260201.mbx

260201.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, February 1, 2026, Vol. 30, No. 32 Headlines A&D MORTGAGE 2026-NQM1: S&P Assigns B-(sf) Rating on Cl. B-2 Certs AB BSL CLO 7: S&P Assigns BB- (sf) Rating on Class E Notes AGL CLO 46: Fitch Gives 'BB-sf' Rating on Class E Notes AGL CLO 46: Fitch Gives BB-(EXP) Rating to Class E Notes AMERICAN CREDIT 2026-1: S&P Assigns BB(sf) Rating on Class E Notes ANCHORAGE CAPITAL 28: Fitch Rates Class F-R Notes 'B-sf' APEX CREDIT 13: Fitch Rates Class E Debt 'BB-sf' ARINI US IV: S&P Assigns BB- (sf) Rating on Class E Notes BAIN CAPITAL 2022-5: Fitch Rates Class E-RR Notes 'BBsf' BARCLAYS MORTGAGE 2026-NQM1: S&P Assigns (P) B Rating on B-2 Notes BARINGS CLO 2025-VII: Fitch Rates Class E Debt 'BB-sf' BENCHMARK 2026-V20: Fitch Gives BB-(EXP) Rating on Class X-E Certs BENEFIT STREET 46: S&P Assigns BB- (sf) Rating on Class E Notes BENEFIT STREET 46: S&P Assigns Prelim BB- (sf) Rating on E Notes BLUE OWL 2025-1: Fitch Gives BB-sf Rating on Class E Debt BLUE OWL 2025-1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes BMO 2026-C14: Fitch Affirms BB-(EXP) Rating on Class F-RR Certs BMO 2026-C14: S&P Assigns Prelim B+ (sf) Rating on Cl. J-RR Certs BRANT POINT 2023-2: Fitch Gives BB-(EXP) Rating on Cl. E-R Notes BRAVO RESIDENTIAL 2026-NQM1: Fitch Rates Class B-2 Debt 'Bsf' BREAN ASSET 2026-RM14: DBRS Finalizes B Rating on Class M5 Notes BRIDGECREST LENDING 2026-1: S&P Assigns BB (sf) Rating on E Notes BSST 2021-1818: DBRS Confirms C Rating on 3 Cert. Classes BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on Class F Certs BXMT 2026-FL6: Fitch Gives B-(EXP) Rating to 3 Tranches CEDAR FUNDING V: Fitch Gives BB-sf Rating on Class E2-R2 Notes CFCRE COMMERCIAL 2016-C6: DBRS Cuts Rating on 4 Classes to 'C' CIFC FUNDING 2025-IX: Fitch Rates Class E Debt 'BB-sf' CITIGROUP 2015-GC35: Moody's Downgrades Rating on 2 Tranches to B3 COLT 2026-1: Fitch Gives B(EXP) Rating to Class B2 Certs COMM 2014-CCRE15: Moody's Downgrades Rating on Cl. D Certs to B3 COMM 2014-UBS6: DBRS Confirms C Rating on Class G Certs COOPR RESIDENTIAL 2026-CES1: Fitch Gives B(EXP) Rating to B2 Certs DBGS 2019-1735: DBRS Confirms B Rating on Class E Certs DBUBS 2011-LC3: Fitch Lowers Rating on 2 Tranches to Csf DEEPHAVEN RESIDENTIAL 2026-INV1: S&P Rates (P) B (sf) on B-2 Notes DEWOLF PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes DIAMETER CAPITAL 4: S&P Assigns Prelim 'BB-' Rating on E-RR Notes EFMT 2026-AE1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs EXETER AUTOMOBILE 2026-1: S&P Assigns BB- Rating on Cl. E Notes FIGRE TRUST 2026-HE1: DBRS Gives Prov. B Rating on Class F Notes FIGRE TRUST 2026-HE1: S&P Assigns Prelim B- (sf) Rating on F Notes FORTRESS CREDIT XX: S&P Assigns BB- (sf) Rating on Class E-R Notes FS RIALTO 2026-FL11: DBRS Gives Prov. B(low) Rating on 3 Classes HARVEST US 2023-1: Fitch Gives BB-sf Rating on Class E-R Notes HOMES 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs HOMES TRUST 2026-INV1: Moody's Assigns (P)B2 Rating to B-2 Certs JEFFERIES CREDIT 2025-2: S&P Assigns Prelim 'B-' Rating on F Notes JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs JP MORGAN 2019-MFP: Moody's Lowers Rating on Class F Certs to C JP MORGAN 2026-CES1: S&P Assigns Prelim 'B-' Rating on B-2 Notes JPMBB COMMERCIAL 2014-C25: DBRS Confirms C Rating on 5 Tranches KEYCORP STUDENT 2004-A: S&P Affirms CCC+ (sf) Rating on II-D Notes MF1 2026-FL21: DBRS Gives Prov. B(low) Rating on 3 Tranches MORGAN STANLEY 2026-DSC1: DBRS Gives Prov. B Rating on B2 Certs MORGAN STANLEY 2026-DSC1: S&P Assigns Prelim B Rating on B-2 Certs MORGAN STANLEY 2026-NQM1: S&P Assigns B (sf) Rating on B-2 Certs NALP BUSINESS 2026-1: DBRS Finalizes BB Rating on Class C Notes NMEF FUNDING 2025-A: Fitch Affirms BBsf Rating on Cl. D Notes NYC COMMERCIAL 2026-7W34: DBRS Gives (P) BB(high) on HRR Debt NYMT LOAN 2026-INV1: S&P Assigns Prelim B-(sf) Rating on B-2 Notes NYT 2019-NYT: Fitch Cuts Rating on 2 Cert. Classes to Bsf OBX TRUST 2021-J1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba2 OBX TRUST 2026-J1: Moody's Assigns (P)B1 Rating to Cl. B-5 Certs OCP CLO 2021-23: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes OCP CLO 2023-30: S&P Assigns BB- (sf) Rating on Class E-R Notes OPPORTUN ISSUANCE 2026-A: Fitch Gives BB-(EXP) Rating to E Debt PALMER SQUARE 2023-3: S&P Assigns BB- (sf) Rating on Cl. E-R Notes PMT LOAN 2026-CNF1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J1: DBRS Finalizes B(low) Rating on Class B5 Notes PMT LOAN 2026-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs PRIME STRUCTURED 2021-1: Moody's Ups Rating on Cl. F Certs to Ba3 PROGRESS RESIDENTIAL 2026-SFR1: DBRS Finalizes B(low) on G Certs PROVIDENT FUNDING 2026-1: Moody's Assigns (P)B2 Rating to B-5 Certs PRPM 2026-RCF1: Fitch Gives BB-(EXP) Rating on Class M2 Notes RCKT MORTGAGE 2026-CES1: Fitch Gives Bsf Rating on 5 Tranches REALT 2016-2: Fitch Affirms BB+sf Rating to Class G Debt SANTANDER MORTGAGE 2026-CES1: Fitch Rates Class B1 Notes 'BB(EXP)' SARANAC CLO VIII: Moody's Cuts Rating on $19MM Class E Notes to B3 SCULPTOR CLO XXXVI: S&P Assigns BB- (sf) Ratings on Class E Notes SEQUOIA MORTGAGE 2026-INV1: Fitch Rates Class B5 Certs 'Bsf' SILVER ROCK V: S&P Assigns BB- (sf) Rating on Class E Notes SLG OFFICE 2026-PAT: S&P Assigns BB-(sf) Rating on Class HRR Certs SOTHEBY'S ARTFI 2026-1: DBRS Gives Prov. BB Rating on Class E Notes SOUND POINT VIII-R: Moody's Affirms C Rating on $13MM Cl. F Notes SOUND POINT XXIII: Moody's Cuts Rating on $30MM Cl. E-R Notes to B1 STEELE CREEK 2018-2: Moody's Cuts Rating on $19MM E Notes to B3 SUNNOVA HELIOS X: Fitch Keeps BB Rating on C Notes on Watch Neg TCW CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes TOWD POINT 2026-CES1: DBRS Finalizes B Rating on 4 Note Classes TOWD POINT 2026-CES1: Fitch Gives B-sf Rating on 5 Tranches TRIMARAN CAVU 2023-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes TRINITAS CLO XXV: Fitch Gives BB-sf Rating on Class E-R Notes TRINITAS CLO XXV: Moody's Assigns B3 Rating to $1MM Class F Notes TVC MORTGAGE 2026-RRTL1: DBRS Gives Prov. B(low) Rating on M2 Notes UNITED AUTO 2026-1: DBRS Gives Prov. BB(high) Rating on E Notes UNITED AUTO 2026-1: S&P Assigns Prelim BB (sf) Rating on E Notes VEROS AUTO 2026-1: S&P Assigns B (sf) Rating on Class F Notes VERUS SECURITIZATION 2026-R1: Fitch Affirms B(EXP) on B-2 Notes VITALITY RE XVII 2026: S&P Assigns 'B+ (sf)' Rating on Cl. C Notes VOYA CLO 2017-1: Moody's Ups Rating on $20MM Class D Notes to Ba3 [] Moody's Upgrades Ratings on 11 Bonds from 2 US RMBS Deals [] S&P Takes Various Actions on 32 Classes From 29 US RMBS Deals ********* A&D MORTGAGE 2026-NQM1: S&P Assigns B-(sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to A&D Mortgage Trust 2026-NQM1's mortgage pass-through certificates. The certificates are backed first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 1,368 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on Jan. 8, 2026, the issuer decided not to issue the Class A-1FCF and Class A-1LCF certificates on the closing date. Therefore, we did not assign ratings to the class A-1FCF and A-1LCF certificates. In turn, the certificate amounts of the class A-1A and the class A-1B were increased to $365.138 million from $182.57 million and to $56.74 million from $28.372 million, respectively, and the certificate amount from the corresponding class A-1 was increased to $421.878 million from $210.942 million. The resized bonds did not change the credit enhancement on the transaction. After analyzing the final coupons and the updated structure, we assigned ratings to the classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P updates its outlook as necessary when these projections change materially. Ratings Assigned(i) A&D Mortgage Trust 2026-NQM1 Class A-1A, $365,138,000: AAA (sf) Class A-1B, $56,740,000: AAA (sf) Class A-1, $421,878,000: AAA (sf) Class A-2, $28,939,000: AA (sf) Class A-3, $60,147,000: A (sf) Class M-1, $20,994,000: BBB (sf) Class B-1, $14,470,000: BB (sf) Class B-2, $14,185,000: B- (sf) Class B-3, $6,809,696: NR Class A-IO-S, Notional(ii): NR Class X, Notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $567,422,696. N/A--Not applicable. NR--Not rated. AB BSL CLO 7: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to AB BSL CLO 7 Ltd./AB BSL CLO 7 LLC 's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of AllianceBernstein L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned AB BSL CLO 7 Ltd./AB BSL CLO 7 LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.16 million: NR NR--Not rated. AGL CLO 46: Fitch Gives 'BB-sf' Rating on Class E Notes ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 46 Ltd. RATING ACTIONS Entity/Debt Rating Prior ----------- ----- ----- AGL CLO 46 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary AGL CLO 46 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.99, 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 73.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, 'A-sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB-sf' for class E. AGL CLO 46: Fitch Gives BB-(EXP) Rating to Class E Notes -------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 46 Ltd. RATING ACTIONS AGL CLO 46 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary AGL CLO 46 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.99, 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 73.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, 'A-sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB-sf' for class E. AMERICAN CREDIT 2026-1: S&P Assigns BB(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 63.92%, 57.14%, 47.19%, 38.28%, and 33.96% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss of 26.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2026-1 Class A, $436.15 million: AAA (sf) Class B, $96.25 million: AA (sf) Class C, $170.50 million: A (sf) Class D, $157.85 million: BBB (sf) Class E, $68.75 million: BB (sf) ANCHORAGE CAPITAL 28: Fitch Rates Class F-R Notes 'B-sf' -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Anchorage Capital CLO 28, Ltd. refinancing notes. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 28, Ltd. A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B 03330RAC9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 03330RAE5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 03330RAG0 LT PIFsf Paid In Full BBB-sf D-2 03330RAJ4 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 03330VAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 03330VAC0 LT PIFsf Paid In Full B-sf F-R LT B-sf New Rating Transaction Summary Anchorage Capital CLO 28, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Anchorage Collateral Management, L.L.C. All the secured notes will be refinanced on Jan. 22, 2026. Net proceeds from the issuance of the secured 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 24.55, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.05% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the amended and restated indenture, which amended certain provisions of the transaction. The changes include but are not limited to: -- The spreads for classes A-1R, A-2R, B-R, C-R, D-R, E-R and F-R notes are 1.16%, 1.45%, 1.50%, 1.70%, 2.80%, 5.40% and 7.60% compared to the spreads of 1.7%, 2.25%, 2.7%, 4.25%, 7.91% (fixed coupon) 6.95%, and 8.15%. for classes A, B, C, D-1, D-2, E and F classes. -- Class A is refinanced into class A-1R and A-2R. -- Class D-1 and D-2 are refinanced into class D-R. -- Addition of Dynamic WAL covenant. The portfolio can be managed to a 7.13, 5.88, 5.38 or 4.38 WAL covenant, which would decline over time if certain key tests are breached or the collateral balance is below a certain threshold. -- The non-call for the refinanced notes is extended to July 20, 2027. -- Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 373 assets from 314 primarily high yield obligors. The portfolio balance (including principal cash) is approximately $400 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average Fitch Recovery Rate test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 44.1% of the current portfolio par balance; ratings for 55.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.7% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: -- Largest five obligors: 2.5% each for top three, followed by 2.0% for next two for an aggregate of 11.5%; -- Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; -- Assumed risk horizon: 6.13 years; -- Minimum weighted average spread of 3.20%; -- Minimum weighted average recovery rate of 62.50%; -- Maximum weighted average rating factor of 25.00; -- Fixed rate Assets: 5.00%; -- Minimum weighted average coupon of 4.00%; The transaction will exit its reinvestment period on 01-20-2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: -- Class A-1R: 'AAAsf' / Default 43.90% / Recovery 38.04% / Cushion 14.50% -- Class A-2R: 'AAAsf' / Default 43.90% / Recovery 38.04% / Cushion 12.60% -- Class B-R: 'AAsf' / Default 41.10% / Recovery 46.72% / Cushion 11.80% -- Class C-R: 'Asf' / Default 36.60% / Recovery 56.28% / Cushion 12.10% -- Class D-R: 'BBB-sf' / Default 28.40% / Recovery 65.85% / Cushion 12.30% -- Class E-R: 'BB-sf' / Default 23.90% / Recovery 71.55% / Cushion 15.80% -- Class F-R: 'B-sf' / Default 19.20% / Recovery 76.04% / Cushion 18.90% Fitch Stress Portfolio (FSP) Model Outputs: -- Class A-1R: 'AAAsf' / Default 49.50% / Recovery 31.25% / Cushion 3.80% -- Class A-2R: 'AAAsf' / Default 49.50% / Recovery 31.25% / Cushion 2.00% -- Class B-R: 'AAsf' / Default 46.40% / Recovery 37.00% / Cushion 0.00% -- Class C-R: 'Asf' / Default 41.50% / Recovery 46.50% / Cushion 0.20% -- Class D-R: 'BBB-sf' / Default 32.70% / Recovery 55.25% / Cushion 1.90% -- Class E-R: 'BB-sf' / Default 27.50% / Recovery 61.25% / Cushion 3.30% -- Class F-R: 'B-sf' / Default 22.30% / Recovery 66.30% / Cushion 8.30% 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-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A-sf' for class D-R, and 'BBB-sf' for class E-R and 'BB+sf' for class F-R. APEX CREDIT 13: Fitch Rates Class E Debt 'BB-sf' ------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Apex Credit CLO 13 Ltd. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Apex Credit CLO 13 LTD. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C-1 LT Asf New Rating A(EXP)sf C-2 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 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 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. ARINI US IV: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Arini US CLO IV Ltd./Arini US CLO IV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC, an affiliate of Arini Capital Management Ltd. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Arini US CLO IV Ltd./Arini US CLO IV LLC Class A, $186.0 million: AAA (sf) Class A-L loans, $70.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $15.6 million: BB- (sf) Subordinated notes, $35.8 million: NR NR--Not rated. BAIN CAPITAL 2022-5: Fitch Rates Class E-RR Notes 'BBsf' -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2022-5, Limited refinancing notes. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2022-5, Limited X-RR LT AAAsf New Rating A-R 05685JAJ8 LT PIFsf Paid In Full AAAsf A-RR LT AAAsf New Rating B-RR LT AAsf New Rating C-1-R 05685JAN9 LT PIFsf Paid In Full Asf C-F-R 05685JAQ2 LT PIFsf Paid In Full Asf C-RR LT Asf New Rating D-R 05685JAS8 LT PIFsf Paid In Full BBB-sf D-RR LT BBB-sf New Rating E-R 05685KAG1 LT PIFsf Paid In Full BB-sf E-RR LT BB-sf New Rating Transaction Summary Bain Capital Credit CLO 2022-5, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $395 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.18, 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 97.35% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.33% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 60% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the amended and restated indenture, which amended certain provisions of the transaction. The changes include but are not limited to: --The spreads for classes A-RR, B-RR, C-RR, D-RR and E-RR notes are 1.14%, 1.60%, 1.75%, 2.90% and 6.35% compared to the spreads of 1.67%, 2.40%, 2.65%, 6.16% (fixed coupon), 4.25%, and 7.59% for classes A-R, B-R, C-1-R, C-F-R, D-R and E-R. Class X-RR notes are issued with 0.90% spread. --Class X-RR is added. --Class C-1-R and Class C-F-R are refinanced into class C-RR. -- Addition of Dynamic WAL covenant. The portfolio can be managed to a 5.5, 6.0 or eight year WAL covenant, which would decline over time if certain key tests are breached or the collateral balance is below a certain threshold. --The non-call for the refinanced notes is extended to Jan. 24, 2027. --Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis The portfolio includes 468 assets from 402 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $395 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Fixed Coupon, Minimum Floating Spread and Minimum Weighted Average Fitch Recovery Rate tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 42.1% of the current portfolio par balance; ratings for 57.9% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: --Largest five obligors: 2.5% each, for an aggregate of 12.5%; --Largest three industries: 20.0% each; --Assumed risk horizon: 5.5 years; --Minimum weighted average spread of 3.00%; --Minimum weighted average recovery rate of 70.60%; --Maximum weighted average rating factor of 23.50; --Fixed-rate assets: 5.00%; --Minimum weighted average coupon of 5.00%; The transaction will exit its reinvestment period on Jan. 24, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: --Class X-RR: 'AAAsf' / Default 41.60% / Recovery 39.66% / Cushion 58.40% --Class A-RR: 'AAAsf' / Default 41.60% / Recovery 39.66% / Cushion 12.80% --Class B-RR: 'AAsf' / Default 38.70% / Recovery 49.10% / Cushion 11.10% --Class C-RR: 'Asf' / Default 34.30% / Recovery 58.60% / Cushion 10.00% --Class D-RR: 'BBB-sf' / Default 26.30% / Recovery 68.06% / Cushion 9.70% --Class E-RR: 'BB-sf' / Default 21.90% / Recovery 73.52% / Cushion 4.90% Fitch Stress Portfolio (FSP) Model Outputs: --Class X-RR: 'AAAsf' / Default 49.20% / Recovery 37.16% / Cushion 50.80% --Class A-RR: 'AAAsf' / Default 49.20% / Recovery 37.16% / Cushion 3.90% --Class B-RR: 'AAsf' / Default 45.70% / Recovery 44.56% / Cushion 1.70% --Class C-RR: 'Asf' / Default 40.40% / Recovery 54.47% / Cushion 1.80% --Class D-RR: 'BBB-sf' / Default 30.90% / Recovery 63.92% / Cushion 3.40% --Class E-RR: 'BB-sf' / Default 25.60% / Recovery 69.25% / Cushion 0.20% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-RR, between 'Asf' and 'AAAsf' for class A-RR, between 'BBB-sf' and 'A+sf' for class B-RR, between 'BB-sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-RR and class A-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'Asf' for class D-RR, and 'BBB-sf' for class E-RR. BARCLAYS MORTGAGE 2026-NQM1: S&P Assigns (P) B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barclays Mortgage Loan Trust 2026-NQM1's mortgage-backed securities. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of approximately two months. The mortgage loans have primarily 30-year maturities; there are four loans with 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, condotels, and manufactured housing properties. The pool has 643 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (average prime offer rate), non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt. The preliminary ratings are based on information as of Jan. 21, 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 originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned Barclays Mortgage Loan Trust 2026-NQM1 Class A-1, $201,964,000: AAA (sf) Class A-2, $28,101,000: AA- (sf) Class A-3, $33,961,000: A- (sf) Class M-1, $15,028,000: BBB- (sf) Class B-1, $7,663,000: BB (sf) Class B-2, $8,716,000: B (sf) Class B-3, $5,109,843: Not rated Class SA, $63,457: Not rated Class XS, notional(ii): Not rated Class PT, $300,606,300: Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ix)On any payment date, the class XS note will have a notional amount equal to the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. BARINGS CLO 2025-VII: Fitch Rates Class E Debt 'BB-sf' ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2025-VIII. RATING ACTIONS Entity / Debt Rating ------------- ------ Barings CLO Ltd. 2025-VIII A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2025-VIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.6, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.63% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. BENCHMARK 2026-V20: Fitch Gives BB-(EXP) Rating on Class X-E Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2026-V20 Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2026-V20 as follows: -- $4,488,000 class A-1 'AAA(EXP)sf'; Outlook Stable; -- $274,943,000a class A-2 'AAA(EXP)sf'; Outlook Stable; -- $328,087,000a class A-3 'AAA(EXP)sf'; Outlook Stable; -- $85,704,000 class A-M 'AAA(EXP)sf'; Outlook Stable; -- $43,394,000 class B 'AA-(EXP)sf'; Outlook Stable; -- $33,630,000 class C 'A-(EXP)sf'; Outlook Stable; -- $29,291,000c class D 'BBB-(EXP)sf'; Outlook Stable; -- $18,443,000c class E 'BB-(EXP)sf'; Outlook Stable; -- $13,018,000cd class F-RR 'B-(EXP)sf'; Outlook Stable; -- $693,222,000b class X-A 'AAA(EXP)sf'; Outlook Stable; -- $77,024,000b class X-B 'A-(EXP)sf'; Outlook Stable; -- $29,291,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; -- $18,443,000bc class X-E 'BB-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: -- $36,885,584cd class G-RR -- $18,978,856e class VRR (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown and will be determined based on the final pricing of those classes of certificates. The aggregate initial certificate balance of the class A-2 and class A-3 certificates is expected to be $603,030,000, subject to a variance of plus or minus 5%. The expected class A-2 balance range is $0-$274,943,000, and the expected class A-3 balance range is $328,087,000 - $603,030,000. The balances above for class A-2 and class A-3 reflect the high and low point of each range, respectively. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. (e) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 34 loans secured by 59 commercial properties having an aggregate principal balance of $886,862,441 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc. and Bank of Montreal. 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 Rialto Capital Advisors LLC. Computershare Trust Company, National Association is expected to act as the trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 21 loans totaling 86.9% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $94.1 million represents a 14.1% decline from the issuer's underwritten NCF of $109.5 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.4% is lower than the 2025 five-year multiborrower average of 101.0% and higher than the 2024 five-year multiborrower average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.6% is slightly above the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 10.7% of the pool by balance received an investment grade credit opinion. CityCenter (Aria & Vdara; 9.0% of the pool) and Torrey Heights (2.3% of the pool) received an investment-grade credit opinion of 'AAAsf*'and BBBsf*'on a standalone basis, respectively. Higher Pool Concentration: The pool is more concentrated than recent five-year multiborrower transactions rated by Fitch. The top 10 loans represent 66.2% of the pool, which is higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/ 'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/ 'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/ 'BBsf'/'B+sf'. BENEFIT STREET 46: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO 46 Ltd./Benefit Street Partners CLO 46 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton Investments. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Benefit Street Partners CLO 46 Ltd./ Benefit Street Partners CLO 46 LLC Class A, $346.50 million: AAA (sf) Class B, $71.50 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $5.50 million: BBB- (sf) Class E (deferrable), $16.50 million: BB- (sf) Subordinated notes, $50.00 million: NR NR--Not rated. BENEFIT STREET 46: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 46 Ltd./Benefit Street Partners CLO 46 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton Investments. The preliminary ratings are based on information as of Jan. 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO 46 Ltd./ Benefit Street Partners CLO 46 LLC Class A, $346.50 million: AAA (sf) Class B, $71.50 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $5.50 million: BBB- (sf) Class E (deferrable), $16.50 million: BB- (sf) Subordinated notes, $50.00 million: NR NR--Not rated. BLUE OWL 2025-1: Fitch Gives BB-sf Rating on Class E Debt --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Blue Owl BSL CLO 2025-1, Ltd. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Blue Owl BSL CLO 2025-1,Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Blue Owl BSL CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blue Owl Liquid CLO Management I LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.66%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. BLUE OWL 2025-1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Blue Owl BSL CLO 2025-1, Ltd. (the Issuer or Blue Owl 2025-1): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Blue Owl 2025-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, senior unsecured loans, first-lien last out loans and permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Blue Owl CLO Management I LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2895 Weighted Average Spread (WAS): 2.70% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BMO 2026-C14: Fitch Affirms BB-(EXP) Rating on Class F-RR Certs --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2026-C14 Mortgage Trust commercial mortgage pass-through certificates, series 2026-C14 as follows: -- $17,188,000 class A-1 'AAA(EXP)sf'; Outlook Stable; -- $10,000,000a class A-2-CS 'AAA(EXP)sf'; Outlook Stable; -- $21,863,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; -- $87,500,000b class A-4 'AAA(EXP)sf'; Outlook Stable; -- $305,591,000b class A-5 'AAA(EXP)sf'; Outlook Stable; -- $442,142,000c class X-A 'AAA(EXP)sf'; Outlook Stable; -- $46,583,000 class A-S 'AAA(EXP)sf'; Outlook Stable; -- $35,529,000 class B 'AA-(EXP)sf'; Outlook Stable; -- $26,844,000 class C 'A-(EXP)sf'; Outlook Stable; -- $108,956,000c class X-B 'A-(EXP)sf'; Outlook Stable; -- $16,517,000d class D 'BBB(EXP)sf'; Outlook Stable; -- $16,517,000cd class X-D 'BBB(EXP)sf'; Outlook Stable; -- $7,959,000de class E-RR 'BBB-(EXP)sf'; Outlook Stable; -- $14,212,000de class F-RR 'BB-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $15,001,000de class G-RR; -- $7,106,000de class J-RR; -- $19,738,860de class K-RR. (a) The class A-2-CS certificates are structured so that principal payments or liquidation proceeds on the Cummins Station mortgage loan will be applied first to pay down the class A-2-CS certificates even if class A-1 certificates remain outstanding. (b) The initial certificate balances of classes A-4 and A-5 are unknown and are expected to be $393,091,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$175,000,000 and the expected class A-5 balance range is $218,091,000-$393,091,000. Fitch's certificate balances for classes A-4 and A-5 are assumed the midpoint of each range, respectively. In the event class A-5 is issued with an initial certificate balance of $393,091,000, class A-4 will not be issued. (c) Notional amount and interest only. (d) Privately place and pursuant to Rule 144A. (e) Horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Jan. 21, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 88 commercial properties having an aggregate principal balance of $631,631,861 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Argentic Real Estate Finance 2 LLC, UBS AG New York Branch, Natixis Real Estate Capital LLC, Zions Bancorporation, N.A., Citi Real Estate Funding Inc. and Goldman Sachs Mortgage Company. The master servicer is expected to be Trimont LLC and the special servicer is expected to be Rialto Capital Advisors, LLC. The trustee is expected to be Wilmington Savings Fund Society, FSB, and the certificate administrator is expected to be Citibank, N.A. The certificates are expected to follow a sequential paydown structure, except with respect to principal payments or liquidation proceeds on the Cummins Station mortgage loan. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 90.7% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $63.6 million represents a 15.6% decline from the issuer's aggregate underwritten NCF of $75.4 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.3% is greater than both the 10-year 2025 and 2024 averages of 88.4% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 10.1% is lower than both the 10-year 2025 and 2024 averages of 12.2% and 12.3%, respectively. Office and Mall Concentration: Six loans totaling 27.9% of the pool, including four of the 10 largest loans in the pool, are secured by office properties. Additionally, four loans totaling 15.6% of the pool, including the third largest loan, are secured by malls. The malls represent 44.7% of the pool's entire retail exposure. Investment Grade Credit Opinion Loans: Two loans representing 8.0% of the pool by balance received an investment grade credit opinion. BioMed MIT Portfolio (6.5% of pool) received an investment grade credit opinion of 'A-sf*' on a standalone basis. Washington Square (1.5%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 10-year 2025 and 2024 averages of 21.4% and 21.4%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 101.0% and 9.9%, respectively, compared to the equivalent conduit 10-year 2025 LTV and DY averages of 98.1% and 10.0%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; -- 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; -- 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BB+sf'. BMO 2026-C14: S&P Assigns Prelim B+ (sf) Rating on Cl. J-RR Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BMO 2026-C14 Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by 27 fixed-rate commercial mortgage loans with an aggregate principal balance of $631.631 million ($551.098 million of offered certificates), secured by the fee and/or leasehold interests in 88 properties across 28 states. The preliminary ratings are based on information as of Jan. 