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260118.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 18, 2026, Vol. 30, No. 18 Headlines A&D MORTGAGE 2026-NQM1:S&P Assigns Prelim 'B-' Rating on B-2 Certs ABPCI DIRECT 22: S&P Assigns BB- (sf) Rating on Class E Notes AFFIRM MASTER 2026-1: DBRS Gives Prov. BB Rating on Class E Notes AMERICAN CREDIT 2026-1: S&P Assigns Prelim 'BB' Rating on E Notes ARES COMMERCIAL 2026-GCP: Moody's Assigns (P)Ba3 Rating to E Certs ARINI US IV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BBCMS MORTGAGE 2023-C19: Fitch Lowers Rating on H-RR Certs to Csf BENCHMARK 2018-B7: DBRS Confirms B(high) Rating on Class F Certs BLUE OWL 2025-1: Fitch Gives BB-(EXP) Rating to Class E Notes BLUE OWL 2025-1: Moody's Assigns (P)B3 Rating to $250,000 F Notes BREAN ASSET 2026-RM14: DBRS Gives Prov. B Rating on Class M5 Notes BRIDGECREST LENDING 2026-1: DBRS Gives Prov. BB Rating on E Notes CEDAR FUNDING XV: S&P Assigns B+ (sf) Rating on Class F-R Notes CIFC FUNDING 2015-IV: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes CPS AUTO 2026-A: DBRS Gives Prov. BB Rating on Class E Notes EFMT 2026-CES1: Fitch Assigns B(EXP) Rating on Class B2 Certs ELDRIDGE CLO 2025-2: Moody's Assigns B3 Rating to $250,000 F Notes EXETER AUTOMOBILE 2026-1: S&P Assigns (P) B (sf) Rating on N Notes GALLATIN VIII 2017-1: Moody's Cuts $17.3MM E-R Notes Rating to B1 GREENPOINT MORTGAGE 2007-AR1: Moody's Ups 2-A1A Certs Rating to Ba1 GS MORTGAGE 2014-GC22: Moody's Cuts Rating on 2 Tranches to Caa1 GS MORTGAGE 2014-GC24: DBRS Confirms BB Rating on Class C Certs GS MORTGAGE 2026-PJ1: DBRS Gives Prov. B(low) Rating on B5 Notes HOME RE 2026-1: DBRS Gives Prov. B Rating on Class B1 Notes HOMES 2026-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs HUDSON YARDS 2025-SPRL: DBRS Confirms BB(high) Rating on F Certs JPMCC 2017-JP6: DBRS Confirms B(low) Rating on Class FRR Certs KINETIC SECURED 2026-1: Fitch Gives BB-(EXP) Rating on Cl. C Notes KKR CLO 9: Moody's Affirms B1 Rating on $27.9MM Class E-R Notes MADISON PARK LXI: Moody's Assigns B3 Rating to $250,000 F-R Notes MAGNETITE XXXI: S&P Assigns BB- (sf) Rating on Class E-R Notes MORGAN STANLEY 2026-NQM1: S&P Assigns (P)'B' Rating in B-2 Certs MSC 2020-L4: Fitch Assigns B-sf Rating on Class G-RR Certs NALP BUSINESS 2026-1: DBRS Gives Prov. BB Rating on Class C Notes NAVESINK CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes OHS ISSUER 2026-1: Moody's Assigns (P)Ba3 Rating to Class B Notes PALMER SQUARE 2023-3: S&P Assigns Prelim 'BB-' Rating on E-R Notes PMT LOAN 2026-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J1: DBRS Gives Prov. B(low) Rating on Class B5 Notes PMT LOAN 2026-J1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs SANTANDER MORTGAGE 2026-NQM1: S&P Assigns 'B' Rating on B-2 Notes SCULPTOR CLO XXXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes SILVER ROCK V: S&P Assigns BB- (sf) Rating on Class E Notes SYMPHONY CLO 51: S&P Assigns BB- (sf) Rating on Class E Notes TCW CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes VENTURE CLO 35: Moody's Cuts Rating on $30MM Class E Notes to B1 VENTURE CLO XXVII: Moody's Cuts Rating on $29.5MM E Notes to Caa2 VEROS AUTO 2026-1: S&P Assigns Prelim B (sf) Rating on Cl. F Notes VIBRANT CLO III: Moody's Cuts Rating on $24MM Cl. D-RR Notes to B2 WELLS FARGO 2021-FCMT: Fitch Affirms B-sf Rating on Class F Certs [] Fitch Takes Various Rating Actions on 29 FFELP SLABS [] Moody's Takes Rating Action on 26 Bonds from 14 US RMBS Deals [] Moody's Upgrades Rating on 19 Bonds from 7 US RMBS Deals [] Moody's Upgrades Ratings on 13 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 13 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 17 Bonds from 7 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds From 12 US RMBS Deals ********* A&D MORTGAGE 2026-NQM1:S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to A&D Mortgage Trust 2026-NQM1's mortgage pass-through certificates. The certificates are backed first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 1,368 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Jan. 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P updates its outlook as necessary when these projections change materially. Preliminary Ratings Assigned(i) A&D Mortgage Trust 2026-NQM1 Class A-1A, $182,570,000: AAA (sf) Class A-1B, $28,372,000: AAA (sf) Class A-1, $210,942,000: AAA (sf) Class A-1FCF, $158,202,000: AAA (sf) Class A-1LCF, $52,734,000: AAA (sf) Class A-2, $28,939,000: AA (sf) Class A-3, $60,147,000: A (sf) Class M-1, $20,994,000: BBB (sf) Class B-1, $14,470,000: BB (sf) Class B-2, $14,185,000: B- (sf) Class B-3, $6,809,696: NR Class A-IO-S, Notional(ii): NR Class X, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $567,422,696. NR--Not rated. N/A--Not applicable. ABPCI DIRECT 22: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to ABPCI Direct Lending Fund CLO 22 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC, a subsidiary of AllianceBerstein L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned ABPCI Direct Lending Fund CLO 22 LLC Class A-1, $280.0 million: AAA (sf) Class A-2, $30.0 million: AAA (sf) Class B, $37.5 million: AA (sf) Class C (deferrable), $35.0 million: A (sf) Class D (deferrable), $27.5 million: BBB- (sf) Class E (deferrable), $30.0 million: BB- (sf) Subordinated notes, $61.2 million: NR NR--Not rated. AFFIRM MASTER 2026-1: DBRS Gives Prov. BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Affirm Master Trust Series 2026-1 (AFRMT 2026-1): -- $385,920,000 Class A Notes at (P) AAA (sf) -- $30,320,000 Class B Notes at (P) AA (high) (sf) -- $35,190,000 Class C Notes at (P) A (high) (sf) -- $27,990,000 Class D Notes at (P) BBB (sf) -- $20,580,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the AFRMT 2026-1 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2026-1 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2026-1 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) 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. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2026-1 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2026-1 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2026-1 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a contract rate less than or equal to (i) 12%, if the related originating bank is Cross River Bank, Celtic Bank or Lead Bank or (ii) if the related originating bank is ALS, the greater of (A) 21% and (B) a contract rate equal to the quotient of (1) the sum of (a) the product of the portion of initial principal balance of the loan that is less than or equal to $1,000 and 36% plus (b) the product of the portion of the initial principal balance of the loan that is greater than $1,000 but less than or equal to $3,000 and 21% plus (c) the product of the portion of the initial principal balance of the loan greater than $3,000 and 15% divided by (2) the initial principal balance of the loan. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2026-1 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. AMERICAN CREDIT 2026-1: S&P Assigns Prelim 'BB' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance 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. 7, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 63.59%, 56.75%, 46.57%, 37.69%, and 33.96% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss of 26.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its '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 its 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 and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and our view of the company's underwriting and 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 American Credit Acceptance Receivables Trust 2026-1 Class A, $331.48 million: AAA (sf) Class B, $73.15 million: AA (sf) Class C, $129.58 million: A (sf) Class D, $119.97 million: BBB (sf) Class E, $52.25 million: BB (sf) ARES COMMERCIAL 2026-GCP: Moody's Assigns (P)Ba3 Rating to E Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by ARES Commercial Mortgage Trust 2026-GCP, Commercial Mortgage Pass-Through Certificates, Series 2026-GCP. Cl. A Assigned (P)Aaa (sf) Cl. B Assigned (P)Aa2 (sf) Cl. C Assigned (P)A2 (sf) Cl. D Assigned (P)Baa3 (sf) Cl. E Assigned (P)Ba3 (sf) Cl. HRR Assigned (P)B2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage on the fee interests in 30 primarily self-storage facilities ("the Portfolio") with an aggregate net rental area ("NRA") of 2.3 million square feet ("SF") across 23,764 units. The Portfolio is located across 15 distinct metropolitan statistical areas ("MSA") in 10 states, with the five largest concentrations by net operating income ("NOI") in California (22.7%), Florida (22.6%), Washington (20.0%), Massachusetts (10.4%) and Oregon (6.4%). Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjusts the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.21x and Moody's first mortgage actual stressed DSCR is 0.76x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $430,000,000 represents a Moody's LTV ratio of 113.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 111.8% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Portfolio's weighted average overall quality grade is 1.00. Notable strengths of the transaction include: portfolio geographic and property level diversity; strong primary market locations; strong area demographics; strong operating performance; capital investment; multiple-property pooling; experienced property management; and strong sponsorship. Notable concerns of the transaction include: high Moody's LTV ratio; floating-rate interest-only loan profile; cash out; property release and non-sequential prepayment provisions; and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. ARINI US IV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Arini US CLO IV Ltd./Arini US CLO IV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC, an affiliate of Arini Capital Management Ltd. The preliminary ratings are based on information as of Jan. 9, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Arini US CLO IV Ltd./Arini US CLO IV LLC Class A, $186.0 million: AAA (sf) Class A-L loans, $70.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $15.6 million: BB- (sf) Subordinated notes, $35.8 million: NR NR--Not rated. BBCMS MORTGAGE 2023-C19: Fitch Lowers Rating on H-RR Certs to Csf ----------------------------------------------------------------- Fitch Ratings has downgraded two, upgraded one and affirmed 10 classes of BMARK 2023-V3 Mortgage Trust Commercial Mortgage Pass-Through certificates, series 2023-V3. Class F was assigned a Negative Rating Outlook after its downgrade. The Outlooks on classes C, D, E, and X-D were revised to Negative from Stable. This rating action commentary corrects an error with respect to the final rating for the interest-only (IO) class X-B in BMARK 2023-V3 published on Aug. 3, 2023. The final rating action commentary incorrectly assigned class X-B a rating of 'A-sf' that is inconsistent with the rating of 'AA-sf' for the rating assigned to the lowest rated reference class B whose payable interest has an impact on the payment to the IO class X-B. Class X-B was assigned a Stable Outlook after the correction. Fitch has also downgraded six and affirmed eight classes of BBCMS Mortgage Trust 2023-C19 (BBCMS 2023-C19). Classes C, D-RR, E-RR, and F-RR were assigned Negative Outlooks after their downgrades. The Outlooks on classes A-S, B, and X-B were revised to Negative from Stable. RATING ACTIONS BBCMS 2023-C19 A-2A 05553RAB6 LT AAAsf Affirmed AAAsf A-2B 05553RAZ3 LT AAAsf Affirmed AAAsf A-5 05553RAC4 LT AAAsf Affirmed AAAsf A-S 05553RAG5 LT AAAsf Affirmed AAAsf A-SB 05553RAD2 LT AAAsf Affirmed AAAsf B 05553RAH3 LT AA-sf Affirmed AA-sf C 05553RAJ9 LT BBB-sf Downgrade A-sf D-RR 05553RAK6 LT BB+sf Downgrade BBB+sf E-RR 05553RAM2 LT B+sf Downgrade BBBsf F-RR 05553RAP5 LT B-sf Downgrade BBB-sf G-RR 05553RAR1 LT CCCsf Downgrade Bsf H-RR 05553RAT7 LT Csf Downgrade CCCsf X-A 05553RAE0 LT AAAsf Affirmed AAAsf X-B 05553RAF7 LT AA-sf Affirmed AA-sf BMARK 2023-V3 A-1 08163VAA5 LT AAAsf Affirmed AAAsf A-2 08163VAB3 LT AAAsf Affirmed AAAsf A-3 08163VAC1 LT AAAsf Affirmed AAAsf A-S 08163VAF4 LT AAAsf Affirmed AAAsf B 08163VAG2 LT AA-sf Affirmed AA-sf C 08163VAH0 LT A-sf Affirmed A-sf D 08163VAL1 LT BBBsf Affirmed BBBsf E 08163VAN7 LT BBB-sf Affirmed BBB-sf F 08163VAQ0 LT B-sf Downgrade BB-sf G 08163VAS6 LT CCCsf Downgrade B-sf X-A 08163VAD9 LT AAAsf Affirmed AAAsf X-B 08163VAE7 LT AA-sf Upgrade A-sf X-D 08163VAJ6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased for BBCMS 2023-C19 to 6.8% from 4.8%. Fitch's 'Bsf' rating case loss is 4.9% for BMARK 2023-V3 which is above Fitch's issuance expectations. Fitch Loans of Concern (FLOCs) comprise eight loans (20.8% of the pool) in BBCMS 2023-C19, including six loans (18.2%) in special servicing. Four loans are designated as FLOCS (14.2%) in BMARK 2023-V3, including two loans (7.2%) in special servicing. The downgrades reflect increased pool loss expectations for both transactions. The Negative Outlooks reflect potential downgrades with continued performance deterioration of the FLOCs, as well as prolonged workouts and/or outsized valuation declines for the specially serviced loans. Due to the exposure to near-term loan maturities from five-year loans in both transactions, Fitch performed a sensitivity and liquidation analysis which grouped the remaining loans based on their current status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectations. All loans in the BMARK 2023-V3 transaction are scheduled to mature in 2028 and approximately 32.3% mature through 2028 in BBCMS 2023-C19. Largest Contributors to Expected Loss: The largest contributor to overall pool loss expectations in BBCMS 2023-C19 is the 2 Executive loan (6.8% of the pool), which is secured by a 290,922-sf mixed-use (office and multifamily) property located in Fort Lee, NJ. The property underwent a renovation to the top four floors beginning in 2019 to transform former office space into 84 multifamily units. The largest three office tenants are GSA (18.0% of NRA), Hudson Crossing Surgery (11.8%) and Nadri Inc. (11.1%). Shortly after issuance and in April 2023, a fire occurred in one of the residential units resulting in significant water damage that affected several residential and commercial units. The loan transferred to special servicing in January 2024 due to various defaults, including payment default, and foreclosure was filed in 2024. According to the July 2024 rent roll, the multifamily portion was 89% occupied and the office portion was 91% occupied. The loan is paid through June 2024. Reporting has been limited and an updated appraisal value has not been provided. As of the December 2025 remittance, the IO loan has approximately $9.2 million in advances and expenses outstanding. Fitch's 'Bsf' rating case loss of approximately 43% (prior to a concentration adjustment) is based on an 9.25% cap rate and a 40% haircut to the YE 2023 NOI, factors the elevated probability of default given the foreclosure status and increased loan exposure, and reflects a recovery value of $77 psf. The second largest contributor to overall pool loss expectations is the specially serviced Walgreens Distribution Center loan (3.9% of the pool), which is secured by a 724,424-sf industrial property located in Mount Vernon, IL, 100% occupied by Walgreens and is utilized as a regional distribution center. The loan transferred to special servicing in April 2025 due to payment default. The loan is paid through January 2025 and an updated appraisal value has not been provided. As of YE 2024, the reported NCF DSCR is 1.78x. Fitch's 'Bsf' rating case loss of approximately 15.6% (prior to concentration add-ons) reflects a 9% cap rate and a 5% stress to YE 2024, increased loan exposure and an elevated probability of default given the foreclosure status. Two specially serviced loans secured by multifamily properties are Pennbrook Portfolio (0.9% of the pool) and 350 5th St. & 372 Baltic St. (0.8%) that have the same sponsor (Abe Cohen) and transferred to special servicing in February 2024 for payment default. Foreclosure was filed on both properties in October 2024. Based on servicer commentary, Pennbrook Portfolio has been disposed in December 2025 while 350 5th St. & 372 Baltic St. is expected be disposed in the near term. Fitch's 'Bsf' rating loss ranges from are approximately 49% for Pennbrook Portfolio and 36% for 350 5th St. & 372 Baltic St. (prior to concentration add-ons). Two additional specially serviced loans, The Showboat Hotel (2.9% of the pool) and Oak Street NLP Fund Portfolio (2.8%), are expected to return to the master servicer. The Showboat Hotel is secured by a 475-room, 25-story full-service hotel in Atlantic City, NJ. As of YE 2024, the reported TTM occupancy is 51.8% and DSCR is 3.61x. Oak Street NLP Fund portfolio is secured by a portfolio of mostly grocery stores as well as some office and industrial properties across the U.S. Per servicer commentary, the loan was subject to a forbearance agreement that expired in September 2025, and a modification was subsequently executed that provides a payment guarantee that maintains the loan's original LTV at issuance of 40%. Fitch no longer considers the Oak Street NLP Fund Portfolio loan an investment-grade credit opinion loan due to the loans specially serviced status and modification due to tenant defaults and vacancies. The largest contributor to loss expectations in BMARK 2023-V3 is the specially serviced Austin Multifamily Portfolio (3.6% of the pool). The loan is secured by two garden-style apartment complexes (Orbit and Starburst) totaling 840 units across 60 buildings located in Austin, TX. The loan transferred to special servicing in May 2025 due to a monetary payment default. Per recent servicer commentary, the servicer is trapping all cash flow and filed a motion to appoint a receiver. As of June 2025, the reported occupancy of Orbit is 80.1% and the occupancy of Starburst is 71.6%. Fitch's 'Bsf' rating case loss of approximately 34.4% (prior to a concentration adjustment) factors in a discount to the most recent servicer reported appraisal value, the elevated probability of default given the delinquency status and potential for a prolonged workout. The second largest driver of pool loss expectations is the specially serviced Select Parking NYC Portfolio (3.5% of the pool), which is secured by two parking garages in Manhattan, N.Y. The loan transferred to special servicing in February 2025 due to loan payment default. As of YE 2024, the property's reported NCF DSCR is 0.88x. The court denied the borrower's motion to vacate the receiver in November 2025, and the receiver continues efforts to take over property operations. Fitch's 'Bsf' rating case loss of approximately 19.7% (prior to a concentration adjustment) reflects a 9.5% cap rate, annualized Q3 2024 NOI, and an elevated probability of default given the defaulted status, expectation of a prolonged workout and decline in cash flow from issuance. Limited Change to Credit Enhancement (CE): As of the December 2025 remittance report, the balance of the BBCMS 2023-C19 transaction has declined by 5.9% since issuance, with $3.03 million in realized losses applied to the non-rated class J-RR. In addition, class J-RR has $1.8 million in interest shortfalls. BMARK 2023-V3 has paid down by 0.1% since issuance with cumulative interest shortfalls of $342,970 affecting the non-rated class H and risk retention classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, particularly the 2 Executive and Walgreens Distribution Center loans in BBCMS 2023-C19, increased expected pool losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, including Select Parking NYC Portfolio in BMARK 2023-V3, or more loans than expected experience performance deterioration or default. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the underperforming loans and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to classes with distressed ratings would occur should additional loans transfer to special servicing and/or default, as losses are realized or losses become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better than expected resolutions for the specially serviced loans, particularly 2 Executive and Walgreens Distribution Center in BBCMS 2023-C19. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is the likelihood of interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to classes with distressed ratings are not expected but are possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. BENCHMARK 2018-B7: DBRS Confirms B(high) Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B7 issued by Benchmark 2018-B7 Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) -- Class G-RR at B (low) (sf) -- Class H-RR at CCC (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at BBB (low) (sf) -- Class X-F at BB (low) (sf) Morningstar DBRS changed the trends on Classes D, E, F, G-RR, X-D, and X-F to Negative from Stable. The trends on all remaining Classes are Stable, with the exception of Class H-RR, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The pool includes a high concentration of loans secured by office properties, representing nearly 40.0% of the current balance. And, while a handful of those loans continue to perform as expected, a select number of those loans are exhibiting increased credit risk. The Negative trends on the four lowest rated classes reflect Morningstar DBRS concerns for these loans as well as loan-specific challenges for several other loans that are specially serviced or on the servicer's watchlist and are exhibiting declines in performance since issuance. Loss expectations continue to be driven by the Castleton Commons & Square loan (Prospectus ID#15, 2.9% of the pool), for which the lender has filed for foreclosure. Since the last credit rating action, two loans, Shelbourne Global Portfolio I (Prospectus ID#27, 1.7% of the pool) and Fresno E Street Office (Prospectus ID#35, 0.8% of the pool), have transferred to special servicing because of payment default. In the analysis for this review, Morningstar DBRS analyzed three of the specially serviced loans, Castleton Commons & Square, Concord Plaza (Prospectus ID#25, 1.6% of the pool), and Fresno E Street Office with a liquidation scenario, resulting in implied losses of approximately $21.5 million and applied stressed loan-to-value ratios (LTVs) and/or increased probability of default (POD) assumptions for nine loans, representing 27.5% of the pool. The credit rating confirmations reflect the otherwise healthy performance of the transaction exhibited by the pool's weighted average debt service coverage ratio (DSCR) of 1.79 times (x) as of the December 2025 remittance report. As of the December 2025 remittance, 48 of the original 51 loans remain in the pool, with an aggregate principal balance of $1.09 billion, reflecting a collateral reduction of 6.4% since issuance. One loan, representing 2.3% of the pool, is fully defeased. Five loans, representing 10.6% of the pool, are currently in special servicing, and 15 loans, representing 33.4% of the pool, are currently on the watchlist for reasons that range from deferred maintenance to low DSCRs. The largest loan in special servicing, Workspace - Trust (Prospectus ID#10; 3.7% of the pool), transferred in November 2024 for imminent monetary default. The loan is secured by a portfolio of 143 properties totaling approximately 10 million square feet (sf) in four states (Pennsylvania, Florida, Minnesota, and Arizona). At issuance, the collateral consisted of 147 properties, but four properties have been released to date. The subject loan amount of $40.0 million is part of a whole loan totaling $1.27 billion, secured across four other transactions, three of which are rated by Morningstar DBRS: J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (the lead securitization), Benchmark 2018-B6 Mortgage Trust, and Benchmark 2018-B5 Mortgage Trust. The loan previously defaulted at its July 2023 maturity and was granted a modification, extending the maturity to July 2025 subject to a $30.0 million principal curtailment paid by the borrower. The borrower failed to repay the loan at the specified July 2025 maturity date and the loan remains in special servicing. Net cash flow (NCF) and debt service coverage have continued to decline year over year. Given the loan's status and continued underperformance, Morningstar DBRS' analysis for this loan included a stressed LTV and POD scenario, resulting in an expected loss nearly four times greater than the pool average. The second largest loan in special servicing is Castleton Commons & Square. The loan is secured by a 279,452 sf anchored retail property consisting of two adjacent shopping centers in Indianapolis. The loan transferred to special servicing in August 2023 for imminent default because of cash flow issues. Per the most recent servicer commentary, foreclosure has been filed, and a receiver has been appointed. The lender will dually track foreclosure while evaluating alternative workout options. No major rollover is scheduled in the next 12 months. However, the occupancy rate has declined to 76% as of the most recent reporting from June 2023, down from 93% at YE2022 and 95% at issuance. NCF and the DSCR have also dropped as a result of the decrease in occupancy. The most recent appraisal, dated August 2025, valued the property at $28.2 million, representing a 9.7% increase from the December 2023 appraised value of $25.7 million, but still significantly less than the issuance appraised value of $52.6 million. Morningstar DBRS' liquidation analysis for this loan is based on a stress to the August 2025 appraised value and results in a projected loss severity of approximately 37%. In addition to the specially serviced loans, Morningstar DBRS remains concerned with the high office concentration as well as loans exhibiting decreases in performance since issuance, including two loans in the top 10, DUMBO Heights Portfolio (Prospectus ID#1, 6.7% of the pool) and Hotel Erwin (Prospectus ID#8, 4.1% of the pool). Both loans are currently being monitored on the servicer's watchlist because of occupancy rate decline and actual or expected cash flow decline. DUMBO Heights Portfolio, the largest loan in the pool, consists of three Class A office properties in Brooklyn, New York; one of the four properties in the portfolio at securitization was released when it was sold to a third party in June 2024. As of September 2025, the portfolio reported an occupancy rate of 71.0% occupied, which is a stark decline from the YE2024 and YE2023 figures of 84.0% and 89.0%, respectively. Hotel Erwin, which is secured by a 119 room, full-service hotel in Venice Beach, California, has reported year-over-year declines in NCF since YE2022. As of June 2025, the property reported a below breakeven DSCR and occupancy rate of 0.61x and 73.0%, respectively, compared with the YE2022 figures of 2.01x and 76.0%, respectively. With this review, Morningstar DBRS maintained the shadow ratings on Moffett Towers Buildings E, F, G (Prospectus ID#2, 4.6% of the pool) and Aventura Mall (Prospectus ID#3, 4.6% of the pool) as the continued stable performance and strong credit metrics of those loans remains consistent with investment-grade characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. BLUE OWL 2025-1: Fitch Gives BB-(EXP) Rating to Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Blue Owl BSL CLO 2025-1, Ltd. RATING ACTIONS Blue Owl BSL CLO 2025-1,Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Blue Owl BSL CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blue Owl Liquid CLO Management I 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. 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 96.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.66%. 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 'Bsf' 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. BLUE OWL 2025-1: Moody's Assigns (P)B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Blue Owl BSL CLO 2025-1, Ltd. (the Issuer or Blue Owl 2025-1): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Blue Owl 2025-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans, first-lien last out loans, and permitted non-loan assets. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Blue Owl CLO Management I LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: 75 Weighted Average Rating Factor (WARF): 2895 Weighted Average Spread (WAS): 2.70% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BREAN ASSET 2026-RM14: DBRS Gives Prov. B Rating on Class M5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RM14 (the Notes) to be issued by Brean Asset-Backed Securities Trust 2026-RM14 (the Issuer) as follows: -- $186.6 million Class A1 at (P) AAA (sf) -- $33.0 million Class A2 at (P) AAA (sf) -- $219.6 million Class AM at (P) AAA (sf) -- $4.7 million Class M1 at (P) AA (sf) -- $5.0 million Class M2 at (P) A (sf) -- $3.8 million Class M3 at (P) BBB (sf) -- $3.4 million Class M4 at (P) BB (sf) -- $3.8 million Class M5 at (P) B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The (P) AAA (sf) credit ratings reflect 112.2% of cumulative advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 114.6%, 117.2%, 119.1%, 120.9%, and 122.8% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse: borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of the January 1, 2026, cut-off date, the collateral has approximately $195.69 million in current unpaid principal balance (UPB) from 572 performing and one called due (because of death) fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, and co-operatives. All loans in this pool were originated in 2025, with loan ages ranging from one month to five months. All loans in this pool have a fixed interest rate with a 9.022% weighted-average (WA) mortgage interest rate. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 notes (collectively, the Class A notes) will reduce to 0.25% if the home price percentage (as measured using the S&P Global Ratings (S&P) Cotality Case-Shiller National Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the Issuer on the Expected Repayment Date in January 2031, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from the auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If, on any payment date, the average one-month conditional prepayment rate (CPR) over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Note Amount and Interest Accrual Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. BRIDGECREST LENDING 2026-1: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2026-1 (BLAST 2026-1 or the Issuer): -- $61,160,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $112,253,000 Class A-2 Notes at (P) AAA (sf) -- $112,253,000 Class A-3 Notes at (P) AAA (sf) -- $57,198,000 Class B Notes at (P) AA (sf) -- $83,198,000 Class C Notes at (P) A (sf) -- $86,772,000 Class D Notes at (P) BBB (sf) -- $39,650,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2026-1 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.10% based on the expected pool composition pool composition for both the base and the upsize pools. -- The structure may upsize during premarketing, subject to market conditions, among other considerations, up to a total issuance of $646 million. If the Upsize Transaction is issued, the following notes will be issued: $71,500,000 for the Class A-1 notes, $131,256,000 for the Class A-2 notes, $131,256,000 for the Class A-3 notes, $66,879,000 for the Class B notes, $97,278,000 for the Class C notes, $101,458,000 for the Class D notes, and $46,360,000 for the Class E notes.. (4) 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. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. CEDAR FUNDING XV: S&P Assigns B+ (sf) Rating on Class F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R loans and class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R notes and new class X-R and F-R notes from Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC, a CLO managed by Aegon USA Investment Management LLC, a subsidiary of Aegon Ltd. that was originally issued in March 2022. At the same time, S&P withdrew its ratings on the previous class A loans and class A, B, C, D, and E notes following payment in full on the Jan. 8, 2025, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R loans and class A-R, B-R, and C-1R notes were issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-1R and E-R notes were issued at a higher spread over three-month SOFR than the existing debt. -- The replacement class C-1R and C-2R debt was issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- The replacement class D-1R and D-2R debt was paid sequentially and issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- The stated maturity, reinvestment period, and non-call period were extended by approximately 3.75 years. -- The non-call period was extended to Jan. 8, 2028. -- The reinvestment period was extended to Jan. 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 20, 2039. -- The target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- New class X-R debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $291,666.67, beginning on the July 2026 payment date. -- New class F-R debt was issued in connection with this refinancing. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Class X-R, $3.50 million: AAA (sf) Class A-R loans, $50.00 million: AAA (sf) Class A-R, $198.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-1R (deferrable), $16.00 million: A (sf) Class C-2R (deferrable), $8.00 million: A (sf) Class D-1R (deferrable), $20.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Class F-R (deferrable), $2.50 million: B+ (sf) Ratings Withdrawn Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Class A to NR from 'AAA (sf)' Class A loans to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Subordinated notes, $41.65 million: NR NR--Not rated. CIFC FUNDING 2015-IV: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the CIFC Funding 2015-IV, Ltd. reset transaction. RATING ACTIONS Rating Prior ------ ----- CIFC Funding 2015-IV, Ltd. A-1-R3 LT NRsf New Rating NR(EXP)sf A-2-R3 LT AAAsf New Rating AAA(EXP)sf B-R3 LT AAsf New Rating AA(EXP)sf C-R3 LT Asf New Rating A(EXP)sf D-1-R3 LT BBB-sf New Rating BBB-(EXP)sf D-2-R3 LT BBB-sf New Rating BBB-(EXP)sf E-R3 LT BB-sf New Rating BB-(EXP)sf 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. The transaction, rated by Fitch, originally closed in 2015 and underwent its first reset in 2019, followed by a second reset in 2021. On the third refinancing date, all notes will be refinanced in full, except the subordinated notes. Net proceeds from the issuance of the secured notes, 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, 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. CPS AUTO 2026-A: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by CPS Auto Receivables Trust 2026-A (CPS 2026-A or the Issuer): -- 155,520,000 Class A Notes at (P) AAA (sf) -- 47,790,000 Class B Notes at (P) AA (sf) -- 58,360,000 Class C Notes at (P) A (sf) -- 38,440,000 Class D Notes at (P) BBB (sf) -- 45,500,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. -- The 2026-A transaction will not include a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 19.00% for the transaction based on the Cutoff Date pool composition. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (4) CPS' capabilities with regard to originations, underwriting (UW), and servicing. -- Morningstar DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 56.90% of initial hard credit enhancement provided by the subordinated notes in the pool (53.90%), the reserve account (1.00%), and OC (2.00%). The ratings on the Class B, C, D, and E Notes reflect 43.35%, 26.80%, 15.90%, and 3.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2026-CES1: Fitch Assigns B(EXP) Rating on Class B2 Certs ------------------------------------------------------------- Fitch Ratings has assigned expected ratings to EFMT 2026-CES1. RATING ACTIONS EFMT 2026-CES1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties to be issued by EFMT 2026-CES1, as indicated above. This is the sixth transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The transaction is scheduled to close on or about Jan. 15, 2026. The pool consists of 2,802 newly originated performing CES loans with a current outstanding balance (as of the cutoff date) of $221.81 million. The loans in the pool are mainly originated by loanDepot.com, LLC (47.12%), PennyMac Loan Services, LLC (33.29%) and Newrez LLC (12. 81%). The remainder of the mortgage loans were originated by six other third-party originators that, in each case, originated less than 10.00% of these loans. The loans are serviced by the following servicers: loanDepot.com (Acceptable) for 47.12% of the loans; PennyMac Loan Services (RPS2/Stable), for 33.29%; and Cornerstone Home Lending (RPS3/Stable), for 19.58%. Nationstar Mortgage LLC (RMS1-/Stable) is the master servicer. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates, with respect to any distribution date prior to the distribution date in January 2030, will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates; or (ii) the net weighted average coupon (WAC) for such distribution date. In and after January 2030, the pass-through rate will be a per annum rate equal to the lower of (i) the sum of (a) the applicable fixed rate s for such class of certificates and (b) the step-up rate (1.0%); or (ii) the net WAC rate for the related distribution date. The pass-through rate on class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates; or (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Credit Risk of High-Quality, Prime, CES 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. The loans are seasoned at an average of seven months, according to Fitch, and six months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 737, which is indicative of very high credit-quality borrowers. About 38.6% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (cLTV) of 65.96% translates to a sustainable loan-to-value ratio (sLTV) of 73.68%. Of the pool, 99.50% of the loans are owner occupied, 0.50% are second homes and 0.00% are investor homes. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 97.48% of the pool; condos make up 2.43% and multifamily homes make up 0.09%. The pool consists of 99.27% cashout refinances (cashouts), 0.22% rate refinances and 0.52% purchase loans (based on Fitch's analysis of the pool and per the transaction documents). Fitch only considers loans a cashout if the cashout amount is greater than 2% of the original balance. EFMT 2026-CES1 has a final probability of default (PD) of 18.59% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 98.12%. The expected loss in the 'AAAsf' rating stress is 18.24%. Structural Analysis: Sequential Structure with 180-Day Chargeoff Feature/Best Execution and No DQ P&I Advancing: The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes pro rata, and then, sequentially, to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and, once class A-2 is written off, class A-1B will take losses first, and then A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge off, such mortgage loan (based on an equity analysis review performed by the servicer) if such review indicates no significant recovery is likely in respect of such mortgage loan. Fitch views the servicer conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans as a positive, as the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. The servicer deciding to write off the losses at 180 days would compare favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. The servicer will not be advancing delinquent (DQ) P&I on the loans; as a result, principal may need to be used to pay interest on the bonds, which may place additional stress on the structure. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all the loans in the transaction and resulted in all loans receiving grades of "A" or "B". 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 EFMT 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 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 EFMT 2026-CES1, and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 10.25%, in the base case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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. ELDRIDGE CLO 2025-2: Moody's Assigns B3 Rating to $250,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued and two classes of loans incurred by Eldridge CLO 2025-2, Ltd. (the Issuer or Eldridge 2025-2): Up to US$270,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$50,000,000 Class A-1A Loans maturing 2039, Assigned Aaa (sf) US$59,000,000 Class A-1B Loans maturing 2039, Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes and loans listed above are referred to herein, collectively, as the Rated Debt. On the closing date, the Class A-1 Notes and the Class A-1B Loans have a principal balance of $211,000,000 and $59,000,000, respectively. At any time, the Class A-1B Loans may be converted, in whole or in part, into Class A-1 Notes, thereby decreasing the principal balance of the Class A-1B Loans and increasing the principal balance of the Class A-1 Notes by the corresponding amount. The aggregate principal balance of the Class A-1 Notes and Class A-1B Loans will not exceed $270,000,000 less the amount of any principal repayments. The Class A-1A Loans may not be exchanged or converted into notes at any time. 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. Eldridge 2025-2 is a managed cash flow CLO. The issued debt 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 or permitted non-loan assets. The portfolio is approximately 95% ramped as of the closing date. Eldridge CLO Manager, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, 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 debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2898 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. EXETER AUTOMOBILE 2026-1: S&P Assigns (P) B (sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter 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. 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.20%, 49.97%, 41.63%, 31.27%, 25.14%, and 23.16% 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, E, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, 1.20x, and 1.10x coverage of S&P's expected cumulative net loss of 20.75% for classes A, B, C, D, E, and N, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)' and 'B (sf)' ratings on the class A, B, C, D, E, and N notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2026-1 Class A-1, $94.20 million: A-1+ (sf) Class A-2, $241.00 million: AAA (sf) Class A-3, $226.42 million: AAA (sf) Class B, $118.51 million: AA (sf) Class C, $123.00 million: A (sf) Class D, $162.31 million: BBB (sf) Class E, $103.34 million: BB- (sf) Class N(i), $30.00 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. GALLATIN VIII 2017-1: Moody's Cuts $17.3MM E-R Notes Rating to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Gallatin CLO VIII 2017-1, Ltd.: US$32,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2031 (the "Class B-1-R Notes"), Upgraded to Aaa (sf); previously on Dec 28, 2021 Assigned Aa1 (sf) US$6,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2031 (the "Class B-2-R Notes"), Upgraded to Aaa (sf); previously on Dec 28, 2021 Assigned Aa1 (sf) US$22,000,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C-1-R Notes"), Upgraded to Aa2 (sf); previously on Dec 4, 2023 Upgraded to A1 (sf) US$7,000,000 Class C-2-R Deferrable Mezzanine Fixed Rate Notes due 2031 (the "Class C-2-R Notes"), Upgraded to Aa2 (sf); previously on Dec 4, 2023 Upgraded to A1 (sf) Moody's have also downgraded the ratings on the following notes: US$17,300,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on Dec 4, 2023 Downgraded to Ba3 (sf) US$10,500,000 Class F-R Deferrable Mezzanine Fixed Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to Caa3 (sf); previously on Sep 9, 2024 Downgraded to Caa2 (sf) Gallatin CLO VIII 2017-1, Ltd., originally issued in October 2017 and refinanced in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2025. The Class A-1-R notes have been paid down by approximately 26.4% or $62.3 million since January 2025. Based on the trustee's November 2025 report [1], the OC ratios for the Class B-2-R and Class C-2-R notes are reported at 143.98% and 127.46%, respectively, versus November 2024 [2] levels of 132.34% and 131.38%, respectively. The downgrade rating actions on the Class E-R and Class F-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. The trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are currently [3] 3211 and 3.44%, respectively, compared to 3022 and 3.56%, respectively, in November 2024 [4]. No actions were taken on the Class A-1-R, Class A-2-R, Class D-1-R, and Class D-2-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $323,403,356 Defaulted par: $3,631,286 Diversity Score: 41 Weighted Average Rating Factor (WARF): 3075 Weighted Average Spread (WAS): 3.18% Weighted Average Coupon (WAC): 5.66% Weighted Average Recovery Rate (WARR): 47.09% Weighted Average Life (WAL): 3.19 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. GREENPOINT MORTGAGE 2007-AR1: Moody's Ups 2-A1A Certs Rating to Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds issued by Greenpoint Mortgage Funding Trust 2007-AR1. The collateral backing this deal consists of option ARM mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Greenpoint Mortgage Funding Trust 2007-AR1 Cl. 2-A1A, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded to B3 (sf) Cl. 2-A1B, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. 3-A3, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. The rating upgrade of Class 2-A1A, which is not expected to take a loss, is a result of the improving performance of the related pool, and an increase in credit enhancement available to this bond. The rest of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action was taken on the other rated class in this deal because its expected loss remains commensurate with its 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. GS MORTGAGE 2014-GC22: Moody's Cuts Rating on 2 Tranches to Caa1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes in GS Mortgage Securities Trust 2014-GC22, Commercial Mortgage Pass-Through Certificates, Series 2014-GC22 as follows: Cl. A-5, Downgraded to Aa2 (sf); previously on Apr 15, 2025 Affirmed Aaa (sf) Cl. A-S, Downgraded to Baa3 (sf); previously on Apr 15, 2025 Downgraded to Baa1 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Apr 15, 2025 Downgraded to B2 (sf) Cl. C, Downgraded to C (sf); previously on Apr 15, 2025 Downgraded to Caa3 (sf) Cl. X-A*, Downgraded to Baa2 (sf); previously on Apr 15, 2025 Downgraded to A2 (sf) Cl. X-B*, Downgraded to Caa1 (sf); previously on Apr 15, 2025 Downgraded to B2 (sf) Cl. PEZ, Downgraded to Caa2 (sf); previously on Apr 15, 2025 Downgraded to B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were downgraded primarily due to higher losses and increased interest shortfall risks as a result of the significant exposure to specially serviced and troubled loans. Four of the five remaining loans (67% of the pool) are in special servicing and all four have been deemed non-recoverable by the master servicer. As a result, Cl. B and Cl. C did not receive any interest proceeds and Cl. A-S had a minor cumulative interest shortfall of $15,741 as of the December 2025 remittance date. Furthermore, the sole non-specially serviced loan, the Maine Mall representing 33% of the pool, was previously modified. The loan remains current on its monthly debt service payments, however, the property's value and cash flow remain significantly lower than at securitization and if performance does not materially improve, the loan will likely face heightened refinance risk at its extended maturity date in April 2028 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. A-5 did not have any interest shortfalls as of the December 2025 remittance date, however, there would be higher risks of interest shortfalls if the Maine Mall loan becomes delinquent or is unable to payoff at its extended maturity date. The rating on the IO class, Cl. X-A, was downgraded due to a decline in the credit quality of its referenced classes and from principal paydowns of higher quality reference classes. The rating on the IO class, Cl. X-B, was downgraded due to the decline in the credit quality of its reference class. The rating on the exchangeable class, Cl. PEZ, was downgraded due to a decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 47.3% of the current pooled balance, compared to 41.3% at Moody's last review. Moody's base expected loss plus realized losses is now 17.5% of the original pooled balance, compared to 15.8% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 67% of the pool is in special servicing and Moody's have identified an additional troubled loan representing 33% of the pool. 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 loans 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 views 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 67% to $313.8 million from $961.5 million at securitization. The certificates are collateralized by five mortgage loans, all of which have now passed their original maturity dates and four loans, constituting 67% of the pool, are in special servicing and have been deemed non-recoverable by the master servicer. The specially serviced loans have cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $6.0 million. One loan has been liquidated from the pool, contributing to an aggregate realized loss of $19.7 million. As of the December 2025 remittance statement cumulative interest shortfalls were $12.1 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 Selig Office Portfolio loan ($97.6 million – 31% of the pool), which represents a pari passu portion of a $233 million mortgage loan. The loan is secured by a portfolio of seven office properties, totaling 1.1 million square feet (SF), all located in the Seattle, Washington area. The loan transferred to special servicing in March 2024 and the loan failed to payoff at its May 2024 maturity date. Servicer commentary indicates that previous attempts to close proposed modifications failed due to the borrower's inability to raise capital. A receiver was appointed in March 2025, and the loan became REO in November 2025. The receiver hired a new leasing team to actively renew existing tenants and market the vacant spaces for lease. Servicer commentary indicated the portfolio was 56% leased as of October 2025, compared to 60% in 2024 and 91% at securitization. An updated appraisal from February 2025 valued the property 55% below the value at securitization and 27% below the outstanding loan balance. The loan was last paid through June 2025 and has been deemed non-recoverable by the servicer. The second largest specially serviced loan is the EpiCentre loan ($85.0 million -- 27% of the pool), which is secured by an approximately 300,000 SF mixed-use property located in the commercial business district (CBD) of Charlotte, North Carolina. The loan has been in special servicing since March 2021 and has been in REO status since September 2022. Servicer commentary indicated the property was 36% leased in October 2025, compared to 35% in 2023 and 90% at securitization. An updated appraisal from January 2025 valued the property 43% below the value at securitization and 12% below the outstanding loan balance. The loan was last paid through December 2021 and has been deemed non-recoverable by the servicer. The third largest specially serviced loan is the Maccabees Center loan ($17.2 million – 5.5% of the pool), which is secured by the borrower's fee simple interest in a 360,280 SF office building located in Detroit, Michigan. The loan transferred to special servicing in November 2023, and a receiver was appointed in August 2024. Servicer commentary indicated the property was only 28% leased as of October 2025, compared to 31% in 2024 and 81% at securitization. The most recent appraisal value from November 2024 valued the property 44% below the outstanding loan balance. The loan was last paid through October 2023 and has been deemed non-recoverable by the servicer. The remaining specially serviced loan is the Westwood Plaza loan ($9.7 million – 3.1% of the pool), which is secured by a 201,712 SF shopping center located in Johnstown, Pennsylvania. The loan has been in special servicing since May 2019 and became REO in May 2022. The property's revenue has been insufficient to cover operating expenses and the loan was last paid through its December 2021 payment date. Moody's have also assumed a high default probability for the sole performing loan, the Maine Mall loan ($104.3 million -- 33% of the pool), which represents a pari passu portion of a $223 million mortgage loan. The loan is secured by a 730,444 SF component of a 1.0 million SF super-regional mall located in Portland, Maine. The mall contains four anchors, which include Macy's, J.C. Penney, Jordans Furniture (former Bon-Ton) and Best Buy. Macy's is not part of the collateral for the loan and J.C. Penney is under a ground lease. Property performance has steadily declined since 2016 and the December 2024 reported NOI was 17% lower than in 2014. The loan transferred to special servicing in February 2024 and was unable to payoff at its original April 2024 loan maturity. The loan was modified and extended in August 2025, with a new maturity date in April 2028. As part of the modification, the loan was brought current and a working capital reserve was established whereby 50% of the excess cash flow, up to $10 million, will fund the reserve and the other 50% will be applied as principal paydown. As of June 2025, the collateral was 94% leased, unchanged from 2024 and compared to 98% at securitization. The property is generating sufficient cash flow to cover debt service and the loan remains current as of the December 2025 remittance report. However, based on recent performance trends Moody's anticipates the loan will face heightened refinance risk at its extended maturity. Moody's estimates an aggregate $148 million loss (47% expected loss on average) for the specially serviced and troubled loans that remain in the pool. GS MORTGAGE 2014-GC24: DBRS Confirms BB Rating on Class C Certs --------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC24 issued by GS Mortgage Securities Trust 2014-GC24 as follows: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class B at A (sf) -- Class C at BB (sf) -- Class PEZ at BB (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) Morningstar DBRS also changed the trends on Class C and PEZ to Negative from Stable. The trend on Class A-S, B, X-A, and X-B is Stable. Classes D, E, F, and X-C have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' ultimate recoverability expectations for the remaining loans. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis for the remaining loans, the results of which suggest that, even in a conservative scenario, realized losses would be contained to the Class D certificate. As of the December 2025 remittance, the aggregate transaction balance of $299.6 million represents a collateral reduction of 72.1% since issuance, with only four loans remaining in the pool, three of which, representing 70.9% of the pool balance, are in special servicing. In addition to the concerns surrounding the specially serviced loans, Morningstar DBRS notes increased risks with the pool's second-largest loan, Beverly Connection (Prospectus ID#3; 29.1% of the pool balance), which recently returned to the master servicer after the execution of a loan modification. If the loan fails to repay at its July 2026 maturity date, and/or should the As-Is values for the underlying collateral backing the defaulted loans deteriorate further, the Class C certificate may be more susceptible to interest shortfalls as a result of accumulating appraisal subordination entitlement reduction amounts, outstanding advances, and other expenses/fees. These factors form Morningstar DBRS' primary rationale for the Negative trend on the Class C certificate with this review. The Stamford Plaza Portfolio loan (Prospectus ID#1; 41.9% of the current pool) is secured by four Class A office properties totaling 982,483 square feet (sf) in the central business district (CBD) of Stamford, Connecticut. The trust debt of $125.6 million is a pari passu portion of the $242.3 million whole loan. The loan transferred to special servicing in September 2024 for maturity default. The portfolio was 66.0% occupied as of September 2025, which has remained relatively unchanged since 2018 and is significantly less than issuance levels. Similarly, the debt service coverage ratio has remained significantly less than breakeven during the same period. Rollover risk is minimal, with leases representing approximately 6.0% of the net rentable area (NRA) rolling prior to YE2026. According to Reis, the Stamford CBD submarket reported a Q3 2025 vacancy rate of 26.4%, while properties with similar vintages had an average vacancy rate of 33.2% for the same period. The collateral was appraised at a value of $150.7 million in October 2024, a 64.7% decline from the issuance value of $427.2 million, implying a loan-to-value ratio (LTV) of 160.8% on the whole-loan balance of $242.3 million. As a result of the sustained performance declines, significant value reduction from issuance, and soft submarket fundamentals for office properties, Morningstar DBRS applied a 30.0% haircut to the most recent appraised value in the analysis, resulting in an implied loss of $76.5 million and a loss severity of 61.0%. The second-largest loan in the pool, Beverly Connection, is secured by a 334,566 sf power center in Los Angeles. Anchor tenants include Target, Nordstrom Rack, and Marshalls. The loan defaulted at its maturity in August 2024 and was subsequently modified, the terms of which included a maturity extension to July 2026. Payments have been made current, and the loan returned to the master servicer in September 2025. The property was 85.6% occupied as of June 2025 compared with a 98.0% occupancy rate at issuance. Net cash flow has trended upward over the last several years, with the figures for the annualized trailing six months ended June 30, 2025, and YE2024 relatively in line with issuance. The property was most recently appraised in December 2024 at a value of $193.0 million (reflecting an LTV in excess of 90.0%), less than the December 2023 and issuance appraised values of $214.0 million and $260.0 million, respectively. While the sponsor has shown its commitment to the collateral by negotiating a modification and bringing payments current, the high LTV implied by the most recent value suggests additional equity will be necessary in order to secure a replacement loan at its July 2026 maturity date. If the loan falls delinquent again and/or the collateral experiences another appraisal reduction, the increased propensity for interest shortfalls may result in downgrades to Classes C and PEZ, which currently carry a Negative trend. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ1: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PJ1 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ1: -- $216.6 million Class A-1 at (P) AAA (sf) -- $216.6 million Class A-2 at (P) AAA (sf) -- $216.6 million Class A-3 at (P) AAA (sf) -- $162.5 million Class A-4 at (P) AAA (sf) -- $162.5 million Class A-5 at (P) AAA (sf) -- $162.5 million Class A-6 at (P) AAA (sf) -- $130.0 million Class A-7 at (P) AAA (sf) -- $130.0 million Class A-8 at (P) AAA (sf) -- $130.0 million Class A-9 at (P) AAA (sf) -- $32.5 million Class A-10 at (P) AAA (sf) -- $32.5 million Class A-11 at (P) AAA (sf) -- $32.5 million Class A-12 at (P) AAA (sf) -- $86.7 million Class A-13 at (P) AAA (sf) -- $86.7 million Class A-14 at (P) AAA (sf) -- $86.7 million Class A-15 at (P) AAA (sf) -- $54.2 million Class A-16 at (P) AAA (sf) -- $54.2 million Class A-17 at (P) AAA (sf) -- $54.2 million Class A-18 at (P) AAA (sf) -- $28.8 million Class A-19 at (P) AAA (sf) -- $28.8 million Class A-20 at (P) AAA (sf) -- $28.8 million Class A-21 at (P) AAA (sf) -- $245.5 million Class A-22 at (P) AAA (sf) -- $245.5 million Class A-23 at (P) AAA (sf) -- $245.5 million Class A-24 at (P) AAA (sf) -- $54.2 million Class A-27 at (P) AAA (sf) -- $54.2 million Class A-29 at (P) AAA (sf) -- $54.2 million Class A-30 at (P) AAA (sf) -- $299.6 million Class A-X-1 at (P) AAA (sf) -- $216.6 million Class A-X-2 at (P) AAA (sf) -- $216.6 million Class A-X-3 at (P) AAA (sf) -- $216.6 million Class A-X-4 at (P) AAA (sf) -- $162.5 million Class A-X-5 at (P) AAA (sf) -- $162.5 million Class A-X-6 at (P) AAA (sf) -- $162.5 million Class A-X-7 at (P) AAA (sf) -- $130.0 million Class A-X-8 at (P) AAA (sf) -- $130.0 million Class A-X-9 at (P) AAA (sf) -- $130.0 million Class A-X-10 at (P) AAA (sf) -- $32.5 million Class A-X-11 at (P) AAA (sf) -- $32.5 million Class A-X-12 at (P) AAA (sf) -- $32.5 million Class A-X-13 at (P) AAA (sf) -- $86.7 million Class A-X-14 at (P) AAA (sf) -- $86.7 million Class A-X-15 at (P) AAA (sf) -- $86.7 million Class A-X-16 at (P) AAA (sf) -- $54.2 million Class A-X-17 at (P) AAA (sf) -- $54.2 million Class A-X-18 at (P) AAA (sf) -- $54.2 million Class A-X-19 at (P) AAA (sf) -- $28.8 million Class A-X-20 at (P) AAA (sf) -- $28.8 million Class A-X-21 at (P) AAA (sf) -- $28.8 million Class A-X-22 at (P) AAA (sf) -- $245.5 million Class A-X-23 at (P) AAA (sf) -- $245.5 million Class A-X-24 at (P) AAA (sf) -- $245.5 million Class A-X-25 at (P) AAA (sf) -- $54.2 million Class A-X-27 at (P) AAA (sf) -- $28.8 million Class A-X-28 at (P) AAA (sf) -- $54.2 million Class A-X-29 at (P) AAA (sf) -- $54.2 million Class A-X-30 at (P) AAA (sf) -- $7.2 million Class B-1 at (P) AA (low) (sf) -- $7.2 million Class B-X-1 at (P) AA (low) (sf) -- $7.2 million Class B-1A at (P) AA (low) (sf) -- $4.9 million Class B-2 at (P) A (low) (sf) -- $4.9 million Class B-X-2 at (P) A (low) (sf) -- $4.9 million Class B-2A at (P) A (low) (sf) -- $3.8 million Class B-3 at (P) BBB (low) (sf) -- $1.6 million Class B-4 at (P) BB (low) (sf) -- $637.0 thousand Class B-5 at (P) B (low) (sf) -- $216.6 million Class A-1L at (P) AAA (sf) -- $216.6 million Class A-2L at (P) AAA (sf) -- $216.6 million Class A-3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-1L, A-2L, and A-3L are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 5.95% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.70%, 2.15%, 0.95%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 251 loans with a total principal balance of $318,586,375 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value ratio for the portfolio is 73.1%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule, subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (44.4%) and other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (44.4%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (40.8%), and PennyMac Loan Services, LLC (14.8%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of the Class A-1, A-2, and A-3 notes, respectively. These classes are issued in the form of loans made by the investor instead of notes purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. HOME RE 2026-1: DBRS Gives Prov. B Rating on Class B1 Notes ----------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Insurance-Linked Notes, Series 2026-1 (the Notes) to be issued by Home Re 2026-1 Ltd. (HMIR 2026-1 or the Issuer): -- $72.4 million Class M-1A at (P) BBB (low) (sf) -- $96.6 million Class M-1B at (P) BB (high) (sf) -- $72.4 million Class M-1C at (P) BB (low) (sf) -- $57.9 million Class M-2 at (P) B (high) (sf) -- $24.1 million Class B-1 at (P) B (sf) The (P) BBB (low) (sf) credit rating reflects 5.00% of credit enhancement, provided by subordinated notes in the transaction. The (P) BB (high) (sf), (P) BB (low) (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 4.00%, 3.25%, 2.65%, and 2.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. HMIR 2026-1 is Mortgage Guaranty Insurance Corporation's (MGIC or the Ceding Insurer) eighth rated mortgage insurance (MI)-linked note (MILN) transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the Ceding Insurer pays to settle claims on the underlying MI policies. As of the Cut-Off Date, the pool of insured mortgage loans consists of 272,162 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, all loans have original loan-to-value ratios (LTVs) less than or equal to 100.0%, and have never been reported to the Ceding Insurer as two payment loan default. As of the Cut-Off Date, these loans have not been reported to be in payment forbearance plan. The mortgage loans have MI policies in-force in or after January 2022 and in or before March 2025. Approximately 3.9% (by balance) of the underlying insured mortgage loans in this transaction are not eligible to be acquired by Freddie Mac and Fannie Mae (GSEs or agencies). All but 10 loans are insured under the new master policy, that was introduced on March 1, 2020, to conform to government-sponsored enterprises' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements (PMIERs) guidelines (see the Representations and Warranties section for more detail). On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the Ceding Insurer. As per the agreement, the Ceding Insurer will get protection for the funded portion of the MI losses. In exchange for this protection, the Ceding Insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to at least Aaa-mf by Moody's or AAAm by S&P rated U.S. Treasury money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked Notes (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the Ceding Insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the Ceding Insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive principal payment if the non-senior coverage level exceeds the target credit enhancement. Similar to the recent MILN transactions, the target credit enhancement (CE) is tied to PMIERs capital requirement. As of the Closing Date, if non-senior coverage level does not exceed the target CE, the rated classes will not receive principal payments from the first Payment Date. The required PMIERs capital amount is initially set based on loan-level risk characteristics such as LTV, credit score, purpose, documentation standard, DTI, amortization term, etc. As mortgage loan seasons, this required PMIERs capital amount will adjust based on the underlying mortgage loan performance. If the mortgage loan is current or less than 60-days delinquent (the Performing Mortgage Loan), the required PMIERs capital amount will be reduced based on loan age. However, if the mortgage loan is greater than or equal to 60-days delinquent (including FC/BK/pending claims) (the Non-Performing Mortgage Loan), the required PMIERs capital amount will be increased based on the number of months of missed payments and status of the MI claim (see the Cash Flow Structure and Features section for more detail). The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the Ceding Insurer must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the Ceding Insurer will establish a cash and securities account, the premium deposit account. In case of the Ceding insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The premium deposit account will not be funded at closing. The Ceding Insurer will make a deposit into this account up to the applicable target balance only when one of the following Premium Deposit Events occur (please refer to the related report for more details). The Notes are scheduled to mature in January 2036, but will be subject to early redemption at the option of the Ceding Insurer (1) for a 10% clean-up call or (2) on or following the payment date in January 2031, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Additionally, there is a provision for the Ceding Insurer to issue a tender offer to reduce all or a portion of the outstanding Notes. MGIC acts as the Ceding Insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2026-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HOMES 2026-NQM1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of seven months. The loans are secured by single-family residences, planned-unit developments, townhouse, two- to four-unit multifamily homes, condominiums, manufactured housing, and condotel properties to both prime and nonprime borrowers. The pool consists of 601 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), ability-to-repay (ATR) exempt loans, and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of Jan. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) HOMES 2026-NQM1 Trust Class A-1, $237,919,000: AAA (sf) Class A-1A, $206,490,000: AAA (sf) Class A-1B, $31,429,000: AAA (sf) Class A-2, $16,029,000: AA (sf) Class A-3, $31,115,000: A (sf) Class M-1, $11,472,000: BBB (sf) Class B-1, $8,171,000: BB (sf) Class B-2, $5,972,000: B (sf) Class B-3, $3,614,599: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. HUDSON YARDS 2025-SPRL: DBRS Confirms BB(high) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2025-SPRL issued by Hudson Yards 2025-SPRL Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its life cycle having closed in January 2025. The subject transaction is secured by the borrower's fee-simple interest and leasehold interest in The Spiral, a 2.8 million-square foot (sf), Class A trophy office building in New York City's Hudson Yards neighborhood. The property is in a mix of newer vintage commercial and residential developments, including popular neighborhood attractions, such as the Vessel, Edge Observation Deck, the High Line, The Shops & Restaurants at Hudson Yards, and Jacob K. Javits Convention Center. The whole loan of $2.85 billion consists of $2.1 billion of senior debt and $773.3 million of junior debt, with $1.9 billion of the senior debt and the entirety of the junior debt held in the trust. Loan proceeds were used to refinance existing debt, return equity to investors, fund upfront reserves, and cover closing costs. The interest-only (IO), fixed rate loan, was structured with a five-year term with a maturity date of January 2030 and no extension options. The loan is sponsored by a joint venture between Tishman Speyer and Henry Crown, both with extensive experience in commercial real estate. At issuance, the sponsor cashed out about $967.3 million but, based on the sponsor's cost basis of $3.59 billion, approximately $740.0 million of cash equity remain. As of September 2025, the property was 96.5% occupied, reflecting a slight increase from the issuance occupancy rate of 93.8%. The five largest tenants account for more than 70.0% of the net rentable area (NRA) with the earliest lease expiration in 2041. The majority of leases are held by long-term credit tenants and, as such, rollover risk is minimal throughout the term of the loan. For the trailing six-month period ended June 30, 2025, the property generated an annualized net cash flow (NCF) of $329.4 million, compared with the Morningstar DBRS NCF of $210.8 million. As the loan continues to season, Morningstar DBRS expects reported NCF figures to stabilize. With this review, Morningstar DBRS maintained its valuation from issuance, which was based on a capitalization rate of 6.25% and the Morningstar DBRS NCF noted above. The resulting Morningstar DBRS Value of $3.4 billion (a loan-to-value ratio (LTV) of 84.5%)) represents a variance of -19.2% from the issuance appraised value of $4.2 billion. Morningstar DBRS maintained total positive qualitative adjustments of 11.25% to the LTV Sizing Benchmarks to account for the property's premium quality, strong market fundamentals, and relatively low cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC 2017-JP6: DBRS Confirms B(low) Rating on Class FRR Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP6 issued by JPMCC Commercial Mortgage Securities Trust 2017-JP6 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BB (high) (sf) -- Class F-RR at B (low) (sf) -- Class G-RR at CCC (sf) Morningstar DBRS changed the trends on Classes E-RR and F-RR to Negative from Stable. Class G-RR is assigned a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. At the prior credit rating action, Morningstar DBRS downgraded its credit ratings on Classes B through Class E-RR primarily due to the high concentration of loans secured by office properties in non-core markets and the increased credit risks exhibited given the declining performance of those assets. Currently, loans backed by office properties represent more than half of the pool balance. Morningstar DBRS also had concerns with the second-largest loan in the pool, 211 Main Street (Prospectus ID#2; 11.4% of the pool), which is secured by an office property in San Francisco and the single tenant, Charles Schwab Corporation (Schwab), is expected to fully vacate at the end of its lease term. In addition, nearly 70.0% of the pool is scheduled to mature by mid-2027. Given the continued challenges with office properties and upcoming loan maturities, Morningstar DBRS changed the trend on Classes E-RR and F-RR to Negative from Stable. In its analysis for this review, Morningstar DBRS liquidated two of the three specially serviced loans from the trust, resulting in a projected loss of approximately $5.5 million. Additional loans demonstrating increased credit risk were assessed with stressed loan-to-value ratios (LTVs) and elevated probability of default (POD) assumptions, resulting in a moderate increase to the pool's overall adjusted expected loss (EL). As of the December 2025 remittance, 33 of the original 42 loans remain in the pool, with a trust balance of $554.5 million, representing a collateral reduction of 29.5% since issuance. Four loans, representing 7.9% of the current pool balance, are defeased. Twelve loans, representing 34.5% of the pool balance, are on the servicer's watchlist, the majority of which have been flagged for cash-trap trigger events and low debt service coverage ratios (DSCRs). The three loans in special servicing represent 6.3% of the pool balance. The pool is heavily concentrated by loans secured by office collateral, representing 