Apidos CLO XXXVI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC. It originally closed in September 2021 and is scheduled for its first refinancing on Dec. 23, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.53% first-lien senior secured loans and has a weighted average recovery assumption of 73.38%. 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 WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. ARES LXX: Fitch Gives 'BBsf' Rating to Class E-R Notes ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXX CLO Ltd. Reset Transaction. RATING ACTIONS Rating Prior ------ ----- Ares LXX CLO Ltd. X-R LT AAAsf New Rating A-1 039951AA6 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 039951AC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1 039951AJ7 LT PIFsf Paid In Full BBBsf D-1a-R LT BBBsf New Rating D-1b-R LT BBB-sf New Rating D-2 039951AN8 LT PIFsf Paid In Full BBBsf D-2-R LT BBB-sf New Rating E 039952AA4 LT PIFsf Paid In Full BB+sf E-R LT BB-sf New Rating TRANSACTION SUMMARY Ares LXX CLO Ltd. Reset Transaction (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) which originally closed in November 2023 that is managed by Ares U.S. CLO Management III LLC-Series A, an affiliate of Ares Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 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 23.29 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.27% 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 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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1a-R, between less than 'B-sf' and 'BB+sf' for class D-1b-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1a-R, 'Asf' for class D-1b-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. BALBOA BAY 2025-2: Fitch Assigns 'BB+sf' Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Balboa Bay Loan Funding 2025-2 Ltd. RATING ACTIONS Balboa Bay Loan Funding 2025-2 Ltd Rating Prior ------ ----- A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA+(EXP)sf C-1 LT A+sf New Rating A+(EXP)sf C-2 LT A+sf New Rating A+(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Balboa Bay Loan Funding 2025-2 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pacific Investment Management Company LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leverage 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 98% first-lien senior secured loans and has a weighted average recovery assumption of 74.88%. 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 WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'BB-sf' and 'Asf' for class C-1 notes, between 'B+sf' and 'BBB+sf' for class C-2 notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, and 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, 'AA+sf' for class C-2 notes, 'Asf' for class D-1 notes, and 'A-sf' for class D-2 notes and 'BBB+sf' for class E notes. BANK 2025-5YR19: Fitch Gives B-sf Rating to 2 Tranches ------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2025-5YR19, Commercial Mortgage Pass-Through Certificates, Series 2025-5YR19 as follows: -- $1,300,000 class A-1 'AAAsf'; Outlook Stable; -- $129,510,000 class A-2 'AAAsf'; Outlook Stable; -- $0d class A-2-1 'AAAsf'; Outlook Stable; -- $0ad class A-2-X1 'AAAsf'; Outlook Stable; -- $0d class A-2-2 'AAAsf'; Outlook Stable; -- $0ad class A-2-X2 'AAA sf'; Outlook Stable; -- $500,319,000 class A-3 'AAAsf'; Outlook Stable; -- $0d class A-3-1 'AAAsf'; Outlook Stable; -- $0ad class A-3-X1 'AAAsf'; Outlook Stable; -- $0d class A-3-2 'AAAsf'; Outlook Stable; -- $0ad class A-3-X2 'AAAsf'; Outlook Stable; -- $631,129,000a class X-A 'AAAsf'; Outlook Stable; -- $73,256,000 class A-S 'AAAsf'; Outlook Stable; -- $0d class A-S-1 'AAAsf'; Outlook Stable; -- $0ad class A-S-X1 'AAAsf'; Outlook Stable; -- $0d class A-S-2 'AAAsf'; Outlook Stable; -- $0ad class A-S-X2 'AAAsf'; Outlook Stable; -- $50,715,000 class B 'AA-sf'; Outlook Stable; -- $0d class B-1 'AA-sf'; Outlook Stable; -- $0ad class B-X1 'AA- sf'; Outlook Stable; -- $0d class B-2 'AA- sf'; Outlook Stable; -- $0ad class B-X2 'AA- sf'; Outlook Stable; -- $39,446,000 class C 'A-sf'; Outlook Stable; -- $0d class C-1 'A-sf'; Outlook Stable; -- $0ad class C-X1 'A-sf'; Outlook Stable; -- $0d class C-2 'A-sf'; Outlook Stable; -- $0ad class C-X2 'A-sf'; Outlook Stable; -- $163,417,000a class X-B 'A-sf'; Outlook Stable; -- $32,683,000b class D 'BBB-sf'; Outlook Stable; -- $32,683,000ab class X-D 'BBB-sf'; Outlook Stable; -- $19,160,000b class E 'BB-sf'; Outlook Stable; -- $19,160,000b class X-E 'BB-sf'; Outlook Stable; -- $11,270,000b class F 'B-sf'; Outlook Stable; -- $11,270,000ab class X-F 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $21,413,000b class G; -- $21,413,000ab class X-G; -- $22,541,063b class H; -- $22,541,063ab class X-H; -- $41,053,319bc class RR; -- $6,400,000bc class RR Interest. a-Notional amount and interest only. b-Privately placed and pursuant to Rule 144a. c-Vertical risk retention. d-Exchangeable Certificates. The class A-2, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 35 loans secured by 85 commercial properties having an aggregate principal balance of $949,066,383 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC and JPMorgan Chase Bank, National Association. The master servicer is Trimont LLC and the special servicer is Torchlight Loan Services, LLC. Pursuant to a primary servicing agreement to be entered into with the master servicer, Berkadia Commercial Mortgage LLC is the primary servicer with respect to certain mortgage loans totaling 20.2% of the pool (Westyn Village Apartments, Badger Portfolio, Overture Apartments, Westwood Park and Carlsbad MHC). KeyBank National Association, a national banking association, is the special servicer with respect to the Mall at Bay Plaza mortgage loan (7.4%), which is serviced under the WFCM 2025-5C7 pooling and servicing agreement, and the International Plaza mortgage loan (2.6%), which is serviced under the INT 2025-PLAZA pooling and servicing agreement. The trustee is Deutsche Bank National Trust Company and the certificate administrator is Computershare Trust Company, National Association. The operating advisor and asset representations reviewer is Pentalpha Surveillance LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 27 loans totaling 91.4% of the pool by balance, including all of the largest 20 loans in the pool. Fitch's resulting NCF of $100.6 million represents an 13.9% decline from the issuer's underwritten NCF of $213.0 million. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. private label multiborrower five-year transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 107.4% is above the 2025 YTD five-year multiborrower average of 100.8% and above the 2024 five-year multiborrower average of 95.2%. The pool's Fitch NCF debt yield (DY), at 8.9%, is lower than the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 54.2% of the pool, lower than the 2025 YTD five-year multiborrower and 2024 five-year multiborrower averages of 61.3% and 60.2%, respectively. The pool's effective loan count, at 25.9, is higher than the 2025 YTD and 2024 averages of 21.8 and 22.7, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 10.0% of the pool received an investment-grade credit opinion. Mall at Bay Plaza (7.4%) received a standalone credit opinion of 'BBB-sf*' and International Plaza (2.6% of the pool) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than the 2025 YTD average of 11.6% and the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 100.4% and 10.2%, respectively, compared with the equivalent five-year multiborrower 2025 YTD averages of 105.2% and 9.3%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10- year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Original Rating: 'AAAsf'/ 'AAAsf'/'AA-sf'/'A-sf'/''BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCC+sf'/'less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Original Rating: 'AAAsf'/ 'AAAsf'/'AA-sf'/'A-sf'/''BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/ 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BB+sf'/'B+sf'. BANK 2025-BNK51: Fitch Rates Class F-RR Certs 'B-sf' ---------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2025-BNK51 commercial mortgage pass-through certificates series 2025-BNK51 as follows: -- $17,899,000 class A-1 'AAAsf'; Outlook Stable; -- $5,819,000 class A-3 'AAAsf'; Outlook Stable; -- $23,557,000 class A-SB 'AAAsf'; Outlook Stable; -- $140,000,000 class A-4 'AAAsf'; Outlook Stable; -- $505,568,000 class A-5 'AAAsf'; Outlook Stable; -- $692,843,000a class X-A 'AAAsf'; Outlook Stable; -- $201,667,000a class X-B 'A-sf'; Outlook Stable; -- $126,196,000 class A-S 'AAAsf'; Outlook Stable; -- $42,066,000 class B 'AA-sf'; Outlook Stable; -- $33,405,000 class C 'A-sf'; Outlook Stable; -- $28,456,000ad class X-D 'BBB-sf'; Outlook Stable; -- $28,456,000b class D 'BBB-sf'; Outlook Stable; -- $17,321,000bcd class E-RR 'BB-sf'; Outlook Stable; -- $12,372,000bcd class F-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: -- $37,117,186bcd class G-RR; -- $17,629,601.28e RR interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) The aggregate fair value of the class E-RR, class F-RR, class G-RR certificates and the RR interest will equal at least 5.00% of the fair value of all of the classes of certificates. (d) Horizontal Risk Retention Interest classes. (e) Vertical Risk Retention. The ratings are based on information provided by the issuer as of Dec. 23, 2025. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 74 loans secured by 91 commercial properties having an aggregate principal balance of $1,007,405,787 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, N.A., Bank of America, N.A., JPMorgan Chase Bank, N.A., Morgan Stanley Mortgage Capital Holdings, LLC, and National Cooperative Bank, N.A. The master servicers are Midland Loan Services, a division of PNC Bank, National Association and National Cooperative Bank, N.A., and the special servicers are Rialto Capital Advisors, LLC and National Cooperative Bank, N.A. The trustee and the certificate administrator are Computershare Trust Company, N.A. Pentalpha Surveillance LLC is the operating advisor and asset representations reviewer. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 32 loans totaling 84.6% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $164.3 million represents a 12.4% decline from the issuer's aggregate underwritten NCF of $187.5 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 81.8% is below with both the 10-year 2025 YTD and 2024 averages of 88.7% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 16.3% is better than both the 10-year 2025 YTD and 2024 averages of 12.0% and 12.3%, respectively Investment-Grade Credit Opinion Loans: Three loans representing 9.0% of the pool by balance received an investment-grade credit opinion. Marker Place Center (4.0 %) received investment-grade credit opinions of 'BBB-sf*' on a standalone basis. 4 Union Square South (2.7%) received an investment-grade credit opinion of 'BBB+sf ' on a standalone basis. BioMed MIT Portfolio (2.0%) received an investment-grade credit opinion of 'Asf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 10-year 2025 YTD and 2024 averages of 23.6% and 21.4%, respectively. The pool also contains non-credit opinion co-op loans totaling 18.7% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 98.1% and 10.3%, respectively, compared to the equivalent conduit 10-year 2025 YTD LTV and DY averages of 88.7% and 12.0%, respectively. Pool Concentration: The pool is moderately less concentrated relative to Fitch rated multiborrower transaction since 2023. The top 10 loans make up 59.5% of the pool, which is below both the 10-year 2025 YTD and 2024 averages of 63.8% and 63.0%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.0. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at the end of the loan terms, the pool will pay down by 4.5%, which is in line both the 10-year 2025 YTD and 2024 averages of 3.7% and 2.2%, respectively. The pool has 31 interest-only (IO) loans (66.2 % of the pool), which is better than both the 10-Year 2025 YTD average of 71.1% and the 2024 average of 80.