260125.mbx

260125.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 25, 2026, Vol. 30, No. 25 Headlines ACCELERATED LLC 2021-H: Fitch Affirms BBsf Rating on Class D Notes ACRES COMMERCIAL 2026-FL4: Fitch Gives B(EXP) to Class G Debt APEX CREDIT CLO 13: Fitch GIves BB-(EXP) Rating on Class E Notes BAIN CAPITAL 2025-5: Fitch Gives BB-(EXP) Rating to Class E Debt BAIN CAPITAL 2025-5: Fitch Gives BB-sf Rating to Class E Debt BARINGS INFRASTRUCTURE 2025-I: Moody's Rates Cl. E Notes '(P)Ba3' BBCMS MORTGAGE 2026-5C40: Fitch Gives B(EXP) Rating on F-RR Certs BHG SECURITIZATION 2024-1CON: Fitch Affirms BB Rating on E Notes BMO 2023-C5: Fitch Affirms 'B-sf' Rating on 2 Tranches BRAVO RESIDENTIAL 2026-NQM1: Fitch Gives B(EXP) Rating on B-2 Debt CATAMARAN CLO 2014-1: Moody's Cuts $38.5MM D-R Notes Rating to B2 CFCRE 2016-C6: Fitch Cuts Rating on Class D Certs to CCCsf EFMT 2026-CES1: Fitch Rates Class B2 Certs 'Bsf' FIRST FRANKLIN 2006-FF14: Moody's Ups Rating on A1 Certs to Caa1 FIRST FRANKLIN 2006-FF17: Moody's Ups Rating on 2 Tranches to Caa1 GREAT LAKES 2014-1: Moody's Ups Rating on $10.5MM F-R Notes to Ba1 GS MORTGAGE 2026-PJ1: Fitch Gives B(EXP) Rating to Class B5 Notes GS MORTGAGE-BACKED 2026-NQM1: S&P Assigns (P)B Rating on B-2 Certs MADISON PARK LXI: Fitch Rates Class E-R Debt 'BBsf' MAN GLG 2018-1: Moody's Cuts Rating on $25MM Class D-R Notes to B1 NATIONAL COLLEGIATE 2007-A: Fitch Hikes Rating on C Notes to BBsf NEW RESIDENTIAL 2026-NQM1: Fitch Rates Class B1 Notes 'BB-(EXP)' OCEAN TRAILS CLO XV: Fitch Rates Class E-R Debt 'BBsf' OCEAN TRAILS XV: Moody's Assigns B3 Rating to $500,000 F-R Notes OZLM LTD VI: Moody's Affirms Ba3 Rating on $33MM Class D-S Notes PMT LOAN 2026-INV1: Moody's Assigns B3 Rating on Cl. B-5 Certs RCKT MORTGAGE 2026-CES1: Fitch Gives B(EXP) Rating to 4 Classes SILVER POINT 15: Moody's Assigns (P)B3 Rating to $250,000 F Notes VERDELITE STATIC 2024-1: Fitch Affirms BB+ Rating on Class E Notes VERUS SECURITIZATION 2026-1: Fitch Rates Class B-2 Notes 'B-sf' WESTLAKE AUTOMOBILE 2026-1: S&P Assigns BB (sf) Rating on E Notes ********* ACCELERATED LLC 2021-H: Fitch Affirms BBsf Rating on Class D Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the outstanding notes of Accelerated 2021-1H LLC (AALLC 2021-1H). The Rating Outlook is Stable for all classes of notes. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Accelerated 2021-1H LLC A 00439KAA4 LT AAAsf Affirmed AAAsf B 00439KAB2 LT Asf Affirmed Asf C 00439KAC0 LT BBBsf Affirmed BBBsf D 00439KAD8 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects default coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. As of November 2025, the 60+ day delinquency rate was 3.09% (2.80% in November 2024). Cumulative gross defaults (CGDs) were 27.33% (23.64% in November 2024) and cumulative net losses were at 23.61% (20.29% in November 2024), reflective as only a portion of defaults have been repurchased. The option to repurchase defaulted loans is capped at 35%. CGDs in AALLC 2021-1H have been elevated and are above the initial rating case of 24.00%. To account for recent performance, Fitch revised the lifetime CGD proxy up to 30.50% from 29.00% at last year's review. The updated rating case default proxy was conservatively derived using extrapolations based on performance to date. The sponsor has the right, but not the obligation to repurchase defaulted loans, which would result in lower losses on the transaction. Fitch's analysis does not give any explicit credit to previously repurchased defaults when deriving the CGD proxies. Under Fitch's stressed cash flow assumptions, default coverages for the class A, class B, class C and class D notes can support multiples exceeding 3.00x, 2.25x, 1.50x and1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to one rating category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to three categories of upgrades or affirmations of ratings with stronger multiples. ACRES COMMERCIAL 2026-FL4: Fitch Gives B(EXP) to Class G Debt ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to ACRES Commercial Realty 2026-FL4 Issuer, LLC: -- $589,722,000a class A 'AAA(EXP)sf '; Outlook Stable; -- $104,218,000a class A-S 'AAA(EXP)sf '; Outlook Stable; -- $72,444,000a class B 'AA-(EXP)sf'; Outlook Stable; -- $58,464,000a class C 'A-(EXP)sf (EXP)'; Outlook Stable; -- $36,857,000a class D 'BBB(EXP)sf'; Outlook Stable; -- $17,794,000a class E 'BBB-(EXP)sf'; Outlook Stable; -- $34,315,000 class F 'BB-(EXP)sf'; Outlook Stable; -- $24,149,000 class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $78,799,158b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 7.750% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $816,762,158 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 14, 2026. Transaction Summary The issuer's primary assets include 18 loans secured by 20 commercial properties with an aggregate principal balance of $816,762,158 as of the cutoff date. The pool includes ramp-up collateral interest of $200 million. The pool features $44 million of unfunded future funding, $17 million of which is performance based and not modeled. The loans will be contributed to the issue by ACRES Realty Funding, Inc. and ACRES Commercial Realty 2026-FL4 Issuer, LLC. CBRE Loan Services, Inc. is expected to be the master servicer, and ACRES Capital Servicing LLC is expected to be the special servicer. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on seven loans totaling 48.0% of the pool by balance, excluding loans for which Fitch conducted an alternate value analysis. Fitch's resulting NCF of $23.9 million represents an 6.2% decrease from the issuer's underwritten NCF of $25.5 million, excluding loans for which Fitch conducted an alternate value analysis. Multifamily Concentration: The pool comprises 100.0% multifamily properties, compared with the 2025 YTD and 2024 CRE-CLO averages of 77.1% and 78.4%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated CRE-CLO transactions. Higher Fitch Leverage: The pool 's Fitch leverage is higher than recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 138.6% is higher than the 2025 YTD five-year CRE-CLO transaction average of 140.5% and the 2024 five-year CRE-CLO transaction average of 140.7%. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than the 2025 YTD average of 6.4% and the 2024 average of 6.5%. Higher Pool Concentration: The pool concentration is higher than recently rated Fitch transactions. The top-10 loans make up 74.5%, which is higher than the 2025 YTD five-year CRE-CLO average of 61.2% and the 2024 average of 70.5%. The pool's effective loan count of 14.7 is below the 2025 YTD and 2024 10-year averages of 20.6 and 16.9, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Amortizing Portfolio: The pool is 89.0% comprised of partially amortizing loans. This is better than both the 2025 YTD and 2024 CRE-CLO averages of 26.3% and 43.2%, respectively, based on fully extended loan terms. As a result, the pool is expected to have 1.1% principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2025 YTD and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade --Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. --10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/ Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade --Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. --10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-'level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. APEX CREDIT CLO 13: Fitch GIves BB-(EXP) Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apex Credit CLO 13 Ltd. RATING ACTIONS Apex Credit CLO 13 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-1 LT A(EXP)sf Expected Rating C-2 LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Apex Credit CLO 13 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Apex Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.69% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 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, 'A+sf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. BAIN CAPITAL 2025-5: Fitch Gives BB-(EXP) Rating to Class E Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2025-5, Limited. RATING ACTIONS Bain Capital Credit CLO 2025-5, Limited A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Bain Capital Credit CLO 2025-5, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit CLO Management III (DE), LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.11, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.07% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'BBB+sf' for class D-2 and 'BBBsf' for class E. BAIN CAPITAL 2025-5: Fitch Gives BB-sf Rating to Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2025-5, Limited. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- Bain Capital Credit CLO 2025-5, Limited A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Bain Capital Credit CLO 2025-5, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit CLO Management III (DE), LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.11 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.07% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'BBB+sf' for class D-2 and 'BBBsf' for class E. BARINGS INFRASTRUCTURE 2025-I: Moody's Rates Cl. E Notes '(P)Ba3' ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of notes to be issued by Barings Infrastructure CLO Ltd. 2025-I (the Issuer or Barings Infrastructure 2025-I): US$320,000,000 Class A-1 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$10,000,000 Class A-2 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$50,000,000 Class B Floating Rate Senior Notes due 2039, Assigned (P)Aa3 (sf) US$30,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)A3 (sf) US$30,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Baa3 (sf) US$10,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Barings Infrastructure 2025-I is a managed cash flow infrastructure CLO. The issued notes will be collateralized primarily by senior secured project finance (PF) infrastructure, corporate infrastructure, and corporate non-infrastructure loans. At least 40.0% of the portfolio must consist of project finance infrastructure loans. The infrastructure CLO permits up to 24% of the portfolio to be in project finance loans in the power generation sector including the electricity (gas) contracted, merchant or power renewables sectors. At least 95.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 5.0% of the portfolio may consist of bonds and second lien loans. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Barings 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. This is the Manager's first infrastructure CLO. In addition to the Rated Notes, the Issuer will issue 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 ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The infrastructure CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 24% of the portfolio's assets may be in the power generation sector, with the largest power generation sub-sector potentially being up to 17.5% of the portfolio. The five largest sub-sectors could constitute up to 60% of the portfolio. The four largest sub-sectors could constitute up to 55% of the portfolio. A minimum of 55% of the portfolio is required to consists of PF infrastructure assets and corporate infrastructure assets relating to sectors or industries in energy-electricity, energy-oil and gas, utilities-electric, utilities-oil and gas, and utilities-water. The portfolio is required to have minimum of 80 obligors, with the largest obligor potentially comprising up to 3.5% of the portfolio for the top three obligors, and up to 3.0% for each subsequent obligor. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Weighted Average Rating Factor (WARF): 2199 Weighted Average Spread (WAS): 2.72% Weighted Average Recovery Rate (WARR): 62.20% Weighted Average Life (WAL): 9.0 years Second lien loans and bonds: 5.00% Total Obligors: 80 Largest three obligors each and thereafter: 3.50%/3.00% Largest five obligors: 17.50% B2 or B3 and below default probability rating obligors: 36.00% B3 and below default probability rating obligors: 12.50% PF infrastructure obligors: 40.0% PF power generation sector: 24.50% PF power generation subsector: 17.50% Largest five subsectors: 60.50% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. BBCMS MORTGAGE 2026-5C40: Fitch Gives B(EXP) Rating on F-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BBCMS Mortgage Trust 2026-5C40 Commercial Mortgage Pass-Through Certificates, Series 2026-5C40 as follows: -- $6,215,000 class A-1 'AAA(EXP)sf'; Outlook Stable; -- $100,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; -- $477,851,000a class A-3 'AAA(EXP)sf'; Outlook Stable; -- $584,066,000b class X-A 'AAA(EXP)sf'; Outlook Stable; -- $108,470,000 class A-S 'AAA(EXP)sf'; Outlook Stable; -- $36,504,000 class B 'AA-(EXP)sf'; Outlook Stable; -- $28,160,000 class C 'A-(EXP)sf'; Outlook Stable; -- $173,134,000bc class X-B 'A-(EXP)sf'; Outlook Stable; -- $20,860,000c class D 'BBB-(EXP)sf'; Outlook Stable; -- $20,860,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; -- $15,644,000c class E 'BB-(EXP)sf'; Outlook Stable; -- $15,644,000bc class X-E 'BB-(EXP)sf'; Outlook Stable; -- $8,344,000cd class F-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: -- $32,332,977cd class G-RR. (a) The initial certificate balances of A-2 and A-3 are unknown but expected to be $546,870,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those certificates. The expected class A-2 balance range is $0-$200,000,000, and the expected class A-3 balance range is $377,851,000-$577,851,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoint of each range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest totaling approximately 2.1496% of the pool balance. Additionally, the retaining sponsor is expected to hold an eligible vertical risk retention interest comprising approximately 2.9100% of the pool. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 44 loans secured by 58 commercial properties with an aggregate principal balance of $834,380,978, as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Argentic Real Estate Finance 2 LLC, German American Capital Corporation, KeyBank National Association, Goldman Sachs Mortgage Company, UBS AG New York Branch, LMF Commercial, LLC, Citi Real Estate Funding Inc., Societe Generale Financial Corporation, and Natixis Real Estate Capital LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be Argentic Services Company LP. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. Pentalpha Surveillance LLC is expected to be the operating advisor. The certificates will follow a sequential paydown structure. The transaction is expected to close on Feb. 12, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 81.2% by balance. Fitch's resulting net cash flow (NCF) of $90.0 million represents a 13.3% decline from the issuer's underwritten NCF of $103.9 million. Fitch Leverage: The pool leverage is in-line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 94.8% compares favorably with the 2025 and 2024 averages of 101.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.8% is slightly above the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 12.0% of the pool received an investment-grade credit opinion. CityCenter (Aria & Vdara; 9.0% of the pool) received a standalone credit opinion of "AAAsf*" while 9911 Belward (3.0% of the pool) received a standalone credit opinion of "A-sf*". Excluding the credit opinion loans, the pool's Fitch LTV and DY of 100.6% and 9.7%, respectively, compared to the 2025 averages of 105.2% and 9.3% and the 2024 averages of 99.1% and 9.9%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically mostly included loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/ 'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'CCC+sf' /below 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/ 'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BB+sf' /'BB-sf' BHG SECURITIZATION 2024-1CON: Fitch Affirms BB Rating on E Notes ---------------------------------------------------------------- Fitch Ratings has affirmed all notes of BHG Securitization Trust 2024-1CON (BHG 2024-1CON) and BHG Securitization Trust 2025-1CON (BHG 2025-1CON). The Rating Outlook remains Stable for all notes. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- BHG Securitization Trust 2024-1CON A 08862HAA0 LT AAAsf Affirmed AAAsf B 08862HAB8 LT AA-sf Affirmed AA-sf C 08862HAC6 LT A-sf Affirmed A-sf D 08862HAD4 LT BBB-sf Affirmed BBB-sf E 08862HAE2 LT BBsf Affirmed BBsf BHG Securitization Trust 2025-1CON A 08860AAA7 LT AAAsf Affirmed AAAsf B 08860AAB5 LT AA-sf Affirmed AA-sf C 08860AAC3 LT A-sf Affirmed A-sf D 08860AAD1 LT BBB-sf Affirmed BBB-sf E 08860AAE9 LT BBsf Affirmed BBsf Transaction Summary BHG 2024-1CON and BHG 2025-1CON are discrete trusts backed by a pool of consumer loans originated or purchased by BankersHealthcare Group, LLC (BHG), Pinnacle Bank and County Bank. Fitch has affirmed all notes of 2024-1CON and 2025-1CON with Stable Outlooks because the notes passed Fitch's modeling at the requisite rating levels and the performance of the underlying assets aligns with Fitch's expectations to date. KEY RATING DRIVERS Strong Receivables Quality: Both BHG 2024-1CON and BHG 2025-1CON pools consists of 100% consumer loans made to obligors with strong credit profiles. At issuance, BHG 2024-1CON pool had a weighted average (WA) FICO score of 746; 1.08% of the borrowers have a score below 661 and 51.24% have a score higher than 740. The pool had a WA original term of 91 months. BHG 2025-1CON at issuance had a WA FICO score of 736, 1.39% of the borrowers have a score below 661 and 41.04% have a score higher than 740. The pool had a WA original term of 100 months. As of December 2025, payment period, WA remaining term are 68 months for BHG 2024-1CON and 89 months for BHG 2025-1CON. Default Assumption Reflects Securitized Performance: At closing, Fitch assigned a base case default assumption of 14.26% for BHG 2024-1CON and 13.80% for BHG 2025-1CON. These assumptions were established based on BHG's proprietary risk grade and loan term. For certain segments where Fitch considered the loans to lack significant historical performance data, Fitch used the performance of equivalent commercial loans to determine the base case default assumption. For the current review, Fitch maintained the gross default rate derived at closing for both transactions, reflecting the low seasoning of the pool and performance within initial expectation. As of the December 2025 payment period, cumulative net losses represented 4.50% of the BHG 2024-1CON pool and 1.00% for BHG 2025-1CON pool. These levels remain below the amortization triggers. Credit Enhancement Mitigates Stressed Losses: The current credit enhancement (CE) for BHG 2024-1CON as of December 2025 payment date totals 75.74%, 46.63%, 25.73%, 17.76% and 9.79% for class A, B, C, D