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. BMO 2026-C14 Mortgage Trust's issuance is a CMBS securitization backed by 27 fixed-rate commercial mortgage loans with an aggregate principal balance of $631.631 million ($551.098 million of offered certificates), secured by the fee and/or leasehold interests in 88 properties across 28 states. S&P assigned preliminary ratings to the class A-1, A-2-CS, A-4, A-5, A-SB, X-A, X-B, A-S, B, C, X-D, D, E-RR, F-RR, G-RR, and J-RR. S&P said, "The preliminary ratings reflect our view of the credit support provided by the transaction's structure, the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction, among other factors. "The preliminary ratings reflect our view of the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. S&P Global Ratings determined that the collateral pool has on a weighted average basis, a debt service coverage of 1.48x, and beginning and ending loan-to-value ratios of 85.6% and 80.6%, respectively, based on our values." Preliminary Ratings Assigned BMO 2026-C14 Mortgage Trust Class A-1, $17,188,000, AAA (sf) Class A-2-CS, $10,000,000, AAA (sf) Class A-4, $TBD(i), AAA (sf) Class A-5, $TBD(i), AAA (sf) Class A-SB, $21,863,000, AAA (sf) Class X-A(ii), $442,142,000, AAA (sf) Class X-B(ii), $108,956,000, A- (sf) Class A-S, $46,583,000, AAA (sf) Class B, $35,529,000, AA- (sf) Class C, $26,844,000, A- (sf) Class X-D(ii)(iii), $16,517,000, BBB (sf) Class D(iii), $16,517,000, BBB (sf) Class E-RR(iv), $7,959,000, BBB- (sf) Class F-RR(iv), $14,212,000, BB Class G-RR(iv), $15,001,000, BB- (sf) Class J-RR(iv), $7,106,000, B+ (sf) Class K-RR(iv), $19,738,860, NR (i)The final balances of the class A-4 and A-5 certificates will be determined at final pricing. The certificates in aggregate will have a total balance of $393,091,000, subject to a variance of plus or minus 5%. The class A-4 certificates are expected to have a balance between $0 and $175,000,000, and the class A-5 certificates are expected to have a range of $218,091,000 and $393,091,000. (ii)Notional balance. The notational amount of class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-2-CS, A-4, A-5, and A-SB certificates. The notional amount of class X-B certificates will be equal to the aggregate principal balance of class A-S, B, and C certificates. The notional principal balance of class X-D certificates will be equal to the balance of class D certificates. (iii)Non-offered certificate. (iv)Non-offered horizontal risk retention certificates. TBD--To be determined. N/A--Not applicable. NR--Not rated. BRANT POINT 2023-2: Fitch Gives BB-(EXP) Rating on Cl. E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Brant Point CLO 2023-2, Ltd. reset transaction. RATING ACTIONS Entity/Debt Rating ----------- ------ Brant Point CLO 2023-2, Ltd. A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Brant Point CLO 2023-2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 37, Ltd.), originally closed in December 2023, where the existing secured notes will be refinanced in whole on Jan. 29, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.07 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.61% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.3% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-2R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BBsf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1R, between less than 'B-sf' and 'BBB-sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, and 'BBB+sf' for class E-R. BRAVO RESIDENTIAL 2026-NQM1: Fitch Rates Class B-2 Debt 'Bsf' ------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-NQM1 (BRAVO 2026-NQM1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-NQM1 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-1FCF LT WDsf Withdrawn AAA(EXP)sf A-1LCF LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf FB 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 SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Following presale publication, the issuer provided an updated structure reflecting final coupons and the removal of the A‑1FCF and A‑1LCF senior classes. As a result, balances for classes A‑1A and A‑1B were revised, while proposed credit enhancement for all classes is unchanged. Fitch re-ran the cash flow analysis on the updated structure and confirmed no changes between expected and final ratings for any class. 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. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' for the previous classes A‑1FCF and A‑1LCF as the notes are no longer being offered. 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. BREAN ASSET 2026-RM14: DBRS Finalizes B Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-RM14 (the Notes) issued by Brean Asset Backed Securities Trust 2026-RM14 (the Issuer) as follows: -- $186.6 million Class A1 at AAA (sf) -- $33.0 million Class A2 at AAA (sf) -- $219.6 million Class AM at AAA (sf) -- $4.7 million Class M1 at AA (sf) -- $5.0 million Class M2 at A (sf) -- $3.8 million Class M3 at BBB (sf) -- $3.4 million Class M4 at BB (sf) -- $3.8 million Class M5 at B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings reflect 112.2% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 114.6%, 117.2%, 119.1%, 120.9%, and 122.8% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse: borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of the January 1, 2026, cut-off date, the collateral has approximately $195.69 million in current unpaid principal balance (UPB) from 572 performing and one called due (because of death) fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, and co-operatives. All loans in this pool were originated in 2025, with loan ages ranging from one month to five months. All loans in this pool have a fixed interest rate with a 9.022% weighted-average (WA) mortgage interest rate. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 notes (collectively, the Class A notes) will reduce to 0.25% if the home price percentage (as measured using the S&P Global Ratings (S&P) Cotality Case-Shiller National Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the Issuer on the Expected Repayment Date in January 2031, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from the auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If, on any payment date, the average one-month conditional prepayment rate (CPR) over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Note Amount and Interest Accrual Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. BRIDGECREST LENDING 2026-1: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto Securitization 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 62.68%, 57.65%, 48.36%, 39.06%, and 34.80% credit support (hard credit enhancement and a haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss of 27.00% for the class A, B, C, D, and E notes, respectively. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.37x our expected loss level), all else being equal, our 'A-1+ (sf)'/'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within our credit stability limits." -- The timely payment of interest and principal by the designated legal final maturity dates under its stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (A+/Stable/A-1), which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- 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 Bridgecrest Lending Auto Securitization Trust 2026-1 Class A-1, $71.500 million: A-1+ (sf) Class A-2, $131.256 million: AAA (sf) Class A-3, $131.256 million: AAA (sf) Class B, $66.879 million: AA (sf) Class C, $97.278 million: A (sf) Class D, $101.458 million: BBB (sf) Class E, $46.360 million: BB (sf) BSST 2021-1818: DBRS Confirms C Rating on 3 Cert. Classes --------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-1818 issued by BSST 2021-1818 Mortgage Trust as follows: -- Class A to BBB (high) (sf) from A (sf) -- Class X-EXT to A (low) (sf) from A (high) (sf) -- Class B to BB (high) (sf) from BBB (low) (sf) -- Class C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) The trends on Classes A, X-EXT, and B remain Negative, while Classes C, D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades are reflective of Morningstar DBRS' increased loss expectations for the underlying loan, which is secured by an office property in the Philadelphia Central Business District. The loan transferred to special servicing in September 2023 following the borrower's request for a loan modification ahead of the March 2024 loan maturity date. A modification agreement was never reached; however, and the special servicer continues to pursue foreclosure and a receiver is in place. The $222.9 million transaction is secured by the borrower's fee-simple and leasehold interest in 1818 Market Street, a 999,828-square-foot Class A office building in the Market Street West submarket of downtown Philadelphia. The sponsor, Shorenstein Realty, acquired the collateral in January 2016 for $195.0 million. The loan had an initial term of 24 months, with three one-year extension options, for a fully extended maturity in February 2026. Occupancy has trended downward in recent years, having decreased to 69.0% as of June 2025, down from 72.6% as of December 2024 and down from 86.2% at closing, and cash flows are below breakeven. The largest tenant represents less than 10.0% of the net rentable area (NRA) and over the next two years, approximately 16.5% of the NRA is scheduled to roll. According to the Reis Q3 2025 market report, the Center City submarket reported an average vacancy rate of 14.1%; Reis forecasts the vacancy rate to decline incrementally, down to 12.7% over the next five years. As part of the analysis for this review, a Morningstar DBRS Value of $127.0 million was considered as part of a liquidation scenario, which represents a decline from the July 2025 appraisal value of $181.0 million and the previous Morningstar DBRS Value of $137.9 million. The Morningstar DBRS Value is based on the in-place cash flows as of YE2024 and a capitalization (cap) rate of 10.0%. The cap rate is reflective of the property's location and availability of similar collateral in the market, including the office building located just across the street, 1700 Market Street. The 1700 Market Street property is owned by the same sponsor as the subject and also backs a defaulted CMBS loan, held in the BSST 2022-1700 Mortgage Trust transaction, which is also rated by Morningstar DBRS. Additionally, the current appraised value of $181.0 implies a cap rate of 7.0% based on YE2024 net cash flow of $12.7 million, which Morningstar DBRS believes is aggressive and supports the value adjustments detailed above. At the prior credit rating action in March 2025, Morningstar DBRS downgraded its credit ratings on all rated classes, with Negative trends on the top three classes, based on a liquidation scenario, which suggested realized losses through Class D. With the liquidation scenario based on the updated value as described above, Morningstar DBRS now expects losses could erode the majority of the Class C certificate, supporting the credit rating downgrade to C (sf). The liquidation scenario factors in current outstanding advances, projected future advances, on hand reserves, and liquidation expenses, with the implied loss severity approaching 60.0%. While the scenario suggested principal recovery for the Class A and B certificates, Morningstar DBRS believes there is the possibility of further value deterioration based on the expected tepid demand when the special servicer markets the property for sale. These factors, as well as the reduced credit support implied by the liquidation scenario, supported the credit rating downgrades for Classes A and B. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-CSMO issued by BX Commercial Mortgage Trust 2022-CSMO: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying collateral, as evidenced by occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures that continue to slightly outperform Morningstar DBRS' issuance expectations. The transaction is collateralized by a mortgage loan secured by The Cosmopolitan, a 3,032-key fully integrated luxury resort and casino which has historically been one of the top performing assets on the Las Vegas Strip. The two-year interest-only loan had an initial maturity date of June 2024 followed by three one-year extension options for a fully extended maturity date in June 2027. Each of the extension options is subject to no events of default and the purchase of a new interest rate cap agreement; however, no performance tests are required. The borrower has exercised its first and second extension options, extending the loan maturity to June 2026. The loan is currently on the servicer's watchlist for upcoming maturity and, to date, there has been no indication of the borrower's plans regarding the third and final extension option. The $3.0 billion loan, along with $1.0 billion of equity from the sponsors, BREIT Operating Partnership L.P. and Stonepeak Partners L.P., funded the $4.0 billion acquisition of the property. At issuance, the sponsors entered into a 30-year triple-net master lease with MGM Resorts International (MGM) to operate the property, with an additional three 10-year renewal options. The payment and performance of all monetary obligations structured in the master lease are guaranteed by MGM. MGM is also required to spend a minimum of 2.0% of net revenues in capital investments through December 2026 and increasing thereafter, with the most recent renovation including a full redesign of 24 penthouse suites and 14 entourage rooms as per media sources. The loan is also structured with a monthly reserve equal to 1.5% of net revenues for furniture, fixtures, and equipment, to further maintain the asset's superior quality throughout the loan term. According to the trailing 12-month (T-12) financials ended September 30, 2025, the property reported a net cash flow (NCF) of $336.4 million, compared with $335.5 million at YE2024 and $441.1 million at YE2023. At issuance, Morningstar DBRS derived an NCF of $353.1 million. Per the servicer, the year-over-year decrease is largely attributable to a decline in casino revenue, with additional volatility stemming from The Cosmopolitan's transition to the MGM Rewards program in mid-2024. An STR report was not provided; however, the September 2025 T-12 financials reported an occupancy rate, ADR, and RevPAR of 95.9%, $415.31, and $398.25, respectively. While these figures are below YE2024 figures, performance continues to compare well with the Morningstar DBRS figures of 91.5%, $400, and $366, respectively, derived at issuance. At issuance, Morningstar DBRS derived a value of $4.0 billion based on the Morningstar DBRS NCF of $353.1 million and a capitalization rate of 8.84%, resulting in a Morningstar DBRS loan-to-value (LTV) of 75.7%, which was maintained for this review. The Morningstar DBRS value represents a variance of -28.7% from the issuance appraised value of $5.6 billion. In addition, Morningstar DBRS maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 7.75% to reflect the high property quality, strong underlying market fundamentals, and historically stable NCF. Notes: All figures are in U.S. dollars unless otherwise noted. BXMT 2026-FL6: Fitch Gives B-(EXP) Rating to 3 Tranches ------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BXMT 2026-FL6, Ltd. and BXMT 2026-FL6, LLC as follows: -- $562,500,000a class A 'AAA(EXP)sf'; Outlook Stable; -- $133,750,000a class A-S 'AAA(EXP)sf'; Outlook Stable; -- $75,000,000a class B 'AA(EXP)-sf'; Outlook Stable; -- $57,500,000a class C 'A(EXP)-sf'; Outlook Stable; -- $35,000,000ab class D 'BBB(EXP)sf'; Outlook Stable; -- $0ab class D-E 'BBB(EXP)sf'; Outlook Stable; -- $0abc class D-X 'BBB(EXP)sf'; Outlook Stable; -- $16,250,000ab class E 'BBB-(EXP)sf'; Outlook Stable; -- $0ab class E-E 'BBB-(EXP)sf'; Outlook Stable; -- $0abc class E-X 'BBB-(EXP)sf'; Outlook Stable; -- $35,000,000b class F 'BB-(EXP)sf'; Outlook Stable; -- $0b class F-E 'BB-(EXP)sf'; Outlook Stable; -- $0bc class F-X 'BB-(EXP)sf'; Outlook Stable; -- $21,250,000b class G 'B-(EXP)sf'; Outlook Stable; -- $0b class G-E 'B-(EXP)sf'; Outlook Stable; -- $0bc class G-X 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $63,750,000d preferred shares. (a) Privately places and pursuant to Rule 144A. (b) Exchangeable Notes: The class D, E, F and G notes are exchangeable notes. They are exchangeable for proportionate interests in MASCOT notes if such notes at the time of the exchange are owned by a wholly owned subsidiary of 42-16 CLO (Sub-REIT), LLC or a subsequent REIT, subject to the satisfaction of certain conditions and restrictions. The principal balance of each of the exchangeable notes received in exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 6.375% of the principal balance of the notes. The approximate collateral interest balance as of the cutoff date is $1,000,000,000 and does not include future funding. The total collateral interest balance includes the expected principal balance of delayed close collateral interests. The expected ratings are based on information provided by the issuer as of Jan. 20, 2026. Transaction Summary The notes are collateralized by 19 loans secured by 156 commercial properties with an aggregate principal balance of $1,000,000,000 as of the cut-off date. These loans include one delayed-close loan totaling $60 million that is expected to close within 30 days. The loans and interests securing the notes will be owned by BXMT 2026-FL6, Ltd., as issuer of the notes. The servicer is expected to be Trimont LLC, and the special servicer is expected to be CT Investment Management Co., LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 18 loans in the pool (96.3% by balance). Fitch's resulting aggregate net cash flow (NCF) of $52.7 million represents a 9.8% decline from the issuer's aggregate underwritten NCF of $58.5 million, excluding loans for which Fitch used an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch loan‐to‐value ratio (LTV) of 140.0% is slightly below both the 2025 YTD and 2024 CRE CLO averages of 140.5% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.5% is in line with both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Lower Loan Concentration: The pool is less concentrated than 2024 and 2025 rated transactions. The top 10 loans make up 59.5% of the pool, which is lower than both the 2024 CRE CLO and 2025 YTD averages of 61.2% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Other Property Type Concentration: Two loans representing 10.5% of the pool by balance are portfolios of industrial outdoor storage (IOS), representing the third-largest property type in the transaction. Fitch modeled these two loans as "other" property types, reflecting a higher concentration compared to the 2025 YTD and 2024 CRE CLO averages of 0.5% and 0.0%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/ less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. CEDAR FUNDING V: Fitch Gives BB-sf Rating on Class E2-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Cedar Funding V CLO, Ltd. reset transaction. RATING ACTIONS Entity/Debt Rating ----------- ------ Cedar Funding V CLO, Ltd. X-R2 LT NRsf New Rating A-R2 LT AAAsf New Rating B-R2 LT NRsf New Rating C-R2 LT NRsf New Rating D1-R2 LT NRsf New Rating D2-R2 LT NRsf New Rating E1-R2 LT BB+sf New Rating E2-R2 LT BB-sf New Rating F-R2 LT NRsf New Rating Transaction Summary Cedar Funding V CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AEGON USA Investment Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $299 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.61, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.51% 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 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R2, between less than 'B-sf' and 'BB+sf' for class E1-R2, and between less than 'B-sf' and 'B+sf' for class E2-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, and 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 'BBB+sf' for class E1-R2 and 'BBB+sf' for class E2-R2. CFCRE COMMERCIAL 2016-C6: DBRS Cuts Rating on 4 Classes to 'C' -------------------------------------------------------------- DBRS Limited downgraded credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C6 issued by CFCRE Commercial Mortgage Trust 2016-C6 as follows: -- Class B to A (high) (sf) from AA (sf) -- Class C to BBB (low) (sf) from A (sf) -- Class D to CCC (sf) from BBB (low) (sf) -- Class E to C (sf) from BB (sf) -- Class F to C (sf) from B (low) (sf) -- Class X-B to AA (low) (sf) from AA (high) (sf) -- Class X-E to C (sf) from BB (high) (sf) -- Class X-F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes A-M, B, C, and X-B to Negative from Stable. Classes D, E, F, X-E, and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. All remaining classes have Stable trends. The credit rating downgrades reflect the increased loss projections for the loans in special servicing, which collectively represent 17.8% of the current pool balance. With this review, Morningstar DBRS considered liquidation scenarios for four of the five loans in special servicing, which includes the largest loan in the pool, Hill7 Office (Prospectus ID#1, 10.4% of the pool), resulting in total implied losses of $54.2 million. The losses are projected to fully erode the balance of the nonrated Class G, as well as rated Classes F and E, and slightly reducing the balance of Class D. The significant reduction in credit support for the transaction supports the credit rating downgrades. The Negative trends are reflective of Morningstar DBRS' concerns about the increased default risk for several non-specially serviced loans as the pool enters its maturity year. Nearly 90.0% of the pool is scheduled to mature over the next seven months. While Morningstar DBRS expects the majority of these loans to repay at maturity, several loans, representing 18.5% of the pool balance, were identified as being at increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and/or unfavorable lending conditions for certain property types. In the analysis for these loans, Morningstar DBRS included additional stresses to the loan-level probability of default (POD) and/or loan-to-value ratio (LTV) to elevate the loan-level expected loss as applicable. Furthermore, Classes A-M, B, and C are reliant on proceeds from these loans determined to have elevated refinance risk, further supporting the Negative trends and credit rating downgrades. The credit rating confirmations and Stable trends reflect the otherwise overall stable performance of the performing loans in the pool, which Morningstar DBRS generally expects to repay at maturity based on the most recent year-end, weighted-average debt service coverage ratio (DSCR) that is above 2.40 times (x). As of the January 2026 remittance, 39 of the original 45 loans remain in the trust, with an aggregate balance of $684.0 million, representing a collateral reduction of 13.1% since issuance. There are 13 fully defeased loans, representing 33.6% of the current pool balance. Excluding defeasance, the pool is most concentrated with loans collateralized by retail properties, representing 29.9% of the pool balance, followed by loans backed by office and lodging properties, representing 15.0% and 10.4% of the pool balance, respectively. There are 11 loans on the servicer's watchlist, representing 25.7% of the pool balance, and these loans are being monitored for performance related issues, upcoming maturity, tenant rollover risk, and/or deferred maintenance items. Hill7 Office is a $101 million pari passu loan with notes securitized in the subject transaction as well as the Morningstar DBRS-rated Citigroup Commercial Mortgage Trust 2016-C3 transaction. The loan is secured by a Class A office building in Seattle's central business district (CBD). Built in 2015, the subject historically reported strong occupancy rates but as of June 2025, the levels dropped to 47.5% primarily due to the departure of HBO Code Labs (HBO) and WeWork Inc. (WeWork), which collectively represented approximately 53.0% of the net rentable area (NRA). Currently, the largest tenant is Redfin Corporation (39.6% of the NRA, lease expiring in August 2027). Ultimately, the loan transferred to special servicing in October 2025 due to imminent monetary default. A loan modification request was submitted and is currently being reviewed by the special servicer. The loan is scheduled to mature in November 2028. As of the most recent financial reporting, the trailing nine months ending September 30, 2025, DSCR was 2.54x, but is expected to decline to approximately 1.60x when excluding the rents from HBO and WeWork. It is noteworthy that the borrower benefits from a longer runway to stabilize the subject considering the scheduled maturity for the loan is in November 2028 and there is a possibility of a loan modification with the special servicer providing additional relief. However, the loan's large exposure in the trust and continued challenges with the office sector continues to pose significant risk to the trust. As such, Morningstar DBRS took a conservative approach and analyzed the loan with a liquidation scenario based on a stressed haircut of 73.0% to the issuance value, resulting in an implied loss of $36.5 million and loss severity of more than 50.0%. Another loan of concern is 7th & Pine Seattle Retail & Parking (Prospectus ID#4, 8.7% of the pool balance), which is secured by 950- stall parking garage and retail space totalling 24,140 square feet in the Seattle CBD. The loan is currently on the servicer's watchlist for low DSCR and is cash managed, with $2.3 million held in the cash management account as of January 2026. The property has struggled since the onset of the Coronavirus pandemic where revenues decreased while expenses increased from issuance expectations, which resulted in the DSCRs failing to reach above 1.0x for the last several years. In addition, the largest tenant at the property, Standard Parking Corporation (93.3% of the NRA) has a lease expiring in October 2026, which is just before the loan maturity in November 2026, thereby significantly increasing the refinance risk. A leasing update was requested from the servicer but a response is pending as to the date of this press release. Given the continued low NCF levels, significant tenant rollover risk and generally soft submarket, Morningstar DBRS analyzed the loan with an increased POD, resulting in an expected loss (EL) that is almost double the pool average EL. With this review, Morningstar DBRS confirmed that the performance of Potomac Mills (Prospectus ID#3; 10.0% of the pool) remains consistent with investment-grade characteristics. This assessment continues to be supported by the loan's strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Vertex Pharmaceuticals HQ (Prospectus ID#2, 10.1% of the pool balance) was previously shadow-rated investment grade by Morningstar DBRS but as of this review, the loan has fully defeased. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC FUNDING 2025-IX: Fitch Rates Class E Debt 'BB-sf' ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2025-IX, Ltd. RATING ACTIONS CIFC Funding 2025-IX, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2025-IX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leverage loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.89, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.22% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C notes, 'A+sf' for class D-1 notes, 'Asf' for class D-2 notes and 'BBB+sf' for class E notes. CITIGROUP 2015-GC35: Moody's Downgrades Rating on 2 Tranches to B3 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on five classes in Citigroup Commercial Mortgage Trust 2015-GC35, Commercial Mortgage Pass-Through Certificates, Series 2015-GC35 as follows: Cl. A-4, Downgraded to Aa2 (sf); previously on Apr 11, 2025 Affirmed Aaa (sf) Cl. A-S, Downgraded to Ba2 (sf); previously on Apr 11, 2025 Downgraded to Baa1 (sf) Cl. B, Downgraded to B3 (sf); previously on Apr 11, 2025 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to Baa3 (sf); previously on Apr 11, 2025 Downgraded to Aa2 (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Apr 11, 2025 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were downgraded due to higher anticipated losses and increased interest shortfall risks due to the significant exposure to specially serviced loans. Eight of the ten remaining loans (82% of the pool) are in special servicing, all of which have had deterioration in collateral performance. The largest specially serviced loan is the Paramus Park loan (28.5% of the pool), which is secured by a regional mall located in Paramus, New Jersey that has a significant decline in occupancy and cash flow, and is currently in foreclosure. Two specially serviced loans, Illinois Center loan (13.1% of the pool) and 750 Lexington Avenue loan (10.1% of the pool), are secured by office properties with significant performance deterioration, and have been deemed non-recoverable by the master servicer. Furthermore, the largest non-specially serviced loan is the Doubletree Jersey City loan (14.3% of the pool), which was previously modified and extended with a new maturity date in October 2027. As of the January 2026 remittance, all loans are either in special servicing or have passed their original maturity dates, and given the higher interest rate environment and further deterioration in collateral performance the loans may be unable to pay off in the near term. As a result, potential losses could increase and interest shortfalls may rise if the outstanding loans remain delinquent or experience additional performance declines. The ratings on the two interest-only (IO) classes, Cl. X-A and Cl. X-B, were downgraded due to a decline in the credit quality of their respective referenced classes. Cl. X-A originally referenced all classes senior to and including Cl. A-S, however, Cl. A-1, Cl. A-2, Cl. A-3 and Cl. A-AB have previously paid off in full and Cl. A-4 has paid down 75% from its original balance. Social risk for this transaction is higher (IPS S-4) and Moody's revised the transaction's Credit Impact Score to CIS-4 from CIS-2. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 48.2% of the current pooled balance, compared to 18.9% at Moody's last review. Moody's base expected loss plus realized losses is now 19.0% of the original pooled balance, compared to 16.1% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 82% of the pool is in special servicing and Moody's have identified additional troubled loans representing 18% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 12, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 61.9% to $420.7 million from $1.11 billion at securitization. The certificates are collateralized by ten mortgage loans ranging in size from less than 1% to 28.5% of the pool. All of the remaining loans are in special servicing or have passed their original maturity dates. Three loans representing over 23.4% of the pool were deemed non-recoverable by the master servicer. The largest specially serviced loan is the Paramus Park Loan ($120.0 million – 28.5% of the pool), which is secured by the borrower's fee and leasehold interests in a 309,000 square feet (SF) component of a 768,000 SF regional mall located in Paramus, New Jersey, between the Garden State Parkway and Route-17. The property is anchored by Macy's (non-collateral) and a former non-collateral Sears, which vacated in 2018, although approximately 60% of the former Sears space is leased by Stew Leonard's Grocery which opened for business in November 2019. The loan transferred to special servicing in September 2025 following a maturity default. Property performance has weakened steadily due to ongoing tenant departures and inline occupancy declined to 62% as of June 2025, down from 80% in June 2024, 85% in March 2023, and 75% in September 2020. As a result, cash flow has continued to deteriorate, with the reported NOI as of September 2025 NOI was 66% below full-year 2015 levels. The loan reported a 0.98x NOI DSCR as of September 2025, based on interest only payments at a 4.1% rate. The loan is cash-managed and last paid through its August 2025 payment date and has accrued $2.1 million in advances. The loan is currently in foreclosure and the special servicer is discussing potential workout resolutions with the borrower. The second largest specially serviced loan is the South Plains Mall Loan ($100.0 million – 10.8% of the pool), which represents a pari passu portion of a $200 million mortgage loan. The loan is secured by the borrower's fee simple interest in a 984,000 SF component of a 1.1 million SF super-regional mall located in Lubbock, Texas. The property is the dominant mall in its trade area and is the only enclosed regional mall for over 100 miles. The property is anchored by JCPenney, Dillard's Women, Dillard's Men & Children, 16-screen Premier Cinemas, a free-standing Home Depot (non-collateral) and Barnes & Noble. There was a 148,000 SF Sears (non-collateral anchor) at the property which closed during early 2019, however, Dillard's subsequently closed its original locations in this mall and relocated to the former Sear's space in 2024. The loan transferred to the special servicing in October 2025 due to imminent monetary default after failing to pay off at its October 2025 maturity date. As of September 2025, the total occupancy was 81%, compared to 77% in December 2024, 84% in December 2023, and 97% at securitization. As of the trailing-twelve-month (TTM) period ending in June 2025 comparable in-line sales ( COLT 2026-1: Fitch Gives B(EXP) Rating to Class B2 Certs -------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by COLT 2026-1 Mortgage Loan Trust (COLT 2026-1). RATING ACTIONS Entity/Debt Rating ----------- ------ COLT 2026-1 A1FCF LT AAA(EXP)sf Expected Rating A1FCFX 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 A1F LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 676 nonprime loans with a total balance of approximately $384.8 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are currently being serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 737 and 33.3% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.3% mark-to-market combined LTV (cLTV). Overall, 45.0% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 100% of the loans are clean and current. 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. COLT 2026-1 has a final probability of default (PD) of 47.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 41.7%. The expected loss in the 'AAAsf' rating stress is 20.0%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-1 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/ A-1LCF (sequentially), A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding 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 A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects COLT 2026-1 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to COLT 2026-1; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch 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 level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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 level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. COMM 2014-CCRE15: Moody's Downgrades Rating on Cl. D Certs to B3 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on four classes in COMM 2014-CCRE15 Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-CCRE15 as follows: Cl. B, Affirmed Baa1 (sf); previously on Aug 13, 2024 Downgraded to Baa1 (sf) Cl. C, Affirmed Ba1 (sf); previously on Aug 13, 2024 Downgraded to Ba1 (sf) Cl. D, Downgraded to B3 (sf); previously on Aug 13, 2024 Downgraded to B1 (sf) Cl. E, Downgraded to Caa2 (sf); previously on Aug 13, 2024 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on Aug 13, 2024 Downgraded to Caa3 (sf) Cl. PEZ, Affirmed Baa3 (sf); previously on Aug 13, 2024 Downgraded to Baa3 (sf) Cl. X-B*, Downgraded to Ba3 (sf); previously on Aug 13, 2024 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were affirmed due to their significant credit support as well as the expected principal recoveries or paydowns from the remaining loans in the pool. The ratings on three P&I classes were downgraded due to higher anticipated losses and increased interest shortfalls due to the significant exposure to specially serviced loans. The two specially serviced (a combined 41% of the pool) have been deemed non-recoverable causing interest shortfalls to impact up to Cl. D. Both the specially serviced loans, 25 West 45th Street (35.3% of the pool) and 840 Westchester (5.7% of the pool), have had significant performance deterioration and are in foreclosure or REO. Furthermore, Moody's identified an additional troubled loan, 600 Commonwealth (17.4% of the pool), which has not been generating sufficient cash flow to cover operating expenses and debt service in since 2023. In Moody's rating analysis Moody's also analyzed loss and recovery scenarios to reflect the recovery value, the current cash flow of the property and timing to ultimate resolution on the remaining loans and properties in the pool. The rating on one interest-only (IO) class, Cl. X-B, was downgraded based on the decline in credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEZ, was affirmed based on the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 29.4% of the current pooled balance, compared to 25.2% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 6.7% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 41% of the pool is in special servicing and Moody's have identified additional troubled loans representing 17% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 2026 distribution date, the transaction's aggregate certificate balance has decreased by 82.4% to $177 million from $1.01 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 6% to 41.6% of the pool. All of the remaining loans are either in special servicing or have passed their original maturity dates. Two loans, representing 59% of the pool, were current or within their grace period on their debt service payments, and two loan (41% of the pool) were either in foreclosure or REO and have been deemed non-recoverable by the master servicer. Three loans have been liquidated from the pool resulting in an aggregate realized loss of $19.2 million (for an average loss severity of 66.1%). Two loans, constituting 41% of the pool, are currently in special servicing. The largest specially serviced loan is the 25 West 45th Street loan ($62.5 million – 35.3% of the pool), which is secured by the fee simple interest in a 17-story, 185,000 square feet (SF), office building located in New York, New York. The loan transferred to special servicing in November 2023 after borrower failed to meet debt service payments. Property performance has declined as a result of decline in occupancy. Per the December 2024 rent roll, the property was 77% leased, compared to 71% in December 2023, 82% in November 2022, and 95% at securitization. WeWork (12.5% of NRA), the largest tenant at securitization, vacated in 2023 as a result of their bankruptcy terminating the lease 12 years prior to its expiration. An updated appraisal in August 2025 valued the property at $55 million, a 49% decline in value since securitization, and 12% below the loan balance. The loan entered foreclosure in June 2024, and a foreclosure auction is scheduled for February 2026. The loan has been deemed non-recoverable by the master servicer and due to the significant decline in property performance and property's delinquent status, Moody's assumed a significant loss on this loan. The second largest specially serviced loan is the 840 Westchester loan ($10.3 million – 5.3% of the pool), which is secured by the borrower's lease hold interest in a mixed-use development located in the Bronx, New York. The second largest tenant, Rite Aid (29% of the NRA) vacated prior to lease expiration in August 2027. The loan transferred to special servicing in January 2021 due to payment default. As of the January 2026 remittance, this loan was REO and has amortized by 27.9% since securitization. Moody's have also assumed a high default probability for one poorly performing loan, constituting 17.4% of the pool, and Moody's have estimated an aggregate loss of $52.1 million (a 50.4% expected loss on average) from these specially serviced and troubled loans. The troubled loan is the 600 Commonwealth Loan ($30.7 million – 17.4% of the pool), which is secured by the borrower's fee simple interest in an office building located in Los Angeles, California. According to the December 2024 rent roll, the property was 38% leased to a single tenant, down from 64% in December 2022 and 92% at securitization. A February 2024 appraisal valued the property at $31.4 million, reflecting a 37% decline from securitization and placing the value slightly below the outstanding loan balance. According to servicer commentary, the borrower has indicated plans to exercise an extension option and pursue a business strategy focused on converting the office property to multifamily use. However, as of January 2026, the servicer had not received any updates regarding the borrower's proposed business strategy. Per the January 2026 remittance statement, the loan was last paid through the December 2025 payment date and has amortized by 17.5% since securitization. As of the January 2026 remittance statement cumulative interest shortfalls were $4.6 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The remaining non-special serviced loan is the 625 Madison Avenue loan ($73.6 million – 41.6% of the pool), which represents a pari-passu portion of a $168.9 million first mortgage loan. The loan was originally secured by the fee interest in a 0.81-acre parcel of land located at 625 Madison Avenue between East 58th and East 59th Street in New York City. However, the loan transferred to special servicing in July 2023 due to imminent default and subsequently the mezzanine lender foreclosed on the equity collateral. Furthermore, a modification agreement was executed in December 2023 which involved, among other items, the termination of the ground lease, a completion and carry guaranty as well as a $25 million principal paydown and extended the maturity data to December 2026. The senior loan is the only debt currently on the property as the mezzanine loan was extinguished through the UCC foreclosure sale. This loan was returned to the master servicer in November 2024 as a corrected loan after receiving a loan modification. Per the most recent servicer commentary, the borrower has confirmed that the existing office building has been demolished, and the new reconstruction is expected to initiate in early 2026. As of January 2026 remittance, this loan was current on P&I payments and has amortized by 13.4% since securitization. COMM 2014-UBS6: DBRS Confirms C Rating on Class G Certs ------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS6 issued by COMM 2014-UBS6 Mortgage Trust as follows: -- Class E to CCC (sf) from B (high) (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class G at C (sf) Morningstar DBRS changed the trends on Classes X-B, C, and PEZ to Stable from Negative. The trends on Classes D and X-C remain Negative. There are no trends on Classes E, F and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' recoverability expectations for the remaining adverse selection, largely comprising defaulted and distressed loans. As of the January 2026 remittance, eight loans remained in the pool, reflecting a collateral reduction of 89.4% since issuance. Seven loans (87.3% of the pool) are in special servicing, including five loans (79.0% of the pool) that are secured by office collateral with declining performance metrics. In the analysis for this review, Morningstar DBRS analyzed each of the specially serviced loans with a liquidation scenario based on conservative value stresses to the most recent appraisal values, with value haircuts ranging from 20.0% to 25.0%. The analysis resulted in cumulative implied losses of about $53.2 million, fully eroding the Class G and the nonrated Class H certificate balances as well as eroding more than 65.7% of the Class F certificate balance, which significantly reduced the credit support for Class E, thereby supporting the credit rating downgrades. Morningstar DBRS expects the sole non-specially serviced loan (12.7% of the pool), a fully amortizing, fixed-rate loan, to continue to perform through its maturity date in 2034; however, the extended maturity profile contributes to the increased propensity for interest shortfalls to accumulate for the specially serviced loans. As of January 2026, interest shortalls increased to $5.8 million from $5.5 million at the last credit rating action in January 2025. The Negative trends reflect Morningstar DBRS' persisting concern about the uncertain resolution period for the loans in special servicing, potential for cash flow volatility for the nonperforming loans, and the likelihood that interest shortfalls will continue to increase, eventually infringing on Morningstar DBRS' tolerance for the respective credit rating categories. Morningstar DBRS' loss expectations continue to be driven primarily by the three-largest loans in the pool, which collectively represent more than 50.0% of the outstanding trust balance and are secured by office properties with declining performance metrics and values. The 811 Wilshire (Prospectus ID#6; 25.5% of the pool) is backed by a 20-story, 336,190-square foot (sf) office property in the Los Angeles central business district. The loan transferred to special servicing in November 2024 after failing to repay at maturity. According to the servicer's reporting, the occupancy rate at the property declined to about 33.0% as of September 2025, remaining relatively unchanged since YE2024 but significantly lower than 70.0% at issuance. The loan was initially under contract for sale in 2025 but was terminated, and the lender is currently pursuing foreclosure while simultaneously negotiating modification terms with the borrower. A February 2025 appraisal valued the property at $40.5 million, a decline of 40.4% from the issuance appraisal value of $68.0 million. Given the significant drop in value and sustained low occupancy, Morningstar DBRS analyzed the loan with a 25.0% haircut to the most recent appraisal value, resulting in a loss of $7.9 million or a loss severity of 22.9%. The second-largest specially serviced loan, Highland Oaks Portfolio loan (Prospectus ID#8; 22.6% of the pool) is secured by two Class B office properties (Highland Oaks I and Highland Oaks II) in Downers Grove, Illinois, a suburb of Chicago. The loan has been real estate owned since January 2025. In October 2025, Highland Oaks II sold for $2.7 million, which reduced the principal balance of the loan by approximately $221,000. According to the servicer, Highland Oaks I was 66.0% leased to two tenants as of December 2025 and was not listed for sale. The August 2025 appraisal valued the property at $5.6 million, down from the April 2024 appraisal value of $7.8 million and 88.4% lower than the issuance appraisal value of $48.1 million. Morningstar DBRS expects the property to continue to face significant leasing challenges leading to cash flow volatility and further value deterioration, given its location in a soft submarket where supply far exceeds demand. Morningstar DBRS analyzed the loan with a 20.0% haircut to the most recent appraisal value, resulting in a loss of $26.9 million or a loss severity of 87.5%. The 8000 Maryland Avenue loan (Prospectus ID#9; 19.8% of the pool) is secured by a 16-story, 196,921-sf office building in Clayton, Missouri, transferred to special servicing in February 2024 because of imminent monetary default and did not repay at its maturity date in November 2024. Financial reporting for this loan has been limited since September 2023 when the occupancy rate and debt service coverage ratio (DSCR) were 87.0% and 1.45 times (x), respectively; however, the servicer's commentary suggests that the property occupancy rate was 56.0% as of September 2025 and 68.0% as of YE2024, highlighting a steady decline. An October 2025 appraisal valued the property at $19.8 million, down from the June 2024 appraisal value of $22.2 million and 10.8% lower than the issuance appraisal value of $42.0 million. Given the challenges facing office properties in secondary markets coupled with the consistent declines in performance metrics, Morningstar DBRS analyzed the loan with a 20.0% haircut to the most recent appraisal value, resulting in a loss of $15.1 million or a loss severity of 56.2%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. COOPR RESIDENTIAL 2026-CES1: Fitch Gives B(EXP) Rating to B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed certificates issued by COOPR Residential Mortgage Trust 2026-CES1 (COOPR 2026-CES1). RATING ACTIONS Entity/Debt Rating ----------- ------ COOPR 2026-CES1 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 B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 3,438 closed-end second lien (CES) loans with a total balance of approximately $253.5 million as of the cutoff date. Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar) originated 100% of the loans and will be the primary servicer for all loans. 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. COOPR 2026-CES1 has a final probability of default (PD) of 16.02% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.61%. The expected loss in the 'AAAsf' rating stress is 15.63%. Structural Analysis: The mortgage cash flow and loss allocation in COOPR 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 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. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement mechanism (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 30.3% of loans in the transaction by loan count. Fitch applies a 5bps score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the transaction's performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects COOPR 2026-CES1 to be fully de-linked and function as a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Shortened Liquidation Timelines: Fitch's analysis for this transaction assumes liquidation timelines of six months in the base case and up to 12 months in the 'AAAsf' stress, compared with 18 months to 36 months for first lien collateral. COOPR 2026-CES1 incorporates an optional loan charge-off at 180 days' delinquency. Based on historical observations, second lien collateral typically liquidates after 180 days' delinquency. Fitch assumes in the base case that the charge-off feature will be exercised as soon as possible with lower probabilities of charge-off in the higher rating cases. When taken together with its presumed modification timelines of 12 months, Fitch's all-in timelines range from nine months at the base case to 12 months at its 'AAAsf' rating case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DBGS 2019-1735: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by DBGS 2019-1735 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at A (high) (sf) -- Class X at A (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (high) (sf) -- Class E at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance, which remains in line with Morningstar DBRS' expectations, evidenced by positive leasing activity and consistent financial performance. Tenancy at the subject property primarily consists of law firms and financial companies, including select investment-grade tenants, providing further stability to in-place cash flow. The $311.4 million first-lien mortgage loan is secured by the fee-simple interest in a 53-story Class A office building totaling 1.3 million square feet in Philadelphia's central business district. The 10-year interest-only (IO) loan matures in April 2029. The sponsor, Silverstein Properties, Inc., used loan proceeds along with $164.2 million of cash equity to acquire the asset for $451.6 million in 2019. According to the September 2025 rent roll, occupancy was reported at 84.3%, an increase from 81.0% at YE2024 but remaining below 87.0% at issuance. According to several online news articles, two new tenants have signed leases at the subject: RSM US LLP (1.7% of net rentable area (NRA)) and Hangley Aronchick Segal Pudlin & Schiller, P.C. (1.7% of NRA). The largest tenants at the subject include Ballard Spahr LLP (12.9% of NRA, lease expiry in January 2031), Willis Towers Watson US LLC (7.57% of NRA, lease expiry in February 2031), and Saul Ewing LLP (5.24% of NRA, lease expiry in March 2042). The collateral serves as headquarters for Ballard Spahr LLP as well as two other top five tenants, Brandywine Global Investment (5.18% of NRA, lease expiry in June 2028) and Montgomery McCracken Walker & Rhoads LLP (3.76% of NRA, lease expiry in May 2034). Over the next 12 months, there is cumulative rollover risk as 7.8% of the property's NRA is set to expire, notably including The Bank of New York Mellon (Mellon; 3.7% of NRA, lease expiry in September 2026). According to an article from the Philadelphia Business Journal dated November 2025, Mellon will be vacating upon its lease expiration. The collateral's online availability report notes approximately 14.5% of NRA is currently being advertised for lease, which generally remains in line with the Q3 2025 vacancy rate of 14.0% for the Center City submarket, according to Reis. KPMG is currently subleasing all of Willis Towers Watson US LLC's space; however as per several online news articles, KMPG will be expanding its footprint by approximately 2.0% of NRA through a direct lease. As per the servicer's response, this lease's commencement date is expected to be between March 2026 and March 2027. Furthermore, according to the borrower's website, Hogan Lovells, an existing tenant currently occupying 2.7% of NRA, has extended its lease for more than 10 years. According to the trailing nine-month financials for the period ended September 30, 2025, the annualized net cash flow (NCF) was $27.4 million (a debt service coverage ratio of 2.06 times), which remained relatively unchanged from the YE2024 reporting and higher than the Morningstar DBRS NCF of $22.5 million. With this review, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.5% applied to the Morningstar DBRS NCF of $22.5 million. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio (LTV) sizing benchmarks totaling 3.5% to reflect the subject property's quality and generally long-term in-place tenancy to investment-grade tenants. Morningstar DBRS' concluded value of $300.6 million represents a variance of -31.7% from the issuance appraised value of $440.3 million and implies an all-in LTV of 103.6%. Notes: All figures are in U.S. dollars unless otherwise noted. DBUBS 2011-LC3: Fitch Lowers Rating on 2 Tranches to Csf -------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed four classes of Deutsche Bank Securities (DBUBS), commercial mortgage pass-through certificates, series 2011-LC3 (DBUBS 2011-LC3). Fitch has placed Classes PM-1 and PM-X on Rating Watch Negative (RWN) following their downgrades. The Rating Outlook for the affirmed class D remains Negative. The DBUBS 2011-LC3 transaction contains a $41 million pooled senior trust component and a $214 million non-pooled senior and junior trust component (collectively, rake certificates) that represent the beneficial interest in the Providence Place Mall loan. The pooled senior component and non-pooled senior component (PM-1) are pari passu in receiving interest and principal from the Providence Place Mall loan. The non-pooled junior component (PM-2 through PM-5) is subordinate to the senior components in payment priority for interest and principal. Fitch has also affirmed one class of Providence Place Group Limited Partnership. The Rating Outlook for class A-2 remains Stable. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Providence Place Group Ltd. Partnership Providence Place Mall A-2 743784AB6 LT AAAsf Affirmed AAAsf DBUBS 2011-LC3 D 23305YAM1 LT Bsf Affirmed Bsf E 23305YAN9 LT CCsf Affirmed CCsf F 23305YAP4 LT Csf Affirmed Csf PM-1 23305YAU3 LT B-sf Downgrade BBB-sf PM-2 23305YAW9 LT CCsf Downgrade BB-sf PM-3 23305YAX7 LT Csf Downgrade CCCsf PM-4 23305YAY5 LT Csf Downgrade CCsf KEY RATING DRIVERS Providence Place Mall: The downgrades of the PM-1 through PM-4 and PM-X bonds associated with the Providence Place Mall loan reflect Fitch's concerns related to ultimate recovery given an updated Fitch sustainable net cash flow (NCF) and a higher Fitch stressed cap rate, which together result in a lower Fitch stressed value than at the prior rating action. In addition, the updated Fitch stressed value considers the reported appraisal reduction amount as well as the uncertainty related to the expiration of the tax treaty agreement (PILOT) with the city of Providence, which could reset the property tax payments to market levels. The downgrades also address the potential for a near-term disposition since the property is being marketed for sale since December 2025. The loan transferred to special servicing in April 2024 and a receiver was appointed after an acceptable modification agreement could not be reached. As of the December 2025 servicer reporting, there is $11.3 million in an excess cash flow reserve. However, it is unclear if the funds will be used to reduce the debt and realized loss upon a sale. The placement of classes PM-1 and PM-X on RWN reflects the potential for further downgrades into the distressed category if an updated pre-liquidation sale price is below current expectations, or to 'Dsf' if losses are realized. Fitch expects to resolve the Rating Watch within six months if there are additional updates on the property valuation or on the progress of the asset sale. The loan is secured by a 980,711-sf portion of a 1.2 million-sf regional mall in Providence, RI. At issuance, the property was anchored by Macy's, JCPenney and Nordstrom. JCPenney vacated in 2015, and the space was demolished and replaced with an expanded parking garage. Nordstrom vacated in early 2019 and was replaced in October 2019 by Boscov's (20% of collateral NRA; lease expiry in January 2030). Apple Cinemas, a new tenant, executed a 10-year lease and commenced operations in November 2025, replacing Showcase Cinemas. Fitch's sustainable NCF was revised downward to $22.2 million from $25.2 million at the prior rating action and is 35% below Fitch's issuance NCF of $34.3 million. The lower sustainable NCF is based on the TTM September 2025 servicer reporting and applies a market level tax expense due to the possibility that real estate taxes could reset with the expiration of the tax treaty agreement with the municipality, which is scheduled to expire in June 2028. The sponsor has made payments in lieu of taxes (PILOT) under the tax agreement. However, due to uncertainty around a potential extension, Fitch continues to assume real estate taxes at the market level used at the prior rating action, resulting in estimated taxes that are significantly higher than current PILOT payments. Per the servicer, there have been discussions with the City of Providence and the Rhode Island Commerce Corporation about extending the PILOT to a potential buyer of the mall, but an agreement has not been reached. Property net operating income (NOI) declined to $18.9 million as of TTM September 2025, 29% lower than YE 2023 NOI. As of September 2025, total mall occupancy was 95%, with a NOI debt service coverage ratio (DSCR) of 1.41x. As of the December 2025 reporting, there is currently $1.4 million in outstanding servicer advances and $11.3 million in excess cash flow reserves. To the extent sufficient cash is available, the special servicer has repaid advances in the past to limit the accrual of interest on advances. Fitch's analysis incorporated an increased 15% stressed cap rate, up from 12% last review and 8.5% at issuance to factor the asset quality, declining performance, and the risk associated with the uncertainty with the PILOT, resulting in a recovery value of approximately $150/sf. High Leverage: The Fitch-stressed DSCR and loan-to-value (LTV) for the $254.9 million Providence Place Mall whole loan, are 0.56x and 166.6%, respectively. The capital structure also includes a $70.9 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.44x and 213.0%, respectively, and a total debt of $332 psf. Low Leverage PILOT Bond: The Providence Place Group Limited Partnership, Providence Place Mall pass-through certificates are secured by a PILOT lien on the Providence Place Mall property. The PILOT, which has remained current since issuance, is senior to other liens on the property or leasehold including ground lease or mortgage payments. The affirmation at 'AAAsf' reflects the continued deleveraging of the transaction and the ratio of maximum exposure to the property value is extremely low. Regional Mall Concentration; Adverse Selection: The DBUBS 2011-LC3 transaction consists of three loans, each of which are secured by underperforming regional malls located in secondary and tertiary markets. All three loans are classified as Fitch Loans of Concern (FLOCs) and/or in special servicing, exhibiting deteriorated performance and/or elevated Fitch loss expectations. Given the concentrated nature of the pool, Fitch conducted a look-through analysis to determine expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). The affirmations in DBUBS 2011-LC3 reflect performance in-line with expectations from Fitch's prior rating action and sufficient CE relative to overall loss expectations. The Negative Outlook on class D reflects significant adverse selection of the pool and possible downgrades should performance and/or valuations of the remaining loans continue to deteriorate beyond current expectations and/or workouts are prolonged for the specially serviced loans/REO assets. The largest loss contributor in the DBUBS 2011-LC3 transaction is the Dover Mall and Commons loan (54.8% of the pool), secured by a regional mall, Dover Mall, and a one-story strip center, Dover Commons, located in Dover, DE totaling 886,324-sf, of which 553,854-sf is collateral. The loan was modified in March 2021 and returned from special servicing in July 2021. The modified maturity date is August 2026. Property occupancy has shown improvement, increasing to 89% as of the August 2025 rent roll, compared to 74% YE 2024. However, the borrower has indicated concerns regarding their ability to repay the loan at maturity due to market challenges affecting the property. Fitch's 'Bsf' rating case loss of 47.5% (prior to concentration adjustments) incorporates a 28% cap rate, 7.5% stress to the YE 2024 NOI and factors a higher probability of default to account for the upcoming maturity date. The second-largest loss contributor is the REO Albany Mall asset (15.8%), which is a 446,969-sf portion of a 753,552-sf regional mall located in Albany, GA. The asset became REO in November 2021. As of October 2025, overall mall occupancy was reported to be approximately 84%, while collateral occupancy was approximately 78%. Fitch's 'Bsf' rating case loss of 80.7% (prior to concentration adjustments) reflects an elevated 50% stress to the June 2025 appraisal due to a lack of progress on the disposition of the REO asset. Change to CE: As of the December 2025 distribution date, the DBUBS 2011-LC3 transaction's pooled aggregate balance has been reduced by 90.0% to $139.2 million from $1.4 billion at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A downgrade to the bonds associated with Providence Place Mall is expected with further valuation declines, updated sales contract lower than currently expected, or a prolonged special servicing workout and limited progress toward liquidation that lowers expected recoveries. A downgrade of PM-1 to a distressed rating is expected if losses are expected based on updated sales information, or to 'Dsf' if losses are incurred. Further downgrades to classes PM-2 through PM-5 would occur as losses become more certain and/or realized. The Negative Outlook for class D in DBUBS 2011-LC3 reflects possible downgrades should loss expectations for Dover Mall and Commons, Providence Place Mall and Albany Mall be higher than expected upon liquidation and/or from further deterioration of mall performance. Downgrades to the distressed classes E and F would occur as losses are realized and/or with greater certainty of losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade to the bonds associated with Providence Place Mall is not expected, but could occur if the mall valuation improves significantly or if information on a higher-than-expected sales contract is provided. Given the significant pool concentration and adverse selection of DBUBS 2011-LC3, upgrades are not expected, but may occur if performance of the regional malls improve substantially and/or recoveries are better than expected. If the specially serviced loans and assets revert to their pre-pandemic performance and/or actual losses are better than expected, the Negative Outlook on class D may be revised to Stable. DEEPHAVEN RESIDENTIAL 2026-INV1: S&P Rates (P) B (sf) on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2026-INV1 's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of two months. The mortgage loans have primarily 30-year maturities with some 15- and 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool consists of 1,153 ATR-exempt loans backed by 1,210 properties, including eight cross-collateralized loans backed by 65 properties. The preliminary ratings are based on information as of Jan. 