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. -- 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf' / 'B-sf' / below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. -- 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'BBBsf' / BB+sf' / 'B+sf'. BARINGS CLO 2022-I: Fitch Gives BB-sf Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Barings CLO Ltd. 2022-I Reset Transaction. RATING ACTIONS Barings CLO Ltd. 2022-I A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating D-3-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Barings CLO Ltd. 2022-I (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $396 million (excluding defaulted obligations) 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 22.42, 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 75.4% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R,between less than 'B-sf' and 'BB+sf' for class D-3-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'A-sf' for class D-3-R and 'BBBsf' for class E-R. BBCMS MORTGAGE 2025-C39: Fitch Rates 2 Tranches 'B-sf' ------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-C39, Commercial Mortgage Pass-Through Certificates, Series 2025-C39: RATING ACTIONS -- $16,918,000 Class A-1 'AAAsf'; Outlook Stable; -- $98,701,000 Class A-4 'AAAsf'; Outlook Stable; -- $423,554,000 Class A-5 'AAAsf'; Outlook Stable; -- $25,463,000 Class A-SB 'AAAsf'; Outlook Stable; -- $564,636,000a Class X-A 'AAAsf'; Outlook Stable; -- $86,712,000 Class A-S 'AAAsf'; Outlook Stable; -- $40,332,000 Class B 'AA-sf'; Outlook Stable; -- $30,248,000 Class C 'A-sf'; Outlook Stable; -- $157,292,000a,b Class X-B 'A-sf';Outlook Stable; -- $23,191,000b Class D 'BBB-sf'; Outlook Stable; -- $23,191,000ab Class X-D 'BBB-sf'; Outlook Stable; -- $16,132,000b Class E 'BB-sf'; Outlook Stable; -- $16,132,000a,b Class X-E 'BB-sf'; Outlook Stable; -- $10,083,000b Class F 'B-sf'; Outlook Stable; -- $10,083,000a,b Class X-F 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: -- $35,290,115b,c Class G-RR. (a) Notional amount and interest only (IO). (b) Privately placed and pursuant to Rule 144a. (c) Horizontal risk retention. CE - credit enhancement, NR - not rated. Since Fitch published its expected ratings on Dec. 3, 2025, the following changes have occurred: -- The balances for A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the range of $0-$200,000,000, subject to a variance of plus or minus 5%. The final class balance for A-4 is $98,701,000. The initial aggregate certificate balance of the A-5 class was expected to be in the range of $322,255,000-$522,255,000, subject to a variance of plus or minus 5%. The final class balance for class A-5 is $423,554,000. There were no other material changes. The final ratings are based on information provided by the issuer as of Dec. 23, 2025. TRANSACTION SUMMARY The certiﬁcates represent the beneﬁcial ownership interest in the trust, the primary assets of which are 36 loans secured by 69 commercial properties with an aggregate principal balance of $806,624,116 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, German American Capital Corporation, Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company, BSPRT CMBS Finance, LLC, UBS AG New York Branch, and Zions Bancorporation, N.A. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, the special servicer is LNR Partners, LLC. Computershare Trust Company, National Association will act as trustee and certiﬁcate administrator. The operating advisor is Park Bridge Lender Services LLC. The certiﬁcates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash ﬂow analyses on 25 loans totaling 91.0% of the pool by balance, including the largest 20 loans and all the pari passu loans. Fitch's resulting net cash ﬂow (NCF) of approximately $86.7 million represents a 14.1% decline from the issuer's underwritten NCF. The NCF decline is higher than the 2025 year to date (YTD) and 2024 10-year averages of 13.5% and 13.2%, respectively. Higher Fitch Leverage: The pool has higher leverage compared to recent 10-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 91.6% is slightly worse than the YTD 2025 and 2024 averages of 88.7% and 84.5%, respectively. The Fitch NCF debt yield (DY) of 10.8% is weaker than the YTD 2025 and 2024 averages of 12.0% and 12.3%, respectively. Investment-Grade Opinion Loans: Three loans representing 9.7% of the pool received investment-grade credit opinions on a standalone basis. Market Place Center (4.3% of the pool) received a standalone credit opinion of 'BBB-sf*'; 4 Union Square South (4.0% of the pool) received 'BBB+sf*'; and Rentar Plaza (1.4% of the pool) received 'BBB+sf*'. The pool's total credit opinion share is below the 2025 YTD and 2024 10-year averages of 23.6% and 21.4%, respectively. Excluding these loans, the pool's Fitch LTV and DY of 94.4% and 10.4% are slightly below the 2025 YTD LTV and DY 10-year averages of 98.4% and 10.0%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans make up 57.0% of the pool, which is lower than the 2025 YTD and 2024 10-year averages of 63.8% and 63.0%, respectively. The pool's effective loan count is 23.9. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Office Concentration: Loans secured by ofﬁce properties (designated by Fitch) represent 28.1% of the pool, above the 2025 YTD and 2024 10-year averages of 21.8% and 13.7%, respectively. Three of the top 10 largest loans are secured by ofﬁce properties and ofﬁce is the second-largest property type in the pool. The largest and third-largest property types in the pool are retail and industrial, which account for 30.8% and 14.2% respectively. The pool's effective property type count is 4.5. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash ﬂow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: --Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; --10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf' / 'B-sf' / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash ﬂow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: --Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; --10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BB+sf' / 'B+sf'. BENCHMARK 2025-V19: Fitch Affirms 'B-sf' Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2025-V19 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2025-V19 as follows: RATING ACTIONS Benchmark 2025-V19 Mortgage Trust -- $75,000,000 class A-2 'AAAsf'; Outlook Stable; -- $334,204,000 class A-3 'AAAsf'; Outlook Stable; -- $409,204,000a class X-A 'AAAsf'; Outlook Stable; -- $48,959,000 class A-S 'AAAsf'; Outlook Stable; -- $31,421,000 class B 'AA-sf'; Outlook Stable; -- $23,383,000 class C 'A-sf'; Outlook Stable; -- $103,763,000a class X-B 'A-sf'; Outlook Stable; -- $21,922,000b class D 'BBB-sf'; Outlook Stable; -- $21,922,000ab class X-D 'BBB-sf'; Outlook Stable; -- $13,883,000bc class E-RR 'BB-sf'; Outlook Stable; -- $13,883,000abc class XERR 'BB-sf'; Outlook Stable; -- $8,769,000bc class F-RR 'B-sf'; Outlook Stable; -- $8,769,000abc class XFRR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: -- $27,037,299bc class G-RR; -- $27,037,299abc class XGRR; -- $4,120,895bd Combined VRR Interest. (a) Notional amount and interest only. (b) Privately placed and offered pursuant to Rule 144A. (c) Horizontal risk retention. (d) Vertical risk retention. Since Fitch published its expected ratings on Dec. 3, 2025, the following changes have occurred: -- The balances of classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was in the range of $0-$175,000,000, and the initial certificate balance of class A-3 was in the range of $234,204,000-$409,204,000. The final class balances of classes A-2 and A-3 are $75,000,000 and $334,204,000, respectively; -- The deal structure and ratings reflect information provided by the issuer as of Dec. 23, 2025. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 28 loans secured by 48 commercial properties having an aggregate principal balance of $588,699,194, as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, German American Capital Corporation, Citi Real Estate Funding Inc and Barclays Capital Real Estate Inc. Midland Loan Services, a Division of PNC Bank, National Association, will serve as the master and special servicer. Wilmington Savings Fund Society, FSB is the trustee. Citibank, N.A. is the certificate administrator. Park Bridge Lender Services LLC is the operating advisor. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 86.3% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $56.3 million represents a 11.3% decline from the issuer's underwritten aggregate pool NCF of $63.5 million. Higher Fitch Leverage: The pool's Fitch leverage is slightly higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.8% is higher than the 2025 YTD five-year multiborrower transaction average of 100.8% and the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.6% is slightly lower than the 2025 YTD average of 9.7% and the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: One loan, 9911 Belward, representing 4.1% of the pool, received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is much lower than the 2025 YTD and 2024 averages of 11.5% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 106.8% and 9.3%, respectively, are slightly worse than the equivalent conduit 2025 YTD LTV and DY averages of 100.8% and 9.7%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The largest 10 loans represent 64.9% of the pool, which is higher than the 2025 YTD five-year and 2024 five-year multiborrower averages of 61.3% and 60.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 19.3, which is lower than both the 2025 YTD and 2024 five-year multiborrower averages of 21.8 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. BIRCH GROVE 15: Fitch Gives 'BB-sf' Rating to Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 15 Ltd. TRANSACTION SUMMARY Birch Grove CLO 15 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.16 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.92% 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. RATINGS ACTION Birch Glove CLO 15 Ltd A-1 LongTerm Rating NRsf New Rating A-2 LongTerm Rating AAAsf New Rating B LongTerm Rating AAsf New Rating C LongTerm Rating Asf New Rating D-1 LongTerm Rating BBB-sf New Rating D-2 LongTerm Rating BBB-sf New Rating E LongTerm Rating BB-sf New Rating Subordinated Notes LongTerm Rating NRsf New Rating BLP COMMERCIAL 2024-IND2: DBRS Confirms BB(high) Rating on E Certs ------------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-IND2 (the Certificates) issued by BLP Commercial Mortgage Trust 2024-IND2 as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, as evidenced by the steady occupancy across the portfolio since issuance. The portfolio is backed by industrial properties and benefits from experienced sponsorship, long-term leases, and geographical and sectoral diversity. The transaction is collateralized by the borrower's fee-simple interests in a portfolio of 44 cross-collateralized industrial properties totaling 7.1 million square feet. The portfolio is spread across nine states, including Texas, California, and Illinois, and 12 markets, including Dallas Fort-Worth; Inland Empire, California; and Chicago. The properties themselves are a mix of bulk distribution, light industrial, shallow bay, industrial service facility (truck terminal), and cold storage properties. Of the $615.0 million loan, $318.7 million was used to refinance existing debt and $269.8 million was cashed out to the sponsor, Brookfield Asset Management. Of the remaining funds, $13.8 million covered closing costs and $12.7 million funded upfront reserves. At Morningstar DBRS' previous review, the low debt service coverage ratio (DSCR) was noted as a potential concern, however, as per the most recent reporting, for the trailing 12-month period ended September 30, 2025, the DSCR increased to 1.19 times (x), compared with 1.05x in September 2024 and the Morningstar DBRS DSCR of 1.00x at issuance. The portfolio also reported a consolidated occupancy rate of 89.9% for the same period, declining from 96.0% at September 2024 and 97.6% at issuance. Leases for approximately 16.2% of the net rentable area (NRA) are scheduled to expire within the next 12 months, however, the risk is largely mitigated by the historically strong leasing activity and renewal rates. According to the December 2025 remittance, six of the original 50 properties have been released, contributing to a paydown of the pool balance to $526.8 million from the issuance balance of $615.0 million. All the releases were subject to a 105.0% release premium in accordance with the issuance documents, which stipulate that a 105% release premium be paid for the first 30% of the whole loan balance and 110% of the allocated loan amount (ALA) thereafter. The interest-only, floating-rate loan was structured with an initial two-year term and three one-year extension options, with an initial maturity of March 2026. To date, there has been no indication of the borrower's plans regarding the first extension option. Each extension option requires the purchase of an interest rate cap agreement that yields a DSCR of 1.10x, however, no performance tests are required to exercise any option. The mortgage loan has a partial pro rata/sequential-pay structure, which allows for pro rata paydowns across the Certificates for the first 30.0% of the unpaid principal balance. Morningstar DBRS considers this structure to be credit negative, particularly at the top of the capital stack. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. Morningstar DBRS applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments. With this review, Morningstar DBRS updated its value and net cash flow (NCF) of the portfolio to account for the decrease in potential rental revenue from the property releases. Morningstar DBRS derived a value of $602.9 million based on the Morningstar DBRS NCF of $40.8 million and a capitalization rate of 6.77%, resulting in a current Morningstar DBRS loan-to-value ratio (LTV) of 87.4% compared with the LTV of 49.3% based on the appraised value at issuance. Positive qualitative adjustments totaling 8.5% 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. BMO 2025-5C13: Fitch Assigns 'B-sf' Rating on Class G-RR Certs -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2025-5C13 Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2025-5C13 as follows: -- $7,400,000 Class A-1 'AAAsf'; Outlook Stable; -- $60,000,000 Class A-2 'AAAsf'; Outlook Stable; -- $318,869,000 Class A-3 'AAAsf'; Outlook Stable; -- $386,269,000a Class X-A 'AAAsf'; Outlook Stable; -- $47,594,000 Class A-S 'AAAsf'; Outlook Stable; -- $28,281,000 Class B 'AA-sf'; Outlook Stable; -- $22,762,000 Class C 'A-sf'; Outlook Stable; -- $98,637,000a Class X-B 'A-sf'; Outlook Stable; -- $15,423,000b Class D 'BBB-sf'; Outlook Stable; -- $15,423,000ab Class X-D 'BBB-sf'; Outlook Stable; -- $10,788,000bc Class E-RR 'BB+sf'; Outlook Stable; -- $8,277,000bc Class F-RR 'BB-sf'; Outlook Stable; -- $9,657,000bc Class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: -- $22,763,059bc Class J-RR. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on Dec. 12, 2025, the following changes have occurred: -- The balances for A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$175,000,000, subject to a variance of plus or minus 5%. The final class balance for A-2 is $60,000,000. The initial aggregate certificate balance of the A-3 class was expected to be in the range of $203,869,000-$378,869,000, subject to a variance of plus or minus 5%. The final class balance for class A-3 is $318,869,000. -- There were no other material changes. The final ratings are based on information provided by the issuer as of Dec. 30, 2025. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 30 loans secured by 36 commercial properties with an aggregate principal balance of $551,814,060 as of the cutoff date. The loans were contributed to the trust by 3650 Capital SCF LOE I(A), LLC, Bank of Montreal, Zions Bancorporation N.A., BSPRT CMBS Finance, LLC, Greystone Commercial Mortgage Capital LLC, Citi Real Estate Funding Inc., Natixis Real Estate Capital LLC, and Societe Generale Financial Corporation. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, the special servicer is 3650 REIT Loan Servicing LLC, and the operating advisor is BellOak, LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 87.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $62.6 million represents a 13.8% decline from the issuer's aggregate underwritten NCF of $72.5 million. Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.2% is lower than the 2025 YTD five-year multiborrower transaction average of 100.8% but higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 11.4% is higher than the 2025 YTD and 2024 five-year multiborrower transaction averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than in other recent Fitch-rated transactions. The top 10 loans represent 64.2% of the pool, which is more concentrated than both the 2025 YTD and 2024 five-year multiborrower averages of 61.3% and 60.2%, respectively. The pool's effective loan count is 17.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 98.7% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is attributed mainly to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: One loan representing 7.3% of the pool by balance received investment-grade credit opinions. CityCenter (Aria & Vdara) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2025 YTD and 2024 five-year multiborrower transaction averages of 11.5% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 100.8% and 10.8%, respectively, compared with the equivalent five-year multiborrower 2025 YTD LTV and DY averages of 105.4% and 9.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'/'Bsf'/'NR'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'. CARLYLE US 2025-6: Fitch Rates Class E Debt 'BB-sf' --------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2025-6, Ltd. RATING ACTIONS Carlyle US CLO 2025-6, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2025-6, 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 23.46 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 97.75% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.6% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% 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-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, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E. CARLYLE US 2025-7: Fitch Gives 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2025-7, LTD. RATING ACTIONS Rating Prior ------ ----- Carlyle US CLO 2025-7, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Carlyle US CLO 2025-7, 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 23.47 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 97.8% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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 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-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. CARLYLE US 2025-7: Fitch Gives BB-(EXP) Rating to Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2025-7, Ltd. RATING ACTIONS Carlyle US CLO 2025-7, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Carlyle US CLO 2025-7, 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 23.47 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 97.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 '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-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. CBAMR 2020-12: Fitch Rates Class E-R2 Notes 'BB-sf' --------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CBAMR 2020-12, Ltd. reset transaction. RATING ACTIONS CBAMR 2020-12, Ltd. X LT NRsf New Rating A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Variable Dividend Notes LT NRsf New Rating TRANSACTION SUMMARY CBAMR 2020-12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CBAM CLO Management, LLC. Fitch did not rate the original transaction that closed in 2020 and first reset in 2021. This transaction will refinance on Dec. 30, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.07 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.17% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.73% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. CIFC FUNDING 2015-IV: Fitch Gives BB-(EXP) Rating on E-R3 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2015-IV, Ltd. reset transaction. RATING ACTIONS CIFC Funding 2015-IV, Ltd. A-1-R3 LT NR(EXP)sf Expected Rating A-2-R3 LT AAA(EXP)sf Expected Rating B-R3 LT AA(EXP)sf Expected Rating C-R3 LT A(EXP)sf Expected Rating D-1-R3 LT BBB-(EXP)sf Expected Rating D-2-R3 LT BBB-(EXP)sf Expected Rating E-R3 LT BB-(EXP)sf Expected Rating Transaction Summary CIFC Funding 2015-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC., which originally closed in 2015, had the first reset in 2019, followed by a second reset in 2021 and was rated by Fitch. On the third refinancing date, all the notes, except subordinated notes, will be refinanced in whole. Net proceeds from the issuance of the secured, along with the existing and additional 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. The weighted average rating factor (WARF) of the indicative portfolio is 22.85, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.07% 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1-R3, and between less than 'B-sf' and 'BB+sf' for class D-2-R3 and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-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-1-R3, 'A-sf' for class D-2-R3, and 'BBB+sf' for class E-R3. DRYDEN 120 CLO: Fitch Gives 'BB-sf' Rating to Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 120 CLO, Ltd. RATING ACTIONS Dryden 120 CLO, Ltd. X LT NRsf New Rating 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 Dryden 120 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 21.46 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 97.16% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.94% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may constitute up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs'. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2; between 'BB+sf' and 'A+sf' for class B; between 'B+sf' and 'BBB+sf' for class C; between less than 'B-sf' and 'BBB-sf' for class D-1; between less than 'B-sf' and 'BB+sf' for class D-2; between less than 'B-sf' and 'BB+sf' for class D-3; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, 'A-sf' for class D-3 and 'BBB+sf' for class E. ELRIDGE CLO 2025-2: Fitch Assigns BB+sf Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Eldridge CLO 2025-2, Ltd. RATING ACTIONS Eldridge CLO 2025-2, Ltd. A-1 LT NRsf New Rating A-1A LT NRsf New Rating A-1B LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Eldridge CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Eldridge Capital Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 75.21%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. FLATIRON CLO 13: Fitch Gives 'B-sf' Rating on Class F Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 31 Ltd. RATING ACTIONS Flatiron CLO 31 Ltd. X LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating TRANSACTION SUMMARY Flatiron CLO 31 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 22.75 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.95% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.48% 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E and between less than 'B-sf' and 'Bsf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, 'BBB+sf' for class E and 'BBB-sf' for class F. GARNET CLO 4: Fitch Gives BB-sf Rating on Class E Notes ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Garnet CLO 4, Ltd. RATING ACTIONS Garnet CLO 4, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating TRANSACTION SUMMARY Garnet CLO 4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Garnet Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 98.4% first lien senior secured loans and has a weighted average recovery assumption of 74.9%. 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. GS MORTGAGE 2014-GC26: Moody's Cuts Rating on 2 Tranches to Ba1 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on four classes in GS Mortgage Securities Trust 2014-GC26, Commercial Mortgage Pass-Through Certificates, Series 2014-GC26 as follows: Issuer: GS Mortgage Securities Trust 2014-GC26 Cl. B, Downgraded to Ba1 (sf); previously on Mar 5, 2025 Downgraded to Baa2 (sf) Cl. C, Downgraded to B3 (sf); previously on Mar 5, 2025 Downgraded to B1 (sf) Cl. X-B*, Downgraded to Ba1 (sf); previously on Mar 5, 2025 Downgraded to Baa2 (sf) Cl. PEZ, Downgraded to B1 (sf); previously on Mar 5, 2025 Downgraded to Ba1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were downgraded primarily due to the potential for higher losses and interest shortfall risks driven by the significant exposure to special serviced and troubled loans. Four loans, representing 73% of the pooled certificate balance, are in special servicing and the two largest loans, Queen Ka'ahumanu (33% of the pool) and 1201 North Market Street (30% of the pool) are already real estate owned (REO) and have been deemed non-recoverable by the master servicer. As a result of the specially serviced and non-recoverable loan exposure, Cl. C has not received any interest proceeds since the December 2024 remittance date. Furthermore, the sole performing loan, the 5599 San Felipe loan (29% of the pool), has significant tenant concentration risk and was previously modified and extended through November 2027. As of the December 2025 remittance, all loans have now passed their original maturity dates and given the higher interest rate environment and loan performance, Moody's do not anticipate significant near-term loan paydowns. Cl. B did not have any interest shortfalls as of the December 2025 remittance date, however, it was previously shorted interest payments between December 2024 and April 2025 and if the 5599 San Felipe loan were to default, Cl. B would likely be at heightened risk of ongoing interest shortfalls. The rating on the IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its referenced exchangeable classes and principal paydowns of higher quality reference classes. Cl. PEZ originally referred to Cl. A-S, B and C, however, Cl. A-S has paid off in full, and Cl. B has paid down 14% from its original balance. Moody's rating action reflects a base expected loss of 59.7% of the current pooled loan balance, compared to 58.1% at Moody's last review. Moody's base expected loss plus realized losses is 14.3% of the original pooled balance, which is same as 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 all the remaining loans are either in special servicing or have been identified as a troubled loan. In this approach, Moody's determines 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 and troubled loan to the most junior classes 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 December 2025 distribution date, the transaction's aggregate certificate balance has decreased by 80% to $247.5 million from $1.26 billion at securitization. The certificates are collateralized by five mortgage loans, all of which have now passed their original maturity dates and four loans, constituting 73% of the pooled certificate balance, are currently in special servicing. Six loans have been liquidated from the pool, contributing to an aggregate realized loss of $28.9 million. A portion of the losses have also resulted from servicer reimbursements of prior advances. The two largest specially serviced loans, 62% of the certificate balance, have previously been deemed non-recoverable by the master servicer. As of the December 2025 remittance statement cumulative interest shortfalls were $18.0 million. 