and E notes, respectively. For BHG 2025-1CON the current CE totals 65.44%, 28.42%, 15.31%, 5.25%, 1.83% for class A, B, C, D and E notes, respectively. Current CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' default stress multiple of 4.25x for both the transactions, maintained from last review for BHG 2024-1CON and from issuance for BHG 2025-1CON. The stress multiples for the subordinate notes follow the prescribed lower range of the recommended default stress multiples described in Fitch's Consumer ABS Rating Criteria. The default multiple reflects the absolute value of the default assumption, the length of default performance history for each loan type (shorter for consumer loans), high WA borrower FICO scores and income and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG capable of servicing this transaction. Other counterparty risks are mitigated through the transaction structure and such provisions are in line with Fitch's counterparty rating criteria. True Lender Uncertainty for Partner Bank Loan Origination Continues: BHG, similar to peers, purchases consumer loans originated by partner banks, in this case Pinnacle Bank, a Tennessee state-chartered bank (Pinnacle Bank) and County Bank, a Delaware state-chartered bank (County Bank). Uncertainty regarding who is the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans and certain commercial loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If any such challenges are successful trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG, BHG 2024-1CON and BHG 2025-1CON's consumer loans originated at interest rates below borrower state's usury rate, while the longer WA loan term of 91 months and 100 months respectively, is viewed as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade BHG 2024-1CON Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf' Increased default base case by 10%: 'AAAsf'/'AA-sf'/'BBB+sf'/ 'BBBsf'/'BB+sf' Increased default base case by 25%: 'AA+sf'/'Asf'/'BBBsf'/ 'BB+sf'/'BBsf' Increased default base case by 50%:'AA-sf'/'A-sf' /'BB+sf'/'BBsf'/'Bsf' BHG 2025-1CON Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf' Increased default base case by 10%:'AAAsf'/'A+sf'/'BBB+sf'/ 'BBB-sf'/'BB+sf' Increased default base case by 25%:'AA+sf'/'A-sf'/'BBBsf'/ 'BB+sf'/'BB+sf' Increased default base case by 50%:'AA-sf'/'BBBsf'/'BB+sf'/ 'BBsf'/'BB-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade BHG 2024-1CON Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AA-sf' /'Asf'/'BBB+sf' BHG 2025-1CON Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 25%: 'AAAsf'/'AA+sf'/'AA-sf' /'Asf'/'A-sf' BMO 2023-C5: Fitch Affirms 'B-sf' Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has affirmed 18 classes of BMO 2023-C5 Mortgage Trust (BMO 2023-C5). Following the affirmations, the Outlooks for classes B, C, D, E, X-B, X-D, and X-E have been revised to Negative from Stable. The Outlooks for classes F-RR, G-RR, X-FRR, and X-GRR are Negative. RATING ACTIONS Rating Prior ------ ----- BMO 2023-C5 A-1 055988AA7 LT AAAsf Affirmed AAAsf A-2 055988AB5 LT AAAsf Affirmed AAAsf A-4 055988AC3 LT AAAsf Affirmed AAAsf A-5 055988AD1 LT AAAsf Affirmed AAAsf A-S 055988AH2 LT AAAsf Affirmed AAAsf A-SB 055988AE9 LT AAAsf Affirmed AAAsf B 055988AJ8 LT AA-sf Affirmed AA-sf C 055988AK5 LT A-sf Affirmed A-sf D 055988AQ2 LT BBBsf Affirmed BBBsf E 055988AS8 LT BBB-sf Affirmed BBB-sf F-RR 055988AU3 LT BB-sf Affirmed BB-sf G-RR 055988AY5 LT B-sf Affirmed B-sf X-A 055988AF6 LT AAAsf Affirmed AAAsf X-B 055988AG4 LT AA-sf Affirmed AA-sf X-D 055988AL3 LT BBBsf Affirmed BBBsf X-E 055988AN9 LT BBB-sf Affirmed BBB-sf X-FRR 055988AW9 LT BB-sf Affirmed BB-sf X-GRR 055988BA6 LT B-sf Affirmed B-sf KEY RATING DRIVERS 'Bsf' Loss Expectations; Specially Serviced Loans: The deal-level 'Bsf' rating case loss has decreased to 4.91% from 5.31% at Fitch's Prior rating action. The pool loss expectations are driven primarily by 8 Fitch Loans of Concern (FLOCs; 21.5%), 7 of which are in special servicing (19.9%). The Negative Outlooks for classes B, C, D, E, F-RR, G-RR, X-B, X-D, X-E, X-FRR, and X-GRR reflect the pool's high proportion of loans in special servicing (21.5%), including a substantial exposure to a defaulted borrower, withdrawal of the investment-grade credit opinion for the Oak Street NLP Portfolio (4.6%) loan, and the potential for further downgrades if recovery prospects on specially serviced loans worsen or performance continues to deteriorate beyond current expectations on the FLOCs, including specially serviced Cincinnati Multifamily Portfolio (6.0%), Cross Island Plaza (4.6%), and the Penleigh (2.4%). Largest Contributors to Loss: The largest contributor to overall pool loss expectations is the Cincinnati Multifamily Portfolio (6.0% of the pool), which is secured by three multifamily properties totaling 375 units located in Cincinnati, OH. The portfolio was 98% occupied with a debt service coverage ratio (DSCR) of 1.31x as of March 2024 compared to 98% and 1.52x at issuance. Updated financial reporting has not been provided by the borrower. As of December 2025, the loan was over 90 days delinquent and has not received a payment since January 2025. The loan initially became delinquent in May 2024 and subsequently transferred to special servicing in July 2024. The sponsor, Mendel Steiner, died in January 2025. As of November 2025, the borrower remains non-compliant with cash management and reporting requirements. Receivership and foreclosure litigation is ongoing. Despite the positive cash flow and stable occupancy for the portfolio, Fitch expects a prolonged loan workout given the circumstances that could potentially erode property valuation. Fitch's 'Bsf' rating case loss of 12.4% (prior to concentration add-ons) reflects the Fitch issuance net cash flow (NCF), an 8.75% cap rate and factors an elevated probability of default given the delinquent loan status. The sponsor also has two other specially serviced loans in the pool (Steiner Portfolio -Chicago 4-Pack (1%) and Steiner Portfolio - Chicago 3-Pack (0.7%)). Both loans are secured by multi-family properties located in Chicago, IL totaling 124 units across both loans. Similar to the Cincinnati Multifamily Portfolio, performance generally remains in line with issuance expectations. However, reporting has been limited. Fitch's 'Bsf' rating case loss for the Chicago 4-pack loan is 3.7% and 1.9% for the Chicago 3-Pack loan (prior to concentration add-ons). The losses reflect stresses to recent appraisal values equating to a recovery of $83,300 per unit for the Chicago 4-Pack portfolio and $89,300 per unit for the Chicago 3-Pack portfolio. The second-largest overall contributor to expected loss is the The Comfort Suites Maingate East loan (2.2%), which is secured by a 198-unit motel located in Kissimmee, FL, built in 2000 and renovated in 2020. Performance of the hotel has deteriorated with the September 2025 NCF reported as negative with an NCF DSCR of -0.04x. YE 2024 net operating income (NOI) declined 78% from the originator's underwritten NOI from issuance. Per the March 2025 STAR report, the hotel reported occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of 72.4%, $117, and $85, respectively, compared to the comp set average occupancy, ADR, and RevPAR of 70.4%, $122, and $86. Additionally, a cash trap was activated following a failure of the debt yield test. Fitch's 'Bsf' rating case loss is 24.1% (prior to concentration add-ons), incorporates the 2023 NOI with an 11.5% cap rate reflecting a stressed value per key of $53,700 per key in-line with recent sales in the submarket. The third-largest overall contributor to expected loss is the Sayville Plaza loan (4.3%), secured by a 229,422sf retail property located in Bohemia, NY, built in 1969 and renovated in 2021. The largest tenants at the property include At Home (37.42% with lease expiry in June 2032), Floor anD (33.58%, September 2036), and Aldi (9.40%, August 2037). Performance has declined due to the bankruptcy and closure of anchor tenant Jo-Ann (13.3% of the NRA) causing property occupancy to fall to 85% as of the July 2025 rent roll. As of June 2025, NOI DSCR was 0.80x as compared to 1.30x at issuance. Additionally, a cash trap was activated due to the bankruptcy of Jo-Ann. Fitch's 'Bsf' rating case loss is approximately 7.9% (prior to concentration add-ons), which reflects the TTM June 2025 NOI and an 9% cap rate The Penleigh loan (2.4%), secured by a 325-unit apartment complex in Branson MO. The property was originally operated as a hotel but was redeveloped as a multifamily property following the sponsor's acquisition. The loan transferred to special servicing in February 2025 and the borrower is in discussion with the servicer on a workout of the loan. The loan was brought current in October 2025. As of the September 2024 reporting, the property was 79% occupied with a NOI debt service coverage ratio of 0.92x, which compares with 96% and 1.35x at issuance. Fitch's 'Bsf' rating case loss is approximately 12.8% (prior to concentration add-ons) is based on a discount to a recent appraisal value reflecting a stressed value of $53,200 per key. The Oak Street NLP Fund portfolio loan (4.6%), secured by a portfolio of grocery stores, office and industrial properties across the U.S., transferred to special servicing in March 2025. The loan was subject to a forbearance agreement which expired in September 2025, and a modification was 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. Investment-Grade Credit Opinion Loans: Three loans (11.4%) received an investment-grade credit opinion at issuance. Oak Street NLP Fund Portfolio (4.6%) received a standalone credit opinion of 'A-sf' but is no longer considered a credit opinion loan due to the bankruptcy of the largest tenant in the portfolio. Harborside 2-3 (4.6%) received a standalone credit opinion of 'BBBsf' and Pacific Design Center (2.3%) received a standalone credit opinion of 'BBB-sf' at issuance. Limited Change to Credit Enhancement (CE): As of the December 2025 distribution date, the aggregate balance of the pool has been reduced by 1.1% since issuance. There are 22 (66.8%) full-term, interest-only (IO) loans and six loans (10.1%) have a partial, IO period. Cumulative interest shortfalls of $68,452 are affecting the non-rated class J-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the specially serviced loans/FLOCs deteriorate significantly and/or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories could occur with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, most notably the Cincinnati Multifamily Portfolio or with prolonged workouts of the other loans in special servicing. 