52.6% of the pool balance. Retail and lodging properties represent 25.3% and 10.5% of the pool balance, respectively. The 211 Main Street loan is secured by a 417,266 square foot (sf) office building in downtown San Francisco. The property is solely occupied by Schwab on a lease through April 2028 after the loan was modified to provide a four-year maturity extension through April 2028. The modification also required the commencement of amortizing loan payments. After moving its headquarters to the Dallas-Fort Worth area in 2021, Schwab has significantly reduced its footprint to four floors from the 17 floors it previously occupied. Schwab has no termination options in its lease and continues to honor the lease terms. As a result, performance at the property has remained stable as evidenced by the reported net cash flow (NCF) and DSCR figures of $17.2 million and 1.85 times (x), respectively, at YE2024. San Francisco's South Financial District office submarket continues to exhibit weak fundamentals with the Q3 2025 vacancy rate reported at 24.7%, according to Reis. An updated appraisal from October 2024 valued the property at $152.0 million, significantly below the issuance value of $294.0 million. Given the elevated refinance risk, Morningstar DBRS conducted a dark value analysis, assuming Schwab does not renew its lease, resulting in a stressed value of $114.3 million and an LTV of 149.0% on the senior debt. Morningstar DBRS also applied an elevated POD assumption, resulting in an EL double the pool EL. The largest loan in the pool, 245 Park Avenue (Prospectus ID#1; 17.7% of the pool), is secured by a Class A office tower in the Grand Central submarket of Midtown Manhattan. The $1.2 billion whole loan has pari passu pieces securitized across five Morningstar DBRS-rated CMBS transactions: JPMDB 2017-C7, CGMT 2017-P8, JPMCC 2017-JP7, CSAIL 2017-C8, and DBJPM 2017-C6. SL Green Realty Corp. (SL Green) acquired the property and assumed the debt in late 2022 and subsequently sold a 50% stake to Mori Trust Co Ltd. for $1.0 billion in 2023, implying a property valuation of $2.0 billion at the time. According to the most recent financial reporting, the annualized NCF for the trailing nine months ended September 30, 2025, was $69.9 million (a DSCR of 1.57x), an increase from the YE2024 figure of $65.8 million (a DSCR of 1.47x) but significantly below the issuance figure of $109.6 million (a DSCR of 2.73x) respectively. Recent leasing activity at the property has been positive with Tradeweb Markets LLC signing a lease for 75,825 sf (4.3% of the NRA) at the property in September 2025 with a lease expiration in 2041. The largest tenants at the property, Societe Generale (30.4% of the NRA; lease expiration in 2032), Ares Management LLC (16.7% of the NRA; lease expiration in 2043), and Houlihan Lokey, Inc (10.6% of the NRA; lease expiration in 2034), are all signed to long-term leases. As of the September 2025 rent roll, the property was 92.7% occupied, an increase from the YE2024 and issuance occupancy rates of 85.1% and 91.0%, respectively. While operating performance has steadily improved in recent years, the decline in cash flow since issuance is notable and is primarily attributable to new and renewal leases being signed at lower rental rates. As such, Morningstar DBRS applied elevated LTV and POD adjustments in its analysis for this review. Given the adjustments were favorable compared with prior Morningstar DBRS analyses, the resulting loan EL was lower than the pool EL. Notes: All figures are in U.S. dollars unless otherwise noted. KINETIC SECURED 2026-1: Fitch Gives BB-(EXP) Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings expects to rate Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1 issued by Kinetic ABS Issuer LLC. RATING ACTIONS Rating ------ Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1 A-1-L LT A-(EXP)sf Expected Rating A-1-V LT A-(EXP)sf Expected Rating A-2 LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating Transaction Summary The Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1, issued by Kinetic ABS Issuer LLC (Kinetic), are a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network infrastructure. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from the operation of the collateral assets. The collateral network consists of the sponsor's enterprise fiber network, which includes approximately 502k passings and 165k subscribers across multiple counties in Georgia, Kentucky, Ohio, Texas and Arkansas. Fitch estimates that the securitized collateral represents approximately 30% of Kinetic's revenues from retail customers generated through fiber networks based on management-provided 2025 data. Fitch expects the transaction to feature an anticipated repayment date (ARD) structure whereby all tranches pay interest only until their five-year soft-bullet maturities. After the ARD, excess cash flow will amortize principal through the 30-year legal final maturity, with losses borne reverse-sequentially. The transaction incorporates an interest-only payment period framework and a liquidity reserve account. The expected ratings reflect Fitch's analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Uniti Group Inc. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $98.8 million, implying a 12.5% haircut to issuer estimated NCF. The overall debt multiple relative to Fitch's NCF is on the class A, B and C are 7.0x, 8.2x and 9.9x, respectively, vs versus the debt/issuer NCF leverage of 6.0x, 7.0x and 8.5x, respectively. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks, high subscriber retention rates, low geographical concentration, high historical barriers to entry, size and capability of the sponsor. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's base case NCF was 12.5% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of maximum potential leverage (MPL): class A-2 to 'BBB(EXP)sf' from 'A-(EXP)sf', class B to 'BB(EXP)sf' from 'BBB-(EXP)sf', and class C to 'B(EXP)sf' from 'BB-(EXP)sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'A(EXP)sf' from 'A-(EXP)sf', class B to 'A(EXP)sf' from 'BBB-(EXP)sf', and class C to 'BBB-(EXP)sf' from 'BB-(EXP)sf'. However, upgrades are unlikely given the provision for the issuer to issue additional notes, which would rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped at the 'Asf' category, given the risk of technological obsolescence. KKR CLO 9: Moody's Affirms B1 Rating on $27.9MM Class E-R Notes --------------------------------------------------------------- Moody's Ratings has upgraded ratings on the following notes issued by KKR CLO 9 Ltd.: US$33M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Sep 19, 2025 Upgraded to A1 (sf) Moody's have also affirmed the ratings on the following notes: US$54.8M (Current outstanding balance US$46,351,840) Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 19, 2025 Affirmed Aaa (sf) US$26.5M Class C-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 19, 2025 Affirmed Aaa (sf) US$27.9M Class E-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Sep 19, 2025 Affirmed B1 (sf) KKR CLO 9 Ltd., originally issued in September 2014 and last refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2025. The affirmations on the ratings on the Class B-R2, C-R2 and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R2 notes have been redeemed in full and Class B-R2 notes have paid down by approximately USD8.5 million (15.4% of original balance) since the last rating action in September 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated November 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 302.68%, 192.58%, 132.54% and 104.89% compared to July 2025[2] levels of 233.69%, 169.91%, 126.80% and 104.41%, respectively. Key model inputs: The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD147.2m Defaulted Securities: USD2.3m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3580 Weighted Average Life (WAL): 3.05 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.47% Weighted Average Recovery Rate (WARR): 46.18% Par haircut in OC tests and interest diversion test: 5.48% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MADISON PARK LXI: Moody's Assigns B3 Rating to $250,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding LXI, Ltd. (the Issuer): US$272,000,000 Class A-R Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of loans that are not senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $425,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2985 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MAGNETITE XXXI: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-R, and E-R debt from Magnetite XXXI Ltd./ Magnetite XXXI LLC, a CLO managed by BlackRock Financial Management Inc. that was originally issued in August 2021. At the same time, S&P withdrew its ratings on the previous class A-1-R, B-R, C-R, D-R, and E-R debt following payment in full on the Jan. 15, 2026, refinancing date. S&P also affirmed its rating on the class A-2 debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 15, 2026. -- No additional assets were purchased on the Jan. 15, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 15, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-R and E-R debt. However, we assigned our 'BBB- (sf)' and 'BB- (sf)' ratings on these replacement classes of debt, respectively, after considering the margin of failure, the relatively stable overcollateralization (O/C) ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all the rated classes to increase as principal is collected and the senior debt is paid down. Since the original transaction closed in August 2021, and using the effective date trustee report compared the current trustee report, there has been some par loss leading to a decline in O/C levels and a slight decline in weighted average recovery and weighted average spread. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $310.00 million: Three-month CME term SOFR + 1.00% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.30% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.55% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.35% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 4.50% Previous debt -- Class A-1, $310.00 million: Three-month CME term SOFR + 1.36% + CSA(i) -- Class B, $60.00 million: Three-month CME term SOFR + 1.91% + CSA(i) -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.16% + CSA(i) -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.26% + CSA(i) -- Class E (deferrable), $20.00 million: Three-month CME term SOFR + 6.26% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Magnetite XXXI Ltd./Magnetite XXXI LLC Class A-1-R, $310.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R, $30.00 million: A (sf) Class D-R, $30.00 million: BBB- (sf) Class E-R, $20.00 million: BB- (sf) Ratings Withdrawn Magnetite XXXI Ltd./Magnetite XXXI LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Rating Affirmed Magnetite XXXI Ltd./Magnetite XXXI LLC Class A-2: AAA (sf) Other Debt Magnetite XXXI Ltd./Magnetite XXXI LLC Subordinated Notes, $46.80 million: NR NR--Not rated. MORGAN STANLEY 2026-NQM1: S&P Assigns (P)'B' Rating in B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans primarily have a 30-year maturity. There are 13 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 832 loans backed by 832 properties, which are QM safe harbor (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Jan. 14, 2026, including the balances as per the printed term sheet dated Jan. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA); -- The mortgage and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1 Class A-1FCF, $105,000,000: AAA (sf) Class A-1LCF, $35,000,000: AAA (sf) Class A-1, $164,131,000: AAA (sf) Class A-1-A, $142,675,000: AAA (sf) Class A-1-B, $21,456,000: AAA (sf) Class A-2, $23,059,000: AA- (sf) Class A-3, $38,364,000: A- (sf) Class M-1, $13,119,000: BBB- (sf) Class B-1, $6,958,000: BB (sf) Class B-2, $7,553,000: B (sf) Class B-3, $4,373,870: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,879,420: NR Class R, $0.00: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $397,557,871. WAC--Weighted average coupon. NR--Not rated. MSC 2020-L4: Fitch Assigns B-sf Rating on Class G-RR Certs ---------------------------------------------------------- Fitch Ratings has affirmed 14 classes of MSC 2020-L4 commercial mortgage pass-through certificates, series 2020-L4. The Rating Outlook on class D has been revised to Stable from Negative. The Outlooks remain Negative on classes E, F, G-RR, X-D and X-F. RATING ACTIONS Rating Prior ------ ----- MSC 2020-L4 A-2 61770KAW5 LT AAAsf Affirmed AAAsf A-3 61770KAX3 LT AAAsf Affirmed AAAsf A-S 61770KBA2 LT AAAsf Affirmed AAAsf A-SB 61770KAV7 LT AAAsf Affirmed AAAsf B 61770KBB0 LT AA-sf Affirmed AA-sf C 61770KBC8 LT A-sf Affirmed A-sf D 61770KAE5 LT BBBsf Affirmed BBBsf E 61770KAG0 LT BBB-sf Affirmed BBB-sf F 61770KAJ4 LT BB-sf Affirmed BB-sf G-RR 61770KAL9 LT B-sf Affirmed B-sf X-A 61770KAY1 LT AAAsf Affirmed AAAsf X-B 61770KAZ8 LT A-sf Affirmed A-sf X-D 61770KAA3 LT BBB-sf Affirmed BBB-sf X-F 61770KAC9 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.7%, a slight increase from 4.4% at Fitch's prior rating action. Four loans (8.5%) have been designated as Fitch Loans of Concern (FLOCs), which includes one loan (2%) in special servicing. The affirmations and Outlook revision to Stable reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the potential for a future downgrade should performance of the FLOCs continue to deteriorate, primarily Haggerty Corridor Corporate Park, Four Research Drive and Commerce Building - San Diego. The pool has a high concentration of office properties at 28% of the pool balance. Largest Loss Contributors: The largest increase in loss expectations since Fitch's prior rating action and the largest overall contributor to loss is Haggerty Corridor Corporate Park (3.9%), which is secured by a portfolio of four suburban office properties located in Novi and Farmington Hills, MI. The loan has been designated as a FLOC due to a low DSCR. The servicer reported YE 2024 NOI DSCR was 0.97x compared with 1.05x at YE 2023, 1.28x at YE 2022 and 1.55x at YE 2023. As of June 2025, occupancy was 89% which is in line with the same period last year. The largest portfolio tenant is NGK Automotive Ceramics (5.4% of portfolio NRA; lease expires in August 2026). Fitch's 'Bsf' rating case loss of 18.8% (prior to concentration add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2024 NOI. The second largest overall contributor to loss is the Four Research Drive loan (2%), secured by a 161,517-sf office property located in Shelton, CT. The loan transferred to special servicing in July 2025 due to a monetary default after the property's largest tenant vacated most of its space, reducing its share of NRA from 44% to 11%. As of June 2025, the property was 46% occupied. According to servicer updates, workout discussions are ongoing. Fitch's 'Bsf' rating case loss of 31.7% (prior to concentration add-ons) reflects a 10.5% cap rate and a 10% stress to the YE 2024 NOI and an increased probability of default due to the loans transfer to special servicing. Credit Enhancement: As of the November 2025 distribution date, the transaction balance has been reduced by 1.6% to $816.9 million from $830 million at issuance. Twenty-nine loans (82% of the pool balance) are full-term Interest only, while all loans with partial IO periods have expired. Interest shortfalls of $53,287 are currently affecting the non-rated class H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not likely due to their position in the capital structure, sufficient CE relative to loss expectations and expected paydown from mainly non-FLOCs. However, downgrades may occur if interest shortfalls affect these classes. Downgrades to the junior classes rated 'AAAsf', 'AAsf' and 'Asf' may occur if performance of the FLOCs deteriorate further or if currently performing loans exhibit performance declines. These FLOCs include Haggerty Corridor Corporate Park, Four Research Drive, Northwest Crossing and Commerce Building - San Diego. Downgrades to classes rated 'BBBsf', 'BBsf', and 'Bsf' could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' classes may occur with significant improvement in CE and/or defeasance and with performance stabilization or improved recovery expectations on the FLOCs, primarily Four Research Drive, Haggerty Corridor Corporate Park and Commerce Building - San Diego. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'BBBsf' category rated classes, would occur with sustained improvement in pool performance coupled with stabilization of the FLOCs. Upgrades would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades of classes 'BBsf' and 'Bsf' are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE. NALP BUSINESS 2026-1: DBRS Gives Prov. BB Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (collectively, the Notes or Series 2026-1) to be issued by NALP Business Loan Trust 2026-1: -- $251,880,000 Class A Notes at (P) A (low) (sf) -- $35,880,000 Class B Notes at (P) BBB (sf) -- $6,840,000 Class C Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The collateral pool loans were sourced, reviewed, and underwritten relying on the same personnel and consistent with practices and on the terms utilized by Newtek for conforming SBA 7(a) loans. (2) For the Expected Final Pool, Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate of 41.43% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 37.62% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 30.50% is commensurate with the Class C Notes credit rating of (P) BB (sf). For the Closing Pool, Morningstar DBRS' stressed CNL hurdle rate of 43.67% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 39.71% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 32.17% is commensurate with the Class C Notes credit rating of (P) BB (sf). The Class A Notes and Class B Notes are rated to the timely payment of interest and ultimate payment of principal by the Maturity Date. The Class C Notes are rated to the ultimate payment of interest and ultimate payment of principal by the Maturity Date. -- Morningstar DBRS did not assign any credit to seasoning of the Closing Pool collateral for the Series 2026-1 transaction of approximately seven months as of the Initial Cut-Off Date (the weighted-average (WA) remaining term for the Closing Pool as of the same date was 273 months). -- Morningstar DBRS' stressed CNL hurdle rate was derived using the custom probability of default curve (PD Curve), which was input into the Morningstar DBRS CLO Insight Model. The WA expected cumulative gross default rate assumed by Morningstar DBRS as an input to the Morningstar DBRS CLO Insight Model for the Expected Final Pool was 35.29% and for the Closing Pool was 35.59%. -- Morningstar DBRS used a stressed recovery rate of 30.78% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 32.59% commensurate with a (P) BBB (sf) credit rating, and 35.87% commensurate with a (P) BB (sf) credit rating for the Expected Final Pool. For the Closing Pool, Morningstar DBRS used a stressed recovery rate of 28.73% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 30.29% commensurate with a (P) BBB (sf) credit rating, and 33.45% commensurate with a (P) BB (sf) credit rating. The recovery rate assumption was derived primarily based on the value of first-lien CRE and RRE as well as machinery and equipment and reserve accounts, as applicable. In some cases, limited recovery credit was given to the appraised value of land and to furniture and fixtures (FF&E) and other assets. No recovery credit was given to non-first-lien assets pledged as collateral, including CRE and RRE properties. (3) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Class A Notes, Class B Notes, and Class C Notes under two different default timing scenarios and with two different prepayment scenarios beginning in Year 3 for Class A and Class B Notes and in Year 4 for Class C Notes for both the Expected Final Pool and the Closing Pool. (4) The transaction's capital structure and form and sufficiency of available credit enhancement. Overcollateralization, subordination, cash held in the Reserve Account and CIA, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the credit ratings on the Class A Notes, Class B Notes, and Class C Notes. -- The initial overcollateralization as of the closing date will be equal to 13.80% of the aggregate collateral loan balance. -- The replenishable cash Reserve Account will be funded at 2.00% of the initial Pool Balance. -- The WA coupon for the collateral pool was approximately 12.73% as of the Initial Cut-Off Date for the Closing Pool. As the prefunding loans are already identified, the WA coupon is expected to increase slightly to 12.74% following the end of the Prefunding Period. All of the loans are floating rate, with the interest rates resetting periodically on the respective Adjustment Date. On each Adjustment Date, the loan rate will be adjusted to equal the sum of the related index and a fixed percentage amount (the Gross Margin). As of the Initial Cut-Off Date for the Closing Pool, the WA number of months until the next Adjustment Date was approximately 54, ranging from zero to 60 months. In its stressed cash flow scenarios, Morningstar DBRS assumed the current loan rate for each loan until its respective Adjustment Date. After that, the loan rate was the index for each loan as determined by the Morningstar DBRS interest rate curves, plus the Gross Margin. (5) The collateral for the transaction is represented by a discrete, amortizing pool of loans; however, the transaction includes an approximately three-month Prefunding Period, during which already-identified business loans are expected to be added. These business loans comprise loans to 10 obligors with a total original loan balance of approximately $57.40 million. The Prefunding Period will begin on the closing date and ends on the earlier of (1) the day 90 days after closing Date, (2) the occurrence of a Trigger Event, and (3) the occurrence and continuance of an unwaived Indenture Default. -- The prefunded loans are all floating rate and have a WA original term of 276 months. Four of those prefunded business loans are to businesses that have been in business for at least 15 years. The prefunded business loans have been in business for seven years on a weighted average basis. The prefunded business loans account for 16.79% of the current collateral balance for the Expected Final Pool. (6) The Expected Final Pool comprises 65 loans to 65 obligors. Other collateral, including but not limited to enterprise value and business valuation, account for approximately 57.2% of the primary collateral type, with CRE accounting for approximately 33.0% of the primary collateral type (as classified by Newtek) as of the Initial Cut-Off Date. Other primary collateral types include residential real estate (RRE) accounting for only approximately 7.6% of the primary collateral, and machinery and equipment at 2.2% of the primary collateral. -- Loans representing approximately 36.7% of the collateral pool have a current loan-to-value ratio (LTV) (as determined by Newtek and adjusted for prior liens) of between 50% and 80%. Loans representing about 83.4% of the aggregate collateral loan balance have a current LTV of 70% or below. -- Florida, New York, and Texas represented the three largest geographical concentrations at approximately 16.5%, 13.2%, and 13.0%, respectively, of the aggregate collateral loan balance of the Expected Final Pool. The top three obligors in the collateral pool accounted for approximately 15.8% of the total current collateral loan balance of the Closing Pool as of the Initial Cut-Off Date. The largest loans (three loans with $15 million balances) each account for approximately 13.2% of the aggregate current borrower balance for the Expected Final Pool. Approximately 41.5% of the aggregate current collateral loan balance of the Expected Final Pool was represented by borrowers in the food services and drinking places (17.6%), ambulatory health care services (17.4%), and nursing and residential care services (6.5%) industries. (7) Morningstar DBRS completed an operational risk review of the Company. Newtek is an experienced sponsor of asset-backed securities (ABS) backed by nonguaranteed interests in SBA 7(a) small business loans. As a result of the review, the Company is to be deemed an acceptable originator and servicer of small business loan transactions rated by Morningstar DBRS. Separately, U.S. Bank will be the "warm" back-up servicer on the transaction. (8) The transaction is supported by an established structure and is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Legal opinions covering true sale and nonconsolidation will also be provided. (9) 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. Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest on the Class A, Class B, and Class C Notes, and Carryforward Interest on the Class A, Class B, and Class C Notes (other than the portion of Carryforward Interest attributable to interest on unpaid Current Interest with respect to the Class A and Class B Notes); and the Class Principal Amount on the Class A, Class B, and Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. NAVESINK CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-J-R, and E-R debt and new class X-R debt from Navesink CLO 2 Ltd./Navesink CLO 2 LLC, a CLO managed by ZAIS Leveraged Loan Master Manager LLC, a subsidiary of ZAIS Group LLC, that was originally issued in April 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D-1, D-J, and E debt following payment in full on the Jan. 15, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-J-R debt was issued at a fixed coupon, replacing the current floating spread. -- The non-call period was extended to July 15, 2027. -- The reinvestment period was extended to Jan. 15, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were amended to Jan. 15, 2036. -- The target initial par amount remains at $400 million, and there was no additional effective date or ramp-up period. The first payment date following the refinancing is April 15, 2026. -- New class X-R debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $400,000, beginning on the first payment date following the refinancing. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Navesink CLO 2 Ltd./Navesink CLO 2 LLC Class X-R, $4.00 million: AAA (sf) Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $28.00 million: AAA (sf) Class B-R, $36.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-J-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $11.00 million: BB- (sf) Ratings Withdrawn Navesink CLO 2 Ltd./Navesink CLO 2 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf) Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-J to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Navesink CLO 2 Ltd./Navesink CLO 2 LLC Subordinated notes, $32.00 million: NR NR--Not rated. OHS ISSUER 2026-1: Moody's Assigns (P)Ba3 Rating to Class B Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two series of notes, Series 2026-1 and Series 2026-2 (together the 2026 notes) to be issued by OHS Issuer, LLC, an indirect wholly owned subsidiary of Lakehouse BidCo Inc. (the parent). American Water Resources, LLC, doing business as Oncourse Home Solutions (Oncourse) an affiliate of the issuer and the parent, will serve as the transaction's manager and AlixPartners, LLP (AlixPartners, B1 stable) will be the backup manager. The transaction will be backed by Oncourse's current and future customer warranty agreements, partner agreements, and contractor agreements. Cash flows from existing and future customer warranty agreements will be used to repay the notes. For the 12 months ending August 31, 2025, the securitized pool generated about $525 million in revenue, $355 million in retained revenue, and $220 million in pro forma securitized net cash flows (SNCF). Oncourse, founded in 1992, provides home infrastructure warranties for single-family homes across the US. Its two main products are (i) exterior service line warranties, covering repair or replacement of private service lines (e.g., water pipes from the street to the home), and (ii) interior home system and appliance warranties, covering systems such as HVAC and plumbing and appliances such as washers and dryers. Oncourse primarily originates warranties through partnerships with utilities and municipalities. As of August 2025, it managed over three million warranty plans for about 1.9 million customers in 43 states and Washington, D.C., with about 88% of the revenue coming from partner channels. Customers' claims are ultimately serviced through a nationwide network of more than 600 third party contractors. The complete rating actions are as follows: Issuer: OHS Issuer, LLC Series 2026-1 Floating Rate Senior Secured Liquidity Funding Notes, Class A-1-L, Assigned (P)Baa1 (sf) Series 2026-1 Floating Rate Senior Secured Variable Funding Notes, Class A-1-V, Assigned (P)Baa2 (sf) Series 2026-1 Fixed Rate Senior Secured Term Notes, Class A-2, Assigned (P)Baa2 (sf) Series 2026-1 Fixed Rate Senior Secured Term Notes, Class B, Assigned (P)Ba3 (sf) Series 2026-2 Fixed Rate Senior Secured Term Notes, Class A-2, Assigned (P)Baa2 (sf) Series 2026-2 Fixed Rate Senior Secured Term Notes, Class B, Assigned (P)Ba3 (sf) TRANSACTION SUMMARY The notes will be issued out of a master trust. The maximum commitment amount of the floating rate senior secured liquidity funding notes, class A-1-L (the LFN), will be $25 million, and the maximum commitment amount of the floating rate senior secured variable funding notes, class A-1-V (class A-1 VFN), will be $300 million, of which $50 million will be drawn at closing. The series 2026-1 class A-2 and class B term notes balances are expected to be $670 million and $65 million, respectively. Finally, the series 2026-2 class A-2 class B term notes balances are expected to be $600 million and $65 million, respectively. The anticipated repayment date (ARD) for Series 2026-1 class A-2 term notes, class B term notes and class A-1 VFN will be in January 2031, and the ARD for Series 2026-2 class A-2 term notes and class B term notes will be in January 2033. The legal final maturity date for the 2026 notes will be in January 2061. RATINGS RATIONALE The ratings on the 2026 notes are primarily based on: i. Sponsor and manager strength: The ratings reflect the creditworthiness, experience, and expertise of American Water Resources, LLC (Oncourse), which maintains long-term relationships with its partners and contractors. ii. Diversified and stable customer base: Oncourse benefits from a large, geographically diverse pool of customers. Revenue and margins are stable and predictable, driven by partnerships with utilities and municipalities and homeowner's demand for warranty products. Customer contracts are annual with monthly payments, allowing customers to switch providers at anytime; however, historical churn rates have been very low (around 1% per month), reflecting strong customer loyalty. iii. Limited linkage to manager performance: The performance of the securitized assets is relatively insulated from the manager's direct actions. Most customers are billed through their utility or municipality, and the majority of claims are serviced by third-party contractors. iv. Robust transaction structure: The transaction features a 35-years legal final maturity, providing a long horizon for principal repayment. Liquidity is supported by a funded reserve account and a letter of credit, together covering three months of expected claims payments, interest, and senior fees. Debt service coverage ratio and leverage ratio triggers further protect bondholders. v. Back-up management: Alix Partners will serve as back-up manager, assisting the controlling class representative in finding a successor manager. Additional third parties are available to manage and administer the collateral if needed. vi. Leverage constraints: The transaction is expected to have a relatively high initial senior leverage ratio of about 6.0x SNCF. There will be constraints on additional leverage after closing both at the issuer and the parent levels. At closing, the parent will not have any debt other than the securitization debt. However, the parent could incur debt that could weakens its credit profile. vii. Cash flow model strength: The cash flow model demonstrates strong performance under stress scenarios, withstanding significant reductions to the most recent 12 months' revenue and still paying off at the recommended ratings in less than 15 years under most scenarios. The ratings also reflect the waterfall structure and pari passu ranking of the senior classes A-1 VFN and A-2 term notes after an event of default. viii. Seniority of the LFN: The ratings of the LFN are based on its relatively small size, and its senior position in the priority of payments at all times, while factoring in the overall reliance on Oncourse to manage the transaction. The rating analysis also reflects Moody's considerations of other key risks to the transaction, which include: i. Manager durability: The manager's durability is relatively low but benefits from the manager's strong track record. ii. Partnership disruption risk: Revenue is closely tied to exclusive partnerships established via revenue-sharing agreements with over 35 partners. Approximately 70% of revenue is generated through on-bill channels. Disruption or non-renewal of a partnership would require changes to billing methods and create the risk of increased customer churn due to short contract terms. iii. Revenue concentration: As of August 2025, a significant share of the total revenue was attributable to the top five partners, indicating concentration risk. The credit quality of these top partners is strong, which mitigates some risk. iv. Revenue-sharing changes: Partners typically receive a share of the revenue under revenue-sharing agreements. If a partner demands a significant increase in its share, revenue and net cash flows available to bondholders would decline. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Operating Company Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings include (1) if collections or performance metrics materially exceed initial projections, or (2) an improvement in the credit quality of the sponsor/manager. Down Factors that could lead to a downgrade of the ratings include (1) A deterioration in the credit quality or bankruptcy of the sponsor/manager or sponsor's parent, (2) collections or performance metrics that underperform initial expectations, or (3) other reasons for worse-than-expected performance, including error on the part of transaction parties, or inadequate transaction governance. PALMER SQUARE 2023-3: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-R-2, and E-R debt and proposed new class D-R-1 debt from Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC, a CLO managed by Palmer Square Capital Management LLC that was originally issued in December 2023. The preliminary ratings are based on information as of Jan. 13, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 20, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-R-2, and E-R debt and proposed new class D-R-1 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement new class A-R, B-R, C-R, D-R-2, and E-R debt is expected to be issued at a lower spread than the existing debt. -- No additional subordinated notes will be issued on the refinancing date. -- The non-call period will be extended to Jan. 20, 2028. -- The reinvestment period will be extended to Jan. 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to Jan. 20, 2039. -- No additional assets will be purchased on the Jan 20, 2026, refinancing date, and the target initial par amount will remain at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be April 20, 2026. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC Class A-R, $320.000 million: AAA (sf) Class B-R, $60.000 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-R-1 (deferrable), $25.000 million: BBB (sf) Class D-R-2 (deferrable), $7.500 million: BBB- (sf) Class E-R (deferrable), $16.250 million: BB- (sf) Other Debt Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC Subordinated notes, $40.235 million: NR NR--Not rated. PMT LOAN 2026-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV1, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. Issuer: PMT Loan Trust 2026-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-34X*, Assigned (P)Aaa (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.69%, in a baseline scenario-median is 0.41% and reaches 7.17% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-J1: DBRS Gives Prov. B(low) Rating on Class B5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-J1 (the Notes) to be issued by PMT Loan Trust 2026-J1 (PMTLT 2026-J1 or the Trust) as follows: -- $312.6 million Class A-1 at (P) AAA (sf) -- $312.6 million Class A-2 at (P) AAA (sf) -- $187.6 million Class A-3 at (P) AAA (sf) -- $187.6 million Class A-4 at (P) AAA (sf) -- $234.5 million Class A-5 at (P) AAA (sf) -- $234.5 million Class A-6 at (P) AAA (sf) -- $78.2 million Class A-7 at (P) AAA (sf) -- $78.2 million Class A-8 at (P) AAA (sf) -- $250.1 million Class A-9 at (P) AAA (sf) -- $250.1 million Class A-10 at (P) AAA (sf) -- $46.9 million Class A-11 at (P) AAA (sf) -- $46.9 million Class A-12 at (P) AAA (sf) -- $15.6 million Class A-13 at (P) AAA (sf) -- $15.6 million Class A-14 at (P) AAA (sf) -- $62.5 million Class A-15 at (P) AAA (sf) -- $62.5 million Class A-16 at (P) AAA (sf) -- $125.0 million Class A-17 at (P) AAA (sf) -- $125.0 million Class A-18 at (P) AAA (sf) -- $29.2 million Class A-19 at (P) AAA (sf) -- $29.2 million Class A-20 at (P) AAA (sf) -- $341.8 million Class A-21 at (P) AAA (sf) -- $341.8 million Class A-22 at (P) AAA (sf) -- $100.0 million Class A-23 at (P) AAA (sf) -- $100.0 million Class A-23X at (P) AAA (sf) -- $125.0 million Class A-24 at (P) AAA (sf) -- $125.0 million Class A-24X at (P) AAA (sf) -- $166.7 million Class A-25 at (P) AAA (sf) -- $166.7 million Class A-25X at (P) AAA (sf) -- $341.8 million Class A-X1 at (P) AAA (sf) -- $312.6 million Class A-X2 at (P) AAA (sf) -- $187.6 million Class A-X4 at (P) AAA (sf) -- $234.5 million Class A-X6 at (P) AAA (sf) -- $78.2 million Class A-X8 at (P) AAA (sf) -- $250.1 million Class A-X10 at (P) AAA (sf) -- $46.9 million Class A-X12 at (P) AAA (sf) -- $15.6 million Class A-X14 at (P) AAA (sf) -- $62.5 million Class A-X16 at (P) AAA (sf) -- $125.0 million Class A-X18 at (P) AAA (sf) -- $29.2 million Class A-X20 at (P) AAA (sf) -- $341.8 million Class A-X22 at (P) AAA (sf) -- $14.7 million Class B-1 at (P) AA (sf) -- $5.9 million Class B-2 at (P) A (low) (sf) -- $2.2 million Class B-3 at (P) BBB (sf) -- $1.8 million Class B-4 at (P) BB (low) (sf) -- $552.0 thousand Class B-5 at (P) B (low) (sf) -- $312.6 million Class A-1A Loans at (P) AAA (sf) Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, A-24X, and A-25X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-25, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, A-24X, A-25X, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, A-24, A-25, and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The Class A-1A Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 7.15% of credit enhancement provided by subordinated Notes. The (P) AA (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.55%, 0.95%, 0.45%, and 0.30% of credit enhancement, respectively Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 73.1%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is elected. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2026-J1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 46 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-J1, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (68.6% by balance) and GSE-eligible (31.4% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-J1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P) Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.33%, in a baseline scenario-median is 0.15% and reaches 4.73% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. SANTANDER MORTGAGE 2026-NQM1: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2026-NQM1's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family units, and a five- to 10-unit multifamily property. The pool consists of 640 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. S&P said, "After we assigned our preliminary ratings on Jan. 7, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts were increased to $188.426 million and $30.916 million, respectively, from $94.213 million and $15.458 million. As a result, the corresponding class A-1 note amount was increased to $219.342 million from $109.671 million. The credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, we assigned ratings to the classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM1 Class A-1, $219,342,000: AAA (sf) Class A-1A, $188,426,000: AAA (sf) Class A-1B, $30,916,000: AAA (sf) Class A-2, $21,177,000: AA (sf) Class A-3, $31,533,000: A (sf) Class M-1, $14,530,000: BBB (sf) Class B-1, $10,047,000: BB (sf) Class B-2, $7,884,000: B (sf) Class B-3, $4,637,568: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $309,150,568: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SCULPTOR CLO XXXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sculptor CLO XXXVI Ltd./Sculptor CLO XXXVI LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sculptor CLO Advisors LLC. The preliminary ratings are based on information as of Jan. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sculptor CLO XXXVI Ltd./Sculptor CLO XXXVI LLC Class A-1, $256.0 million: AAA (sf) Class A-2, $6.0 million: AAA (sf) Class B, $42.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1a (deferrable), $13.7 million: BBB- (sf) Class D-1b (deferrable), $10.3 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $40.0 million: NR NR--Not rated. SILVER ROCK V: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Silver Rock CLO V Ltd./Silver Rock CLO V LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Silver Rock Management LLC, a subsidiary of Silver Rock Financial LP. The preliminary ratings are based on information as of Jan. 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Silver Rock CLO V Ltd./Silver Rock CLO V LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.82 million: NR NR--Not rated. SYMPHONY CLO 51: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Symphony CLO 51 Ltd./Symphony CLO 51 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Symphony CLO 51 Ltd./Symphony CLO 51 LLC Class X, $4.0 million: AAA (sf) Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $20.0 million: BBB (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class D-3 (deferrable), $2.0 million: BBB- (sf) Class E (deferrable), $13.5 million: BB- (sf) Subordinated notes, $34.8 million: NR NR--Not rated. TCW CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-F-R, and E-R debt and proposed new class X-R and D-J-R debt from TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC, a CLO managed by TCW Asset Management Company LLC that was originally issued in September 2023. The preliminary ratings are based on information as of Jan. 7, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 20, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-1L, A-J, B, C, D-1, D-F, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-F-R, and E-R and proposed new class X-R and D-J-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement and proposed new debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt and proposed new class X-R and D-J-R debt are expected to be issued at floating spreads, replacing the current fixed coupons and floating spreads. -- The replacement class D-F-R debt is expected to be issued with a fixed coupon, replacing the current fixed coupon. -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread than the existing debt. -- The non-call period will be extended to Jan. 24, 2028. -- The reinvestment period will be extended to Jan. 24, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 24, 2039. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 24, 2026. -- New class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 20 payment dates, beginning on the first payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC Class X-R, $6.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $15.00 million: BBB (sf) Class D-F-R (deferrable), $7.00 million: BBB (sf) Class D-J-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $11.00 million: BB- (sf) Other Debt TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC Subordinated notes, $37.45 million: NR NR--Not rated. VENTURE CLO 35: Moody's Cuts Rating on $30MM Class E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture 35 CLO, Limited: US$40,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on September 20, 2023 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$30,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Downgraded to B1 (sf); previously on September 20, 2023 Upgraded to Ba2 (sf) Venture 35 CLO, Limited, originally issued in November 2018 and last refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class C Notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2024. The Class A-FR and A-LR notes have been paid down by approximately 54.6% or $184.4 million since then. Based on the trustee's December 2025 report, the OC ratios for the Class C notes is reported at 124.57%[1], versus the December 2024 level of 119.09%[2]. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2025 report, the OC ratio for the Class E notes is reported at 100.51%[3] versus December 2024 level of 104.44%[4]. Furthermore, the trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the levels are currently 2972 and 3.74%[5], respectively, compared to 2691 and 3.88%[6], respectively, in December 2024. No actions were taken on the Class A-LR, Class A-FR, Class B-LR, Class B-FR and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $332,609,595 Defaulted par: $11,122,543 Diversity Score: 69 Weighted Average Rating Factor (WARF): 3247 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.43% Weighted Average Coupon (WAC): 14.00% Weighted Average Recovery Rate (WARR): 45.81% Weighted Average Life (WAL): 3.32 years Par haircut in OC tests and interest diversion test: 3.05% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VENTURE CLO XXVII: Moody's Cuts Rating on $29.5MM E Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture XXVII CLO, Limited: US$36,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Baa1 (sf); previously on July 5, 2022 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$29,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on July 31, 2025 Downgraded to B3 (sf) Venture XXVII CLO, Limited, originally issued in May 2017 and partially refinanced in February 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class D notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2025. Class A-R notes have been paid down by approximately 13.1% or $50.4 million since then. Based on the trustee's December 2025 report, the OC ratios for the Class D notes are reported at 116.08%[1] versus July 2025 levels of 112.79%[2]. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2025 report, the OC ratios for the Class E notes are reported at 96.67%[3] versus July 2025 levels of 99.96%[4]. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3890 compared to 3420 in July 2025. No actions were taken on the Class A-R, Class B-R, and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $181,721,500 Defaulted par: $7,864,082 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3890 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.56% Weighted Average Recovery Rate (WARR): 46.26% Weighted Average Life (WAL): 2.6 years Par haircut in OC tests and interest diversion test: 7.22% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VEROS AUTO 2026-1: S&P Assigns Prelim B (sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Veros Auto Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 60.44%, 53.39%, 44.40%, 33.06%, 28.06%, and 24.68% of credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 2.70x, 2.40x, 2.00x, 1.50x, 1.25x, and 1.10x of S&P's expected cumulative net loss of 22.00% for classes A, B, C, D, E, and F notes, respectively. -- The expectations that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loan pool, S&P's view of the collateral's credit risk, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Deutsche Bank Trust Co. Americas, which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Veros Credit LLC as servicer and originator, and our view of the company's underwriting and backup servicing arrangement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Veros Auto Receivables Trust 2026-1 Class A, $127.340 million: AAA (sf) Class B, $33.649 million: AA (sf) Class C, $34.687 million: A (sf) Class D, $43.729 million: BBB (sf) Class E, $25.792 million: BB (sf) Class F, $9.487 million: B (sf) VIBRANT CLO III: Moody's Cuts Rating on $24MM Cl. D-RR Notes to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Vibrant CLO III, Ltd. US$27,500,000 Class B-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B-RR Notes"), Upgraded to Aaa (sf); previously on May 13, 2025 Upgraded to Aa2 (sf) US$31,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-RR Notes"), Upgraded to Aa3 (sf); previously on May 13, 2025 Upgraded to Baa3 (sf) Moody's have also downgraded the rating on the following notes: US$24,000,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-RR Notes"), Downgraded to B2 (sf); previously on August 4, 2020 Downgraded to B1 (sf) Vibrant CLO III, Ltd., originally issued in March 2015 and last refinanced in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class A-1-RR notes have been paid down by approximately 90% or $83 million since then. Based on Moody's calculations, the OC ratios for the Class B-RR and C-RR notes are currently 169.24% and 127.42%, versus May 2025 levels of 139.93% and 119.12%, respectively. The downgrade rating action on the Class D-RR notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 3081 and 2.98%, respectively, compared to 3033 and 3.06%, respectively, in May 2025. Furthermore, as the transaction continues to amortize, concentrations have been growing, and net interest margin has decreased as the senior debt is paid down. In particular, according to the trustee report in December 2025[1], the Diversity Score and Class D-RR interest-coverage (IC) test ratio were reported at 37 and 101.84% compared to 54 and 111.23% respectively in May 2025[2]. No actions were taken on the Class A-1-RR and Class A-2-RR notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $159,074,909 Diversity Score: 36 Weighted Average Rating Factor (WARF): 3081 Weighted Average Spread (WAS): 2.98% Weighted Average Recovery Rate (WARR): 46.56% Weighted Average Life (WAL): 3.0 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. WELLS FARGO 2021-FCMT: Fitch Affirms B-sf Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of Wells Fargo Commercial Mortgage Trust 2021-FCMT (WFCM 2021-FCMT), commercial mortgage pass-through certificates, series 2021-FCMT. The Rating Outlooks for classes E and F remain Negative. RATING ACTIONS Rating Prior ------ ----- WFCM 2021-FCMT A 95003EAA4 LT AAAsf Affirmed AAAsf B 95003EAC0 LT AA-sf Affirmed AA-sf C 95003EAE6 LT A-sf Affirmed A-sf D 95003EAG1 LT BBB-sf Affirmed BBB-sf E 95003EAJ5 LT BB-sf Affirmed BB-sf F 95003EAL0 LT B-sf Affirmed B-sf KEY RATING DRIVERS Near-Term Maturity; Office Exposure: The Negative Outlooks reflect ongoing concerns with the loan's ability to refinance at its May 2026 maturity. Fitch requested a status update, but did not receive a response. The Negative Outlooks also reflect concerns with the office portion of the collateral (9.3% of the total current allocated loan balance). The sole office tenant, RAND Corporation (RAND; approximately 16% of total NRA and $7 million in base rent), lease expired on Dec. 31, 2025. According to the servicer, the tenant's lease was extended by 24 months to December 2027 following a mandatory extension per its lease agreement. Media reports indicate the non-profit tenant reduced 11% of its workforce in late 2025. RAND's current rent is approximately $56 psf compared with approximately $40 psf for the market. As of September 2025, the collateral was 82.1% occupied, compared to 84.8% at issuance. As of September 2025, the servicer-reported NCF debt service coverage ratio (DSCR) was 1.19x, compared with 1.11x at YE 2024, 1.16x at YE 2023, 2.02x at YE 2022 and 2.74x at YE 2021. This was primarily due to increasing debt service. Fitch relied on September 2025 reporting for its analysis. The updated Fitch NCF of $34.3 million exceeds the $32.2 million Fitch NCF at issuance, primarily due to increases in rent, expense reimbursements and other income. Fitch incorporated an additional vacancy adjustment to account for upcoming rollover risk and inflated operating expenses, which are generally 3% over the annualized September 2025 figures. Per the September 2025 rent roll, upcoming rollover for the retail portion was approximately 1.5% (approx. 5.3% rent) in 2025 and 9.9% (approx.19.4% rent) in 2026. Fitch requested a leasing update but did not receive a response. Fitch's analysis also considered a sensitivity scenario that applied a downward rental rate adjustment on RAND to accounts for its above market rent. This analysis contributed to the Negative Outlooks. Competitive Retail Position and Property Quality: Fitch assigned Fashion Centre and Metro Tower property quality grades of 'A-' and 'B+', respectively, at issuance. Fashion Centre currently has an A+ designation in GreenStreet's mall database, which tracks malls across the U.S. High Fitch Leverage: The $455.0 million mortgage loan has high leverage metrics, with a Fitch stressed loan-to- value (LTV), debt service coverage ratio (DSCR) and debt yield of 106.2%, 0.84x and 7.5%, respectively, and debt of $556 psf. Location: The property is located in the Pentagon City neighborhood of Arlington, VA and approximately four miles southwest of Washington, D.C. The Fashion Centre at Pentagon City is connected to an office (169,551-sf Metro Tower - collateral), a 366-key Ritz Carlton (ground is collateral; hotel improvements are not), and the Yellow and Blue Metro lines. Given the property's accessible urban location, it draws from a dense local trade area within five miles and has a diverse customer base that includes local shoppers, office workers, and domestic and international tourists. Strong Pre-Pandemic Sales Performance: Fitch considered Fashion Centre's reported 2019 in-line sales (over 10,000 sf) of $993 psf and $786 psf excluding Apple. While updated sales were requested, the servicer indicated they are not required under loan documentation. GreenStreet reported total sales of $1,275 psf and $1,165 psf excluding Apple as of July 2025. Institutional Sponsorship: The borrowers are each indirect subsidiaries of joint ventures between affiliates of Simon Property Group, L.P. (SPG) and Institutional Mall Investors (IMI), a co-investment venture owned by an affiliate of Miller Capital Advisory, Inc. (MCA) and California Public Employees' Retirement System (CalPERS). SPG is a real estate investment trust with an interest in 232 properties comprising 183 million sf, in North America, Asia and Europe as of September 2025. The sponsor's U.S. portfolio includes 92 malls, 70 outlet properties (including 14 properties within the company's Mills portfolio), six lifestyle centers and 12 other retail properties in 37 states and Puerto Rico. As of YE 2024, SPG's total U.S. portfolio was over 96.5% leased (up from 95.8% at YE 2023). SPG's U.S. mall and outlet portfolio generated sales of $739 psf in 2024. MCA is the investment manager for IMI. CalPERS is the largest public pension fund in the U.S. with $556 billion in assets under management as of June 2025. IMI's portfolio consists of 20.6 million sf of retail space and over 1.2 million sf of office space as of June 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible if tenants with near-term expiring leases do not renew or renew at significantly lower rates or if the loan defaults at maturity without a viable workout that preserves value and recoverability. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades are unlikely given the loan's upcoming loan maturity. [] Fitch Takes Various Rating Actions on 29 FFELP SLABS ------------------------------------------------------- Fitch Ratings, on Jan. 9, 2026, affirmed 26 federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 16 transactions at their current levels. The Rating Outlooks are Negative for class A-4 notes of Navient Student Loan Trust 2014-1 and classes A-3 and B notes of Navient Student Loan Trust 2015-2. The Outlooks are Stable for the remaining classes of notes affirmed at their current levels. Fitch has also downgraded three FFELP SLABS ratings from two transactions. Fitch has downgraded the class B notes of Navient Student Loan Trust 2014-2 to 'AAsf' from 'AA+sf' and assigned a Stable Rating Outlook. Fitch has also downgraded the classes A-2 and B notes of Navient Student Loan Trust 2015-1 to 'Bsf' from 'BBsf' and assigned a Stable Rating Outlook. RATING ACTIONS Rating Prior ------ ----- Navient Student Loan Trust 2016-5 A 63939QAA4 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2017-5 A 63940CAA2 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2015-3 A-2 63939LAB3 LT AA+sf Affirmed AA+sf B 63939LAC1 LT BBBsf Affirmed BBBsf Navient Student Loan Trust 2016-3 A-3 63940HAC7 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2015-2 A-3 63939GAC2 LT AAsf Affirmed AAsf B 63939GAD0 LT Asf Affirmed Asf Navient Student Loan Trust 2014-2 A 63938GAA7 LT AA+sf Affirmed AA+sf B 63938GAB5 LT AAsf Downgrade AA+sf Navient Student Loan Trust 2018-3 A-3 63940TAC1 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-3 A 63938JAA1 LT AA+sf Affirmed AA+sf B 63938JAB9 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-4 A 63938QAA5 LT AA+sf Affirmed AA+sf B 63938QAB3 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2016-2 A-3 63940FAC1 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-5 A 63938WAA2 LT AA+sf Affirmed AA+sf B 63938WAB0 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-8 A-3 63939DAC9 LT AA+sf Affirmed AA+sf B 63939DAD7 LT Asf Affirmed Asf Navient Student Loan Trust 2015-1 A-2 63939FAB6 LT Bsf Downgrade BBsf B 63939FAC4 LT Bsf Downgrade BBsf Navient Student Loan Trust 2016-7 A 63940GAA3 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-6 A 63939BAA7 LT AA+sf Affirmed AA+sf B 63939BAB5 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-7 A 63939AAA9 LT AA+sf Affirmed AA+sf B 63939AAB7 LT AA+sf Affirmed AA+sf Navient Student Loan Trust 2014-1 A-3 63938EAC8 LT Bsf Affirmed Bsf A-4 63938EAD6 LT BBsf Affirmed BBsf B 63938EAE4 LT Bsf Affirmed Bsf Transaction Summary For Navient 2014-1, the Class A-3 and B notes continue to face increased maturity risk, with WA remaining term up to 201.3 months from 195.8 at the prior review. The class A-3 and B notes do not pass Fitch's base case cash flow stresses. Fitch has affirmed the notes at 'Bsf'. The affirmation is supported by qualitative factors, such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreements established by Navient, which allow the servicer to purchase loans from the trust. The Outlooks are Stable. For class A-4 notes, the Outlook is Negative due to dependence on Class A-3 notes, as any negative rating action on class A-3 notes would impact class A-4 notes. For Navient Student Loan Trust 2014-2 class B notes, the downgrade to 'AAsf' from 'AA+sf' reflects an increase in maturity risk with interest shortfalls in the 'AA+sf' stress scenario. The Rating Outlook following the downgrade is Stable. For Navient Student Loan Trust 2015-1 class A-2 and B notes, the downgrades to 'Bsf' from 'BBsf' reflects the increased maturity risk observed since previous reviews as maturity cushions continue to tighten and are now in line with the model implied ratings. The Rating Outlook for both notes following the downgrade is Stable. For Navient Student Loan Trust 2015-2, the Rating Outlook for the Class A-3 and B notes is Negative, given persistent maturity risk, with WA remaining term currently at 194.0 months from 187.6 months. KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by the ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cashflow modeling. Fitch is maintaining for all transactions the sustainable constant default rate (sCDR) assumptions ranging from 4.00% to 8.00% and the sustainable constant prepayment rate (sCPR) assumptions ranging from 9.00% to 12.00%. The 'AA+sf' default rates range from approximately 70.63% to 100%, and the 'Bsf' default rates range from 28.00% to 67.50%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 2.11% to 6.23%, 12.70% to 19.95%, and 17.53% to 31.23%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefits range from 0.00% to 0.13%, based on information provided by the sponsor. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. As of the most recent distribution date, approximately 93% of the student loans from the 17 transactions are indexed to SOFR, and the rest are indexed to the 91-day T-bill rate. All the notes are indexed to one-month SOFR. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 101.01% to 108.56%. Liquidity support is provided by reserve accounts that are seized at their floors, respectively. The transactions will continue to release cash if target OC are maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024, that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA has not interrupted servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model-implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf', the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to positive rating action. [] Moody's Takes Rating Action on 26 Bonds from 14 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 25 bonds and downgraded the rating of one bond from 14 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=Anjm4N 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2 Cl. A-1, Upgraded to Aaa (sf); previously on Nov 8, 2024 Upgraded to Aa1 (sf) Cl. A-2D, Upgraded to Aaa (sf); previously on Nov 8, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: American Home Mortgage Investment Trust 2005-4 Cl. I-A-1, Downgraded to B1 (sf); previously on Sep 19, 2024 Upgraded to Ba1 (sf) Cl. I-A-2, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. III-A-1, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. IV-A, Upgraded to Caa2 (sf); previously on Sep 29, 2015 Downgraded to Ca (sf) Cl. V-A, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5 Cl. M2, Upgraded to Aaa (sf); previously on Nov 14, 2022 Upgraded to Aa3 (sf) Issuer: Argent Securities Trust 2006-W1 Cl. A-2C, Upgraded to Baa1 (sf); previously on Nov 26, 2024 Upgraded to Ba1 (sf) Cl. A-2D, Upgraded to Baa1 (sf); previously on Nov 26, 2024 Upgraded to Ba1 (sf) Issuer: Soundview Home Loan Trust 2006-WF1 Cl. M-1, Upgraded to Ca (sf); previously on Feb 2, 2009 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2007-1 Cl. I-A-1, Upgraded to Aaa (sf); previously on Oct 16, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-6 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Dec 24, 2018 Upgraded to Caa3 (sf) Cl. 2-A2, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2005-3 Cl. M4, Upgraded to Aa3 (sf); previously on Nov 18, 2024 Upgraded to A3 (sf) Cl. M5, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2005-8 Cl. M2, Upgraded to Ca (sf); previously on Jan 18, 2013 Affirmed C (sf) Issuer: Structured Asset Investment Loan Trust 2005-9 Cl. M2, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2005-NC2 Cl. M7, Upgraded to Ba1 (sf); previously on Nov 26, 2024 Upgraded to B1 (sf) Cl. M8, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-EQ1 Cl. M1, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC1 Cl. A5, Upgraded to Aaa (sf); previously on Sep 16, 2024 Upgraded to Aa1 (sf) Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.1x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The rating downgrade is the result of the deterioration in collateral performance and a decline in credit enhancement available to the bond. 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 Rating on 19 Bonds from 7 US RMBS Deals ----------------------------------------------------------- Moody's Ratings, on January 7, 2026, upgraded the ratings of 19 bonds from seven US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A and option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Fremont Home Loan Trust 2005-C Cl. M3, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to Aa1 (sf) Cl. M4, Upgraded to Caa1 (sf); previously on May 4, 2022 Upgraded to Ca (sf) Issuer: Fremont Home Loan Trust 2005-E Cl. 2-A-4, Upgraded to Aaa (sf); previously on Sep 30, 2022 Upgraded to Aa3 (sf) Cl. M1, Upgraded to Caa3 (sf); previously on Dec 11, 2018 Upgraded to Ca (sf) Issuer: Fremont Home Loan Trust 2006-1 Cl. I-A-1, Upgraded to Aaa (sf); previously on Mar 16, 2023 Upgraded to Aa2 (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Issuer: Fremont Home Loan Trust 2006-A Cl. 1-A-1, Upgraded to Aaa (sf); previously on Oct 7, 2024 Upgraded to Aa1 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Jan 15, 2019 Upgraded to Ca (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Jan 15, 2019 Upgraded to Ca (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2 Cl. A-2d, Upgraded to Aaa (sf); previously on Jun 27, 2022 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Sep 1, 2015 Upgraded to Ca (sf) Issuer: GreenPoint Mortgage Funding Trust 2006-AR4 Cl. A3-A, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. A5, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Cl. A6-A, Upgraded to Ba2 (sf); previously on Oct 3, 2024 Upgraded to B1 (sf) Cl. A6-B, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust Asset Backed Certificates Series 2005-12 Cl. AF-3, Upgraded to Caa1 (sf); previously on Jul 8, 2016 Downgraded to Caa3 (sf) Cl. AF-3W, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Cl. AF-3W, Underlying Rating: Upgraded to Caa1 (sf); previously on Jul 8, 2016 Downgraded to Caa3 (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. AF-4, Upgraded to Caa2 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Cl. AF-5, Upgraded to Caa2 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Cl. AF-6, Upgraded to Caa1 (sf); previously on Jul 8, 2016 Downgraded to Caa3 (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. 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 13 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 13 bonds from three US residential mortgage-backed transactions (RMBS). UWM Mortgage Trust 2021-1 is backed by agency eligible mortgage loans. GCAT 2024-INV2 Trust is backed by agency eligible investor (INV) and second-home mortgage loans. Bellemeade Re 2021-3 Ltd. was issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=Y9AkHe 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: Bellemeade Re 2021-3 Ltd. Cl. M-1C, Upgraded to Aaa (sf); previously on Mar 18, 2025 Upgraded to Aa1 (sf) Issuer: GCAT 2024-INV2 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 6, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jun 6, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 25, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Mar 25, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Mar 25, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 25, 2025 Upgraded to Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jun 6, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Mar 25, 2025 Upgraded to A1 (sf) Issuer: UWM Mortgage Trust 2021-1 Cl. B-1, Upgraded to Aa1 (sf); previously on May 31, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Mar 18, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 18, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 4, 2021 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .03% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.4x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 13 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on January 14, 2026, upgraded the ratings of 13 bonds from eight 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: FBR Securitization Trust 2005-4, Mortgage-Backed Notes, Series 2005-4 Cl. M-2, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: Fremont Home Loan Trust 2005-B Cl. M6, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2005-7 Cl. AF-4, Upgraded to A3 (sf); previously on Oct 23, 2024 Upgraded to Ba1 (sf) Cl. AF-5, Upgraded to A3 (sf); previously on Oct 23, 2024 Upgraded to Baa3 (sf) Issuer: GSAMP Trust 2006-HE4 Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-HE5 Cl. A-1, Upgraded to Aaa (sf); previously on Oct 29, 2024 Upgraded to Aa3 (sf) Cl. A-2D, Upgraded to Baa1 (sf); previously on Oct 29, 2024 Upgraded to Ba1 (sf) Issuer: GSAMP Trust 2006-HE7 Cl. A-1, Upgraded to Aaa (sf); previously on Jul 10, 2023 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 7, 2018 Upgraded to Ca (sf) Issuer: GSAMP Trust 2006-HE8 Cl. A-1, Upgraded to A3 (sf); previously on Jan 17, 2024 Upgraded to Ba2 (sf) Cl. A-2C, Upgraded to Aa2 (sf); previously on Jan 17, 2024 Upgraded to Ba1 (sf) Cl. A-2D, Upgraded to Baa2 (sf); previously on Jan 17, 2024 Upgraded to Ba3 (sf) Issuer: Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1 Cl. 2-AV-3, Upgraded to Ba1 (sf); previously on Oct 22, 2024 Upgraded to B1 (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. 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 17 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on January 8, 2026, upgraded the ratings of 17 bonds from seven 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Aames Mortgage Trust 2002-1 Cl. A-3, Upgraded to Aaa (sf); previously on Nov 12, 2024 Upgraded to A2 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Nov 12, 2024 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on May 4, 2012 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-NC2 Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 6, 2018 Upgraded to Caa3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-RFC1 Cl. A-3, Upgraded to A2 (sf); previously on Nov 6, 2024 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to A3 (sf); previously on Nov 6, 2024 Upgraded to Ba2 (sf) Issuer: Newcastle Mortgage Securities Trust 2007-1 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded to Aa1 (sf) Cl. 2-A-3, Upgraded to Aaa (sf); previously on Nov 14, 2024 Upgraded to A1 (sf) Cl. 2-A-4, Upgraded to A1 (sf); previously on Nov 14, 2024 Upgraded to A2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5 Cl. I-A1D, Upgraded to Aa1 (sf); previously on Nov 14, 2024 Upgraded to A1 (sf) Cl. I-A2, Upgraded to Aa2 (sf); previously on Nov 14, 2024 Upgraded to A2 (sf) Cl. I-APT, Upgraded to Aa1 (sf); previously on Nov 14, 2024 Upgraded to A1 (sf) Issuer: SG Mortgage Securities Trust 2006-FRE1 Cl. A-1A, Upgraded to Aaa (sf); previously on Dec 6, 2023 Upgraded to Aa2 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: SG Mortgage Securities Trust 2007-NC1 Cl. A-1, Upgraded to Ba3 (sf); previously on Oct 29, 2024 Upgraded to B3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.11x 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. [] Moody's Upgrades Ratings on 25 Bonds From 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 25 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CDC Mortgage Capital Trust 2002-HE1 Cl. M, Upgraded to Caa1 (sf); previously on Sep 13, 2018 Upgraded to Caa2 (sf) Issuer: Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB1 Cl. A-1-A, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-1-B, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-2-B, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-2-C, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-3, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Cl. A-3, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-4 Cl. I-A-5, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to A1 (sf) Cl. I-M-1, Upgraded to Caa3 (sf); previously on Mar 3, 2011 Downgraded to Ca (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5 Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 3, 2011 Downgraded to C (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR6 Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa3 (sf) Issuer: Ellington Loan Acquisition Trust 2007-1 Cl. A-1, Upgraded to Aa1 (sf); previously on Jan 17, 2024 Upgraded to A1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: IMC Home Equity Loan Trust 1997-3 B, Upgraded to Ca (sf); previously on Mar 9, 2011 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2006-AM1 Cl. M-2, Upgraded to Ca (sf); previously on Jan 18, 2013 Affirmed C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust Cl. 1-A-1A, Upgraded to Baa1 (sf); previously on Dec 19, 2023 Upgraded to Baa2 (sf) Cl. 1-A-1B, Upgraded to Baa1 (sf); previously on Oct 31, 2024 Upgraded to Baa3 (sf) Cl. 2-A-1C, Upgraded to Baa1 (sf); previously on Oct 31, 2024 Upgraded to Baa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-AR12 Cl. B-1, Upgraded to Caa2 (sf); previously on May 7, 2018 Upgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR13 Cl. B-1, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19 Cl. A-1A2, Upgraded to A3 (sf); previously on May 6, 2022 Upgraded to Baa1 (sf) Cl. A-1B2, Upgraded to A3 (sf); previously on Dec 19, 2023 Upgraded to Baa1 (sf) Cl. A-1B3, Upgraded to A3 (sf); previously on Dec 19, 2023 Upgraded to Baa1 (sf) Cl. A-1C3, Upgraded to Baa1 (sf); previously on Dec 19, 2023 Upgraded to Baa3 (sf) Cl. A-1C4, Upgraded to Baa1 (sf); previously on Dec 19, 2023 Upgraded to Baa3 (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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. 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 action was 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. ********* 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. 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