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 largest specially serviced loan is the Queen Ka'ahumanu Center Loan ($81.1 million – 33% of the certificate balance), which is secured by the borrowers' fee simple interest in a 507,904 square foot (SF) regional mall located on the island of Maui in Kahului, Hawaii. The mall features an open-air design and is the only regional mall in Maui. The property's net operating income (NOI) had been declining since 2016 due to both declining rental revenue and rising expenses. As of September 2025, the property was 78% leased, with 54% occupied by permanent tenants and 24% by temporary tenants. The loan has been in special servicing since June 2020 and became REO in June 2022. An updated appraised value from May 2025 represented a 67% decline from its value at securitization and was 51% below the outstanding loan amount and the loan has been deemed non-recoverable by the master servicer. As of the December 2025 remittance, the loan was last paid through December 2022 and has amortized 8.3% since securitization. The second largest specially serviced loan is the 1201 North Market Street Loan ($73.3 million – 30% of the pool), which is secured by a 23-story, 447,440 SF office building located in Wilmington, Delaware. The property's performance has declined since securitization due to decreased rental revenue and increased expenses. As of June 2025, the property was 73% leased, compared to 71% in December 2023 and 73% in December 2012. The loan transferred to special servicing in November 2024 after failing to pay off at its original maturity date and the loan became REO in November 2025. An updated appraised value from March 2025 represented a 64% decline from the value at securitization and was 39% below the outstanding loan balance. The loan was last paid through October 2025 and has been deemed non-recoverable by the master servicer. The third largest specially serviced loan is the Bank of America Plaza Loan ($23.3 million – 9% 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 September 2025, down from 86% in December 2023 and 90% at securitization. A January 2025 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 well above 1.00X as of September 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. The loan sponsor is Brookfield Office Properties Inc. and the guarantor of certain non-recourse 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 remaining specially serviced loan is secured by a retail property located in Pontiac, Minnesota, which makes up 1% of the pool and has now passed its original maturity date. Moody's have also assumed a high default probability for the sole poorly performing loan, the 5599 San Felipe Loan ($71.2 million – 29% of the pool). The loan is secured by a 20-story, 436,253 SF, Class A office building located in Houston, Texas. The loan transferred to special servicing in October 2024 and failed to pay off at its original maturity date, but was subsequently returned to master servicer in February 2025 after a loan modification was executed with new maturity date of November 2027. Based on the servicer commentary, the borrower was unable to refinance primarily due to near term lease expiration of the largest tenant, Schlumberger Technology Corp. (72% of NRA, July 2027 lease expiration), which already subleases nearly 60% of its space. The loan has amortized by 11.0% and remains current on debt service payments based on the modified terms. Given the tenant concentration, the loan may face increased refinance risk at its extended maturity date. Moody's estimates an aggregate $150.1 million loss for the specially serviced loans (60% expected loss on average) for the remaining loans in the pool. GS MORTGAGE 2025-PJ11: Fitch Gives 'B-sf' Rating to Class B5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the notes issued by GS Mortgage-Backed Securities Trust 2025-PJ11 (GSMBS 2025-PJ11). RATING ACTIONS GSMBS 2025-PJ11 Rating Prior ------ ----- A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A30 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf AX2 LT AAAsf New Rating AAA(EXP)sf AX3 LT AAAsf New Rating AAA(EXP)sf AX4 LT AAAsf New Rating AAA(EXP)sf AX5 LT AAAsf New Rating AAA(EXP)sf AX6 LT AAAsf New Rating AAA(EXP)sf AX7 LT AAAsf New Rating AAA(EXP)sf AX8 LT AAAsf New Rating AAA(EXP)sf AX9 LT AAAsf New Rating AAA(EXP)sf AX10 LT AAAsf New Rating AAA(EXP)sf AX11 LT AAAsf New Rating AAA(EXP)sf AX12 LT AAAsf New Rating AAA(EXP)sf AX13 LT AAAsf New Rating AAA(EXP)sf AX14 LT AAAsf New Rating AAA(EXP)sf AX15 LT AAAsf New Rating AAA(EXP)sf AX16 LT AAAsf New Rating AAA(EXP)sf AX17 LT AAAsf New Rating AAA(EXP)sf AX18 LT AAAsf New Rating AAA(EXP)sf AX19 LT AAAsf New Rating AAA(EXP)sf AX20 LT AAAsf New Rating AAA(EXP)sf AX21 LT AAAsf New Rating AAA(EXP)sf AX22 LT AAAsf New Rating AAA(EXP)sf AX23 LT AAAsf New Rating AAA(EXP)sf AX24 LT AAAsf New Rating AAA(EXP)sf AX25 LT AAAsf New Rating AAA(EXP)sf AX27 LT AAAsf New Rating AAA(EXP)sf AX28 LT AAAsf New Rating AAA(EXP)sf AX29 LT AAAsf New Rating AAA(EXP)sf AX30 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf BX1 LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf BX2 LT Asf New Rating A(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The classes are supported by 316 prime loans with a total balance of approximately $359.7 million as of the cut-off date. 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. GSMBS 2025-PJ11 has a Final PD of 10.5% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 34.6%. The expected loss in the 'AAAsf' rating stress is 3.6%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in GSMBS 2025-PJ11 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies an approximate 5% PD reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2025-PJ11 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2025-PJ11 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. HARVEST US 2025-3: Fitch Affirms BB-sf Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2025-3 Ltd. RATING ACTIONS Harvest US CLO 2025-3 Ltd. A-1 Loans LT NRsf New Rating A-1 Notes 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-3A LT BBB-sf New Rating D-3B LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Harvest US CLO 2025-3 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 22.49, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.38% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.86% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, 'A-sf' for class D-3, and 'BBB+sf' for class E. HOME PARTNERS 2021-2: DBRS Confirms B Rating on Class G Certs ------------------------------------------------------------- DBRS, Inc. reviewed 58 classes from nine U.S. single-family rental transactions. Of the 58 classes reviewed, Morningstar DBRS confirmed 27 credit ratings and upgraded 31 credit ratings as follows: AMSR 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (high) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to AA (low) (sf) from A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 upgraded to A (sf) from BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 upgraded to BBB (high) (sf) from BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F upgraded to BBB (sf) from BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G upgraded to BB (sf) from B (low) (sf) AMSR 2022-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to AA (high) (sf) from AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 upgraded to A (sf) from BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 upgraded to BBB (high) (sf) from BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F upgraded to BB (high) (sf) from BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G upgraded to B (high) (sf) from B (low) (sf) AMSR 2022-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at B (low) (sf) Home Partners of America 2019-1 Trust -- HPA 2019-1, Class A confirmed at AAA (sf) -- HPA 2019-1, Class B confirmed at AAA (sf) -- HPA 2019-1, Class C confirmed at AA (high) (sf) -- HPA 2019-1, Class D confirmed at A (high) (sf) -- HPA 2019-1, Class E confirmed at BBB (sf) -- HPA 2019-1, Class F confirmed at BBB (low) (sf) Home Partners of America 2019-2 Trust -- HPA 2019-2, Class A confirmed at AAA (sf) -- HPA 2019-2, Class B confirmed at AAA (sf) -- HPA 2019-2, Class C confirmed at AAA (sf) -- HPA 2019-2, Class D upgraded to AAA (sf) from AA (sf) -- HPA 2019-2, Class E upgraded to A (low) (sf) from BBB (sf) -- HPA 2019-2, Class F upgraded to BBB (low) (sf) from BB (sf) Home Partners of America 2020-2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (high) (sf) from A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E upgraded to A (low) (sf) from BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class F upgraded to BB (high) (sf) from BB (low) (sf) Home Partners of America 2021-1 Trust -- Single-Family Rental Pass-Through Certificate A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate B upgraded to AA (high) (sf) from AA (low) (sf) -- Single-Family Rental Pass-Through Certificate C upgraded to A (high) (sf) from A (low) (sf) -- Single-Family Rental Pass-Through Certificate D upgraded to BBB (high) (sf) from BBB (sf) -- Single-Family Rental Pass-Through Certificate E confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate F confirmed at BB (sf) Home Partners of America 2021-2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (high) (sf) from AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (sf) from A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 upgraded to BBB (high) (sf) from BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (sf) Home Partners of America 2022-1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (sf) from A (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (high) (sf) from BBB (high) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-LTV3: Fitch Gives 'B-sf' Rating on Class B2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2025-LTV3 (JPMMT 2025-LTV3). RATING ACTIONS Rating Prior ------ ------ JPMMT 2025-LTV3 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 351 loans with a scheduled balance of $362.30 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) originated mainly by United Wholesale Mortgage, LLC. and aggregated by Maxex Clearing, LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. Most of the mortgage loans in the pool will be serviced by Nationstar Mortgage LLC, doing business as Rushmore Servicing and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Nationstar is the master servicer. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years; 79.67% of the loans are purchases; over 90% of the loans are single family/PUDs; and all the loans are owner occupied or second homes. The loans are seasoned at an average of four months. The pool has a weighted average (WA) original FICO score of 753, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 86.14%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 93.58%. This transaction has a Final PD of 24.71% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 44.72%. The expected loss in the 'AAAsf' rating stress is 11.05%. Structural Analysis (Mixed): Modified Sequential Structure with Full Advancing The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. If a cumulative loss trigger event or a delinquency (DQ) trigger occurs in a given period, principal will be distributed first to the class A-1A and A-1B notes, then to A-2 and A-3 notes reduced to zero. After full repayment of the A classes, principal pays first to M-1, then to B-1, then to B-2 and B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest paid first, prior to principal. The interest waterfall is sequential, with the class A notes receiving current interest and unpaid interest first. Both of these features support timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in January 2030, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of the applicable fixed rate plus 1.000% and the net weighted average coupon (WAC) rate. In addition, on any payment date occurring on or after the payment date in January 2030, on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to the class B-3 notes in both the interest and principal waterfalls. This feature supports timely interest payment at the step-up coupon rate for the 'AAAsf' notes under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' classes and to ultimate interest for other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. The servicers will provide full advancing for the life of the transaction. Each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Operational Risk Analysis (Positive) Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either A or B. Counterparty and Legal Analysis (Neutral) Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the transaction's performance. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2025-LTV3 to be fully de-linked and the transaction structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral) 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 JPMMT 2025-LTV3 and, therefore, Fitch rates to the highest possible rating at 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the sMVD in the 'Bsf' case, which is 8.15%. The analysis indicates there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. JP MORGAN 2025-LTV3: Fitch Rates Class B2 Notes 'B-sf' ------------------------------------------------------ Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2025-LTV3 (JPMMT 2025-LTV3). RATING ACTIONS Rating Prior ------ ----- JPMMT 2025-LTV3 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 351 loans with a scheduled balance of $362.30 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) originated mainly by United Wholesale Mortgage, LLC. and aggregated by Maxex Clearing, LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. Most of the mortgage loans in the pool will be serviced by Nationstar Mortgage LLC, doing business as Rushmore Servicing and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Nationstar is the master servicer. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years; 79.67% of the loans are purchases; over 90% of the loans are single family/PUDs; and all the loans are owner occupied or second homes. The loans are seasoned at an average of four months. The pool has a weighted average (WA) original FICO score of 753, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 86.14%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 93.58%. This transaction has a Final PD of 24.71% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 44.72%. The expected loss in the 'AAAsf' rating stress is 11.05%. Structural Analysis (Mixed): Modified Sequential Structure with Full Advancing The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. If a cumulative loss trigger event or a delinquency (DQ) trigger occurs in a given period, principal will be distributed first to the class A-1A and A-1B notes, then to A-2 and A-3 notes reduced to zero. After full repayment of the A classes, principal pays first to M-1, then to B-1, then to B-2 and B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest paid first, prior to principal. The interest waterfall is sequential, with the class A notes receiving current interest and unpaid interest first. Both of these features support timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in January 2030, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of the applicable fixed rate plus 1.000% and the net weighted average coupon (WAC) rate. In addition, on any payment date occurring on or after the payment date in January 2030, on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to the class B-3 notes in both the interest and principal waterfalls. This feature supports timely interest payment at the step-up coupon rate for the 'AAAsf' notes under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' classes and to ultimate interest for other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. The servicers will provide full advancing for the life of the transaction. Each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Operational Risk Analysis (Positive) Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either A or B. Counterparty and Legal Analysis (Neutral) Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the transaction's performance. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2025-LTV3 to be fully de-linked and the transaction structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral) 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 JPMMT 2025-LTV3 and, therefore, Fitch rates to the highest possible rating at 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the sMVD in the 'Bsf' case, which is 8.15%. The analysis indicates there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. KKR CLO 44: Fitch Gives 'BB-sf' Rating to Class E-R Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 44 Ltd. reset transaction. RATING ACTIONS Rating Prior ------ ----- KKR CLO 44 Ltd. X LT AAAsf New Rating A-1 481950AA1 LT PIFsf Paid In Full AAAsf A-LR LT AAAsf New Rating A-2R LT AAAsf New Rating B 481950AE3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 481950AG8 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 481950AJ2 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 497916AA4 LT PIFsf Paid In Full BBsf E-R LT BB-sf New Rating TRANSACTION SUMMARY KKR CLO 44 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC. The deal originally closed in December 2023 and all secured notes will be refinanced on Dec. 29, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.57 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-LR, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-LR and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. MADISON PARK LXXV: Fitch Gives BB+sf Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXXV, Ltd. RATING ACTIONS Rating Prior ------ ----- Madison Park Funding LXXV, 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 F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Madison Park Funding LXXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. Fitch did not change the ratings for the 'AAsf' and 'Asf' classes, even though the model-implied rating (MIR) is now one notch higher for both. The portfolio rating distribution has changed little since Fitch assigned the expected ratings, and these changes do not materially affect the ratings. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.52% first-lien senior secured loans and has a weighted average recovery assumption of 73.93%. 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 WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. MAGNETITE XXXV: Fitch Gives 'BBsf' Rating to Class E-RR Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XXXV, Limited reset transaction. RATING ACTIONS Magnetite XXXV, Limited X-RR LT NRsf New Rating A-1-RR LT NRsf New Rating A-2-RR LT AAAsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-RR LT BBB-sf New Rating E-RR LT BBsf New Rating F-RR LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Magnetite XXXV, Limited is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. 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 97.19% first lien senior secured loans and has a weighted average recovery assumption of 74.81%. 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'Bsf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR 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-RR, 'AAsf' for class C-RR, 'Asf' for class D-RR, and 'BBB+sf' for class E-RR. MAIN TRUST 2026-OLAS: 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 2026-OLAS (the Certificates) to be issued by MAIN Trust 2026-OLAS (MAIN 2026-OLAS, or 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 collateral for the Trust single-asset/single-borrower transaction is the borrower's leasehold interest in The Main Las Olas (The Main), a 25-story, 385,761-square-foot (sf) office building on Las Olas Boulevard in downtown Fort Lauderdale, Florida. The Main is the newest office tower in the area. The property was delivered in 2020 and is currently 100.0% leased, reaching this milestone just two years after its construction. There are 33 unique tenants at The Main with a weighted-average lease term of 6.9 years, including six investment-grade tenants. The Main is on Las Olas Boulevard between Southeast 2nd Avenue and 3rd Avenue in downtown Fort Lauderdale. The building is part of a large mixed-use development and shares a parking garage with the adjacent NOVO apartment building, which is also owned by the sponsor and has a Publix grocery store on the ground floor. The Main's ground floor also contains retail space, highlighted by two restaurants, Fogo de Chão and Moxies, with frontage on Las Olas Boulevard. The remaining retail space is on Southeast 3rd Avenue and consists of a Synovus Bank branch and The Tox, a spa. The Main has a sleek glass exterior, with office space featuring 12-foot high ceilings and floor-to-ceiling windows. The building is LEED Gold certified and features a large tenant amenity center on the 10th floor with outdoor terraces, a gym, a conference center, and multiple lounge areas. These modern finishes and amenities make The Main the premier destination for office tenants in the Fort Lauderdale central business district. The sponsors of the transaction are Stiles Corporation (Stiles) and Shorenstein Investment Advisers LLC (Shorenstein), which developed the property. Stiles is a full-service real estate firm founded in 1951 that has extensive experience in the Fort Lauderdale market, having developed several nearby office towers and currently managing more than 1.5 million sf in Fort Lauderdale and the surrounding area. Shorenstein is an experienced real estate operator with more than 100 years of experience. Shorenstein currently manages $6.8B of office assets and 17.3MM SF of office space. Overall, Morningstar DBRS has a favorable view of the collateral's credit characteristics given its new vintage, strong occupancy with minimal rollover during the loan term, tenant amenities, and desirable location on Las Olas Boulevard. The Main is poised to withstand the issues facing office properties as a result of the rise of remote and hybrid work as premier companies look to lease space at the highest-quality office properties on the market. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-RPL2: Fitch Gives 'Bsf' Rating on B2 Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-RPL2, series 2025-RPL2 (MSRM 2025-RPL2). The transaction is expected to close on Dec. 30, 2025. RATING ACTIONS MSRM 2025-RPL2 A1 LT AAAsf New Ra ting A2 LT AAsf New Rating A3 LT AAsf New Rating A4 LT Asf New Rating A5 LT BBBsf New Rating M1 LT Asf New Rating M2 LT BBBsf New Rating B1 LT BBsf New Rating B2 LT Bsf New Rating B3 LT NRsf New Rating B4 LT NRsf New Rating B5 LT NRsf New Rating B LT NRsf New Rating AIO LT NRsf New Rating RPT LT NRsf New Rating PT LT NRsf New Rating SA LT NRsf New Rating TRANSACTION SUMMARY The notes are secured by a pool of 1,389 re-performing and performing, fixed-rate, adjustable-rate and step-rate, seasoned, fully-amortizing and interest-only mortgage loans primarily secured by first liens on one- to four-family residential properties, units in planned unit developments, condominiums, townhouses and manufactured housing. As of the cutoff date, the total balance of the pool was $264,616,238. In the pool, 100% of the loans are seasoned over 12 months, with the weighted average (WA) loan age being 182. The balances on the loans range from $656 to $1,912,314, with the average balance being $190,508. 80.10% of the loans are current as of the cutoff date. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although ARM loans are in the pool. The A-1 class coupon is based on the lower of a fixed rate and the net WAC and the coupons on the A-2, M-1, M-2, B-1, B-2, B-3, B-4, and B-5 notes are based on the net WAC. KEY RATING DRIVERS Credit Risk of Credit Quality of Reperforming Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have credit profiles consistent with reperforming loans with a WA updated FICO score of 608 and original credit score of 689 as determined by Fitch. The borrowers also have moderate leverage, with a combined updated loan-to-value (CLTV) ratio, as determined by Fitch, of 54.21%, and an original CLTV of 81.75%, translating to a Fitch-calculated sustainable loan-to-value (sLTV) ratio of 60.98%. All the loans in the pools are reperforming loans, with 79.50% having been modified. Fitch considered 51.27% to be fully documented and the remaining 44.27% to be no documentation loans, 1.41% to be bank statement, and 3.04% to be DSCR loans. MSRM 2025-RPL2 has a Final PD of 73.90% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 30.61%. The expected loss in the 'AAAsf' rating stress is 22.62%. Structural Analysis (Mixed): Sequential Payment Structure with No Advancing of Delinquent Principal and Interest The transaction utilizes a sequential payment structure with no advancing of delinquent principal and interest (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 waterfall prioritize the payment of interest to the A-1, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and to ultimate interest for 'AAsf' to 'Bsf' category rated classes. The class A-1 notes have a coupon based on a fixed rate that is capped at the net WA coupon (WAC). The class A-2, M-1, M-2, B-1, B-2, B-3, B-4, and B-5 notes have a coupon based on the net WAC. Losses are allocated to classes reverse sequentially starting with class B-5. Classes will not be written down if the transaction is undercollateralized. 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 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 with 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 scratch and dent transactions credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and bankruptcy remote special-purpose vehicle. 