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 seven specially serviced loans. 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 specially serviced loans/FLOCs are better than expected and there is sufficient CE to the classes. BRAVO RESIDENTIAL 2026-NQM1: Fitch Gives B(EXP) Rating on B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-NQM1 (BRAVO 2026-NQM1). RATING ACTIONS Entity/Debt Rating ----------- ------ BRAVO 2026-NQM1 A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 779 loans with a total balance of approximately $401.4 million as of the cutoff date. Arc Home LLC (ARC Home) and Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra), originated approximately 46.2% and 36.5% of the pool, respectively, and both are considered 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Nationstar Mortgage LLC, d/b/a Rushmore Servicing (Rushmore), and Citadel Servicing Corporation will service 55.3% and 44.7% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM1 has a Final PD of 42.6% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 41.6%. The expected loss in the 'AAAsf' rating stress is 17.7%. The pool consists of 779 primarily newly originated non-QM loans, with a Fitch FICO of 744 and a WA original CLTV of 70.6. Fitch considers approximately 85% of the pool non-prime. About 17.7% of the pool is full documentation; the remaining loans are non-full documentation, including DSCR (35.7%), bank statements (37.1%), and other programs (8.4%). DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 42.3% of borrowers are self-employed or have unknown employment status. In addition, approximately 3.8% of the pool was originated to foreign nationals (including ITIN borrowers), which is subject to PD penalty due to the perceived weaker connection to the property. Fitch's new PD framework added two variables: self-employment status and a prime versus non-prime classification (based on documentation type, FICO, and OCLTV). Documentation is simplified to full versus non-full, and the treatment of alternative documentation underwriting is less punitive, all else being equal, resulting in lower PD levels for non-QM pools compared with the previous methodology. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM1 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1 (collectively, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 and A-3 notes until they are reduced to zero. The class A-1 notes will receive principal payments among themselves either pro-rata or sequentially depending on which combination of class A-1 notes is outstanding. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100 bps, subject to the net WAC, starting on the February 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the February 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1, A-2 and A-3 notes. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of P&I advancing. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a TPR firm deemed 'Acceptable' by Fitch and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CATAMARAN CLO 2014-1: Moody's Cuts $38.5MM D-R Notes Rating to B2 ----------------------------------------------------------------- Moody's Ratings upgrades rating on one class and downgrades the rating on one class of notes issued by Catamaran CLO 2014-1 Ltd. US$37,000,000 Class C-R Deferrable Floating Rate Notes due 2030, Upgraded to Aa3 (sf); previously on August 18, 2025 Upgraded to A3 (sf) Moody's have also downgraded the rating on the following note: US$38,500,000 Class D-R Deferrable Floating Rate Notes due 2030, Downgraded to B2 (sf); previously on November 14, 2023 Downgraded to B1 (sf) Catamaran CLO 2014-1 Ltd., originally issued in May 2014 and refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2025. The Class A-1A and Class A-1B notes have been paid down completely and Class A-2R notes have been paid down approximately by 8.64% or $5.2 million since then. Based on the trustee's December 2025 report, the OC ratio for the Class C-R notes is reported at 132.47%[1] versus August 2025 level of 125.25%[2]. The downgrade rating action on the Class D-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2025 report, the OC ratio for the CLO Class D-R notes was 101.99%[3] versus 103.34%[4] in August 2025. Additionally, based on the trustee December 2025 report, the weighted average rating factor (WARF) has been deteriorating and the current level is 3720[5], compared to 3376[6] in August 2025, failing the maximum test level of 2963. Based on the trustee's December 2025 report, exposure to assets rated Caa1 and below is reported at 18.73%[7], versus August 2025 level of 10.68%[8]. Furthermore, Moody's notes that the December 2025 trustee reported WARF, Diversity and WAL test are currently failing. No actions were taken on the Class A-2R, Class B-R and Class E-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: $181,276,533 Defaulted par: $579,615 Diversity Score: 38 Weighted Average Rating Factor (WARF): 3482 Weighted Average Spread (WAS): 3.19% Weighted Average Recovery Rate (WARR): 45.83% Weighted Average Life (WAL): 2.9 years Par haircut in OC tests and interest diversion test: 6.39% 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. CFCRE 2016-C6: Fitch Cuts Rating on Class D Certs to CCCsf ---------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 11 classes of Cantor Commercial Real Estate's CFCRE 2016-C6 Mortgage Trust (CFCRE 2016-C6) commercial mortgage pass-through certificates. The Rating Outlooks on classes A-M, B, C, and X-B remain Negative. Additionally, Fitch has affirmed 13 classes of Cantor Commercial Real Estate's CFCRE 2016-C7 Mortgage Trust (CFCRE 2016-C7) commercial mortgage pass-through certificates. The Rating Outlooks on affirmed classes A-M, B, and X-B were revised to Stable from Negative. The Rating Outlook for affirmed class C remains Negative. RATING ACTIONS Entity / Debt Rating Prior ------------ ------ ----- CFCRE 2016-C6 A-2 12532AAY5 LT AAAsf Affirmed AAAsf A-3 12532AAZ2 LT AAAsf Affirmed AAAsf A-M 12532ABA6 LT AAAsf Affirmed AAAsf B 12532ABB4 LT A-sf Affirmed A-sf C 12532ABC2 LT BBsf Affirmed BBsf D 12532AAA7 LT CCCsf Downgrade B-sf E 12532AAC3 LT CCsf Affirmed CCsf F 12532AAE9 LT Csf Affirmed Csf X-A 12532ABD0 LT AAAsf Affirmed AAAsf X-B 12532ABE8 LT A-sf Affirmed A-sf X-E 12532AAL3 LT CCsf Affirmed CCsf X-F 12532AAN9 LT Csf Affirmed Csf CFCRE 2016-C7 A-2 12532BAC1 LT AAAsf Affirmed AAAsf A-3 12532BAD9 LT AAAsf Affirmed AAAsf A-M 12532BAE7 LT AAAsf Affirmed AAAsf A-SB 12532BAB3 LT AAAsf Affirmed AAAsf B 12532BAF4 LT AA-sf Affirmed AA-sf C 12532BAG2 LT BBB-sf Affirmed BBB-sf D 12532BAL1 LT CCCsf Affirmed CCCsf E 12532BAN7 LT Csf Affirmed Csf F 12532BAQ0 LT Csf Affirmed Csf X-A 12532BAH0 LT AAAsf Affirmed AAAsf X-B 12532BAJ6 LT AA-sf Affirmed AA-sf X-E 12532BAW7 LT Csf Affirmed Csf X-F 12532BAY3 LT Csf Affirmed Csf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating case loss for the CFCRE 2016-C6 and CFCRE 2016-C7 transactions is 9.4% and 6.7%, respectively. The CFCRE 2016-C6 transaction has 13 Fitch Loans of Concern (FLOCs; 36.4% of the pool) with four loans (14.6%) in special servicing. The CFCRE 2016-C7 transaction has 6 FLOCs (12.1%) including one loan (6.0%) in special servicing. Due to concentration of upcoming loan maturities in both transactions, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their collateral quality, current status, and perceived likelihood of repayment and/or loss expectations. Loan maturities are concentrated in the second half of 2026 with all loans having a maturity or anticipated repayment date (ARD ) in 2026 for CFCRE 2016-C6 and CFCRE 2016-C7. CFCRE 2016-C6: The downgrade reflects the higher pool loss expectations since the prior rating action, driven primarily by the specially serviced loan, Hill7 Office (10.2% of the pool), which experienced performance deterioration due to elevated vacancy and was transferred to special servicing in October 2025 for imminent monetary default, and FLOCs 7th & Pine Seattle Retail & Parking, Residence Inn by Marriott LAX, and Holiday Inn Indianapolis-Carmel, showing sustained performance deterioration with elevated refinance concerns. The Negative Outlooks reflects sensitivity to concentrations and potential adverse selection. They also reflect reliance on FLOCs and specially serviced loans that may face refinancing challenges at maturity, including the specially serviced loans Hill7 Office, Ozre Leased Fee Portfolio, and Sherman Medical Office Building and 312-314 Blecker Street and the FLOCs. CFCRE 2016-C7: The Affirmations and Outlook revisions to Stable from Negative for classes A-M, B, and X-B reflect generally stable pool performance and loss expectations since the prior rating action and lower relative exposure to underperformance from office loans in the pool. The Negative Outlook on Class C reflects the potential for downgrades if performance on the workout of the specially serviced 681 Fifth Avenue loan (6%) is prolonged, with additional value degradation and/or increasing exposure, leading to higher-than-expected losses. Downgrades are also possible if loans currently expected to refinance default on or before their maturity dates. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest contributor to overall loss expectations and second-largest increase in loss since the prior rating action in CFCRE 2016-C6 is the 7th and Pine Seattle Retail & Parking loan (8.6%), which is secured by a 361,650-sf CBD, retail/parking garage property located in Seattle, WA. This FLOC was flagged due to sustained performance declines, particularly from the parking garage component of the collateral, which has an upcoming lease expiration in October 2026 ahead of the November 2026 maturity. As of September 2025, the property was 96% occupied. The servicer-reported NOI DSCR was 1.05x as of YTD September 2025, compared with 0.94x at YE 2024, 1.0x at YE 2023, 0.85x at YE 2022 and 0.58x at YE 2021, and 1.41x at YE 2019. Fitch's 'Bsf' ratings case loss of 44.0% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2024 NOI and an increased probability of default given the upcoming rollover and anticipated refinance concerns. The largest increase in loss since the prior rating action and second-largest contributor to overall loss expectations in CFCRE 2016-C6 is the Hill7 Office loan, which is secured by a 285,680-sf office property in Seattle, WA. The loan transferred to Special Servicing in October 2025 due to imminent monetary default. Per servicer's comment, the borrower has engaged an advisor, and the special servicer is evaluating the loan. The loan is structured with an ARD of November 2026 and a maturity date of November 2028. Beyond the ARD, the interest rate will increase to the greater of 2% plus the initial interest rate, or 2% plus the then current swap yield for the corresponding ARD term. As of September 2025, the servicer-reported NOI DSCR was 2.55x, compared with 3.77x at YE 2024.The September 2025 property occupancy was 47%. The property had exposure to WeWork, which occupied 19% of the NRA and vacated after declaring bankruptcy in 2023. The second-largest tenant, HBO Code Labs (39.3%), vacated its space upon lease expiration in May 2025. The largest tenant, Redfin Corporation, which occupies 39% of the NRA on a lease through July 2027, subleases its space on the 7th floor (10%) to ABC Legal and the 4th and 5th floor is listed for sublease. The loan is structured with a cash sweep tied to major tenants including RedFin and HBO, capped at $40 psf. Approximately $4.5 million is currently being held for the HBO Code Labs space. CoStar reports an office vacancy rate of 31.1% in the Seattle CBD submarket and an elevated availability rate of 35.4% as of the third quarter of 2025. Fitch's 'Bsf' rating case loss of 18.9% (prior to concentration add-ons) reflects a 9% cap rate, 30% stress to the YE 2024 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The largest contributor to overall loss expectations and largest increase in loss since the prior rating action in CFCRE 2016-C7 is the 681 Fifth Avenue loan, which is secured by 82,573-sf mixed-use retail and office property located in Midtown Manhattan's Plaza District. The loan was transferred to special servicing in September 2023 due to payment default. The loan has been 90-plus days delinquent since March 2024, with a motion for judgement of foreclosure filed in November 2025 and a receiver remains in place. The majority of the property's rental income (78% of total base rents) came from the dark retail tenant, Tommy Hilfiger (27.3% of the NRA), which vacated in April 2019 but continued to pay rent until its lease expiration in May 2023. In addition, Apex (7.0% of the NRA) vacated at its March 2023 lease expiration, causing occupancy to fall to 52% and the NOI DSCR to 0.93x as of YE 2023 from 1.65x at YE 2022. Occupancy remains at 52%, while NOI DSCR declined to 0.08 at YE 2024 and 0.04x for YTD September 2025.Fitch's 'Bsf' rating case loss of 72.0% (prior to concentration add-ons) reflects a discount to the latest appraisal value provided by the servicer and a 76% value decline from the appraised value at issuance. The second-largest contributor to expected losses in the pool is the Fresno Fashion Fair loan (7.2%), secured by a 536,093 sf of inline space in a super-regional mall located in Fresno, CA. The property has demonstrated a strong recovery from the effects of the pandemic. Per the YE 2024 servicer's report, the property has remained 97% occupied with a 2.34x NOI DSCR. The YE 2024 NOI is 25% above YE 2020 and remains 5% above the originator's underwritten NOI from issuance. According to the most recently received rent roll, there is rollover risk of 11.2% of the NRA expiring in 2025, 15.2% in 2026, 11.4% in 2027, and 20.1% in 2028. Fitch's 'Bsf' ratings case loss of 8.4% (prior to concentration add-ons) reflects a 13% cap rate, and a 7.5% stress to the YE 2024 NOI. Change in Credit Enhancement (CE): As of the December 2025 distribution statement, the aggregate balances of the CFCRE 2016-C6 and CFCRE 2016-C7 transactions have been reduced by 11.9% and 13%, respectively. There are 14 loans (33.6%) in CFCRE 2016-C6 and 7 loans (10.0%) CFCRE 2016-C7 are defeased. Interest shortfalls of $362,802 are impacting the non-rated class G in CFCRE 2016-C6 and $2.6 million are impacting the rated class D in CFCRE 2016-C7. Realized losses of $5.9 million are impacting the non-rated class G in the CFCRE 2016-C6 transaction and $18.4 million are impacting the nonrated class G in CFCRE 2016-C7 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf', 'AAsf' and 'Asf' categories are possible with outsized losses on all of the FLOCs, including 7th & Pine Seattle Retail & Parking, Residence Inn by Marriott LAX, Holiday Inn Indianapolis - Carmel, Northside Tower and Biston Portfolio, in the CFCRE 2016-C6 transaction and Residence Inn by Marriott LAX, KB Texas Dialysis Portfolio, and Oswego Commons in the CFCRE 2016-C7 transaction. Downgrades to the 'BBBsf' and 'BBsf' categories are possible with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and if recovery prospects worsen on the specially serviced Hill7 Office, Ozre Leased Fee Portfolio, Sherman Medical Office building and 312 - 314 Bleeker Street loans in the CFCRE 2016-C6 transaction and the specially serviced 681 Fifth Avenue loan in the CFCRE 2016-C7 transaction. Downgrades to distressed classes would occur if additional loans transfer to special servicing and/or default, and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Asf' categories could occur with improvements in credit enhancement (CE) from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the aforementioned FLOCs. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'BBB-sf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' 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 'CCCsf', 'CCsf' and 'Csf' rated classes are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. EFMT 2026-CES1: Fitch Rates Class B2 Certs 'Bsf' ------------------------------------------------ Fitch Ratings has assigned final ratings to EFMT 2026-CES1. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- EFMT 2026-CES1 A1 26846MAC8 LT AAAsf New Rating AAA(EXP)sf A1A 26846MAA2 LT AAAsf New Rating AAA(EXP)sf A1B 26846MAB0 LT AAAsf New Rating AAA(EXP)sf A2 26846MAD6 LT AAsf New Rating AA(EXP)sf A3 26846MAE4 LT Asf New Rating A(EXP)sf M1 26846MAF1 LT BBBsf New Rating BBB(EXP)sf B1 26846MAG9 LT BBsf New Rating BB(EXP)sf B2 26846MAH7 LT Bsf New Rating B(EXP)sf B3 26846MAJ3 LT NRsf New Rating NR(EXP)sf R 26846MAL8 LT NRsf New Rating NR(EXP)sf XS 26846MAK0 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated 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. On 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 set forth in the table above 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. EFMT 2026-CES1 is fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV) which is consistent to Fitch's criteria. 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. FIRST FRANKLIN 2006-FF14: Moody's Ups Rating on A1 Certs to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by First Franklin Mortgage Loan Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: First Franklin Mortgage Loan Trust 2006-FF14 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. A6, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF7 Cl. I-A, Upgraded to Aaa (sf); previously on Mar 24, 2023 Upgraded to Aa2 (sf) Cl. II-A-3, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Ca (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 rating upgrade of Class I-A from First Franklin Mortgage Loan Trust 2006-FF7 is a result of the improving performance of the related pool. No action was taken on the other rated class in these deals because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features and credit enhancement. 