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 MSRM 2025-RPL2. Therefore, Fitch is comfortable assigning the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.08% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined 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. NYC COMMERCIAL 2025-77C: Fitch Gives Bsf Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to NYC Commercial Mortgage Trust 2025-77C, Commercial Mortgage Pass-Through Certificates, Series 2025-77C. -- $219,000,000 Class A 'AAAsf'; Outlook Stable; -- $35,600,000 Class B 'AA-sf'; Outlook Stable; -- $27,900,000 Class C 'A-sf'; Outlook Stable; -- $39,400,000 Class D 'BBB-sf'; Outlook Stable; -- $60,300,000 Class E 'BB-sf'; Outlook Stable; -- $22,800,000a Class HRR 'Bsf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The NYC Commercial Mortgage Trust 2025-77C Commercial Mortgage Pass-Through Certificates, Series 2025-77C (NYC Commercial Mortgage Trust 2025-77C), represent the beneficial interest in a $405 million, five-year, fixed-rate IO commercial mortgage loan. The mortgage loan will be secured by the borrowers' fee simple and leasehold interests in 77 Commercial Street, a 766-unit, newly built, Class A high-rise apartment property in Brooklyn, NY with 10,175 sf of ground floor retail space and 283 onsite parking spaces. Loan proceeds, along with $45.0 million of mezzanine debt, were used to refinance the prior $430.0 million mortgage, pay closing costs of $3.75 million, fund a $1.8 million unfunded obligations reserve (free rent, partial rent credit and outstanding tenant improvement and leasing costs [TI/LC] in connection with the Goddard School lease) and return $16.2 million of cash equity to the sponsor, Clipper Equity LLC and its affiliates. The loan was co-originated by J.P. Morgan and Citi Real Estate Funding Inc. KeyBank National Association acts as servicer, with Situs Holdings, LLC as special servicer. Deutsche Bank National Trust Company serves as trustee and Computershare Trust Company, National Association serves as certificate administrator. Pentalpha Surveillance LLC serves as operating advisor. The certificates follow a sequential-pay structure. The transaction closed on Dec. 23, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $28.5 million. This is 7.2% lower than the issuer's underwritten NCF and 13.3% higher than TTM October 2025 NCF. The property began leasing in September 2022, received its final temporary certificate of occupancy (TCO) in May 2023, and reached stabilization in 2024. The property was 93.0% leased as of the Nov. 19, 2025 rent roll. Fitch applied a 7.5% cap rate to derive a Fitch value of $380.9 million for the property. High Fitch Leverage: The $405.0 million trust loan equates to debt of approximately $528,721 per unit, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and debt yield (DY) of 0.83x, 106.3%, and 7.1% respectively. Strong Property Quality: 77 Commercial Street was constructed and completed in 2023. It comprises the North Tower (40 stories/293 units), the South Tower (30 stories/233 units), the Podium (seven stories/240 units), approximately 40,000 sf of indoor and outdoor amenities, 10,175 sf of commercial space and a 283-space parking garage that is currently leased to a third-party operator, Icon Parking. The property offers a variety of indoor and outdoor amenities, including an indoor swimming pool, a fitness center, a sauna, a tennis court, a half basketball court, a game room, a large rooftop patio with an outdoor kitchen and barbecue area, and a children's playroom. Fitch inspected the property and assigned a property quality grade of 'A-'. Experienced Sponsorship: Clipper Equity, a full-service development firm, specializes in residential condominiums and multifamily rental buildings throughout New York's Brooklyn and Manhattan metro areas. The firm manages an active portfolio of more than 60 properties totaling approximately 3.3 million sf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BB-sf'/ 'Bsf'; -- 10% NCF Decline: 'AAsf'/ 'BBB+sf'/ 'BBB-sf'/ 'BBsf'/'Bsf'/ 'CCC+sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BB-sf'/'Bsf'; -- 10% NCF Increase: 'AAAsf'/ 'AA+sf'/ 'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'. OCTAGON INVESTMENT XVI: S&P Cuts Cl. E-R Notes Rating to 'B- (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class B-R and C-R debt from Octagon Investment Partners XVI Ltd. S&P removed the rating on class C-R debt from CreditWatch where S&P had placed it with positive implications on Oct. 10, 2025. At the same time, S&P lowered its ratings on the class E-R and F-R debt and removed them from CreditWatch where S&P had placed them with negative implications. S&P also affirmed its ratings on the class A-1-R and D-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the November 2025 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced increase in par loss and decline in credit quality (which decreased the junior credit support). The transaction has made $175.94 million in paydowns to the class A-1-R debt since our Aug. 27, 2024, rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the June 2024 trustee report, which S&P had used for its August 2024 rating actions: -- The class A/B O/C ratio increased to 173.70% from 128.47%. -- The class C O/C ratio increased to 139.52% from 118.52%. -- The class D O/C ratio increased to 116.59% from 109.99%. -- The class E O/C ratio increased to 105.07% from 104.96%. -- All O/C ratios improved, driven by lower senior debt balances, which, in turn, increased credit support Although overcollateralization (O/C) metrics have strengthened and paydowns have helped the senior classes, cumulative par losses, over time, have tempered the benefit to the more junior-rated classes, resulting in only a modest increase in credit enhancement. Additionally, the collateral portfolio credit quality has decreased since S&P's last rating actions and is now more concentrated. As a result, even though the trustee report indicates that dollar value of the collateral obligations with the ratings in the 'CCC' category has declined, their exposure as a percentage of the portfolio now stands at 8.37%, vs. 7.32% in the last rating action. The upgraded rating reflects the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels. The lowered ratings for the class E-R and F-R debt reflect the decrease in their credit support levels at their respective prior ratings. S&P said, "Although the cash flow results pointed to a lower rating for the class F-R debt, we limited the downgrade to three notches as there is no virtual certainty of default on the notes. Similarly, the cash flow results pointed to a lower rating for the class E-R debt and we limited the downgrade to two notches as we feel this tranche is not currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus does not meet our definition of 'CCC' risk. "On a standalone basis, our cash flow analysis indicates the potential for higher ratings for the class D-R debt. However, we believe that their subordinated position may result in a greater likelihood of rating migration than that of more senior classes in the event of portfolio volatility. We also considered the transaction's higher exposure to 'CCC' collateral obligations, as well as to some assets with low market values. Our rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that considered these exposures. "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 debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Raised And Removed From CreditWatch Octagon Investment Partners XVI Ltd./ Octagon Investment Partners XVI LLC Class C-R to 'AA+ (sf)' from 'A (sf)/Watch Pos' Rating Raised Octagon Investment Partners XVI Ltd./ Octagon Investment Partners XVI LLC Class B-R to 'AAA (sf)' from 'AA+ (sf)' Ratings Lowered And Removed From CreditWatch Octagon Investment Partners XVI Ltd./ Octagon Investment Partners XVI LLC Class E-R to 'B- (sf)' from 'B+ (sf)/Watch Neg' Class F-R to 'CCC- (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners XVI Ltd./ Octagon Investment Partners XVI LLC Class A-1-R: AAA (sf) Class D-R: BBB- (sf) Not Rated Octagon Investment Partners XVI Ltd./ Octagon Investment Partners XVI LLC Class A-2-R: Not Rated ORION CLO 2023-2: Fitch Gives BB-sf Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Orion CLO 2023-2 Ltd. reset transaction. RATING ACTIONS Orion CLO 2023-2 Ltd. A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating D-3-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Orion CLO 2023-2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Antares Liquid Credit Strategies LLC that originally closed in December 2023. This is the first refinancing where the existing secured notes will be refinanced in whole. 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.21, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.13% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% 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 3.1-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 'A-sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, between less than 'B-sf' and 'BB+sf' for class D-3-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'A-sf' for class D-3-R and 'BBB+sf' for class E-R. PARK BLUE 2025-X: Fitch Gives 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Park Blue CLO 2025-X, Ltd. RATING ACTIONS Park Blue CLO 2025-X, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Park Blue CLO 2025-X, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Partners, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 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 98.94% first lien senior secured loans and has a weighted average recovery assumption of 74.13%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. PFP 2026-13: Fitch Gives 'B-(EXP)' Rating to Class G Debt --------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to PFP 2026-13, Ltd as follows: -- $696,000,000a class A 'AAA(EXP)sf'; Outlook Stable; -- $156,000,000a class A-S 'AAA(EXP)sf'; Outlook Stable; -- $82,500,000a class B 'AA-(EXP)sf'; Outlook Stable; -- $64,500,000a class C 'A-(EXP)sf'; Outlook Stable; -- $39,000,000a class D 'BBB(EXP)sf'; Outlook Stable; -- $18,000,000a class E 'BBB-(EXP)sf'; Outlook Stable; -- $33,000,000 class F 'BB-(EXP)sf'; Outlook Stable; -- $21,000,000 class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $90,000,000b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 7.500% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,039,656,823 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 6, 2026. TRANSACTION SUMMARY The certificates represent the beneficial interests in the trust, the primary assets of which are 33 loans secured by 39 commercial properties having an aggregate principal balance of $1,089,082,582 as of the cutoff date, including one delayed-closed collateral interest totaling $26.5 million that is expected to close within 180 days after the closing date. The pool also includes ramp-up collateral interest of $110.9 million. The ramp period lasts for six months from settlement, and the reinvestment period lasts for 30 months from settlement. The pool does not include $72.5 million of expected future funding. The loans were contributed to the trust by PFP 2026-13 Depositor, LLC. The servicer is expected to be Trimont LLC, and the special servicer is expected to be Prime Finance Special Servicing, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (82.8% by balance). Fitch's resulting aggregate net cash flow (NCF) of $25.9 million represents a 10.8% decline from the issuer's aggregate underwritten NCF of $29.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 136.5% is lower than both the 2025 and 2024 CRE CLO averages of 140.5% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.4% is in line with both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool's diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 46.4% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages of 61.2% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 27.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool comprises 97.1% partial IO loans, based on fully extended loan terms. This is better than both the 2025 and 2024 CRE CLO averages of 26.3% and 43.2%, respectively. As a result, the pool is expected to have 2.2% principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' /'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'AA-' level (class B) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. PROGRESS RESIDENTIAL R2026-SFR1: DBRS Gives (P)BB on Class F1 Certs ------------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2026-SFR1 Trust (PROG 2026-SFR1): -- $231.9 million Class A at (P) AAA (sf) -- $47.9 million Class B at (P) AA (low) (sf) -- $27.0 million Class C at (P) A (low) (sf) -- $40.5 million Class D at (P) BBB (sf) -- $24.5 million Class E at (P) BBB (low) (sf) -- $30.7 million Class F1 at (P) BB (sf) -- $14.7 million Class F2 at (P) BB (low) (sf) -- $24.5 million Class G at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A certificates reflects 52.51% of credit enhancement provided by subordinate certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 42.71%, 37.19%, 28.89%, 23.87%, 17.59%, 14.57%, and 9.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2026-SFR1 certificates are supported by the income streams and values from 1,634 rental properties. The properties are distributed across seven states and 22 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 70.0% of the portfolio is concentrated in three states: Georgia (33.2%), Florida (21.4%), and Tennessee (15.4%). The average BPO value is $300,376. The average age of the properties is roughly 36 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $488.4 million. Morningstar DBRS assigned the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS assigned provisional credit ratings to each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria (for more details, see https://dbrs.morningstar.com). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The provisional credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. (For more details, see the related presale report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section of the presale report). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the presale report.) Notes: All figures are in U.S. dollars unless otherwise noted. REGATTA XXII: Fitch Gives 'BBsf' Rating on Class E-R2 Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXII Funding Ltd. reset transaction. RATING ACTIONS Rating Prior ------ ----- Regatta XXII Funding Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R 758968AS0 LT PIFsf Paid In Full A+sf C-R2 LT Asf New Rating D-1-R2 LT BBB+sf New Rating D-2-R2 LT BBB-sf New Rating D-3-R2 LT BBB-sf New Rating D-R 758968AU5 LT PIFsf Paid In Full BBB+sf E-R2 LT BB-sf New Rating TRANSACTION SUMMARY Regatta XXII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Napier Park Global Capital (US) LP. The CLO originally closed in June 2022 and was refinanced in October 2024. The existing secured notes will be refinanced in whole on Dec. 30, 2025. Net proceeds from the issuance of the refinancing notes and the existing 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. The weighted average rating factor (WARF) of the indicative portfolio is 23.11 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 97.94% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.98% 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 other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, between less than 'B-sf' and 'BB+sf' for class D-3-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, 'A+sf' for class D-2-R2, 'A-sf' for class D-3-R2, and 'BBB+sf' for class E-R2. ROCKFORD TOWER 2025-3: Fitch Gives BB-sf Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower CLO 2025-3, Ltd. RATING ACTIONS Rockford Tower CLO 2025-3, 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Rockford Tower 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Rockford Tower Capital Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.54 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.11% 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'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 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBBsf' for class E. SEQUOIA MORTGAGE 2026-1: Fitch Gives B(EXP) Rating to Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-1 (SEMT 2026-1). RATING ACTIONS SEMT 2026-1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 546 loans with a total balance of approximately $672.10 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 777 and 35.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.8% mark-to-market combined LTV (cLTV). Overall, 95.1% of the pool loans are for primary residences, while the remainder are second homes. Additionally, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-1 has a final probability of default (PD) of 9.35% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.07%. The expected loss in the 'AAAsf' rating stress is 3.28%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or 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 97.8% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-1, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.3% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. SEQUOIA MORTGAGE: Fitch Gives B(EXP)sf Rating to Class B5 Certs --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-INV1 (SEMT 2026-INV1). RATING ACTIONS SEMT 2026-INV1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AA+(EXP)sf Expected Rating A20 LT AA+(EXP)sf Expected Rating A21 LT AA+(EXP)sf Expected Rating A22 LT AA+(EXP)sf Expected Rating A23 LT AA+(EXP)sf Expected Rating A24 LT AA+(EXP)sf Expected Rating A25 LT AA+(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating AIO1 LT AA+(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AA+(EXP)sf Expected Rating AIO21 LT AA+(EXP)sf Expected Rating AIO22 LT AA+(EXP)sf Expected Rating AIO23 LT AA+(EXP)sf Expected Rating AIO24 LT AA+(EXP)sf Expected Rating AIO25 LT AA+(EXP)sf Expected Rating AIO26 LT AA+(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO33 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary SEMT 2026-INV1 is the first deal this year under the Redwood shelf that features collateral that is almost entirely comprised of investor and second-home occupancy. The certificates are supported by 1,191 loans with a total balance of approximately $569.98 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 771 and a 35.4% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 65.2% mark-to-market combined LTV (cLTV). Overall, 99.9% of the pool loans are investor or second home. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-INV1 has a final probability of default (PD) of 15.4% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 39.6%. The expected loss in the 'AAAsf' rating stress is 6.1% Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-INV1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-INV1 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-INV1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. SLG OFFICE 2026-PAT: S&P Assigns Prelim 'BB-' Rating on HRR Certs ----------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings to SLG Office Trust 2026-PAT's commercial mortgage pass-through certificates series 2026-PAT. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan secured by the borrower's fee simple interest in Park Avenue Tower, a two-side street entrance, 36-story, 622,116 sq. ft., LEED Gold certified class A office property located between Park and Madison Avenues in the Plaza District submarket of Manhattan. The preliminary ratings are based on information as of Jan. 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 93.8%, based on S&P Global Ratings' value of the property backing the transaction." Preliminary Ratings Assigned SLG Office Trust 2026-PAT(i) Class A, $255,900,000: AAA (sf) Class B, $68,100,000: AA- (sf) Class C, $51,200,000: A- (sf) Class D, $55,800,000: BBB- (sf) Class E, $25,000,000: BB (sf) Class HRR(ii), $24,000,000: BB- (sf) (i)The certificate balances are approximate, subject to a variance of plus or minus 5%. (ii)Horizontal risk retention certificates. TOWD POINT 2026-CES1: DBRS Gives Prov. B Rating on 5 Classes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-CES1 (the Notes) to be issued by Towd Point Mortgage Trust 2026-CES1 (TPMT 2026-CES1 or the Trust): -- $366.8 million Class A1 at (P) AAA (sf) -- $28.7 million Class A2 at (P) AA (low) (sf) -- $21.1 million Class M1 at (P) A (low) (sf) -- $16.5 million Class M2 at (P) BBB (low) (sf) -- $11.2 million Class B1 at (P) BB (sf) -- $6.4 million Class B2 at (P) B (sf) -- $28.7 million Class A2A at (P) AA (low) (sf) -- $28.7 million Class A2AX at (P) AA (low) (sf) -- $28.7 million Class A2B at (P) AA (low) (sf) -- $28.7 million Class A2BX at (P) AA (low) (sf) -- $28.7 million Class A2C at (P) AA (low) (sf) -- $28.7 million Class A2CX at (P) AA (low) (sf) -- $28.7 million Class A2D at (P) AA (low) (sf) -- $28.7 million Class A2DX at (P) AA (low) (sf) -- $21.1 million Class M1A at (P) A (low) (sf) -- $21.1 million Class M1AX at (P) A (low) (sf) -- $21.1 million Class M1B at (P) A (low) (sf) -- $21.1 million Class M1BX at (P) A (low) (sf) -- $21.1 million Class M1C at (P) A (low) (sf) -- $21.1 million Class M1CX at (P) A (low) (sf) -- $21.1 million Class M1D at (P) A (low) (sf) -- $21.1 million Class M1DX at (P) A (low) (sf) -- $16.5 million Class M2A at (P) BBB (low) (sf) -- $16.5 million Class M2AX at (P) BBB (low) (sf) -- $16.5 million Class M2B at (P) BBB (low) (sf) -- $16.5 million Class M2BX at (P) BBB (low) (sf) -- $16.5 million Class M2C at (P) BBB (low) (sf) -- $16.5 million Class M2CX at (P) BBB (low) (sf) -- $16.5 million Class M2D at (P) BBB (low) (sf) -- $16.5 million Class M2DX at (P) BBB (low) (sf) -- $11.2 million Class B1A at (P) BB (sf) -- $11.2 million Class B1AX at (P) BB (sf) -- $11.2 million Class B1B at (P) BB (sf) -- $11.2 million Class B1BX at (P) BB (sf) -- $6.4 million Class B2A at (P) B (sf) -- $6.4 million Class B2AX at (P) B (sf) -- $6.4 million Class B2B at (P) B (sf) -- $6.4 million Class B2BX at (P) B (sf) The (P) AAA (sf) credit rating on the Notes reflects 20.00% of credit enhancement provided by subordinated notes. The (P) AA (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 13.75%, 9.15%, 5.55%, 3.10%, and 1.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2026-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES1 (the Notes). The Notes are backed by 4,495 mortgage loans with a total principal balance of $458,550,304 as of the Cut-Off Date. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Statistical Calculation Date. As of the Statistical Calculation Date, the Notes were backed by 4,527 loans with a total scheduled principal balance of $463,419,110. The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 40 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 736 and a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 75.5%, and all loans were originated with Issuer-defined full documentation. All the loans are current, and 99.7% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2026-CES1 represents the 13th CES securitization by FirstKey Mortgage, LLC (FirstKey) and fifth by CRM 2 Sponsor, LLC (CRM). Spring EQ, LLC (Spring EQ; 82.9%) and Newrez, LLC (Newrez; 17.1%) are the originators for the mortgage pool. Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint) is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Administrator. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. CRM will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds and accounts managed by affiliates of Cerberus Capital Management, L.P. (CCM). Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to the Issuer. As a Co-Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities (excluding the Class R Certificates) to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 12.0% of the loans are designated as non-QM, 11.1% are designated as QM Rebuttable Presumption, and 74.3% are designated as QM Safe Harbor. Approximately 2.6% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the Servicer is obligated to make advances in respect of homeowner's association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will not be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. The Co-Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in January 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder may, at its option, cause the Issuer to redeem the Notes and Certificates by selling all of the loans so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (1) class balances of the Notes plus the accrued interest and unpaid interest, (2) any fees, expenses and indemnification amounts, and (3) accrued and unpaid amounts owed to the Class X, Class XS1, and Class XS2 Certificates. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to redeem all the Notes and Certificates at the minimum price (Optional Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2026-CES1: Fitch Gives B-(EXP) Rating on 5 Tranches -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2026-CES1 (TPMT 2026-CES1). RATING ACTIONS TPMT 2026-CES1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating A2D LT AA-(EXP)sf Expected Rating A2DX LT AA-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B1A LT BB-(EXP)sf Expected Rating B1AX LT BB-(EXP)sf Expected Rating B1B LT BB-(EXP)sf Expected Rating B1BX LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B2A LT B-(EXP)sf Expected Rating B2AX LT B-(EXP)sf Expected Rating B2B LT B-(EXP)sf Expected Rating B2BX LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M1D LT A-(EXP)sf Expected Rating M1DX LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating M2D LT BBB-(EXP)sf Expected Rating M2DX LT BBB-(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating Transaction Summary The TPMT 2026-CES1 transaction is expected to close on Jan. 21, 2026. The notes are supported by 4,527 closed-end second lien (CES) loans with a total balance of approximately $463 million as of the statistical calculation date. 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 cover net weighted average coupon (WAC) shortfalls. Fitch did not acknowledge advancing in its analysis given its projected loss severities on the second lien collateral. 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. TPMT 2026-CES1 has a final probability of default (PD) of 21.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.6%. The expected loss in the 'AAAsf' rating stress is 21.2%. Structural Analysis: The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Additionally, excess cashflow resulting from difference between interest earned on mortgage collateral and amount paid on the notes may be available to cover realized losses and net WAC shortfalls on notes. With respect to any loan that becomes DQ for 150 days or more under the Office of Thrift Supervision (OTS) methodology, the servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each liquidated second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicer. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. 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 57.8% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects TPMT 2026-CES1 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's 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 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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. VERUS SECURITIZATION 2026-1: Fitch Gives B-(EXP) to Cl. B-2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-1 (Verus 2026-1). RATING ACTIONS VERUS 2026-1 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1FCX LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO1 LT AAA(EXP)sf Expected Rating A-1IO2 LT AAA(EXP)sf Expected Rating A-1IO LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Verus Securitization Trust 2026-1, Series 2026-1 (Verus 2026-1), as indicated above. The notes are supported by 1,559 loans with a balance of $811.75 million as of Jan. 1, 2026 (the cutoff date). The transaction is scheduled to close on Jan. 16, 2026. The notes are secured by mortgage loans originated by various originators and acquired by the sellers. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans, where the P&I advancing party will advance delinquent P&I for up to 90 days. There is no servicer advancing for second lien loans. Primary residence loans constitute 51.8% of the Verus 2026-1 transaction pool, followed by second home and investor loans at 48.2%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans, at 34.1%; while 26.1% were originated to a bank statement program, 19.3% are a CPA P&L product, 13.0% are full documentation or a tax return product, and the remaining 7.6% were underwritten to a written verification of employment (WVOE) or asset underwriting product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-1 has a final probability of default (PD) of 44.8% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.7%. The expected loss in the 'AAAsf' rating stress is 19.1% (see Highlights below and the Asset Analysis section for more details). Structural Analysis: Verus 2026-1 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios (see Highlights below and the Cash Flow Analysis section for more details). The CE for all ratings were 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 with 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 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Verus 2026-1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-1 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. VITALITY RE 2026: S&P Assigns Prelim 'B+ (sf)' Rating Cl. C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary 'BBB+ (sf)', 'BB+ (sf)', and 'B+ (sf)' ratings to Vitality Re XVII Ltd.'s Series 2026 class A, B, and C notes, respectively. The notes will cover claims payments of Health Re Inc., and ultimately, Aetna Life Insurance Co. (ALIC; A-/Negative/--). These payments are related to the covered insurance business to the extent the medical benefits ratio (MBR) exceeds 107.5% for the class A notes, 101.5% for the class B notes, and 98.5% for the class C notes. The MBR is calculated on an annual aggregate basis. S&P bases its ratings on the lowest of the following factors: -- The MBR risk factor on the ceded risk ('bbb+' for the class A notes, 'bb+' for the class B notes and 'b+' for the class C notes); -- The rating on ALIC (the underlying ceding insurer covered business company); or -- The rating on the permitted investments ('AAAm') that will be held in the respective collateral accounts (there is a separate collateral account for each class of notes) at closing. According to the risk analysis provided by Milliman Inc., one of the world's largest providers of actuarial and related products and services, the primary driver of historical medical insurance financial fluctuations has been the volatility in per capita claim cost trends and lags in insurers' reactions to these trend changes in their premium rating actions. Other volatility factors include changes in expenses and target profit margins. Although these factors cause the majority of claims' volatility, the extreme tail risk is affected by severe pandemics. WESTLAKE AUTOMOBILE 2026-1:S&P Assigns Prelim BB Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.1%, 38.5%, 29.7%, 22.5%, and 19.3% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.75% for the class A, B, C, D, and E notes, respectively. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.75x our expected loss level), all else being equal, our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within our credit stability limits." -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2026-1 Class A-1, $318.00 million: A-1+ (sf) Class A-2-A/A-2-B, $338.36 million: AAA (sf) Class A-3, $200.00 million: AAA (sf) Class B, $103.92 million: AA (sf) Class C, $156.61 million: A (sf) Class D, $133.11 million: BBB (sf) Class E, $69.04 million: BB (sf) [] DBRS Confirms 8 Ratings From 6 American Credit Trusts -------------------------------------------------------- DBRS, Inc. upgraded thirteen credit ratings and confirmed eight credit ratings from six American Credit Acceptance Receivables Trust transactions as detailed in the summary chart below. The Affected Ratings are available at https://tinyurl.com/m4pxdbxd The Issuers are: American Credit Acceptance Receivables Trust 2024-1 American Credit Acceptance Receivables Trust 2022-3 American Credit Acceptance Receivables Trust 2025-1 American Credit Acceptance Receivables Trust 2023-3 American Credit Acceptance Receivables Trust 2023-1 American Credit Acceptance Receivables Trust 2024-3 The credit rating actions are based on the following analytical considerations: -- For American Credit Acceptance Receivables Trust 2022-3 through American Credit Acceptance Receivables Trust 2024-1, although 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 at multiples of coverage commensurate with the credit ratings. -- For American Credit Acceptance Receivables Trust 2024-3 and American Credit Acceptance Receivables Trust 2025-1, losses are tracking below the Morningstar DBRS initial base-case CNL expectation. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- 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: December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] DBRS Reviews 178 Classes From 24 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 178 classes from 24 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 24 transactions reviewed, one is classified as a small-balance commercial mortgage transaction collateralized by various types of commercial, multifamily rental, and mixed-use properties, 15 are classified as reperforming mortgages, one is classified as home equity line of credit (HELOC), and the remaining seven deals are classified as non-qualified mortgages (non-QM). Of the 178 classes reviewed, Morningstar DBRS upgraded its credit ratings on 63 classes and confirmed its credit ratings on the remaining 115 classes. The Affected Ratings are available at https://tinyurl.com/5yrjvxrs The Issuers are: CIM Trust 2023-R2 CIM Trust 2022-R1 MFA 2023-INV1 Trust MFA 2023-NQM1 Trust PRPM 2024-RCF1, LLC PRPM 2024-RPL1, LLC CIM Trust 2019-R2 ACHM Trust 2023-HE1 Citigroup Mortgage Loan Trust 2021-RP6 CIM Trust 2020-R2 MFA 2021-INV1 Trust BRAVO Residential Funding Trust 2022-RPL1 BRAVO Residential Funding Trust 2023-NQM1 A&D Mortgage Trust 2024-NQM1 Verus Securitization Trust 2024-1 GS Mortgage-Backed Securities Trust 2022-RPL1 Velocity Commercial Capital Loan Trust 2024-1 Imperial Fund Mortgage Trust 2023-NQM1 Mill City Mortgage Loan Trust 2021-NMR1 BINOM Securitization Trust 2022-RPL1 GS Mortgage-Backed Securities Trust 2022-RPL2 GS Mortgage-Backed Securities Trust 2021-RPL1 GS Mortgage-Backed Securities Trust 2024-RPL2 GS Mortgage-Backed Securities Trust 2018-RPL1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Upgrades Ratings on 10 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on January 7, 2026, upgraded the ratings of 10 bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: First Franklin Mortgage Loan Trust 2005-FFH2 Cl. M3, Upgraded to A1 (sf); previously on Sep 3, 2024 Upgraded to Baa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF10 Cl. A1, Upgraded to Aaa (sf); previously on Sep 5, 2024 Upgraded to A2 (sf) Cl. A5, Upgraded to Aaa (sf); previously on Sep 5, 2024 Upgraded to A1 (sf) Cl. M1, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF6 Cl. A-4, Upgraded to Aaa (sf); previously on Jul 21, 2022 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First NLC Trust 2005-4 Cl. A-4, Upgraded to Aaa (sf); previously on Dec 16, 2021 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 22, 2015 Upgraded to Ca (sf) Issuer: GSAMP Trust 2006-HE3 Cl. M-1, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: Impac CMB Trust Series 2005-4 Collateralized Asset-Backed Bonds, Series 2005-4 Cl. 1-M-2, Upgraded to B2 (sf); previously on Oct 3, 2024 Upgraded to Caa1 (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 credit enhancement over the past 12 months has grown, on average, 7.2% for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 27 Bonds from 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on January 7, 2026, upgraded the ratings of 27 bonds from 10 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: Citigroup Mortgage Loan Trust 2006-AMC1 Cl. A-2B, Upgraded to A3 (sf); previously on Jan 17, 2024 Upgraded to Baa3 (sf) Cl. A-2C, Upgraded to A3 (sf); previously on Jan 17, 2024 Upgraded to Baa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-NC1 Cl. A-2D, Upgraded to Aaa (sf); previously on Sep 26, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: CSAB Mortgage-Backed Trust 2006-2 Cl. A-2, Upgraded to Caa3 (sf); previously on Aug 27, 2012 Downgraded to Ca (sf) Cl. A-3-A, Underlying Rating: Upgraded to Caa3 (sf); previously on Aug 27, 2012 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on July 10, 2024) Cl. A-3-B, Upgraded to Caa3 (sf); previously on Aug 27, 2012 Downgraded to Ca (sf) Cl. A-4, Underlying Rating: Upgraded to Caa3 (sf); previously on Aug 27, 2012 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on July 10, 2024) Cl. A-5-A, Upgraded to Caa2 (sf); previously on Feb 7, 2011 Downgraded to Caa3 (sf) Cl. A-6-A, Upgraded to Caa2 (sf); previously on Feb 7, 2011 Downgraded to Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-6 Cl. M-5, Upgraded to A3 (sf); previously on Oct 16, 2024 Upgraded to Baa1 (sf) Issuer: CSFB Home Equity Asset Trust 2005-7 Cl. M-2, Upgraded to Aa1 (sf); previously on Sep 20, 2024 Upgraded to Baa1 (sf) Cl. M-3, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2005-8 Cl. M-2, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded to Aa3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2006-1 Cl. M-3, Upgraded to Aaa (sf); previously on Dec 4, 2023 Upgraded to Aa3 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on May 28, 2009 Downgraded to C (sf) Issuer: Specialty Underwriting and Residential Finance Series 2006-BC3 Cl. A-1, Upgraded to Baa2 (sf); previously on Oct 21, 2024 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jun 18, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 18, 2010 Downgraded to C (sf) Issuer: Specialty Underwriting and Residential Finance Trust, Series 2005-BC1 Cl. B-1, Upgraded to Ca (sf); previously on Jun 18, 2010 Downgraded to C (sf) Cl. M-4, Upgraded to Aaa (sf); previously on Feb 15, 2024 Upgraded to A1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-16XS Cl. A3A, Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa3 (sf) Cl. A3B, Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa3 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa3, Outlook Stable on October 09, 2025) Cl. A4A, Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa2 (sf) Cl. A4B, Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa2 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Jun 7, 2022 Upgraded to Aa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa3, Outlook Stable on October 09, 2025) Cl. M1, Upgraded to Caa3 (sf); previously on May 14, 2012 Confirmed at C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The 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, 1.15x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. 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 Ratings on 114 Classes From 100 U.S. RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 114 ratings from 100 U.S. RMBS transactions issued between 2004 and 2007. The review yielded 114 downgrades. A list of Affected Rating can be viewed at: https://tinyurl.com/9xf6ykh3 Analytical Considerations S&P incorporates various considerations into our decisions to lower the ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Main consideration may include: -- Reduced interest payments due to loan modifications; -- Payment priority; -- Expected duration; and -- Collateral performance. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The downgrades reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "We will continue to monitor our ratings on securities that experience reduced interest payments due to loan modifications and other credit-related events, and will further adjust our ratings as we consider appropriate." ********* 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 2026. 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 ***