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. FIRST FRANKLIN 2006-FF17: Moody's Ups Rating on 2 Tranches to Caa1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of two bonds issued by First Franklin Mortgage Loan Trust 2006-FF17. The collateral backing this deal consists of subprime mortgages. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=tOEnOb 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: First Franklin Mortgage Loan Trust 2006-FF17 Cl. A2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. A5, Upgraded to Caa1 (sf); previously on Jun 14, 2017 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The 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. GREAT LAKES 2014-1: Moody's Ups Rating on $10.5MM F-R Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has assigned a rating to one class of CLO refinancing notes (collectively, the "Refinancing Debt") issued by Great Lakes CLO 2014-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$24,910,000 Class E-R2 Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class E-R2 Notes"), Assigned Aaa (sf) Additionally, Moody's have taken rating action on the following outstanding notes originally issued by the Issuer on April 25, 2014 (the "Original Closing Date"): US$10,500,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class F-R Notes"), Upgraded to Ba1 (sf); previously on June 5, 2025 Upgraded to B1 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow middle market (MM) CLO. The issued notes are collateralized primarily by a portfolio of middle market loans. BMO Asset Management Corp. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued five other classes of secured notes and one class of subordinated notes. While the Class A-R Notes, Class B-R Notes, Class C-R Notes and Class D-R Notes have been fully repaid, Class F-R will remain outstanding. In addition to the issuance of the Refinancing Debt, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the Refinancing Notes' non-call period. Moody's rating action on the Class F-R Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. The upgrade action is also a result of deleveraging of previously-issued notes and an increase in the transaction's over-collateralization (OC) ratios since October 2025. The Class D-R notes have been fully paid down and immediately prior to the refinancing, Moody's calculates that the Class E-R notes will have been paid down by approximately 12.60% or $3.59 million since October 2025. Based on Moody's calculations, the OC ratios for the Class E-R2 and Class F-R notes are currently 221.63% and 155.91%, respectively, versus October 2025 levels of 159.53% and 128.61% for the Class E-R and Class F-R notes, respectively. 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: $50,076,384 Defaulted par: $10,757,622 Diversity Score: 12 Weighted Average Rating Factor (WARF): 6363 Weighted Average Spread (WAS): 5.41% Weighted Average Recovery Rate (WARR): 48.94% Weighted Average Life (WAL): 1.3 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. GS MORTGAGE 2026-PJ1: Fitch Gives B(EXP) Rating to Class B5 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ1 (GSMBS 2026-PJ1). RATING ACTIONS Entity/Debt Rating ---------- ------ GSMBS 2026-PJ1 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX29 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating BX1 LT AA(EXP)sf Expected Rating BX2 LT A(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The classes are supported by 251 prime loans with a total balance of approximately $318.6 million as of the cut-off date. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-PJ1 has a final probability of default (PD) of 10. 05% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34. 00%. The expected loss in the 'AAAsf' rating stress is 3. 42% (see Highlights and Asset Analysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ1 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 GSMBS 2026-PJ1, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. GS MORTGAGE-BACKED 2026-NQM1: S&P Assigns (P)B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-NQM1's mortgage-backed certificates. The note issuance is an RMBS transaction backed by first-lien, fixed-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool consists of 1,076 loans backed by 1,076 properties, which are primarily non-qualified mortgage (non-QM)/ability-to-repay (ATR) compliant and ATR-exempt loans. The preliminary ratings are based on information as of Jan. 16, 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; and -- S&P said, "Our 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) GS Mortgage-Backed Securities Trust 2026-NQM1 Class A-1FCF, $106,785,000: AAA (sf) Class A-1LCF, $35,595,000: AAA (sf) Class A-1A, $122,877,000: AAA (sf) Class A-1B, $19,505,000: AAA (sf) Class A-1, $142,382,000: AAA (sf) Class A-2, $25,161,000: AA (sf) Class A-3, $37,058,000: A (sf) Class M-1, $16,578,000: BBB (sf) Class B-1, $11,898,000: BB (sf) Class B-2, $9,362,000: B (sf) Class B-3, $5,266,752: NR Class X, notional(ii): NR Class SA, (iii): NR Class PT, $390,085,752: NR Class R(iv), not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $390,085,752. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $101,463.00. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. MADISON PARK LXI: Fitch Rates Class E-R Debt 'BBsf' --------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Madison Park Funding LXI, Ltd. reset transaction. RATING ACTIONS Madison Park Funding LXI, Ltd. Rating Prior ------ ----- X-R LT AAAsf New Rating A-R LT NRsf New Rating B 55822NAE9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 55822NAG4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 55822NAJ8 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 55822PAA2 LT PIFsf Paid In Full BBsf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Madison Park Funding LXI, Ltd. (the issuer) is refinancing an arbitrage cash flow collateralized loan obligation (CLO) that initially closed in January 2024. This will be the first refinancing (reset) transaction, and the existing secured notes will be redeemed in whole on Jan. 12, 2026 from proceeds from the new secured notes. The transaction will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.01, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R between less than 'B-sf' and 'BB+sf' for D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. MAN GLG 2018-1: Moody's Cuts Rating on $25MM Class D-R Notes to B1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Man GLG US CLO 2018-1 Ltd.: US$32M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on May 7, 2025 Upgraded to A2 (sf) US$25M Class D-R Senior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on May 7, 2025 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$56M Class A-2-R (Current outstanding balance US$40,215,455) Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 7, 2025 Affirmed Aaa (sf) US$30M Class B-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on May 7, 2025 Upgraded to Aaa (sf) US$6M Class E-R (Current outstanding balance US$6,196,213) Senior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on May 7, 2025 Downgraded to Caa3 (sf) Man GLG US CLO 2018-1 Ltd., originally issued in April 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Silvermine Capital Management LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrade on the ratings on the Class C-R notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in May 2025. The Class A-1-R notes have been fully repaid, and the Class A-2-R notes have been paid down by approximately USD15.8 million (28.2%) since the last rating action in May 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated December 2025[1], the Class A, Class B and Class C OC ratios are reported at 321.04%, 183.88% and 126.31% compared to April 2025[2] levels of 174.92%, 141.86% and 118.06%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The downgrade to the rating on the Class D-R notes is due to the deterioration in the credit quality of the underlying collateral pool and the deterioration in over-collateralisation ratio for the tranche since the last rating action in May 2025. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated December 2025[1], the WARF was 3729, compared with 3432 in April 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 21.2% of the underlying portfolio, versus 15.3% in April 2025[2]. The Class D OC ratio has also deteriorated since the rating action in May 2025. According to the trustee report dated December 2025[1], the Class D OC ratio is reported at 101.49% compared to April 2025[2] level of 104.37% and is currently in breach. The affirmations on the ratings on the Class A-2-R, B-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD136.8m Defaulted Securities: USD0.5m Diversity Score: 36 Weighted Average Rating Factor (WARF): 3545 Weighted Average Life (WAL): 2.87 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.24% Weighted Average Recovery Rate (WARR): 45.52% Par haircut in OC tests and interest diversion test: 6.59% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NATIONAL COLLEGIATE 2007-A: Fitch Hikes Rating on C Notes to BBsf ----------------------------------------------------------------- The upgrade of National Collegiate Trust 2007-A's (NCT 2007-A) class B and class C bonds reflect the stable asset performance and the increased credit enhancement (CE) available to the bonds from the ongoing pro rata amortization of the capital structure. The affirmation of NCT 2007-A's class A bond incorporates the stable underlying asset performance coupled with CE levels commensurate to Fitch's stresses. The Rating Outlook for all classes of notes is Stable. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- The National Collegiate Trust 2007-A A 63543YAA5 LT AAAsf Affirmed AAAsf B 63543YAB3 LT Asf Upgrade BBBsf C 63543YAC1 LT BBsf Upgrade Bsf Transaction Summary The affirmation of NCT 2007-A's class A bonds and upgrades of class B and class C bonds reflects credit enhancement (CE) levels commensurate to Fitch's stresses at the relevant rating scenarios and stable asset performance since the last review. Furthermore, the pool factor of the transaction is low at 4.4%. KEY RATING DRIVERS Collateral Performance NCT 2007-A is collateralized by private student loans originated by Bank of America (AA-/F1+/Stable) under First Marblehead Corp.'s Gate Program and include origination by CHELA Funding II, LLC. Fitch has maintained its assumption of the constant default rate at 3.50%. A base-case recovery rate of 30% was assumed for the NCT 2007-A, which was determined to be appropriate based on data previously provided by the issuer and reflected the guarantee provided by Bank of America on loans originated pursuant to the GATE program. With the pool factor reduced to approximately 4.4% of the initial asset pool balance, negative pool selection risk is elevated as the remaining collateral continues to amortize. Payment Structure CE is provided by overcollateralization (the excess of the trust's asset balance over the bond balance) and excess spread. For NCT 2007-A, cash is currently being released from the trust as the 104% parity level required is currently met. Liquidity support is provided to NCT 2007-A by a reserve account sized at about USD 1 million. In Fitch's view, the available reserve accounts are able to cover at least one quarter of senior cost and interest payments. Operational Capabilities Pennsylvania Higher Education Assistance Agency services 100% of NCT 2007-A. Fitch believes the servicer is an acceptable servicer of private student loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade NCT 2007-A Current Ratings: 'AAAsf'/'BBBsf'/'Bsf'. Expected model-implied rating impact on the note rating of increased defaults (class A/B/C): --Increase base case defaults by 10%: 'AAAsf'/'Asf'/'BBsf'; --Increase base case defaults by 25%: 'AAAsf'/'Asf'/'BBsf'; --Increase base case defaults by 50%: 'AAAsf'/'Asf'/'BBsf'. Expected impact on the note rating of reduced recoveries (class A/B/C): --Reduce base case recoveries by 10%: 'AAAsf'/'Asf'/'BBsf'; --Reduce base case recoveries by 20%: 'AAAsf'/'Asf'/'BBsf'; --Reduce base case recoveries by 30%: 'AAAsf'/'Asf'/'BBsf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A/B/C): --Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'Asf'/'BBsf'; --Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'Asf'/'BBsf'; --Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'Asf'/'BBsf'. For all above sensitivities, the model-implied ratings are capped at the current ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade NCT 2007-A Current Ratings: 'AAAsf'/'BBBsf'/'Bsf'. --Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'; --Increase base case recoveries by 30%: 'AAAsf'/'AAAsf'/'Asf'; --Decrease base case defaults and increase base case recoveries each by 50%: 'AAAsf'/'AAAsf'/'AAAsf'. Sensitivities are capped at current ratings. NEW RESIDENTIAL 2026-NQM1: Fitch Rates Class B1 Notes 'BB-(EXP)' ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM1 (NRMLT 2026-NQM1). RATING ACTIONS Entity/Debt Rating ----------- ------ NRMLT 2026-NQM1 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 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 Transaction Summary The transaction is expected to close on Jan. 29, 2026. The notes are supported by 1,014 nonprime loans that were primarily originated by Newrez LLC and Caliber Home Loans, Inc., with a total balance of approximately $502.1 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM1 has a final probability of default (PD) of 36.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.7%. The expected loss in the 'AAAsf' rating stress is 15.0%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM1 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to notes of the A-1 classes, A-2 class and A-3 class until they are reduced to zero. The A-1 classes will receive interest and principal payments among themselves either pro rata or sequentially, depending on which combination of the A-1 classes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (please see the Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM1 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 NRMLT NRMLT 2026-NQM1 and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. OCEAN TRAILS CLO XV: Fitch Rates Class E-R Debt 'BBsf' ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Ocean Trails CLO XV Ltd reset transaction. RATING ACTIONS Entity / Debt Rating ------------- ------ Ocean Trails CLO XV Ltd Class A-R 67515BAN2 LT NRsf New Rating Class B-R 67515BAQ5 LT AAsf New Rating Class C-R 67515BAS1 LT Asf New Rating Class D-1R 67515BAU6 LT BBB-sf New Rating Class D-2R 67515BAW2 LT BBB-sf New Rating Class E-R 67515CAE0 LT BBsf New Rating Class F-R 67515CAG5 LT NRsf New Rating Subordinated Notes 67515CAC4 LT NRsf New Rating Transaction Summary Ocean Trails CLO XV Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Five Arrows Managers North America LLC. The original CLO, closed in February 2024 and was not rated by Fitch. On Jan. 15, 2026, the CLOs existing secured notes will be redeemed in full from refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 96.3% first lien senior secured loans and has a weighted average recovery assumption of 72.33%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R and 'BBB+sf' for class E-R. OCEAN TRAILS XV: Moody's Assigns B3 Rating to $500,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued by Ocean Trails CLO XV Ltd (the Issuer): US$278,650,000 Class A-R Floating Rate Notes due 2039, Assigned Aaa (sf) US$500,000 Class F-R Deferrable Floating Rate 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Five Arrows Managers North America 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 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: reinstatement and 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 v published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $449,696,007 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3121 Weighted Average Spread (WAS): 3.07% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or 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. OZLM LTD VI: Moody's Affirms Ba3 Rating on $33MM Class D-S Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by OZLM VI, Ltd.: US$37.5 million Class C-T Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jun 16, 2025 Upgraded to A1 (sf) Moody's have also affirmed the ratings on the following notes: US$41 million (Current outstanding balance US$39,771,308) Class A-2a-T Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 16, 2025 Affirmed Aaa (sf) US$13 million (Current outstanding balance US$12,610,415) Class A-2b-S Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jun 16, 2025 Affirmed Aaa (sf) US$20.5 million Class B-1-T Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 16, 2025 Upgraded to Aaa (sf) US$17 million Class B-2-S Senior Secured Deferrable Fixed Rate Notes, Affirmed Aaa (sf); previously on Jun 16, 2025 Upgraded to Aaa (sf) US$33 million Class D-S Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jun 16, 2025 Affirmed Ba3 (sf) US$14.4 million Class E-S Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Jun 16, 2025 Affirmed Caa3 (sf) OZLM VI, Ltd., which was originally issued in April 2014 and subsequently refinanced most recently in June 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor Loan Management LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class C-T notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in June 2025. The affirmations on the ratings on the Class A-2a-T, A-2b-S, B-1-T, B-2-S, D-S and E-S notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-T notes have been fully repaid after paying down USD75.2 million (29.2%) since the last rating action in June 2025 and USD257.3 million (100.0%) since closing. In addition, the Class A-2a-T and the Class A-2b-S notes have paid down USD1.2 million and USD0.4 million, respectively, since the last rating action. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated December 2025[1] the Class A, Class B and Class C OC ratios are reported at 320.8%, 186.9% and 131.9% compared to May 2025[2] levels of 193.48%, 149.94% and 122.40%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD177.3m Defaulted Securities: USD941k Diversity Score: 46 Weighted Average Rating Factor (WARF): 3467 Weighted Average Life (WAL): 2.9 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.33% Weighted Average Recovery Rate (WARR): 45.31% Par haircut in OC tests and interest diversion test: 6.21% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PMT LOAN 2026-INV1: Moody's Assigns B3 Rating on Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 56 classes of residential mortgage-backed securities (RMBS) 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. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on January 08, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.69%, in a baseline scenario-median is 0.41% and reaches 7.17% at a stress level consistent with Moody's Aaa ratings. 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 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. RCKT MORTGAGE 2026-CES1: Fitch Gives B(EXP) Rating to 4 Classes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES1 (RCKT 2026-CES1). RATING ACTIONS Entity/Debt Rating ----------- ----- RCKT 2026-CES1 A-1A LT AAA(EXP)sf Expected Rating A1-B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1A LT BBB(EXP)sf Expected Rating M-1B LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating Transaction Summary The notes are supported by 5,839 closed-end second lien (CES) loans with a total balance of approximately $548 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES1 has a Final PD of 18.4% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 98.3%. The expected loss in the 'AAAsf' rating stress is 18.1%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in RCKT 2026-CES1 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal first to repay any current or previously allocated cumulative applied realized losses and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 24.9% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES1 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SILVER POINT 15: 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 and one class of loans to be incurred by Silver Point CLO 15, Ltd. (the Issuer or Silver Point CLO 15): Up to US$320,000,000 Class A Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$50,000,000 Class A-L Loans maturing 2039, Assigned (P)Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. On the closing date, the Class A Notes and the Class A-L Loans have a principal balance of $270,000,000 and $50,000,000, respectively. At any time, the Class A-L Loans may be converted, in whole or in part, into Class A Notes, thereby decreasing the principal balance of the Class A-L Loans and increasing the principal balance of the Class A Notes by the corresponding amount. The aggregate principal balance of the Class A Notes and Class A-L Loans will not exceed $320,000,000 less the amount of any principal repayments. 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. Silver Point CLO 15 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of assets that are not senior secured loans or eligible investments. Moody's expects the portfolio to be approximately 100% ramped as of the closing date. Silver Point CLO Equity Fund II 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 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2948 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. VERDELITE STATIC 2024-1: Fitch Affirms BB+ Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has upgraded Verdelite Static CLO 2024-1 Ltd.'s class B notes from 'AA' to 'AA+' and affirmed the class A, C, D, and E notes. Fitch has assigned a Positive Outlook to the class B notes and revised the Outlook on the class C notes to Positive from Stable. The Outlooks on the other rated notes are Stable. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- Verdelite Static CLO 2024-1, Ltd. A 92338VAA9 LT AAAsf Affirmed AAAsf B 92338VAC5 LT AA+sf Upgrade AAsf C 92338VAE1 LT Asf Affirmed Asf D 92338VAG6 LT BBB+sf Affirmed BBB+sf E 92338WAA7 LT BB+sf Affirmed BB+sf Transaction Summary Verdelite Static CLO 2024-1, Ltd. is a broadly syndicated collateralized loan obligation (CLO) managed by BCRED Verdelite JV LP. The transaction is a static CLO that originally closed in July 2024 and is secured by first lien, senior secured leveraged loans. KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The upgrade to the class B notes and Positive Outlooks are driven by the note amortization of the class A notes, which resulted in increased credit enhancement levels and break-even default rate (BEDR) cushions against relevant rating stress default levels. As of December 2025 reporting, approximately 22.1% of the class A notes had amortized since the last review in April 2025, bringing cumulative amortization to 30.5% of the original class A note balance. Updated Cash Flow Analysis While class B and C notes' Model Implied Ratings (MIRs) are one notch higher than the notes' current ratings, the BEDR cushions at the MIR levels based on the stressed portfolio were not considered sufficiently robust for further upgrades. However, the Positive Outlooks on the class B and C notes indicate a potential upgrade if amortization continues and decline in the credit quality remains limited. The rating actions for the class A, D, and E notes are in line with their MIRs. The Stable Outlooks on the class A, D, and E notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The portfolio weighted average life was also extended to 4.6 years. Increasing Concentration and Stable Credit Quality The deleveraging is accompanied by increasing portfolio concentration, with the most recent portfolio consisting of 190 obligors with the largest 10 obligors representing 11.6% of the portfolio, compared to 230 obligors and 9.8%, respectively, at last review. The credit quality of the portfolio has remained stable at a Fitch weighted average rating factor of 24.8 (B/B- rating level) since closing. Exposure to issuers with a Negative Outlook has grown to 13.4% from 11.0%; the current exposure to Fitch's watchlist increased from to 4.7% from 3.8%. The underlying portfolio spread declined slightly to 3.0% from 3.1% since last review. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; -- A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three notches lower, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; -- A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to four notches higher, based on MIRs. VERUS SECURITIZATION 2026-1: Fitch Rates Class B-2 Notes 'B-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-1 (Verus 2026-1). RATING ACTIONS Entity/Debt Rating Prior VERUS 2026-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1F LT WDsf Withdrawn AAA(EXP)sf A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1FCX LT AAAsf New Rating AAA(EXP)sf A-1IO LT WDsf Withdrawn AAA(EXP)sf A-1IO1 LT WDsf Withdrawn AAA(EXP)sf A-1IO2 LT WDsf Withdrawn AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,550 loans with a balance of $806.1 million as of Jan. 1, 2026 (the cutoff date). The notes are secured by mortgage loans originated by various originators and acquired by the sellers. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first-lien loans, where the P&I advancing party will advance delinquent P&I for up to 90 days. There is no servicer advancing for second-lien loans. Primary residence loans constitute 52.0% of the Verus 2026-1 transaction pool, followed by second home and investor loans at 48.0%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans, at 34.0%; while 26.0% were originated to a bank statement program, 19.4% are a CPA P&L product, 13.1% are full documentation or a tax return product, and the remaining 7.5% were underwritten to a written verification of employment (WVOE) or asset underwriting product. There were slight changes to collateral since presale. Nine loans were dropped, and original balances were rolled to Jan. 1 balances (vs. Jan. 1 estimated balances cutoff date for presale). Overall, the collateral composition of the final pool remained similar to the preliminary pool and losses decreased between 2bps-9bps for all classes. After receiving the post-pricing structure on Jan. 9, bond balances were updated and most coupons decreased by 20-30 bps, which increased the excess spread to 187 bps. The higher excess spread and improved deal pricing provided additional credit enhancement, leading Fitch to upgrade its expected rating for the B-1 class to 'BBsf'. Ratings for the other classes remained the same. The issuer provided an updated structure, removing the withdrawn classes A-1F, A-1IO1, A-1IO2, and A-1IO, all of which previously had expected ratings of AAA with a Stable outlook. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-1 has a final probability of default (PD) of 44.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.7%. The expected loss in the 'AAAsf' rating stress is 19.0%. Structural Analysis: Verus 2026-1 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration with a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Verus 2026-1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-1 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. WESTLAKE AUTOMOBILE 2026-1: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 45.7%, 39.2%, 30.4%, 23.1%, and 19.8% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2-A, A-2-B, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed break-even cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x 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 we believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2026-1 Class A-1, $471.00 million: A-1+ (sf) Class A-2-A, $450.00 million: AAA (sf) Class A-2-B, $50.00 million: AAA (sf) Class A-3, $296.40 million: AAA (sf) Class B, $153.81 million: AA (sf) Class C, $231.78 million: A (sf) Class D, $197.01 million: BBB (sf) Class E, $102.19 million: BB (sf) ********* 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. 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