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement provided, associated structural mechanics, and representation and warranty framework; -- The mortgage originators and aggregator; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned Deephaven Residential Mortgage Trust 2026-INV1(i) Class A-1, $218,994,000: AAA (sf) Class A-1A, $185,838,000: AAA (sf) Class A-1B, $33,156,000: AAA (sf) Class A-2, $24,038,000: AA (sf) Class A-3, $40,782,000: A (sf) Class M-1, $18,401,000: BBB (sf) Class B-1, $12,765,000: BB (sf) Class B-2, $10,444,000: B (sf) Class B-3, $6,134,837: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated Jan. 20, 2026. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. N/R--Not rated. DEWOLF PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class debt from Dewolf Park CLO Ltd./Dewolf Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in August 2017 and underwent a refinancing in October 2021 and was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Jan. 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the October 2021 debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may withdraw its preliminary ratings on the replacement debt. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Dewolf Park CLO Ltd./Dewolf Park CLO LLC Class A-R2, $252 million: Not rated Class B-R2, $52 million: AA (sf) Class C-R2 (deferrable), $24 million: A (sf) Class D-1-R2 (deferrable), $24 million: BBB- (sf) Class D-2-R2 (deferrable), $2 million: BBB- (sf) Class E-R2 (deferrable), $14 million: BB- (sf) Subordinated notes, $40 million: Not rated DIAMETER CAPITAL 4: S&P Assigns Prelim 'BB-' Rating on E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt from Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC, a CLO managed by Diameter CLO Advisors LLC that was originally issued in January 2023 and underwent a refinancing in January 2024. The preliminary ratings are based on information as of Jan. 22, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 30, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1-R, A-2A-R, A-2B-R, B-R, C-1-R, C-2-R, and D-R debt and assign ratings to the replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt." However, if the refinancing doesn't occur, S&P may affirm its ratings on the existing debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt is expected to be issued at floating spreads, replacing the fixed and floating rates on the existing debt. -- The non-call period will be extended to January 2028. -- The reinvestment period will be extended to January 2031. -- The legal final maturity dates for the replacement debt and the subordinated notes will be extended to January 2039. -- The target initial par amount will be increased to $550 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be in April 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $5.55 million in subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Class A-RR, $352.00 million: AAA (sf) Class B-RR, $66.00 million: AA (sf) Class C-RR (deferrable), $33.00 million: A (sf) Class D-1-RR (deferrable), $33.00 million: BBB- (sf) Class D-2-RR (deferrable), $4.13 million: BBB- (sf) Class E-RR (deferrable), $17.88 million: BB- (sf) Other Debt Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Subordinated notes, $51.40 million: NR NR--Not rated. EFMT 2026-AE1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 64 classes of residential mortgage-backed securities (RMBS) to be issued by EFMT 2026-AE1, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated by PennyMac Loan Services, LLC (PennyMac), loanDepot.com, LLC (loanDepot), and Radian Group Inc. (Radian), and serviced by PennyMac, loanDepot, and Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone). The complete rating actions are as follows: Issuer: EFMT 2026-AE1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aa1(sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4 *, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6 *, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aa1 (sf) Cl. A-X-26*, Assigned (P)Aa1 (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. A-X-30*, Assigned (P)Aa1 (sf) Cl. A-X-31*, Assigned (P)Aaa (sf) Cl. A-X-34*, Assigned (P)Aa1 (sf) Cl. A-X-35*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.41% and reaches 9.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. EXETER AUTOMOBILE 2026-1: S&P Assigns BB- Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.31%, 50.14%, 41.98%, 31.70%, 25.38%, and 23.22% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, E, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, 1.20x, and 1.10x coverage of our expected cumulative net loss of 20.75% for classes A, B, C, D, E, and N, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)' and 'B (sf)' ratings on the class A, B, C, D, E, and N notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2026-1 Class A-1, $94.20 million: A-1+ (sf) Class A-2, $241.00 million: AAA (sf) Class A-3, $226.42 million: AAA (sf) Class B, $118.51 million: AA (sf) Class C, $123.00 million: A (sf) Class D, $162.31 million: BBB (sf) Class E, $103.34 million: BB- (sf) Class N(i), $30.00 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. FIGRE TRUST 2026-HE1: DBRS Gives Prov. B Rating on Class F Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-HE1 (the Notes) to be issued by FIGRE Trust 2026-HE1 (FIGRE 2026-HE1 or the Trust): -- $273.6 million Class A at (P) AAA (sf) -- $29.0 million Class B at (P) AA (high) (sf) -- $45.8 million Class C at (P) A (high) (sf) -- $22.2 million Class D at (P) BBB (high) (sf) -- $19.3 million Class E at (P) BB (sf) -- $13.8 million Class F at (P) B (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 33.40% of credit enhancement provided by subordinate notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), (P) B (sf) credit ratings reflect 26.35%,15.20%, 9.80%, 5.10%, and 1.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 4,987 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $410,828,822 and a total current credit limit of $430,179,772 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 23 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-HE1 is the 24th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in six securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all HELOCs are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 90.0% after one month of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. the Company leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Retaining Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: (1) It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; (2) Neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; (3) It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; (4) It will confirm its EU and UK Retained Interest in the SR Investor Report; and (5) It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,437,901 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in February 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in February 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holders will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holders. The Reserve Account's required amount will become $0 on the payment date in February 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of this report for more details. Morningstar DBRS does not include the Classes AFCF and ALCF Notes initially contemplated in the offering documents in this report, as they will not be issued at closing. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (February 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than some of the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2026-HE1: S&P Assigns Prelim B- (sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to FIGRE Trust 2026-HE1's mortgage-backed notes. The note issuance is an RMBS transaction backed by first- and subordinate-lien, simple-interest, fixed-rate, fully amortizing residential mortgage loans that are open-ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 4,987 initial HELOCs plus 210 subsequent draws (5,197 HELOC mortgage loans), which are all ability-to-repay-exempt The preliminary ratings are based on information as of Jan. 23, 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, representations and warranties (R&W) framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i)(ii) Assigned FIGRE Trust 2026-HE1 Class A, $273,611,000: AAA (sf) Class B, $28,964,000: AA- (sf) Class C, $45,807,000: A- (sf) Class D, $22,185,000: BBB- (sf) Class E, $19,309,000: BB- (sf) Class F, $13,763,000: B- (sf) Class G, $7,189,822: Not rated Class XS, notional(iii): Not rated Class FR, (iv): Not rated Class R, not applicable: Not rated (i)The preliminary private placement memorandum reflects two additional classes of notes, classes AFCF and class ALCF. These classes have a $0 balance as per the preliminary private placement memorandum; however, S&P Global Ratings will not be assigning ratings to class AFCF and ALCF, as the issuer confirmed these classes will not be issued. (ii)The collateral and structural information reflect the preliminary private placement memorandum dated Jan. 22, 2026. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (iii)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate-owned properties as of the first day of the related collection period. (iv)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. FORTRESS CREDIT XX: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt from Fortress Credit BSL XX Ltd./Fortress Credit BSL XX LLC, a CLO managed by FC BSL CLO Manager III LLC that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the previous class A, B-1, B-2, C, D, and E debt following payment in full on the Jan. 23, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 23, 2027. -- No additional assets were purchased on the Jan. 23, 2026 refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 23, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The previous class B-1 and B-2 debt were combined into the new class B-R debt Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $250.00 million: Three-month CME term SOFR + 1.24% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.75% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.95% -- Class E-R (deferrable), $14.00 million: Three-month CME term SOFR + 5.60% Previous debt -- Class A, $250.00 million: Three-month CME term SOFR + 1.85% -- Class B-1, $38.00 million: Three-month CME term SOFR + 3.15% -- Class B-2, $10.00 million: 7.620% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.85% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 5.67% -- Class E (deferrable), $14.00 million: Three-month CME term SOFR + 8.51% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Fortress Credit BSL XX Ltd./Fortress Credit BSL XX LLC Class A-R, $250.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-R, $24.00 million: BBB- (sf) Class E-R, $14.00 million: BB- (sf) Ratings Withdrawn Fortress Credit BSL XX Ltd./Fortress Credit BSL XX LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Fortress Credit BSL XX Ltd./Fortress Credit BSL XX LLC Subordinated Notes, $43.40 million: NR NR--Not rated. FS RIALTO 2026-FL11: DBRS Gives Prov. B(low) Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by FS Rialto 2026-FL11 Issuer, LLC (FS RIAL 2026-FL11 or the Issuer): -- Class A at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class F-E at (P) BB (low) (sf) -- Class F-X at (P) BB (low) (sf) -- Class G at (P) B (low) (sf) -- Class G-E at (P) B (low) (sf) -- Class G-X at (P) B (low) (sf) All trends are Stable. The Class F, Class F-E, Class F-X, Class G, Class G-E, and Class G-X Notes are non-offered notes. The Indenture will allow for the exchange of all or a portion of the Class F Notes or the Class G Notes (the Exchangeable Notes) for proportionate interests in two classes of notes (such Notes received in such an exchange, the Exchanged Notes) as follows: (1) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes and (2) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes (collectively with the Class F-E Notes, the Exchanged P&I Notes) and the Class G-X Notes (collectively with the Class F-X Notes, the Exchanged Interest Only Notes). The FS Rialto2026-FL11 transaction's initial collateral consists of 23 floating-rate mortgage loans secured by 32 transitional multifamily, mixed-use, industrial, hotel, retail, and office properties. The collateral is encumbered by $2.1 billion of debt, composed of $1.0 billion that will be owned by the Issuer, $127.2 million of future funding, and $889.4 million of funded pari passu debt. Eleven loans, comprising 45.1% of the pool, are structured with future funding of $127.2 million. The transaction is a managed vehicle, which includes a 36-month reinvestment period. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS Morningstar DBRS will confirm that a proposed action, failure to act, or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit ratings during the reinvestment period. All tables, charts, and metrics referenced in this report reflect the $1.0 billion initial pool and cut-off balance. The holder of the future funding companion participations will be FS CREIT Finance Holdings LLC (the Seller), a wholly owned subsidiary of FS Credit Real Estate Income Trust, Inc., or an affiliate of the Seller. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is managed with a 36-month reinvestment period. During this period, the Collateral Manager will be permitted to acquire reinvestment collateral interests, which may include Funded Companion Participations, subject to the satisfaction of the Eligibility Criteria and the Acquisition Criteria. The Acquisition Criteria requires that, among other things, the Note Protection Tests are satisfied, no event of default is continuing, and Rialto Capital Management, LLC or one of its affiliates acts as the subadvisor to the Collateral Manager. The Eligibility Criteria has minimum and maximum debt yields and loan-to-value ratios, Herfindahl scores of at least 14.0, and property type limitations, among other items. The transaction stipulates that any acquisition of any reinvestment collateral interests will need an RAC regardless of balance size. The loans are mostly secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. The transaction will have a sequential-pay structure. The loans are secured by properties with plans to stabilize and improve the asset value. Eleven of the loans, representing 45.1% of the pool, have remaining future funding totaling $127.2 million. Twelve loans do not have remaining future funding, and the path to stabilization for such loans is primarily based on increasing occupancy and/or achieving operational efficiencies. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 15 of the 23 loans, representing 67.2% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of below 1.00 times, a threshold indicative of refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other in-place structural features are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Notes: All figures are in U.S. dollars unless otherwise noted. HARVEST US 2023-1: Fitch Gives BB-sf Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2023-1, Ltd. refinancing notes. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- Harvest US CLO 2023-1, Ltd. A-1-R LT NRsf New Rating A-2 417923AC3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 417923AE9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 417923AG4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 417923AJ8 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 417924AA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Harvest US CLO 2023-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Investcorp Credit Management US LLC. On Jan. 26, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes. Together with the existing subordinated notes, the refinancing transaction will finance a portfolio of approximately $396.6 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.45, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.48% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.39% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. KEY PROVISION CHANGES This 2026 refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: --The existing class A-1N, A-1L, A-2, B, C, D and E notes will be refinanced into class A-1-R, A-2-R, B-R, C-R, D-R and E-R notes. -- All floating rate notes were refinanced with lower spread. -- The non-call period for the refinanced notes other than class A-1-R notes is extended to Jan. 15, 2027. The non-call period for class A-1-R notes is extended to July 15, 2027. -- The stated maturity and end of reinvestment period on the refinanced notes remained the same as the original notes. FITCH ANALYSIS The portfolio includes 366 assets from 287 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $396.6 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Fitch Floating Spread and Minimum Weighted Average Coupon tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 43.7% of the current portfolio par balance; ratings for 56.3% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: --Largest five obligors: 2.5% each, for an aggregate of 12.5%; --Largest three industries: 15.0%, 13.5%, and 13.5%, respectively; --Assumed risk horizon: 6.05 years; --Minimum weighted average spread of 3.00%; --Minimum weighted average recovery rate of 65.00%; --Maximum weighted average rating factor of 24.00; --Fixed rate Assets: 5.00%; --Minimum weighted average coupon of 7.00%; The transaction will exit its reinvestment period on Jan. 15, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: --Class A-2-R: 'AAAsf' / Default 41.80% / Recovery 37.80% / Cushion 13.70% --Class B-R: 'AAsf' / Default 39.30% / Recovery 47.07% / Cushion 12.20% --Class C-R: 'Asf' / Default 34.70% / Recovery 56.48% / Cushion 12.90% --Class D-R: 'BBB-sf' / Default 26.50% / Recovery 66.04% / Cushion 13.20% --Class E-R: 'BB-sf' / Default 22.00% / Recovery 71.36% / Cushion 14.90% Fitch Stress Portfolio (FSP) Model Outputs: --Class A-2-R: 'AAAsf' / Default 49.80% / Recovery 33.50% / Cushion 2.20% --Class B-R: 'AAsf' / Default 46.20% / Recovery 39.50% / Cushion 0.00% --Class C-R: 'Asf' / Default 40.90% / Recovery 49.50% / Cushion 1.30% --Class D-R: 'BBB-sf' / Default 31.90% / Recovery 58.50% / Cushion 3.10% --Class E-R: 'BB-sf' / Default 26.60% / Recovery 63.80% / Cushion 4.40% 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-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, and 'A-sf' for class D-R and 'BBB+sf' for class E-R. HOMES 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2026-NQM1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of seven months. The loans are secured by single-family residences, planned-unit developments, townhouse, two- to four-unit multifamily homes, condominiums, manufactured housing, and condotel properties to both prime and nonprime borrowers. The pool consists of 601 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), ability-to-repay (ATR) exempt loans, and non-QM/ATR-compliant loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) HOMES 2026-NQM1 Trust Class A-1, $237,919,000: AAA (sf) Class A-1A, $206,490,000: AAA (sf) Class A-1B, $31,429,000: AAA (sf) Class A-2, $16,029,000: AA (sf) Class A-3, $31,115,000: A (sf) Class M-1, $11,472,000: BBB (sf) Class B-1, $8,171,000: BB (sf) Class B-2, $5,972,000: B (sf) Class B-3, $3,614,599: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. HOMES TRUST 2026-INV1: Moody's Assigns (P)B2 Rating to B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 11 classes of residential mortgage-backed securities (RMBS) to be issued by HOMES 2026-INV1 Trust, and sponsored by APF II Resi O4B, LLC. The securities are backed by a pool of GSE-eligible investor residential mortgages aggregated by Ares Management Corporation, LLC, and originated and serviced by PennyMac Loan Services, LLC and CrossCountry Mortgage, LLC. The complete rating actions are as follows: Issuer: HOMES 2026-INV1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1C, Assigned (P)Aaa (sf) Cl. A-1D, Assigned (P)Aaa (sf) Cl. A-1M, Assigned (P)Aa1 (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A1 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the 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 0.74%, in a baseline scenario-median is 0.43% and reaches 8.06% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JEFFERIES CREDIT 2025-2: S&P Assigns Prelim 'B-' Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Jefferies Credit Partners Direct Lending CLO 2025-2 Ltd./Jefferies Credit Partners Direct Lending CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Jefferies Credit Partners LLC. 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 S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Jefferies Credit Partners Direct Lending CLO 2025-2 Ltd./ Jefferies Credit Partners Direct Lending CLO 2025-2 LLC Class A-1, $181.6000 million: AAA (sf) Class A-1 loans(i), $50.4000 million: AAA (sf) Class A-2, $0.4000 million: AAA (sf) Class A-2 loans(i), $7.6000 million: AAA (sf) Class B, $32.0000 million: AA (sf) Class C (deferrable), $32.0000 million: A (sf) Class D-1 (deferrable), $24.0000 million: BBB- (sf) Class D-2 (deferrable), $4.0000 million: BBB- (sf) Class E (deferrable), $20.0000 million: BB- (sf) Class F (deferrable), $5.6100 million: B- (sf) Subordinated notes 1, $23.9412 million: NR Subordinated notes 2, $23.2188 million: NR (i)The class A-1 and A-2 loans are convertible into class A-1 and class A-2 debt, respectively. NR--Not required. JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs -------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-WLDN issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN as follows: -- Class X-A at BB (sf) -- Class A at BB (low) (sf) -- Class B at B (low) (sf) -- Class C at CCC (sf) Morningstar DBRS also changed the trend on Class B to Negative from Stable. The trends on Classes A and X-A remain Stable while Class C has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The transaction is secured by the borrower's fee-simple interest in the Walden Galleria, a 1.3 million-square foot super-regional shopping mall in Cheektowaga, New York. The Negative trend reflects Morningstar DBRS' concerns surrounding the loan's transfer to special servicing for the third time in March 2025 after the borrower confirmed its inability to pay off the loan ahead of its final maturity in May 2025. While the borrower proposed to pay off the loan by YE2025 via an Agreed Stipulation Order and has been making monthly principal curtailments, the loan remains outstanding as of the January 2026 remittance. Furthermore, the sponsor, Pyramid Management Group (Pyramid), owns several malls securitized in other CMBS transactions that have failed to recover to pre-pandemic levels, including Aviation Mall in WFRBS 2011-C2 (not rated by Morningstar DBRS), which liquidated with a loss in August 2025. Given the low investor appetite for regional mall properties and the possibility of value volatility, in the event that the borrower is unable to refinance the subject loan in the near term, shorted interest or the possibility of principal loss upon resolution may affect the lower portion of the capital stack. As of the January 2026 remittance, the trust balance of $198.9 million represented a 26.3% collateral reduction since issuance. The property benefits from its location approximately 12 miles from the Canadian border and is known as the primary shopping destination in the metropolitan Buffalo area. Additionally, the property's operational performance has remained stable since Morningstar DBRS' last credit rating action in February 2025, per recent financials. The credit rating confirmations and Stable trends considered these mitigating factors, along with Morningstar DBRS' recoverability expectations for the underlying property. For this review, Morningstar DBRS considered a liquidation scenario based on a stress to the most recent appraised value to determine the recoverability of the outstanding bonds, the results of which suggested that the property's appraised value of $244.1 million (as of July 2025) would have to decline by more than 13.5% before a loss would be incurred. Prior to its third transfer to special servicing, the loan was performing in accordance with the May 2022 modification that, among other terms, extended the maturity to November 2024 with an additional six-month extension option that was exercised at the end of 2024, converted the loan to interest only (IO), and activated a cash trap that will remain in effect until the loan is paid in full. Subsequent to the final maturity date, the borrower requested for a maturity extension, which was declined, and foreclosure was initiated. The property was reappraised at a value of $244.1 million, representing an 11.5% increase from the August 2022 value of $219.0 million, but still significantly below the $600.0 million value at issuance. Although a receiver was appointed, Pyramid has continued to manage the property as per an Agreed Stipulation Order, with a proposal to pay off the senior loan by October 2025 that was later pushed to YE2025. As the loan did not pay off in accordance with the proposal, per the terms of the Agreed Stipulation Order, the borrower cannot contest the appointment of a replacement property manager or the lender's foreclosure action. As of the January 2025 remittance, the borrower has requested more time to pay off the loan, which is currently being evaluated by the special servicer. For the trailing 12-month period ended June 30, 2025, the property reported a net cash flow (NCF) of $22.9 million (reflecting a debt service coverage ratio of 2.26 times), which remains in line with the YE2024 NCF of $23.3 million, but well below the issuance NCF of $31.9 million. Occupancy has remained relatively stable since issuance, with the property reporting an occupancy rate of 88.2% according to the July 2025 appraisal report, which is in line with the occupancy rate of 87.0% at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2019-MFP: Moody's Lowers Rating on Class F Certs to C --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP, Commercial Mortgage Pass-Through Certificates, Series 2019-MFP as follows: Cl. E, Downgraded to Caa3 (sf); previously on May 5, 2023 Downgraded to B2 (sf) Cl. F, Downgraded to C (sf); previously on May 5, 2023 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on the two P&I classes, Cl. E and Cl. F, were downgraded due to the high Moody's LTV and higher expected losses from the ultimate liquidation of the remaining collateral. The outstanding certificate balance is secured by only six remaining properties, all of which have negative cash flow and have suffered from significant declines in value from securitization. The portfolio was originally secured by 43 multifamily properties across the country, however, from 2022 through 2025, the borrower sold 20 properties and subsequently 17 properties were foreclosed and sold by the trust. The servicer indicated all available net proceeds from the sales have been applied to paydown the outstanding certificate balance. Based on the outstanding trust balance, Moody's anticipates a significant loss on the remaining loan balance and while Cl. E has already paid down 26% from its original balance, the ratings reflect Moody's high Moody's LTV and expectations of recoveries and losses from the remaining assets. The loan has been in special servicing since July 2022 and the borrower has been in default on debt service payments and the properties' cash flow has been unable to support the operating expenses. As of the January 2026 remittance statement, the loan was last paid through its December 2025 payment date. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE The transaction is backed by an interest-only, floating-rate mortgage loan that was originally collateralized by the borrowers' fee simple interests in 43 multifamily properties (consisting of 39 multifamily properties and 4 student housing properties) located across 10 states. However, from 2022 through 2025, the borrower sold 20 properties and 17 properties were subsequently foreclosed and sold, with the net sales proceeds applied to pay down the loan balance. As of the January 2026 distribution date, the transaction's aggregate certificate balance was approximately $178.7 million compared to $481.0 million at securitization, with the reduction in principal balance due to principal paydowns from property sales within the original portfolio. The 37 properties that were sold or liquidated from the trust had an original allocated loan amount of $411.6 million, however, as a result of the declines in value and fees and expenses associated with the sales (particularly the 17 foreclosed and liquidated properties) the deal has paid down $302.3 million over the same period. Currently, the remaining six properties are located across three states including Ohio (4 properties), Texas and Louisiana, and total 1,571 apartment units. The sponsor is the Chetrit Group, LLC, who acquired the original portfolio in June 2019 for $518.2 million and the portfolio was largely comprised of middle to low-income workforce housing properties which had an average age of 40 years at loan origination with most of the improvements being built between 1970 and 1979. The portfolio's performance was initially attributed by the borrower to be negatively impacted by the coronavirus pandemic and the properties have not been able to generate enough cash to fully cover debt service since 2019. As of June 2025, the six remaining properties were reported to have aggregate occupancy of 19% and are not generating sufficient revenue to cover their operating expenses. As a result of the age and performance of the properties, there are also outstanding deferred maintenance items to be addressed. The loan has been in special servicing since July 2022 and special servicer commentary indicates they plan to sell the remaining properties. Servicer commentary also indicates there is currently ongoing litigation against the loan originator for failure to repurchase the loan due to alleged representation and warranty breaches. As of the January 15, 2026 distribution date, the loan remains last paid through its December 2025 payment date and an appraisal reduction of $73.2 million (41% of the current loan balance) has been recognized. Moody's Value on the remaining six properties is $35.1 million, which is significantly below the outstanding aggregate certificate balance. There are outstanding interest shortfalls totaling $9.6 million affecting up to Cl. F, minimal outstanding advances and no losses have been realized as of the current distribution date. Moody's do not rate the two most junior classes, Classes G and HRR, that have an aggregate $46.1 million balance. JP MORGAN 2026-CES1: S&P Assigns Prelim 'B-' Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2026-CES1's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a site condo, townhouses, and two- to four-family residential properties. The pool has 6,936 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), non-QM/compliant loans, QM rebuttable presumption loans, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of Jan. 28, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. 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 outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2026-CES1(i) Class A-1A, $502,669,000: AAA (sf) Class A-1B, $32,988,000: AAA (sf) Class A-1, $535,657,000: AAA (sf) Class A-2, $25,761,000: AA- (sf) Class A-3, $21,050,000: A- (sf) Class M-1, $19,164,000: BBB- (sf) Class B-1, $10,682,000: BB- (sf) Class B-2, $8,796,000: B- (sf) Class B-3, $7,226,771: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class A-R, not applicable(iv): 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 class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the Shellpoint-serviced mortgage loans as of the first day of the related collection period. The class A-IO-S will not be entitled to payments of principal. (iii) The notional amount equals the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. (iv) The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. Shellpoint--Shellpoint Mortgage Servicing. NR--Not rated. JPMBB COMMERCIAL 2014-C25: DBRS Confirms C Rating on 5 Tranches --------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C25 issued by JPMBB Commercial Mortgage Securities Trust 2014-C25 as follows: -- Class X-B to BB (high) (sf) from BBB (high) (sf) -- Class B to BB (sf) from BBB (sf) -- Class X-C to C (sf) from BB (high) (sf) -- Class C to C (sf) from BB (sf) -- Class EC to C (sf) from BB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class X-A at AA (low) (sf) -- Class A-S at A (high) (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-D at C (sf) -- Class X-E at C (sf) The trend on Class A-5 is Stable. Morningstar DBRS changed the trends on Classes X-A, A-S, X-B, and B to Negative from Stable. The remaining classes (Classes C, D, E, F, X-C, X-D, X-E, and EC) no longer carry a trend given the CCC (sf) or lower credit rating. CREDIT RATING RATIONALE/DESCRIPTION The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for the specially serviced loans as well as the uncertainty surrounding the disposition timeline of the adverse selection composed primarily of suburban office and retail assets in secondary markets, which contributes to the increased propensity for interest shortfalls and the ultimate recoverability for the remaining loans in the trust. As of the January 2026 reporting, there were eight specially serviced loans, representing 57.5% of the pool balance. The servicer deemed four of these loans, representing 25.6% of the pool balance, as nonrecoverable and they have contributed $350,881 in nonrecoverable interest shortfalls, which Morningstar DBRS expects will continue to accrue monthly until disposition from the trust is finalized. Interest shortfalls were most recently reported at $10.2 million as of the January 2026 reporting compared with $6.0 million at the time of the last credit rating action in January 2025. The third-largest loan in the pool, Spectra Energy Headquarters (Prospectus ID#5; 13.6% of the pool), is secured by a 614,000-square foot office building in Houston and has a sole tenant with an upcoming lease expiration in April 2026. The subject property is currently dark and no prospective tenants have expressed interest in backfilling the space, thereby increasing the likelihood of a transfer to the special servicer in the coming months. The possibility of additional defaults, further value decline for loans already in special servicing, and the uncertainty surrounding the ultimate disposition timeline for these loans were key drivers of the Negative trends on Classes A-S and B. As of the January 2026 remittance, only 11 loans remained in the pool with an aggregate principal amount of $357.9 million, representing a collateral reduction of 69.8% since issuance. Of the eight loans in special servicing, four of the loans are real estate owned, including Mall at Barnes Crossing and Market Center Tupelo (Prospectus ID#4; 15.8% of the pool), Hilton Houston Post Oak (Prospectus ID#6; 11.0% of the pool), 9525 West Bryn Mawr Avenue (Prospectus ID#10; 6.9% of the pool), and Brettwood Village Shopping Center (Prospectus ID#38; 2.4% of the pool). The remaining three loans are being monitored on the servicer's watchlist for performance-related concerns or upcoming maturity dates. Given the concentration of defaulted loans and distressed properties remaining in the pool, Morningstar DBRS analyzed each of the remaining loans with a conservative liquidation scenario based on value stresses to the most recent appraised values. Individual property value haircuts range from 20.0% to 70.0%. Morningstar DBRS considered various factors when determining the level of stress, including the property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The analysis resulted in cumulative implied losses of approximately $167.0 million, fully eroding the balances of Classes D through F and the nonrated Class G certificates as well as approximately 30.0% of Class C. These losses supported the credit rating downgrade on Class C and significantly reduced the credit support provided to Class B, thereby supporting the downgrade on this class. Morningstar DBRS' loss expectations are primarily driven by the largest loan in the pool, CityPlace (Prospectus ID#1; 27.1% of the pool), which is backed by five office properties and one mixed-use property in the CityPlace Campus in Creve Coeur, Missouri. The loan transferred to special servicing in July 2024 because of imminent monetary default and subsequently failed to repay at initial scheduled maturity in October 2024. However, a loan modification was executed in December 2024, and the loan returned to the master servicer in February 2025. As per the terms of the loan modification agreement, the borrower deposited $2.0 million into an excess cash reserve account in exchange for a 38-month maturity extension through December 2027 followed by a 12-month extension option, which is conditional on achieving a debt yield hurdle of 13.0% on a trailing 12-month basis, for a fully extended maturity date in December 2028. According to the September 30, 2025, rent roll, the property was 82.0% occupied with leases totaling approximately 25.0% of the net rentable area (NRA) scheduled to roll over in the next 24 months and 54.0% of the NRA scheduled to roll over by the loan's revised final maturity date. As per the most recent financial statement, the debt service coverage ratio (DSCR) for the trailing nine-month period ended September 30, 2025, was 1.08 times (x), representing a steady decline from the YE2024 and YE2023 figures of 1.20x and 1.36x, respectively. While the execution of the modification agreement is a positive development, Morningstar DBRS remains concerned about the maturity default, significant rollover risk prior to the maturity date, and softening submarket conditions as Reis reported an average vacancy rate of 27.3% in Q3 2025 compared with 35.4% for similar-vintage properties. As such, Morningstar DBRS analyzed the loan with a liquidation scenario based on a conservative haircut of 70% to the issuance appraised value to account for likely value deterioration given performance declines, resulting in a projected loss severity exceeding $60.0 million or 60.0%. Morningstar DBRS notes increased risk with Spectra Energy Headquarters, which is being monitored on the servicer's watchlist after the sponsor failed to pay off the loan prior to its anticipated repayment date (ARD) in October 2024. As a result, the loan is subject to ARD provisions, which include applying all excess cash flow to the outstanding principal balance through the loan's maturity date in October 2027. The property is fully occupied by Enbridge Inc. (Enbridge, rated A (low) with a Stable trend; formerly Spectra Energy Westheimer, LLC, a subsidiary of Spectra Energy Corporation that merged with Enbridge in 2017) on a lease through April 2026; however, the servicer confirmed that Enbridge no longer operates at the subject property. The DSCR remains higher than 2.0x as Enbridge continues to fulfil its lease payment obligations but, unless the borrower is able to backfill the large vacancy at the subject, the loan is likely to default when Enbridge's payments cease upon lease expiry. There is approximately $6.7 million in the other reserves account. Morningstar DBRS inquired whether there were prospective tenants interested in backfilling the property, but no prospective tenants were noted. Reis reported the average vacancy rate at 24.8% across office properties in the Galleria/West Loop submarket in Q3 2025, which is likely to pose challenges in backfilling the large square footage at the subject. While the loan will continue to deleverage through Enbridge's lease expiration, Morningstar DBRS is concerned about the high risk of maturity default stemming from the property potentially becoming fully vacant in a softening submarket. As such, Morningstar DBRS analyzed the loan with a liquidation scenario based on a conservative haircut of 70% to the issuance appraised value, resulting in a projected loss severity of approximately $24.0 million or 50.0%. Notes: All figures are in U.S. dollars unless otherwise noted. KEYCORP STUDENT 2004-A: S&P Affirms CCC+ (sf) Rating on II-D Notes ------------------------------------------------------------------ S&P Global Ratings raised its rating on one class and affirmed its rating on another class of notes from two KeyCorp Student Loan Trust transactions. The trusts are student loan ABS transactions. S&P said, "Our review considered the transactions' collateral performances, changes in credit enhancement, and capital and payment structures. Additionally, we considered secondary credit factors, such as credit stability, peer comparisons, and issuer-specific analyses." Key Transaction Features Both transactions are backed by mixed collateral pools made up of loans that originated under the Federal Family Education Loan Program (FFELP; Group I) and private student loans (Group II). The Group I notes of both transactions are primarily backed by FFELP and thus benefit from the U.S. federal government's reinsurance of at least 97% of the loans' defaulted principal and accrued interest. The Group II notes are primarily backed by private student loans which are not reinsured. The transactions have bifurcated waterfalls, where the proceeds from the FFELP student loans are first used to make payments to the Group I notes, and the proceeds from the private student loans are first used to make payments to the Group II notes. Amounts at the bottom of each group's respective waterfall can be used to make payments to the other group's waterfall (subject to certain conditions). In each transaction, only one class of Group II private student loan-backed notes remains outstanding. The credit enhancement supporting both these notes consists of a reserve account, excess spread, and overcollateralization to the extent the transaction structure builds or retains it. Both transactions provide an option to fully purchase the outstanding notes when the pool factor declines below 10% but have slightly different payment structures if the note purchase option is not exercised. If the note purchase option is not exercised, the KeyCorp Student Loan Trust 2005-A transaction will stop releasing and pay down the notes, full turbo. However, in the KeyCorp Student Loan Trust 2004-A transaction, if the optional note purchase is not exercised, the transaction will maintain note parity at 100% and continue to release excess spread above that ratio. Rating Action Rationale S&P said, "We upgraded the rating on KeyCorp Student Loan Trust 2005-A's Group II class C notes to 'AAA (sf)' because of its stable collateral performance over time and relatively stronger payment structure. The transaction's credit enhancement is increasing, as reflected in its parity, which, excluding the reserve account, has grown to 127.1% as of the most recent servicer report. Given the transaction's full turbo payment structure, we expect the parity to continue to increase. In our cash flow analysis, the transaction was able to absorb remaining net losses commensurate with the 'AAA (sf)' rating and still pay the class C notes in full. "We affirmed the rating on KeyCorp Student Loan Trust 2004-A's Group II class D notes at 'CCC+' because its collateral performance has been volatile and that it has a relatively weaker payment structure. The transaction's parity ratio (excluding the reserve account) was below 100% as of the most recent servicer report. Further, the transaction's reserve account requirement is defined in such a way that it cannot exceed the outstanding note balance. Given the transaction's parity, the reserve requirement definition, and the transaction's payment structure, which permits releases to continue after the 10% pool factor, is reached, we expect the reserve balance to decline as the notes are paid down and the parity, including the reserve account, to decline over time towards the transaction's target of 100% parity. In our cash flow analysis, the transaction was unable to absorb remaining net losses commensurate with a 'B (sf)' rating and still paid the class D notes in full. Accordingly, the class D notes' rating reflects the application of our criteria for assigning 'CCC' and 'CC' ratings, which state that a 'CCC' rating should be assigned if the securities are currently vulnerable to non-payment and the issuer is dependent upon favorable conditions to meet its financial commitment on such an obligation. 'CCC' rated securities are expected to continue to pay timely interest and not realize a default for multiple years under a steady-state, unstressed scenario, but they remain at the risk of a principal default at legal final maturity." Default Performance And Net Loss Projections The Group II private student loan collateral across the two trusts originally consisted of private student loans that originated under seven different loan programs. Both the transactions' collateral pool factors are below 3.0%. The pace of defaults has remained constant for the KeyCorp Student Loan Trust 2005-A pool, but it has become volatile for the KeyCorp Student Loan Trust 2004-A pool. As of the most recently available servicer report, the cumulative defaults as a percentage of the original pool for the 2005-A and 2004-A pools were 20.8% and 24.2% of the initial pool balance, respectively. S&P said, "Considering the level of and recent trend in defaults, we established base case cumulative default rates as a percentage of the original pool at 21.0% and 24.5% of the initial pool balance, respectively. These expectations equate to remaining default expectations as a percentage of the current pool balances of 8.7% and 17.0%, respectively. Assuming a 20% recovery rate on defaults, our remaining expected net losses as a percentage of the current pool balances are 7.0% and 15.3%, respectively." Cash Flow Modeling Assumptions S&P ran break-even cash flow scenarios that maximized the default rate while keeping all other assumptions at the level of the assigned ratings. The following are some of the major assumptions we modeled. -- Three- to four-year straight-line default curves; -- Recovery rates in the range of 20% over six years; -- Prepayment speeds starting at an approximately 0%-5% constant prepayment rate (conditional prepayment rate; an annualized prepayment speed stated as a percentage of the current loan balance) and ramping up 1% per year to a maximum rate of 5%-10%, depending on the rating scenario. S&P held the applicable maximum rate constant for the remainder of the deal's lifetime; -- Deferment: 3% of the loans are in deferment for 48 months; -- Forbearance: 1% of the loans are in forbearance for 12 months; and -- Stressed one-month SOFR interest rate paths (up/down and down/up) based on the Cox-Ingersoll-Ross framework. Cash Flow Modeling Results The KeyCorp Student Loan Trust 2005-A's Group II class C notes were able to absorb cumulative net losses in the range of 27.8%-29.5% in S&P's 'AAA' break-even stress scenarios. These break-even results support multiples of its remaining net loss expectation that are consistent with the assigned ratings. The KeyCorp Student Loan Trust 2004-A's Group II class D notes could not withstand our 'B' stress scenarios. As such, S&P applied its criteria and determined that these notes, while not a virtual certainty to default, remain reliant on favorable business, financial, or economic conditions to occur to be repaid in full by their legal final maturity dates. S&P will continue to monitor the performance of the student loan receivables backing these transactions relative to their revised cumulative default expectations and the available credit enhancement and liquidity. Rating Raised KeyCorp Student Loan Trust 2005-A Class II-C to 'AAA (sf)' from 'AA (sf)' Rating Affirmed KeyCorp Student Loan Trust 2004-A Class II-D: CCC+ (sf) MF1 2026-FL21: DBRS Gives Prov. B(low) Rating on 3 Tranches ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by MF1 2026-FL21 LLC (MF1 2026-FL21 or the Issuer): -- Class A at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-FX at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class B-FX at (P) AAA (sf) -- Class C at (P) A (sf) -- Class C-FX at (P) A (sf) -- Class D at (P) BBB (high) (sf) -- Class E at (P) BBB (sf) -- Class F at (P) BBB (low) (sf) -- Class F-E at (P) BBB (low) (sf) -- Class F-X at (P) BBB (low) (sf) -- Class G at (P) BB (high) (sf) -- Class G-E at (P) BB (high) (sf) -- Class G-X at (P) BB (high) (sf) -- Class H at (P) BB (low) (sf) -- Class H-E at (P) BB (low) (sf) -- Class H-X at (P) BB (low) (sf) -- Class I at (P) B (low) (sf) -- Class I-E at (P) B (low) (sf) -- Class I-X at (P) B (low) (sf) All trends are Stable. Per the Indenture, all or a portion of each Class of Exchangeable Notes may be exchanged as follows: (1) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes, (2) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes and the Class G-X Notes, (3) the Class H Notes may be exchanged for proportionate interests in the Class H-E Notes and the Class H-X Notes, and (4) the Class I Notes may be exchanged for proportionate interests in the Class I-E Notes (collectively with the Class F-E Notes, the Class G-E Notes, and the Class H-E Notes, the MASCOT P&I Notes) and the Class I-X Notes (collectively with the Class F-X Notes, the Class G-X Notes, and the Class H-X Notes, the MASCOT Interest Only Notes). The initial collateral consists of 22 floating-rate and two fixed-rate mortgage loans. The collateral is encumbered by $1.9 billion of debt, consisting of $1.1 billion going into the trust, $68.1 million in future funding, $710.6 million of funded pari passu debt, and $43.2 million in existing mezzanine debt. Six loans (The Beacon at 331, ICON Austin, Greenhouse Short North, Nova Central, Stratford Arms, and FOUND Study Chelsea), representing 19.9% of the initial pool balance, are delayed-close mortgage assets, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer is also permitted to acquire certain delayed collateral interests in the 90-day period following the closing date. The transaction is a managed vehicle that includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $113.7 million to a total target collateral principal balance of $1.25 billion. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses greater than the pool's weighted-average expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria that, among other criteria, include a credit rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations. If a delayed-close asset is not expected to close or be funded prior to the purchase termination date, then the Issuer may acquire any delayed-close collateral interest at any time during the ramp-up acquisition period. The eligibility criteria indicate that only multifamily, manufactured housing, furnished apartment, build-to-rent, or student housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establish minimum debt service coverage ratio (DSCR), loan-to-value ratio, and Herfindahl requirements. Certain events within the transaction require the Issuer to obtain a RAC and Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit rating. The Issuer is required to obtain an RAC for all acquisitions of companion participations. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, eight loans, representing 35.4% of the pool, have remaining future funding participations totaling $68.1 million, which the Issuer may acquire in the future. All of the loans in the pool, except for The Lightwell and The Palmer (12.9% of the initial pool balance), have floating interest rates. Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 17 loans representing 71.8% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized Net Cash Flow was below 1.00x for 14 of the 24 loans, representing 60.3% of the initial pool balance, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC1: DBRS Gives Prov. B Rating on B2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-DSC1 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1 (the Issuer) as follows: -- $96.6 million Class A-1-A at (P) AAA (sf) -- $16.7 million Class A-1-B at (P) AAA (sf) -- $113.3 million Class A-1 at (P) AAA (sf) -- $85.0 million Class A-1FCF at (P) AAA (sf) -- $28.3 million Class A-1LCF at (P) AAA (sf) -- $30.3 million Class A-2 at (P) AA (high) (sf) -- $36.3 million Class A-3 at (P) A (high) (sf) -- $16.3 million Class M-1 at (P) BBB (low) (sf) -- $8.7 million Class B-1 at (P) BB (sf) -- $9.8 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 32.00% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 22.90%, 12.00%, 7.10%, 4.50%, and 1.55% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed and adjustable-rate investor debt service coverage ratio (DSCR) first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,178 loans with a total principal balance of approximately 333,259,686 as of the Cut-Off Date (January 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from zero to 14 months. Approximately 12.6% of the mortgage loans were originated by Loan Funder LLC, 11.5% of the loans were originated by OCMBC, Inc., and 10.4% were originated by CV3 Financial Services, LLC. The remainder of the mortgage loans originated by various mortgage lending institutions individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint will service 74.0% of the loans, Selene Finance LP will service 14.0% of the loans, and Select Portfolio Servicing Inc. will service 12.0% of the loans, respectively. Computershare Trust Company, N.A., will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (1) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3, and Class XS Certificates directly; or (2) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS Certificates may, at its option, on or after the earlier of (1) the payment date in January 2029 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-Qualified Mortgage securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1-A and Class A-1-B, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1-A and Class A-1-B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates and Class M-1 Certificates (and Class B-1 Certificates if issued with a fixed rate). Of note, the Class A Certificates coupon rates step up by 100 basis points on and after the payment date in February 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC1: S&P Assigns Prelim B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans primarily have a 30-year maturity. There are 19 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family, and five- to 10-unit multifamily residential properties. The pool consists of 1,178 loans backed by 1,317 properties, which are ATR-exempt loans. The preliminary ratings are based on information as of Jan. 20, 2026, including the balances as per the printed term sheet dated Jan. 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA); -- The mortgage and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1 Class A-1FCF, $84,981,000: AAA (sf) Class A-1LCF, $28,327,000: AAA (sf) Class A-1, $113,308,000: AAA (sf) Class A-1-A, $96,644,000: AAA (sf) Class A-1-B, $16,664,000: AAA (sf) Class A-2, $30,327,000: AA- (sf) Class A-3, $36,325,000: A- (sf) Class M-1, $16,330,000: BBB- (sf) Class B-1, $8,664,000: BB (sf) Class B-2, $9,832,000: B (sf) Class B-3, $5,165,685: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,666,485: NR Class R, $0: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $333,259,685. WAC--Weighted average coupon. NR--Not rated. MORGAN STANLEY 2026-NQM1: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans primarily have a 30-year maturity. There are 13 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 832 loans backed by 832 properties, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), non-QM/ability to repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on Jan. 14, 2026, the sponsor removed the class A1-FCF and A1-LCF certificates and reallocated those balances to the class A-1-A and A-1-B certificates and the associated exchange class A-1 certificates, keeping the subordination credit enhancement the same. Also, the class B-1 certificate rate was priced at a fixed coupon rate. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1 Class A-1, $304,131,000: AAA (sf) Class A-1-A, $264,374,000: AAA (sf) Class A-1-B, $39,757,000: AAA (sf) Class A-2, $23,059,000: AA- (sf) Class A-3, $38,364,000: A- (sf) Class M-1, $13,119,000: BBB- (sf) Class B-1, $6,958,000: BB (sf) Class B-2, $7,553,000: B (sf) Class B-3, $4,373,870: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R-PT, $19,879,420: NR Class R, $0.00: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $397,557,871. NR--Not rated. NALP BUSINESS 2026-1: DBRS Finalizes BB Rating on Class C Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following class of notes (collectively, the Notes or Series 2026-1) issued by NALP Business Loan Trust 2026-1: -- $251,880,000 Class A Notes at A (low) (sf) -- $35,880,000 Class B Notes at BBB (sf) -- $6,840,000 Class C Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The collateral pool loans were sourced, reviewed, and underwritten relying on the same personnel and consistent with practices and on the terms utilized by Newtek for conforming SBA 7(a) loans. (2) For the Expected Final Pool, Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate of 41.43% in the cash flow scenarios is commensurate with the Class A Notes credit rating of A (low) (sf), the CNL hurdle rate of 37.62% is commensurate with the Class B Notes credit rating of BBB (sf), and the CNL hurdle rate of 30.50% is commensurate with the Class C Notes credit rating of BB (sf). For the Closing Pool, Morningstar DBRS' stressed CNL hurdle rate of 43.67% in the cash flow scenarios is commensurate with the Class A Notes credit rating of A (low) (sf), the CNL hurdle rate of 39.71% is commensurate with the Class B Notes credit rating of BBB (sf), and the CNL hurdle rate of 32.17% is commensurate with the Class C Notes credit rating of BB (sf). The Class A Notes and Class B Notes are rated to the timely payment of interest and ultimate payment of principal by the Maturity Date. The Class C Notes are rated to the ultimate payment of interest and ultimate payment of principal by the Maturity Date. -- Morningstar DBRS did not assign any credit to seasoning of the Closing Pool collateral for the Series 2026-1 transaction of approximately seven months as of the Initial Cut-Off Date (the weighted-average (WA) remaining term for the Closing Pool as of the same date was 273 months). -- Morningstar DBRS' stressed CNL hurdle rate was derived using the custom probability of default curve (PD Curve), which was input into the Morningstar DBRS CLO Insight Model. The WA expected cumulative gross default rate assumed by Morningstar DBRS as an input to the Morningstar DBRS CLO Insight Model for the Expected Final Pool was 35.29% and for the Closing Pool was 35.59%. -- Morningstar DBRS used a stressed recovery rate of 30.78% in the cash flow scenarios commensurate with an A (low) (sf) credit rating, 32.59% commensurate with a BBB (sf) credit rating, and 35.87% commensurate with a BB (sf) credit rating for the Expected Final Pool. For the Closing Pool, Morningstar DBRS used a stressed recovery rate of 28.73% in the cash flow scenarios commensurate with an A (low) (sf) credit rating, 30.29% commensurate with a BBB (sf) credit rating, and 33.45% commensurate with a BB (sf) credit rating. The recovery rate assumption was derived primarily based on the value of first-lien CRE and RRE as well as machinery and equipment and reserve accounts, as applicable. In some cases, limited recovery credit was given to the appraised value of land and to furniture and fixtures (FF&E) and other assets. No recovery credit was given to non-first-lien assets pledged as collateral, including CRE and RRE properties. (3) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Class A Notes, Class B Notes, and Class C Notes under two different default timing scenarios and with two different prepayment scenarios beginning in Year 3 for Class A and Class B Notes and in Year 4 for Class C Notes for both the Expected Final Pool and the Closing Pool. (4) The transaction's capital structure and form and sufficiency of available credit enhancement. Overcollateralization, subordination, cash held in the Reserve Account and CIA, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the credit ratings on the Class A Notes, Class B Notes, and Class C Notes. -- The initial overcollateralization as of the closing date is equal to 13.80% of the aggregate collateral loan balance. -- The replenishable cash Reserve Account was funded at 2.00% of the initial Pool Balance. -- The WA coupon for the collateral pool was approximately 12.73% as of the Initial Cut-Off Date for the Closing Pool. As the prefunding loans are already identified, the WA coupon is expected to increase slightly to 12.74% following the end of the Prefunding Period. All of the loans are floating rate, with the interest rates resetting periodically on the respective Adjustment Date. On each Adjustment Date, the loan rate will be adjusted to equal the sum of the related index and a fixed percentage amount (the Gross Margin). As of the Initial Cut-Off Date for the Closing Pool, the WA number of months until the next Adjustment Date was approximately 54, ranging from zero to 60 months. In its stressed cash flow scenarios, Morningstar DBRS assumed the current loan rate for each loan until its respective Adjustment Date. After that, the loan rate was the index for each loan as determined by the Morningstar DBRS interest rate curves, plus the Gross Margin. (5) The collateral for the transaction is represented by a discrete, amortizing pool of loans; however, the transaction includes an approximately three-month Prefunding Period, during which already-identified business loans are expected to be added. These business loans comprise loans to 10 obligors with a total original loan balance of approximately $57.40 million. The Prefunding Period begins on the closing date and ends on the earlier of (1) the day 90 days after closing Date, (2) the occurrence of a Trigger Event, and (3) the occurrence and continuance of an unwaived Indenture Default. -- The prefunded loans are all floating rate and have a WA original term of 276 months. Four of those prefunded business loans are to businesses that have been in business for at least 15 years. The prefunded business loans have been in business for seven years on a weighted average basis. The prefunded business loans account for 16.79% of the current collateral balance for the Expected Final Pool. (6) The Expected Final Pool comprises 65 loans to 65 obligors. Other collateral, including but not limited to enterprise value and business valuation, account for approximately 57.2% of the primary collateral type, with CRE accounting for approximately 33.0% of the primary collateral type (as classified by Newtek) as of the Initial Cut-Off Date. Other primary collateral types include residential real estate (RRE) accounting for only approximately 7.6% of the primary collateral, and machinery and equipment at 2.2% of the primary collateral. -- Loans representing approximately 36.7% of the collateral pool have a current loan-to-value ratio (LTV) (as determined by Newtek and adjusted for prior liens) of between 50% and 80%. Loans representing about 83.4% of the aggregate collateral loan balance have a current LTV of 70% or below. -- Florida, New York, and Texas represented the three largest geographical concentrations at approximately 16.5%, 13.2%, and 13.0%, respectively, of the aggregate collateral loan balance of the Expected Final Pool. The top three obligors in the collateral pool accounted for approximately 15.8% of the total current collateral loan balance of the Closing Pool as of the Initial Cut-Off Date. The largest loans (three loans with $15 million balances) each account for approximately 13.2% of the aggregate current borrower balance for the Expected Final Pool. Approximately 41.5% of the aggregate current collateral loan balance of the Expected Final Pool was represented by borrowers in the food services and drinking places (17.6%), ambulatory health care services (17.4%), and nursing and residential care services (6.5%) industries. (7) Morningstar DBRS completed an operational risk review of the Company. Newtek is an experienced sponsor of asset-backed securities (ABS) backed by nonguaranteed interests in SBA 7(a) small business loans. As a result of the review, the Company is to be deemed an acceptable originator and servicer of small business loan transactions rated by Morningstar DBRS. Separately, U.S. Bank is the "warm" back-up servicer on the transaction. (8) The transaction is supported by an established structure and is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Legal opinions covering true sale and nonconsolidation were provided. (9) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest on the Class A, Class B, and Class C Notes, and Carryforward Interest on the Class A, Class B, and Class C Notes (other than the portion of Carryforward Interest attributable to interest on unpaid Current Interest with respect to the Class A and Class B Notes); and the Class Principal Amount on the Class A, Class B, and Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. NMEF FUNDING 2025-A: Fitch Affirms BBsf Rating on Cl. D Notes ------------------------------------------------------------- Fitch Ratings has affirmed the outstanding classes of notes issued by NMEF Funding 2025-A, LLC (NMEF 2025-A) and NMEF Funding 2025-B, LLC (NMEF 2025-B). Fitch has also revised the Rating Outlook for the class B and class C notes to Positive from Stable for NMEF 2025-A and revised the Outlook for class B to Positive from Stable for NMEF 2025-B. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- NMEF Funding 2025-A, LLC A-2 62919VAB7 LT AAAsf Affirmed AAAsf B 62919VAC5 LT Asf Affirmed Asf C 62919VAD3 LT BBBsf Affirmed BBBsf D 62919VAE1 LT BBsf Affirmed BBsf NMEF Funding 2025-B A-1 62919WAA7 ST F1+sf Affirmed F1+sf A-2 62919WAB5 LT AAAsf Affirmed AAAsf B 62919WAC3 LT AAsf Affirmed AAsf C 62919WAD1 LT Asf Affirmed Asf D 62919WAE9 LT BBBsf Affirmed BBBsf E 62919WAF6 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the outstanding notes for 2025-A and 2025-B reflects loss coverage levels consistent with the initial ratings. The Stable Outlook for all classes reflects Fitch's expectation for loss coverage and credit enhancement (CE) to continue to improve as the transactions amortize. The Positive Outlook revisions reflect Fitch's expectation for potential future upgrades. As of the January 2026 servicer report, current 60+ day delinquencies are 0.87%, and 1.10% and cumulative net losses (CNL) are at 1.64%, and 0.70% for 2025-A and 2025-B, respectively. Due to amortization and deleveraging, CE has continued to increase since close. For 2025-A, CE has increased to 53.62%, 34.16%, 23.52%, and 16.24% from 37.90%, 24.00%, 16.40%, and 11.20% at close for the class A, B, C, and D notes, respectively. For 2025-B, CE has increased to 46.69%, 37.71%, 29.10%, 20.60% and 14.14% from 38.90%, 31.40%, 24.20%, 17.10%, and 11.70% at close for the class A, B, C, D, and E notes, respectively. For 2025-A, the rating case proxy was revised to 7.25% from 7.50% at close, as the performance remains within expectations. The rating case proxies were maintained at 7.50% from close for 2025-B given limited amortization. Fitch's base case loss expectation, which does not include a margin of safety, was revised to 6.25% from 6.50% at close and maintained at 5.50% from close, for 2025-A, and 2025-B, respectively, based on Fitch's GEO and forecasted projections. For 2025-A, cash flow modeling produced multiples in excess of the 5.0x, 3.0x, 2.0x, and 1.5x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf' ratings for the class A, B, C, and D notes. For 2025-B, cash flow modeling produced multiples in excess of the 5.0x, 4.0x, 3.0x, 2.0x, and 1.5x for 'AAAsf', 'AAsf', 'Asf', 'BBBsf', and 'BBsf' ratings for the class A, B, C, D, and E notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions, 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 loss expectations. To date, the transactions have exhibited CNL's within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade With the exception of notes rated 'AAAsf', which are at their highest achievable rating, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. NYC COMMERCIAL 2026-7W34: DBRS Gives (P) BB(high) on HRR Debt ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-7W34 (the Certificates) to be issued by NYC Commercial Mortgage Trust 2026-7W34: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class HRR at (P) BB (high) (sf) All trends are Stable. This single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in 7 West 34th Street, a 12-story, 477,189-square-foot (sf) office tower. Located in Midtown Manhattan (Midtown) on West 34th Street between Fifth Avenue and Sixth Avenue, the collateral is directly across the street from the Empire State Building. The collateral is within walking distance of Penn Station and Madison Square Garden in the heart of the PENN District. As of the January 1, 2026, rent roll, the building was 99.6% leased and primarily occupied by Amazon, which leases 470,143 sf, representing 98.5% of the net rentable area. The collateral includes 25,883 sf of retail space that is currently occupied by Amazon (20,197 sf), LensCrafters (2,010 sf), and Lindt (1,657 sf), with one vacant retail space of approximately 2,019 sf. The remaining space is primarily occupied by the property management office (1,350 sf) and an antenna for telecommunication companies (10 sf). Amazon has been at the property since 2014 and remains the sole office tenant. Amazon uses the office space (floors three through 12) for multiple business functions including Amazon Web Services, TV Studios, and Audible Group. The two lower levels of the collateral serve as Amazon's Prime Now fulfillment facility, the sole location in Manhattan from which all same-day deliveries (south of 96th Street) are completed. Amazon's lease expires in July 2032, more than one year past loan maturity, and the lease has three five-year extension options. The $250.0 million loan, along with $54.5 million of borrower equity, will refinance $300.0 million of existing debt and cover closing costs. The loan represents a Morningstar DBRS loan-to-value ratio of 83.0%. Amazon is an investment-grade tenant, and the lease is fully guaranteed by Amazon.com, Inc. Built in 1901 as a department store, the collateral was heavily renovated in 2014 by Vornado Realty Trust (Vornado or the Sponsor) and Amazon to bring the property up to Class A office quality standards. Between 2014 and 2024, the Sponsor invested approximately $79.2 million of capital expenditure (capex) into the space, including a $35.0 million tenant improvement package for Amazon. In addition to the Sponsor's substantial capex spending, the Sponsor estimates that Amazon invested approximately $400 per square foot (psf) on the build-out of its space, with approximately $325 psf in excess of its received tenant allowances, which included projects such as renovating the lobby, arranging the delivery center for Prime Now, building workspaces and conference rooms for the office space, and creating a studio for its TV division. The collateral is uniquely suited to Prime Now's needs because the property was originally built as a department store with spacious lower levels and a loading dock that can accommodate two 18-wheel trucks at the same time, which are both advantageous for delivery service. Furthermore, the collateral's central location in the heart of Midtown, with access to both 34th Street and 35th Street, presents Prime Now with efficient logistics for its delivery service. The loan includes a cash flow sweep beginning on February 1, 2028, in the event Amazon has not yet extended its lease. Morningstar DBRS considered the cash flow sweep in its analysis and credited the Morningstar DBRS tenant improvement/leasing commission assumptions using a portion of the hypothetical funds that could be swept. The Sponsor is one of the largest publicly traded real estate investment trusts in the U.S., reporting approximately $1.01 billion in cash and cash equivalents as of September 30, 2025. Vornado is an owner, manager, and developer of real estate with the majority of its holdings in Midtown. Vornado has a vested interest in the success of the PENN District as exhibited by its extensive long-term ownership and recent $2.7 billion cash investment to transform the submarket. Overall, Morningstar DBRS has a favorable view of the credit characteristics of the collateral given its large investment-grade credit tenancy in Amazon, minimal lease rollover during the loan term, desirable location, and strong sponsorship. Notes: All figures are in U.S. dollars unless otherwise noted. NYMT LOAN 2026-INV1: S&P Assigns Prelim B-(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NYMT Loan Trust 2026-INV1's mortgage-backed notes. The note issuance is an RMBS securitization backed by first‑lien, fixed‑ and adjustable‑rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest‑only periods). The loans are secured by single‑family residential properties, townhomes, planned‑unit developments, condominiums, two‑ to four‑family residential properties, manufactured houses, and multifamily properties. The pool consists of 1,718 business‑purpose investment property loans (including 47 cross‑collateralized loans backed by 208 properties) which are all ability-to-repay exempt. The preliminary ratings are based on information as of Jan. 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially.)" Preliminary Ratings Assigned(i) NYMT Loan Trust 2026-INV1 Class A-1, $84,932,000: AAA (sf) Class A-1A, $71,713,000: AAA (sf) Class A-1B, $13,219,000: AAA (sf) Class A-1FCF, $56,250,000: AAA (sf) Class A-1FCX, $56,250,000: AAA (sf) Class A-1LCF, $18,750,000: AAA (sf) Class A-1F, $50,000,000: AAA (sf) Class A-1IO, $50,000,000: AAA (sf) Class A-2, $25,159,000: AA (sf) Class A-3, $40,516,000: A (sf) Class M-1, $19,278,000: BBB (sf) Class B-1, $15,520,000: BB- (sf) Class B-2, $10,946,000: B- (sf) Class B-3, $5,391,656: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate state principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. NYT 2019-NYT: Fitch Cuts Rating on 2 Cert. Classes to Bsf --------------------------------------------------------- Fitch Ratings has downgraded seven classes of NYT 2019-NYT Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Rating Outlooks are Negative. The collateral consists of a leasehold interest in office condominium space spanning floors 28 through 52 and ground floor retail. The collateral does not include the lower-floor office condominium owned and occupied by the New York Times. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- NYT 2019-NYT A 62954PAA8 LT AA-sf Downgrade AAAsf B 62954PAG5 LT A-sf Downgrade AA-sf C 62954PAJ9 LT BBB-sf Downgrade A-sf D 62954PAL4 LT BB-sf Downgrade BBB-sf E 62954PAN0 LT Bsf Downgrade BB-sf F 62954PAQ3 LT B-sf Downgrade BB-sf X-EXT 62954PAE0 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Decline in Fitch Value; Transfer to Special Servicing: The downgrades reflect an updated Fitch sustainable NCF incorporating a higher vacancy assumption to account for the imminent vacancy of a major tenant and a market rate real estate tax analysis to account for the approaching lapse of the PILOT. An updated appraisal value of $635 million (compared to $1.01 billion at issuance) has been reported. However, Fitch's stressed value, which is 21% lower than Fitch's issuance value, reflects concerns that ultimate collateral recovery will be lower because of tenant rollover risks, the upcoming expiration of the payments in lieu of taxes (PILOT) agreement and the borrower's unknown commitment and ultimate disposition plan. The Negative Outlooks reflect the potential for further value deterioration, uncertainty surrounding the recovery timing and the workout plan and potential for rising fees and expenses that could affect recoverability. The loan transferred to special servicing in November 2025, ahead of the fully extended maturity date in December 2025. The initial maturity date was in December 2020 and the borrower has no extension options remaining. Upcoming Major Tenant Rollover: Although current occupancy remains stable at 98.5% as of September 2025, the space for the second largest tenant, Covington & Burlington (26% of NRA) with lease expiration in September 2027, remains dark. Occupancy is expected to decline to 72.8% once Covington fully vacates. Additionally, the largest tenant Datadog (45% of NRA) has an early termination option in 2029 with notice of renewal in 2027. Aside from the Covington lease expiration, no leases expire until 2028 and 65% of leases expire in 2032 and beyond. There are currently no reserves in place; however, according to the master servicer, if Datadog exercises their early termination option, they are required to pay a termination fee. Lower Fitch Net Cash Flow: The updated Fitch sustainable NCF of $37.5 million, which is 13.0% below the prior review and 15.8% below Fitch's issuance NCF of $44.5 million, reflects leases in place as of the most recently available September 2025 rent roll. Fitch's NCF is lower than at issuance largely because of a higher vacancy assumption related to tenant rollover. It also incorporates a market property tax rate assumption following the expiration of the PILOT, which resets property taxes to market levels. The stressed vacancy assumption of 15% reflects the submarket availability rate of 14.4%. Fitch incorporated a cap rate of 7.75%, in line with the prior review and higher than issuance of 7.25%. Leasehold Interest and Tax Impact: The land underneath the New York Times Building is owned by the City of New York. The collateral is subject to a 99-year ground lease through Dec. 31, 2100 with no renewal options. The ground lease contains a one-time purchase option on Dec. 31, 2032 for $10.00, which is expected to be exercised. Instead of traditional ground lease payments, the agreement has retail and office PILOT, theater surcharges and percentage rent payments. After December 2032, the borrower of the collateral is expected to pay full unabated real estate taxes rather than the PILOT. Fitch's NCF analysis reflects an average of the remaining PILOT payments and the anticipated reset in real estate taxes to market levels in 2032. Collateral Quality: The collateral represents 738,385 sf, comprised of 709,678 sf of office, 23,044 sf of ground floor retail, and 5,663 sf of storage/other space, of the 1.3 million sf New York Times Building located at 242 W. 41st Street in New York. The collateral office space includes 23 office condominium units spanning floors 28 through 52 and does not include the condominium on the lower floors where the NY Times is a tenant. Fitch assigned the property a quality grade of 'A-' at issuance. The property was completed in 2007 incorporating various environmentally sustainable features promoting increased energy efficiency while more than 80% of the submarket's inventory was constructed prior to 2000. Accessible Location: The subject occupies the entire block along Eighth Avenue in between West 40th and West 41st Streets in the Times Square neighborhood of the New York CBD. The collateral features immediate access to public transportation, with the Port Authority Bus Terminal located directly across the street, and the Times Square subway station within a five-minute walk. High Aggregate Leverage: The $515.0 million mortgage loan has a Fitch DSCR, LTV and DY of 0.83x, 106.5% and 7.3%, respectively, and debt of $697 psf. The total debt package includes a $120.0 million B-note and $115.0 million mezzanine loan, resulting in a total debt Fitch DSCR, LTV and DY of 0.57x, 155.1% and 5.0%, respectively. Institutional Sponsorship: The sponsors of the loan are owned by affiliates of Brookfield Property Partners, a global leader in real estate investment and management. Brookfield Property Partners operates as part of Brookfield Corporation's real estate platform which includes ownership interests in approximately 111 office properties totaling 68 million sf and 96 retail properties totaling 100 million sf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Considering current debt levels, further downgrades are possible without stabilization in occupancy, further declines in collateral value and/or prolonged workout and disposition timelines which could impact recoverability. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B through F are not likely given the defaulted status of the loan and outstanding debt amount, but are possible with a significant increase in value supported by a strong business plan and stabilization in occupancy at leasing rates well in excess of current submarket and in-place rents. OBX TRUST 2021-J1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from two US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by OBX 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: OBX 2021-J1 Trust Cl. B-3, Upgraded to A3 (sf); previously on Jun 28, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 28, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 28, 2024 Upgraded to Ba3 (sf) Issuer: OBX 2022-INV2 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Apr 1, 2025 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Apr 1, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Apr 1, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Apr 1, 2025 Upgraded to Ba1 (sf) Cl. B-IO1*, Upgraded to Aaa (sf); previously on Apr 1, 2025 Upgraded to Aa1 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with no cumulative loss and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, by 1.3x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OBX TRUST 2026-J1: Moody's Assigns (P)B1 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 76 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-J1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (88.5% by balance) and GSE-eligible (11.5% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators Onslow Bay Financial LLC (Onslow Bay; 14.4%) and MAXEX Clearing LLC (MAXEX; 4.0% by loan balance). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) is the servicer of the pool. The complete rating actions are as follows: Issuer: OBX 2026-J1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-31, Assigned (P)Aaa (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aa1 (sf) Cl. A-X-27*, Assigned (P)Aaa (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. A-X-30*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-X-2*, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa1 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)B1 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.13% and reaches 3.61% 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. OCP CLO 2021-23: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2, B-1R2, C-R2, D-1R2, D-2R2, and E-R2 debt and proposed new class B-2R2 debt from OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in December 2021 and underwent a refinancing in January 2025. The preliminary ratings are based on information as of Jan 26, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 30, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-R, B-R, C-R, D-1R, D-2R, and E-R debt and assign ratings to the replacement class A-R2, B-1R2, C-R2, D-1R2, D-2R2, and E-R2 debt and proposed new class B-2R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2 debt is expected to be issued at a higher spread over three-month term SOFR than the existing debt. -- The replacement class B-1R2, D-1R2, D-2R2, and E-R2 debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class C-R2 debt is expected to be issued at the same spread over three-month term SOFR as the existing debt. -- The new class B-2R2 debt is expected to be issued with a fixed coupon. -- The stated maturity and non-call period will each be extended approximately two years, and the reinvestment period will be extended three years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analyses suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Class A-R2, $252.00 million: AAA (sf) Class B-1R2, $44.00 million: AA (sf) Class B-2R2, $8.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1R2 (deferrable), $24.00 million: BBB- (sf) Class D-2R2 (deferrable), $3.00 million: BBB- (sf) Class E-R2 (deferrable), $13.00 million: BB- (sf) Other Debt OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Subordinated notes, $62.96 million: NR NR--Not rated. OCP CLO 2023-30: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt from OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC, a CLO managed by Onex Credit Partners LLC, a subsidiary of Onex Corp., that was originally issued in January 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D, and E debt following payment in full on the Jan. 26, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The existing class D debt was replaced by the sequential replacement class D-1R and D-2R debt. -- The non-call period, reinvestment period, and legal final maturity dates each were extended by approximately two years. -- The required minimum overcollateralization and interest coverage ratios were amended. -- An additional $1.25 million in subordinated notes was issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC Subordinated notes, $41.25 million: NR NR--Not rated. OPPORTUN ISSUANCE 2026-A: Fitch Gives BB-(EXP) Rating to E Debt --------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the ABS issued by Oportun Issuance Trust 2026-A (OPTN 2026-A). RATING ACTIONS Entity / Debt Rating ------------- ------ Oportun Issuance Trust 2026-A A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Transaction Summary OPTN 2026-A is backed by a revolving pool of fixed-rate, fully amortizing, secured and unsecured consumer loans originated by Oportun Financial Corporation (Oportun) or its affiliates, as well as through certain third-party originators, with the loans then sold to Oportun. Oportun is the sponsor of the transaction. OPTN 2026-A is Oportun's 28th term securitization and the fourth to be rated by Fitch. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) VantageScore for OPTN 2026-A is 640, with approximately 2.9% of the pool consisting of borrowers without a VantageScore, reflecting Oportun's focus on serving customers with limited or no credit history. The pool consists of 70.5% renewal loans, higher than the 66.3% for 2025-D and the 66.2% for 2025-C, which had among the lowest composition for such loans since OPTN 2022-A. The proportion of secured loans in the securitized trusts has increased steadily, with the OPTN 2025-B pool exhibiting the highest percentage to date at 8.9%. The current OPTN 2026-A pool consists of 7.2% secured loans, which has remained stable since OPTN 2025-D. The WA contract rate of the loans is 27.1%, lower than in the prior 2025-D transaction, which had a WA contract rate of 27.26%. Rewritten loans account for 1.7% of the pool. However, this share can increase to as high as 4.5% of the pool during a revolving period. A rewritten loan is a one-time rewrite offered by Oportun to severely delinquent borrowers who have experienced a long-term financial hardship. A rewritten loan is essentially a new loan document with a principal balance equal to the balance of the original loan while the original loan is paid off. Elevated But Improving Performance Trends: Oportun's managed portfolio experienced a notable increase in default rates for loans originated in 2021 and 2022, compared to previous years, attributed to new borrowers originated through online aggregators, alongside a deterioration in the broader unsecured consumer loan market. In response, the company implemented significant underwriting changes in third-quarter 2022, which led to a material improvement in default rates. However, despite this improvement, delinquencies and default rates remain higher than historical levels. As of September 2025, 60-89 and 90-119 DPD represented 1.5% and 1.3% of the total outstanding loan balance for unsecured consumer loans, respectively. Fitch's default assumption for the OPTN 2026-A pool, based on the current composition of loans as of the statistical calculation date, is 13.82%. However, a base case default assumption of 15.03% was assigned to the worst case portfolio to account for the revolving nature of the pool, and is used in analysis until the end of the revolving period. The 15.03% base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the labor market in the U.S. The base case default assumption was established using Oportun's historical performance data since 2019. However, Fitch focused on vintages since 2023 as relevant comparative years due to the significant underwriting changes undertaken by the company. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 62.48%, 39.48%, 23.68%, 8.68% and 3.49% of the initial pool balance for class A, B, C, D and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes except class D, where the notes pass at a rating level one notch lower than the assigned rating. However, a one-notch tolerance is permissible under Fitch's "Consumer ABS Rating Criteria," supporting the ratings assigned to the class E notes for minor differences in break-even levels. In particular, Fitch applied a 'AAAsf' rating stress of 4.65x the base case default rate for the 2026-A series. The stress multiples decrease proportionally between the "median" and "low" multiple range for lower rating levels, as 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, exposure to changing economic conditions from higher loan terms, and the length of the revolving period, which exposes the trust to the potential for performance degradation due to negative pool migration. Assurance for True Lender Status for Partner Bank-Loan Origination: Oportun's securitization transactions involve consumer loans originated by Oportun, Inc. and its partner bank, Pathward, N.A. (Pathward), a national bank. The bank's true lender status in the context of Oportun's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Oportun, rather than Pathward, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for OPTN 2026-A, which reduces exposure to such loans by adherence to certain usury limits. Fitch also performed an operational risk review and deemed Oportun's compliance, legal and operational capabilities acceptable to meet consumer protection regulations, along with the unique aspects of its loan products, such as an overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: PF Servicing, LLC (PF Servicing), a wholly owned subsidiary of Oportun, is the servicer of the receivables. The servicer has an acceptable track record of servicing consumer loans. In addition, Systems & Services Technologies, Inc. is the named backup servicer, which also has an acceptable record of servicing consumer loans, reducing servicing disruption. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50%, and examining rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of multiplier compression by projecting expected cash flow and loss coverage over the life of the investments. For this projection, Fitch applies default assumptions that are higher than the initial base-case default assumptions.Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf' Increased default base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'B+sf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB-sf'/'Bsf'; Increased default base case by 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'Bsf'/'NRsf'; Reduced recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'BB-sf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BB-sf'/'B-sf'; Increased default base case by 50% and reduced recovery base case by 50%: 'Asf'/'BBB+sf'/'BB+sf'/'Bsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% less than the projected base case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BB+sf'. PALMER SQUARE 2023-3: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R-2, and E-R debt and new class D-R-1 debt from Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC, a CLO managed by Palmer Square Capital Management LLC that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D, and E debt following payment in full on the Jan. 20, 2026, refinancing date. The replacement and new debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R-2, and E-R debt was issued at a lower spread than the existing debt. -- No additional subordinated notes were issued on the refinancing date. -- The non-call period was extended to Jan. 20, 2028. -- The reinvestment period was extended to Jan. 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to Jan. 20, 2039. -- No additional assets were purchased on the Jan 20, 2026, refinancing date, and the target initial par amount remains at $500.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC Class A-R, $320.000 million: AAA (sf) Class B-R, $60.000 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-R-1 (deferrable), $25.000 million: BBB (sf) Class D-R-2 (deferrable), $7.500 million: BBB- (sf) Class E-R (deferrable), $16.250 million: BB- (sf) Ratings Withdrawn Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Palmer Square CLO 2023-3 Ltd./Palmer Square CLO 2023-3 LLC Subordinated notes, $40.235 million: NR NR--Not rated. PMT LOAN 2026-CNF1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 56 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-CNF1, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp. originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aa1 (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25X*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-26X*, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-27X*, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-28X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-29X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X5*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aa1 (sf) Cl. A-X20*, Assigned (P)Aa1 (sf) Cl. A-X22*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.52%, in a baseline scenario-median is 0.26% and reaches 6.72% 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. PMT LOAN 2026-J1: DBRS Finalizes B(low) Rating on Class B5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-J1 (the Notes) issued by PMT Loan Trust 2026-J1 (PMTLT 2026-J1 or the Trust) as follows: -- $312.6 million Class A-1 at AAA (sf) -- $312.6 million Class A-2 at AAA (sf) -- $187.6 million Class A-3 at AAA (sf) -- $187.6 million Class A-4 at AAA (sf) -- $234.5 million Class A-5 at AAA (sf) -- $234.5 million Class A-6 at AAA (sf) -- $78.2 million Class A-7 at AAA (sf) -- $78.2 million Class A-8 at AAA (sf) -- $250.1 million Class A-9 at AAA (sf) -- $250.1 million Class A-10 at AAA (sf) -- $46.9 million Class A-11 at AAA (sf) -- $46.9 million Class A-12 at AAA (sf) -- $15.6 million Class A-13 at AAA (sf) -- $15.6 million Class A-14 at AAA (sf) -- $62.5 million Class A-15 at AAA (sf) -- $62.5 million Class A-16 at AAA (sf) -- $125.0 million Class A-17 at AAA (sf) -- $125.0 million Class A-18 at AAA (sf) -- $29.2 million Class A-19 at AAA (sf) -- $29.2 million Class A-20 at AAA (sf) -- $341.8 million Class A-21 at AAA (sf) -- $341.8 million Class A-22 at AAA (sf) -- $100.0 million Class A-23 at AAA (sf) -- $100.0 million Class A-23X at AAA (sf) -- $125.0 million Class A-24 at AAA (sf) -- $125.0 million Class A-24X at AAA (sf) -- $166.7 million Class A-25 at AAA (sf) -- $166.7 million Class A-25X at AAA (sf) -- $341.8 million Class A-X1 at AAA (sf) -- $312.6 million Class A-X2 at AAA (sf) -- $187.6 million Class A-X4 at AAA (sf) -- $234.5 million Class A-X6 at AAA (sf) -- $78.2 million Class A-X8 at AAA (sf) -- $250.1 million Class A-X10 at AAA (sf) -- $46.9 million Class A-X12 at AAA (sf) -- $15.6 million Class A-X14 at AAA (sf) -- $62.5 million Class A-X16 at AAA (sf) -- $125.0 million Class A-X18 at AAA (sf) -- $29.2 million Class A-X20 at AAA (sf) -- $341.8 million Class A-X22 at AAA (sf) -- $14.7 million Class B-1 at AA (sf) -- $5.9 million Class B-2 at A (low) (sf) -- $2.2 million Class B-3 at BBB (sf) -- $1.8 million Class B-4 at BB (low) (sf) -- $552.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit rating on Class A-1A Loans initially contemplated in the offering documents, as it was not issued at closing. Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, A-24X, and A-25X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-25, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, A-24X, A-25X, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, A-24, A-25, and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The Class A-1A Loans are loans that may be funded at the Closing Date as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 7.15% of credit enhancement provided by subordinated Notes. The AA (sf), A (low) (sf), BBB (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.55%, 0.95%, 0.45%, and 0.30% of credit enhancement, respectively Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 73.1%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is elected. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2026-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 45 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-J1, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (68.6% by balance) and GSE-eligible (31.4% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-J1 Cl. A-1, 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-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-25X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on January 14, 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 0.33%, in a baseline scenario-median is 0.15% and reaches 4.73% 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. PRIME STRUCTURED 2021-1: Moody's Ups Rating on Cl. F Certs to Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded four classes of notes issued by Prime Structured Mortgage (PriSM) Trust, Mortgage-Backed Certificates, Series 2021-1. The transaction is a securitization of prime fixed-rate mortgage loans originated and serviced by multiple parties with TD Securities Inc. serving as the Master Servicer. 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: Prime Structured Mortgage Trust, Series 2021-1 Cl. C, Upgraded to Aaa (sf); previously on Mar 19, 2025 Upgraded to Aa1 (sf) Cl. D, Upgraded to Aa2 (sf); previously on Mar 19, 2025 Upgraded to Aa3 (sf) Cl. E, Upgraded to A3 (sf); previously on Mar 19, 2025 Upgraded to Baa2 (sf) Cl. F, Upgraded to Ba3 (sf); previously on Dec 9, 2021 Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The upgrade was prompted by the stable and consistent performance of the collateral underlying the transaction as well as the build-up of credit enhancement as the pool has amortized. Collateral performance remains stable with delinquencies at 0.12% and cumulative net losses for the transaction at zero. The rating action also reflects the further seasoning of the collateral. No action was taken on the remaining rated classes in the deal as they are already at the highest achievable level within Moody's rating scale. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Residential Mortgage-Backed Securitizations" published in October 2024. This methodology was calibrated based on settings specific for Canada. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, and (2) an increase in available credit enhancement. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected and (3) deterioration in the notes' available credit enhancement. PROGRESS RESIDENTIAL 2026-SFR1: DBRS Finalizes B(low) on G Certs ---------------------------------------------------------------- DBRS, Inc. finalizes the following provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by Progress Residential 2026-SFR1 Trust (PROG 2026-SFR1): -- $231.9 million Class A at AAA (sf) -- $47.9 million Class B at AA (low) (sf) -- $27.0 million Class C at A (low) (sf) -- $40.5 million Class D at BBB (sf) -- $24.5 million Class E at BBB (low) (sf) -- $30.7 million Class F1 at BB (sf) -- $14.7 million Class F2 at BB (low) (sf) -- $24.5 million Class G at B (low) (sf) The AAA (sf) credit rating on the Class A certificates reflects 52.51% of credit enhancement provided by subordinate certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 42.71%, 37.19%, 28.89%, 23.87%, 17.59%, 14.57%, and 9.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2026-SFR1 certificates are supported by the income streams and values from 1,634 rental properties. The properties are distributed across seven states and 22 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 70.0% of the portfolio is concentrated in three states: Georgia (33.2%), Florida (21.4%), and Tennessee (15.4%). The average BPO value is $300,376. The average age of the properties is roughly 36 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $488.4 million. Morningstar DBRS finalized the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria. Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The finalized credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. (For more details, see the related presale report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section of the presale report). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the presale report.) Notes: All figures are in U.S. dollars unless otherwise noted. PROVIDENT FUNDING 2026-1: Moody's Assigns (P)B2 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) to be issued by Provident Funding Mortgage Trust 2026-1, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2026-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.26%, in a baseline scenario-median is 0.11% and reaches 3.62% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2026-RCF1: Fitch Gives BB-(EXP) Rating on Class M2 Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRPM 2026-RCF1, LLC (PRPM 2026-RCF1). RATING ACTIONS Debt Rating ---- ------ PRPM 2026-RCF1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating M2 LT BB-(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the series 2026-RCF1 residential mortgage-backed notes to be issued by PRPM 2026-RCF1, LLC, as indicated above. The notes are supported by 1,496 loans with a balance of $410.51 million as of the cutoff date. This will be the 11th PRPM RCF transaction to be rated by Fitch and the first RCF transaction of 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only and balloon, performing and re-performing mortgage loans secured by first and second liens on generally single-family residential properties, planned unit developments, condominiums, two-to-four family residential properties, co-operative shares manufactured housing, and townhouses. Based on the transaction documents, 65.84% of the pool loans represent collateral with a defect or exception to guidelines that preclude the loans from a government-sponsored entity (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans or seasoned Non-QM loans or ITIN loans. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch will service 53.9% of the loans, Fay Servicing, rated 'RSS2' by Fitch, will service 38.6%, and NewRez LLC dba Shellpoint Mortgage Servicing rated 'RSS2+' by Fitch will service 7.5% The vast majority of the loans adhere to QM or are exempt from QM Rules. Only 15.32% are Non-QM loans. Fitch did not adjust the QM status in its analysis under the revised 'US RMBS Rating Criteria'. The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in January 2030. Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 738, current WA FICO of 715, and a 39.6% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 78.6%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 77.1%. Of the loans in the pool, 65.8% are loans that are considered S&D, 22.5% are RPL, 9.5% are ITIN loans, and 2.2% are seasoned Non-QM loans. The majority of the loans are fully documented, but 24.9% are less than full documentation (bank statement, DSCR, other). PRPM 2026-RCF1. has a Final PD of 45.642% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 49.49%. The expected loss in the 'AAAsf' rating stress is 22.59%. Structural Analysis (Mixed): Sequential mortgage cash flow and Overcollateralization in PRPM 2026-RCF1 The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows a faster paydown of the senior classes. The positive attributes of the sequential structure is offset by the fact that the transaction will not write down the bonds due to potential losses or under collateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds. In a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of under collateralization is mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (January 2030), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2026-RCF1 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 37.4%, at 'AAA'. 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 of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. 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 environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. RCKT MORTGAGE 2026-CES1: Fitch Gives Bsf Rating on 5 Tranches ------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES1 (RCKT 2026-CES1). RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- RCKT 2026-CES1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A 74939BAA4 LT AAAsf New Rating AAA(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf A1-B LT AAAsf New Rating AAA(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf M-1A LT BBBsf New Rating BBB(EXP)sf M-1B LT BBB-sf New Rating BBB-(EXP)sf XS LT NRsf New Rating NR(EXP)sf 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. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 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% PD reduction 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. REALT 2016-2: Fitch Affirms BB+sf Rating to Class G Debt -------------------------------------------------------- Fitch Ratings has affirmed all classes of Real Estates Asset Liquidity Trust Series 2016-2 (REAL-T 2016-2). Following the affirmations, Fitch has revised the Rating Outlook for class G to Negative from Stable. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- REAL-T 2016-2 A-2 75585RNR2 LT AAAsf Affirmed AAAsf B 75585RNZ4 LT AAAsf Affirmed AAAsf C 75585RPA7 LT AAAsf Affirmed AAAsf D 75585RPB5 LT AA+sf Affirmed AA+sf E 75585RPC3 LT AA-sf Affirmed AA-sf F 75585RPD1 LT BBB+sf Affirmed BBB+sf G 75585RPE9 LT BB+sf Affirmed BB+sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 6.0%. Fitch Loans of Concerns (FLOCs) include three loans (41.5% of the pool) with no loans in special servicing. As of the January 2026 distribution date, the aggregate pool balance has been reduced by 84.1% since issuance and 54.8% since Fitch's prior rating action. Due to the concentration of the pool, significant exposure to near-term maturities (84.4% by September 2026) and adverse selection concerns, Fitch conducted sensitivity and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment or loss expectation. The affirmations reflect improved credit enhancement (CE) driven by substantial paydown from maturing loans and better-than-expected recoveries from FLOCs including NPR Commerce Place & YKC East Yellowknife and Henri Bourassa, continued amortization, and expectation that the majority of loans will refinance at their upcoming maturities. The Negative Outlook for class G reflects increasing concentration within the pool, and adverse selection with nine loans remaining and three FLOCs comprising 41.5% of the total pool balance. The class is reliant on proceeds from FLOCs to repay the class which includes refinance concerns for the largest loan in the pool, Cameron Street Industrial Hawkesbury (16.7% of the pool). Largest Contributors to Loss Expectations: The largest FLOC and largest contributor to loss expectations in the transaction is Cameron Street Industrial Hawkesbury loan (16.2% of the pool), which is secured by two industrial buildings totaling 264,288 sf located in Hawkesbury, ON. The loan was identified as a FLOC due to the property being fully vacant after the sole remaining tenant Robert Transport (78.2% of the NRA) vacated at the end of 2024. Consequently, the DSCR (Debt service coverage ratio) has become insufficient to cover debt service. As of YE 2024, NOI DSCR was 0.68x, reflecting a 59% decline in NOI from issuance. Per a servicer update, the borrower is in active discussions with multiple tenants, but nothing has been finalized. The loan maturity has been extended to April 2026. The loan remains current and is full recourse to the sponsor. Fitch's 'Bsf' ratings case loss of 18.4% (prior to concentration adjustments) reflects a 9.00% cap rate to the YE 2024 NOI and factors an increased probability of default to account for the loan's heightened maturity default risk. The second largest FLOC is the Rue Laval loan (14.5%), secured by a 68,365-sf office property in Gatineau, QC. Property performance has deteriorated with occupancy falling to 74% as of YE 2024 with NOI DSCR of 0.90x, down from 100% and 1.58x as of YE 2023. The largest tenant, a government-rated entity, occupies 54.7% of NRA and has a near-term lease expiration in February 2027. The loan's original October 2025 maturity was extended to February 2026. It remains current and is partial recourse to the sponsor. Fitch's 'Bsf' ratings case loss of 5.5% (prior to concentration adjustments) reflects a 10.00% cap rate to the YE 2024 NOI, resulting in a stressed value of $133 psf. Canadian Loan Attributes: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors on many loans. Approximately 42.4% of the transaction (five out of 10 loans) features full or partial recourse to the borrowers and/or sponsors. Increased Credit Enhancement (CE): As of the January 2026 distribution date, the aggregate pool balance has been reduced by 84.1% since issuance and 54.8% since Fitch's prior rating action. There are no cumulative interest shortfalls to date for the transaction and $218 in realized losses is affecting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the high CE, senior 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' categories could occur if deal-level losses increase significantly and/or larger FLOCs incur outsized losses. Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories, particularly those with Negative Outlooks, are possible with an increase in loss expectations including outsized losses on the FLOCs Cameron Street Industrial Hawkesbury, Rue Laval, and 220 King, and/or more loans than expected are unable to refinance and default at or prior to maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' category rated classes are possible with increased credit enhancement resulting from amortization and paydowns, coupled with stable pool-level losses expectations and/or performance stabilization of FLOCs. However, adverse selections, and increased concentrations of the pool could cause this trend to reverse. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations of the pools, including loan maturities, as well as adverse selection of remaining loans in the pool and concentrations to the FLOCs. Upgrades would also be limited due to the thin tranche size of the subordinate classes. SANTANDER MORTGAGE 2026-CES1: Fitch Rates Class B1 Notes 'BB(EXP)' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Santander Mortgage Asset Receivable Trust 2026-CES1 (SAN 2026-CES1). RATING ACTIONS Entity/Debt Rating ----------- ------ SAN 2026-CES1 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 B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary SAN 2026-CES1 is the second transaction to be rated by Fitch that includes 100% CES loans off the SAN shelf. The transaction is scheduled to close on Feb. 6, 2026. The pool consists of 3, 934 fixed-rate nonseasoned performing CES loans with a current outstanding balance (as of the cutoff date) of $313.17 million and terms that range from 10-30 years. The mortgages are secured by the following residential properties: single-family detached or attached dwelling units, planned unit developments (PUDs), condos, and two- to four-family residential properties based on Fitch's analysis of the transaction. Loans in the pool are solely originated by PennyMac Loan Services (Acceptable) and serviced solely by PennyMac Loan Services (RPS2). The master servicer is NewRez LLC (RMS3) Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in February 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 February 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 Mortgage 2nd Lien Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 3,934 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]) condos, and townhouses totaling $313.17 million. All loans are fully documented. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of 3 months, according to Fitch, and three months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 743, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 66.8% as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 74.6%. These strong collateral attributes are reflected in Fitch's loss analysis. SAN 2026-CES1 has a Final PD of 17.30% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 98.43%. The expected loss in the 'AAAsf' rating stress is 17.03%. Structural Analysis (Mixed): San 2026-CES1 has a Sequential Structure with No Advancing of Delinquent P&I. The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes (pro-rata) and then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. If the transaction is not called in Feb. 2030, the class coupons on the A-1A, A-1B, A-2, and A-3 will step up by 1.00%, The transaction has monthly excess cash flows that are used to repay any realized losses incurred and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and, once the A-2 class is written off, the class A-1B will take losses first and then losses will be allocated to A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on portion of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SAN 2026-CES1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SAN 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 The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 10.2% in the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SARANAC CLO VIII: Moody's Cuts Rating on $19MM Class E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO VIII Limited: US$38,500,000 Class B Senior Secured Floating Rate Notes due 2033 (the "Class B Notes"), Upgraded to Aaa (sf); previously on July 21, 2025 Upgraded to Aa1 (sf) US$5,000,000 Class C-F Secured Deferrable Fixed Rate Notes due 2033 (the "Class C-F Notes"), Upgraded to A1 (sf); previously on February 27, 2020 Definitive Rating Assigned A2 (sf) US$14,500,000 Class C-N Secured Deferrable Floating Rate Notes due 2033 (the "Class C-N Notes"), Upgraded to A1 (sf); previously on February 27, 2020 Definitive Rating Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E Secured Deferrable Floating Rate Notes due 2033 (the "Class E Notes"), Downgraded to B3 (sf); previously on July 21, 2025 Downgraded to B2 (sf) Saranac CLO VIII Limited, issued in February 2020, 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 February 2025. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2025. The Class A Loans, Class A-N and Class A-F notes have been collectively paid down by approximately 27.68% or $59 million since then. Based on Moody's calculations, the OC ratios for the Class B and Class C notes are currently 132.87% and 120.71%, respectively, versus July 2025 levels of 129.15% and 119.90%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes is at 101.63% versus level of 104.55% in July 2025. No actions were taken on the Class A Loans, Class A-N, Class A-F and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $261,276,621 Defaulted par: $7,324,988 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3051 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.33% Weighted Average Recovery Rate (WARR): 47.03% Weighted Average Life (WAL): 3.83 years Par haircut in OC tests: 2.0% 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. SCULPTOR CLO XXXVI: S&P Assigns BB- (sf) Ratings on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXXVI Ltd./Sculptor CLO XXXVI LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sculptor CLO Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sculptor CLO XXXVI Ltd./Sculptor CLO XXXVI LLC Class A-1, $256.0 million: AAA (sf) Class A-2, $6.0 million: AAA (sf) Class B, $42.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1a (deferrable), $13.7 million: BBB- (sf) Class D-1b (deferrable), $10.3 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $40.0 million: NR NR--Not rated. SEQUOIA MORTGAGE 2026-INV1: Fitch Rates Class B5 Certs 'Bsf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-INV1 (SEMT 2026-INV1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-INV1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AA+sf New Rating AA+(EXP)sf A20 LT AA+sf New Rating AA+(EXP)sf A21 LT AA+sf New Rating AA+(EXP)sf A22 LT AA+sf New Rating AA+(EXP)sf A23 LT AA+sf New Rating AA+(EXP)sf A24 LT AA+sf New Rating AA+(EXP)sf A25 LT AA+sf New Rating AA+(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AA+sf New Rating AA+(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AA+sf New Rating AA+(EXP)sf AIO21 LT AA+sf New Rating AA+(EXP)sf AIO22 LT AA+sf New Rating AA+(EXP)sf AIO23 LT AA+sf New Rating AA+(EXP)sf AIO24 LT AA+sf New Rating AA+(EXP)sf AIO25 LT AA+sf New Rating AA+(EXP)sf AIO26 LT AA+sf New Rating AA+(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO33 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary SEMT 2026-INV1 was the first deal this year under the Redwood shelf that features collateral that was almost entirely comprised of investor and second-home occupancy. The certificates are supported by 1,161 loans with a total balance of approximately $552.27 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations were based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibited a strong credit profile, with a weighted-average (WA) Fitch FICO of 771 and a 35.4% debt-to-income (DTI) ratio. The borrowers also had moderate leverage, with a 65.2% mark-to-market combined LTV (cLTV). Overall, 99.9% of the pool loans were investor or second home. In addition, 100% of the loans were underwritten to full documentation. Redwood removed 30 loans from the pool following the publication of Fitch's expected ratings. As a result, Fitch re-ran its loss analysis and conducted an analysis of the updated structure. There were no changes to the expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-INV1 has a final probability of default (PD) of 15.3% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 39.6%. The expected loss in the 'AAAsf' rating stress is 6.0% Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-INV1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had 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. SEMT 2026-INV1 is a fully de-linked and bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-INV1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. SILVER ROCK V: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Silver Rock CLO V Ltd./Silver Rock CLO V LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Silver Rock Management LLC, a subsidiary of Silver Rock Financial LP. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Silver Rock CLO V Ltd./Silver Rock CLO V LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.82 million: NR NR--Not rated. SLG OFFICE 2026-PAT: S&P Assigns BB-(sf) Rating on Class HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned ratings to SLG Office Trust 2026-PAT's commercial mortgage pass-through certificates series 2026-PAT. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan secured by the borrower's fee simple interest in Park Avenue Tower, a two-side street entrance, 36-story, 622,116 sq. ft., LEED Gold certified class A office property located between Park and Madison Avenues in the Plaza District submarket of Manhattan. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 93.8%, based on S&P Global Ratings' value of the property backing the transaction." Since the preliminary ratings were issued, the loan's coupon has decreased to approximately 5.30% from 5.50%. As a result, the debt service coverage ratio, based on S&P Global Ratings' net cash flow, increased to 1.39x from 1.34x. Ratings Assigned SLG Office Trust 2026-PAT Class A, $255,900,000: AAA (sf) Class B, $68,100,000: AA- (sf) Class C, $51,200,000: A- (sf) Class D, $55,800,000: BBB- (sf) Class E, $25,000,000: BB (sf) Class HRR(i), $24,000,000: BB- (sf) (i)Horizontal risk retention certificates. SOTHEBY'S ARTFI 2026-1: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by Sotheby's ArtFi Master Trust, Series 2026-1 (Series 2026-1 or the Issuer): -- $225,160,000 Class A-1 Notes at (P) AAA (sf) -- $225,160,000 Class A-2 Notes at (P) AAA (sf) -- $54,310,000 Class B Notes at (P) AA (sf) -- $27,790,000 Class C Notes at (P) A (sf) -- $52,740,000 Class D Notes at (P) BBB (sf) -- $14,840,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization, reserve account, and excess spread. -- Credit enhancement levels sufficient to support the Morningstar DBRS-assumed loss assumptions under various stress scenarios. (2) The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the timely payment of interest and the ultimate payment of principal by the Series Scheduled Maturity Date. -- The Transaction will have an approximately two-year revolving period where no principal will be paid to or accumulated for the benefit of any class of the Series 2026-1 Notes. Following the end of the revolving period on March 1, 2028, or the occurrence of an Early Amortization Event, collections will be applied to pay down principal on the Notes. -- The Morningstar DBRS baseline probability of default (PD) assumption of 5.25% incorporates a negative selection bias of the historical vintage data. -- The stressed gross default hurdles were derived using the custom PD assumption in the Morningstar DBRS CLO Insight model with conservative correlation assumptions. -- Pool composition assumed maximum obligor concentrations. -- Recovery rate assumptions were based on historical experience of the SFS loan portfolio and Sotheby's past auction realizations. -- Various interest rate scenarios were run with both up and down rate stresses applied. -- Morningstar DBRS gave minimum credit to excess spread which was assumed to be at the 0.50% trigger level in its cashflow scenarios. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of SFS and considers the Company to be an acceptable originator and servicer of Art Equity Loans and Consignor Advances related to fine art and collectible assets. -- The SFS team has significant experience in the art lending space combined with Sotheby's history and position as a marketplace for fine art and collectibles. Sotheby's hosts 500 auctions annually with a global network that encompasses 80 offices across 40 countries and 70 departments. (4) Credit quality of the collateral and the historical performance of SFS's loan portfolio. -- Collateral must be a work of art or collectible item (such as fine art, collectible cars, design furniture, books, jewelry, watches, wine or other spirits) that Sotheby's or its affiliated auction entities would offer for sale at auction, a private sale or via its online marketplace. SFS does not originate loans secured by a non-fungible token or other similar digital artwork that does not exist in tangible form. -- Collectible cars will be subject to a 20% concentration limit with the same associated loan products, underwritten with the same lending framework, and with the same perfection and insurance requirements as all other collateral types. -- All collateral is senior-secured with a first priority, perfected security interest. (5) The transaction incorporates both collateral performance triggers and portfolio concentration limits that will be expected to protect the noteholders in a stressed environment. -- Early amortization triggers at the trust and series level include performance related to delinquencies, hammer-to-value auction realizations, and excess spread. -- Concentration limits at the loan level for the underlying borrowers, loan type, and loan-to-value ratio. -- Weighted average loan-to-value limit of 60.0%. -- Concentration limits on the underlying collateral based on individual artist and collateral valuations. (6) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2026 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (7) The legal structure and presence of legal opinions that address that the Issuer has a valid first-priority security interest and consistency with Morningstar DBRS's Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Class A-1, Class A-2, Class B, Class C, Class D, and Class E Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Accrued Note Interest and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. SOUND POINT VIII-R: Moody's Affirms C Rating on $13MM Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO VIII-R. Ltd.: US$20M Class D-1 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2025 Upgraded to A3 (sf) US$14M Class R2-D2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$25M (Current outstanding amount US$20,740,823) Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Affirmed Aaa (sf) US$6M (Current outstanding amount US$4,977,798) Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Affirmed Aaa (sf) US$29M (Current outstanding amount US$29,123,919 incl. deferred interest amounts) Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Aug 29, 2025 Downgraded to Caa2 (sf) US$13M (Current outstanding amount US$19,824,148 incl. deferred interest amounts) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed C (sf); previously on Aug 29, 2025 Downgraded to C (sf) Sound Point CLO VIII-R. Ltd., issued in April 2019 and partially refinanced in February 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class D-1 and R2-D2 notes are primarily a result of the repayment of the Class B-R notes and the deleveraging of the Class C-1-R and C-2-R notes following amortisation of the underlying portfolio since the last rating action in August 2025. The Class B-R notes were fully repaid on the January 2026 payment date after amortizing USD38.6 million (61.2% of their original balance). Meanwhile, the Class C-1-R and C-2-R notes began amortizing in January 2026, with a combined repayment of approximately USD5.3 million (17% of their original balance). As a result of the deleveraging, over-collateralisation (OC) has increased for the senior part of the capital structure. According to the trustee report of January 2026[1] the Senior, Class C and Class D OC ratios are reported at 673.38%, 221.46% and 127.56% compared to August 2025[2] levels of 328.71%, 182.24% and 122.42%, respectively. At the same time, the Class E OC ratio decreased to 93.64% in January 2026[1] report from 95.64% in August 2025[2], and is currently failing. While the transaction doesn't have an explicit Class F OC ratio, its implicit level has decreased following the loss of par to 79.66% in January 2026[1] from 83.91% in August 2025[2]. Moody's also notes that the Class F deferred interest has increased to $6,824,148 in January 2026[1] from $5,529,202 reported in August 2025[2] and Class E has accumulated $123,919 deferred interest since October 2025. Moody's notes that the January 2026 principal payments are not reflected in the reported OC ratios. 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 affirmations on the ratings on the Class C-1-R, C-2-R, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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: USD90.11 million Defaulted Securities: USD0.97 million Diversity Score: 34 Weighted Average Rating Factor (WARF): 4057 Weighted Average Life (WAL): 2.5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.47% Weighted Average Recovery Rate (WARR): 45.82% Par haircut in OC tests and interest diversion test: 9.28% 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. 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. SOUND POINT XXIII: Moody's Cuts Rating on $30MM Cl. E-R Notes to B1 ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Sound Point CLO XXIII, Ltd.: US$72,000,000 Class B-R Senior Secured Floating Rate Notes due 2034 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on Jun 4, 2021 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on Jun 4, 2021 Assigned Ba3 (sf) Sound Point CLO XXIII, Ltd., originally issued in May 2019 and refinanced in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2026. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of the improved credit quality of the portfolio. Based on the trustee's January 2026 report[1], the weighted average rating factor (WARF) is currently 2594, compared to 2810 in January 2025[2]. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's January 2026 report[3], the total collateral par balance, including recoveries from defaulted securities, is $587.7 million, or $12.3 million less than the $600 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level is currently 3.14% compared to 3.42% in January 2025. No actions were taken on the Class A-R, Class C-R and Class D-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: $587,694,725 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2662 Weighted Average Spread (WAS): 2.86% Weighted Average Recovery Rate (WARR): 45.9% Weighted Average Life (WAL): 4.75 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. STEELE CREEK 2018-2: Moody's Cuts Rating on $19MM E Notes to B3 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Steele Creek CLO 2018-2, Ltd.: US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on December 19, 2024 Upgraded to Aa1 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A3 (sf); previously on December 19, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B3 (sf); previously on December 19, 2024 Downgraded to B1 (sf) Steele Creek CLO 2018-2, Ltd., issued in August, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2024.The Class A notes have been paid down by approximately 90% or $102 million since then. Based on Moody's calculations, the OC ratios for the Class A/B, Class C and Class D notes are currently 225.16%, 162.46% and 123.41% respectively, versus December 2024 levels of 148.57%, 130.51% and 114.67%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and the current level is 3068 compared to 2752 in December 2024. Furthermore, the OC ratio for the Class E notes is currently 104.35% versus December 2024 level of 104.99%. No actions were taken on the Class A and Class B notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" 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: $128,191,090 Defaulted par: $5,415,758 Diversity Score: 43 Weighted Average Rating Factor (WARF): 3068 Weighted Average Spread (WAS): 3.35% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 2.93 years Par haircut in OC tests and interest diversion test: 3.21% 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. SUNNOVA HELIOS X: Fitch Keeps BB Rating on C Notes on Watch Neg --------------------------------------------------------------- Fitch Ratings has placed all classes of notes of Sunnova Helios 2022-B IX (Sunnova IX), Sunnova Helios 2022-C X (Sunnova X), Sunnova Helios 2023-A XI (Sunnova XI), Sunnova Helios 2023-B XII (Sunnova XII), Sunnova Helios 2024-A XIII (Sunnova XIII) and Sunnova Helios 2024-B XIV (Sunnova XIV) on Rating Watch Negative (RWN) following the recent spike in defaults and delinquencies across all asset pools. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- Sunnova Helios XIII Issuer, LLC A 86745CAA0 LT AA-sf Rating Watch On AA-sf B 86745CAB8 LT A-sf Rating Watch On A-sf C 86745CAC6 LT BBBsf Rating Watch On BBBsf Sunnova Helios XII Issuer, LLC A 86745YAA2 LT AA-sf Rating Watch On AA-sf B 86745YAB0 LT A-sf Rating Watch On A-sf C 86745YAC8 LT BBBsf Rating Watch On BBBsf Sunnova Helios X Issuer, LLC A 86744WAA7 LT AA-sf Rating Watch On AA-sf B 86744WAB5 LT Asf Rating Watch On Asf C 86744WAC3 LT BBsf Rating Watch On BBsf Sunnova Helios XI Issuer, LLC A 86746AAA3 LT AA-sf Rating Watch On AA-sf B 86746AAB1 LT A-sf Rating Watch On A-sf C 86746AAC9 LT BBBsf Rating Watch On BBBsf Sunnova Helios XIV Issuer, LLC A 866974AA6 LT Asf Rating Watch On Asf B 866974AB4 LT BBBsf Rating Watch On BBBsf C 866974AC2 LT BBsf Rating Watch On BBsf Sunnova Helios IX Issuer, LLC Class A Notes 86744VAA9 LT Asf Rating Watch On Asf Class B Notes 86744VAB7 LT BBB-sf Rating Watch On BBB-sf Transaction Summary The Sunnova Helios transactions are securitizations of consumer loans originated by Sunnova Energy International Inc. (Sunnova) and backed by photovoltaic (PV) systems and/or batteries to store the energy produced. Sunnova filed for Chapter 11 bankruptcy on June 8, 2025. KEY RATING DRIVERS The RWN reflects the spike in defaults and delinquencies observed during the November and December 2025 collection periods. The deterioration was primarily driven by a combination of continued deteriorating asset pool performance and adjustments on reporting and servicing procedures implemented by SunStrong Management, LLC (SunStrong), the new servicer following filing for Chapter 11 bankruptcy on June 8, 2025. These included a one-time, non-recurring adjustment to the calculation of delinquency buckets and the reclassification of certain loans under payment plans as defaulted. SunStrong is jointly owned by HASI and GoodFinch Management, LLC, mirroring the ownership structure of its sister company SunStrong Capital Holdings. SunStrong is an independently capitalized residential solar asset manager responsible for billing and collections, operations and maintenance, and fund administration across its 445,000-system portfolio. SunStrong combines in-house remote diagnostics with a network of installer partners for operations and maintenance, while partnering with Launch for billing and collection execution. In November 2025, based on information provided by SunStrong, the annualized constant default rate (CDR) across all securitizations originally sponsored by Sunnova, including those not rated by Fitch, the Sunnova solar loan portfolio surged to 11.7%, up sharply from 4.6% in October. This spike was driven primarily by a one-time, non-recurring adjustment to Sunnova's default reporting methodology: specifically, the removal of the 30-day grace period and the reclassification of borrowers on payment plans who were more than 180 days delinquent. This adjustment accounted for approximately 59% of the increase. The remainder reflected persistent asset performance weakness, largely attributed to reduced collections activity prior to a recent servicing transition. In December 2025, the CDR for the Sunnova solar loan portfolio declined to 6.2%, according to the information provided by SunStrong, as the one-time reporting adjustment was not repeated. Across Fitch-rated Sunnova deals, annualized CDRs ranged between 9% and 18% during the November 2025 collection period, compared to an average of 2% to 7% over the prior 12 months. Fitch-rated Sunnova deals saw CDRs ranging from 5% to 16% during the December 2025 collection period, down from the levels observed in November 2025. Despite the decrease, these levels remained elevated compared to previous periods, highlighting ongoing performance challenges within the portfolio. Based on the information provided by SunStrong, Fitch views the spike in defaults and delinquencies as a short-term effect primarily driven by the servicing transition. However, asset pool performance remains volatile, recording a significant increase in total defaults over the past two collection periods. Therefore, Fitch expects to resolve the RWN as soon as additional clarity is available on the ongoing asset performance following the transition under the new servicing from SunStrong. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade --Material changes in policy support; --The economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete; --Peaks in faulty equipment that result in the need for replacing inverters and batteries at a faster pace than the monthly deposits to the equipment reserve; --Longer or more severe than expected asset performance deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade --Fitch currently caps solar loan securitization ratings in the 'AAsf' category due to limited performance history. Nevertheless, a positive rating action could result from an increase of credit enhancement (CE) due to deleveraging, underpinned by strong transaction performance. TCW CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-F-R, and E-R debt and proposed new class X-R and D-J-R debt from TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC, a CLO managed by TCW Asset Management Company LLC that was originally issued in September 2023. At the same time, S&P withdrew its ratings on the previous class A-1, A-1L, A-J, B, C, D-1, D-F, and E debt following payment in full on the Jan. 20, 2026, refinancing date. The replacement and new debt were issued via a supplemental indenture, which outlines the terms of the replacement and new debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt and new class X-R and D-J-R debt were issued at floating spreads, replacing the current fixed coupons and floating spreads. -- The replacement class D-F-R debt was issued with a fixed coupon, replacing the current fixed coupon. -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread than the existing debt. -- The non-call period was extended to Jan. 24, 2028. -- The reinvestment period was extended to Jan. 24, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes was extended to Jan. 24, 2039. -- The target initial par amount remains at $400 million. There are no additional effective date or ramp-up period, and the first payment date following the refinancing is April 24, 2026. -- New class X-R debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 20 payment dates, beginning on the first payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC Class X-R, $6.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $15.00 million: BBB (sf) Class D-F-R (deferrable), $7.00 million: BBB (sf) Class D-J-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $11.00 million: BB- (sf) Ratings Withdrawn TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC Class A-1 to NR from 'AAA (sf)' Class A-1L to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB (sf)' Class D-F (deferrable) to NR from 'BBB (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC Subordinated notes, $37.45 million: NR NR--Not rated. TOWD POINT 2026-CES1: DBRS Finalizes B Rating on 4 Note Classes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2026-CES1 (the Notes) issued by Towd Point Mortgage Trust 2026-CES1 (TPMT 2026-CES1 or the Trust): -- $366.8 million Class A1 at AAA (sf) -- $28.7 million Class A2 at AA (low) (sf) -- $21.1 million Class M1 at A (low) (sf) -- $16.5 million Class M2 at BBB (low) (sf) -- $11.2 million Class B1 at BB (sf) -- $6.4 million Class B2 at B (sf) -- $28.7 million Class A2A at AA (low) (sf) -- $28.7 million Class A2AX at AA (low) (sf) -- $28.7 million Class A2B at AA (low) (sf) -- $28.7 million Class A2BX at AA (low) (sf) -- $28.7 million Class A2C at AA (low) (sf) -- $28.7 million Class A2CX at AA (low) (sf) -- $28.7 million Class A2D at AA (low) (sf) -- $28.7 million Class A2DX at AA (low) (sf) -- $21.1 million Class M1A at A (low) (sf) -- $21.1 million Class M1AX at A (low) (sf) -- $21.1 million Class M1B at A (low) (sf) -- $21.1 million Class M1BX at A (low) (sf) -- $21.1 million Class M1C at A (low) (sf) -- $21.1 million Class M1CX at A (low) (sf) -- $21.1 million Class M1D at A (low) (sf) -- $21.1 million Class M1DX at A (low) (sf) -- $16.5 million Class M2A at BBB (low) (sf) -- $16.5 million Class M2AX at BBB (low) (sf) -- $16.5 million Class M2B at BBB (low) (sf) -- $16.5 million Class M2BX at BBB (low) (sf) -- $16.5 million Class M2C at BBB (low) (sf) -- $16.5 million Class M2CX at BBB (low) (sf) -- $16.5 million Class M2D at BBB (low) (sf) -- $16.5 million Class M2DX at BBB (low) (sf) -- $11.2 million Class B1A at BB (sf) -- $11.2 million Class B1AX at BB (sf) -- $11.2 million Class B1B at BB (sf) -- $11.2 million Class B1BX at BB (sf) -- $6.4 million Class B2A at B (sf) -- $6.4 million Class B2AX at B (sf) -- $6.4 million Class B2B at B (sf) -- $6.4 million Class B2BX at B (sf) The AAA (sf) credit rating on the Notes reflects 20.00% of credit enhancement provided by subordinated notes. The AA (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 13.75%, 9.15%, 5.55%, 3.10%, and 1.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2026-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES1 (the Notes). The Notes are backed by 4,495 mortgage loans with a total principal balance of $458,550,304 as of the Cut-Off Date. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Statistical Calculation Date. As of the Statistical Calculation Date, the Notes were backed by 4,527 loans with a total scheduled principal balance of $463,419,110. The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 40 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 736 and a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 75.5%, and all loans were originated with Issuer-defined full documentation. All the loans are current, and 99.7% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2026-CES1 represents the 13th CES securitization by FirstKey Mortgage, LLC (FirstKey) and fifth by CRM 2 Sponsor, LLC (CRM). Spring EQ, LLC (Spring EQ; 82.9%) and Newrez, LLC (Newrez; 17.1%) are the originators for the mortgage pool. Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint) is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Administrator. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. CRM will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds and accounts managed by affiliates of Cerberus Capital Management, L.P. (CCM). Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to the Issuer. As a Co-Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities (excluding the Class R Certificates) issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 12.0% of the loans are designated as non-QM, 11.1% are designated as QM Rebuttable Presumption, and 74.3% are designated as QM Safe Harbor. Approximately 2.6% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the Servicer is obligated to make advances in respect of homeowner's association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will not be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. The Co-Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in January 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder may, at its option, cause the Issuer to redeem the Notes and Certificates by selling all of the loans so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (1) class balances of the Notes plus the accrued interest and unpaid interest, (2) any fees, expenses and indemnification amounts, and (3) accrued and unpaid amounts owed to the Class X, Class XS1, and Class XS2 Certificates. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to redeem all the Notes and Certificates at the minimum price (Optional Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2026-CES1: Fitch Gives B-sf Rating on 5 Tranches ----------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2026-CES1 (TPMT 2026-CES1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- TPMT 2026-CES1 A1 89190LAA4 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf B2AX LT B-sf New Rating B-(EXP)sf B2B LT B-sf New Rating B-(EXP)sf B2BX LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf X LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf Transaction Summary The TPMT 2026-CES1 transaction closes on Jan. 21, 2026. The notes are supported by 4,527 closed-end second lien (CES) loans with a total balance of approximately $463 million as of the statistical calculation date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. Fitch did not acknowledge advancing in its analysis given its projected loss severities on the second lien collateral. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. TPMT 2026-CES1 has a final probability of default (PD) of 21.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.6%. The expected loss in the 'AAAsf' rating stress is 21.2%. Structural Analysis: The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Additionally, excess cashflow resulting from difference between interest earned on mortgage collateral and amount paid on the notes may be available to cover realized losses and net WAC shortfalls on notes. With respect to any loan that becomes DQ for 150 days or more under the Office of Thrift Supervision (OTS) methodology, the servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each liquidated second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicer. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not apply excess cash flow to accelerate amortization of the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 57.8% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects TPMT 2026-CES1 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. TRIMARAN CAVU 2023-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt from Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC, a CLO managed by Trimaran Advisors LLC, a subsidiary of LibreMax Intermediate Holdings, that was originally issued in November 2023. The preliminary ratings are based on information as of Jan. 26, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B-1, B-2, C-1, C-2, D-1A, D-1B, D-2, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class B-R, C-R, and D-1-R debt is expected to be issued at a floating spread, replacing the existing class B-1, B-2, C-1, C-2, D-1A, and D-1B fixed-and-floating spread debt. -- The stated maturity and reinvestment period will be extended by 2.25 years, and the non-call date will be extended by 2.18 years. -- No additional assets will be purchased on the Feb. 5, 2026, refinancing date, and the target initial par amount will remain at $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- New class X-R debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds in eight equal installments of $437,500, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC Class X-R, $3.50 million: AAA (sf) Class A-R, $283.50 million: AAA (sf) Class B-R, $58.50 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Other Debt Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC Subordinated notes, $48.25 million: NR NR--Not rated. TRINITAS CLO XXV: Fitch Gives BB-sf Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trinitas CLO XXV Ltd. reset transaction. RATING ACTIONS Entity / Debt Rating ------------- ------ Trinitas CLO XXV, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Trinitas CLO XXV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital Management, LLC. The deal originally closed in December 2023. This is the first reset with existing notes to be redeemed on Jan. 23, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.11% first-lien senior secured loans and has a weighted average recovery assumption of 74.56%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, and 'Asf' for class D-R and 'BBB+sf' for class E-R. TRINITAS CLO XXV: Moody's Assigns B3 Rating to $1MM Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Trinitas CLO XXV, Ltd. (the Issuer): US$256,000,000 Class A-1-R Floating Rate Notes due 2039, Assigned Aaa (sf) US$1,000,000 Class F 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 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Trinitas Capital Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and five other classes of secured 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 Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par (including any principal proceeds): $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2955 Weighted Average Spread (WAS): 2.80% 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. TVC MORTGAGE 2026-RRTL1: DBRS Gives Prov. B(low) Rating on M2 Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RRTL1 (the Notes) to be issued by TVC Mortgage Trust 2026-RRTL1 (the Issuer) as follows: -- $185.4 million Class A1 at (P) A (low) (sf) -- $17.0 million Class A2 at (P) BBB (low) (sf) -- $18.8 million Class M1 at (P) BB (low) (sf) -- $18.3 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.85% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.05%, 11.55%, and 4.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2026-RRTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 338 mortgage loans with a total principal balance of approximately $218,723,026 -- Approximately $31,276,974 in the Accumulation Account -- Approximately $2,233,476 in the Pre-funding Interest Account Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TVC 2026-RRTL1 represents the third rated RTL securitization (but sixth overall) issued by the Sponsor, Temple View Capital Funding, LP (TVC). TVC will own the mortgage servicing rights, and Temple View Capital, LLC, an affiliate of the sponsor, will act as Loan Administrator. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of six to 24 months. The loans may also include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 84.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 69.5%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is ineligible for inclusion in the TVC revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Loan Administrator. In the TVC 2026-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved construction, repairs, restoration, and protection of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TVC Mortgage Trust 2026-RRTL1 eligibility criteria, unfunded commitments are limited to 50% of the portfolio by the assets of the issuer, which includes (1) the unpaid principal balance (UPB) and (2) amounts in the Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in July 2028, the Class A1 and A2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) principal or interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Such Servicing Advances will be reimbursable from collections and other recoveries prior to any payments on the Notes. The Loan Administrator, or the Servicer, will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, directing release of funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer (Disbursement Request Advances) or (b) directing the release of funds from the Accumulation Account. Amounts on deposit in the Accumulation Account may be used to reimburse the Loan Administrator or the Sponsor, as applicable, for such advances. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 4.25% (the initial subordination) to the most subordinate rated class. TVC 2026-RRTL1 incorporates this via the Maximum Effective Advance Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain CE for all tranches. A Pre-Funding Interest Account is in place to help cover two months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,233,476. On the payment dates occurring in February and March 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated TVC's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this report for more details. Other Transaction Features Optional Redemption On any date after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the Redemption Price (par plus interest and fees). Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price (par plus interest and fees). During the reinvestment period, if the Sponsor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Sales of Mortgage Loans The Issuer may sell a mortgage loan under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a diligence defect, or a material document defect -- The Sponsor elects to exercise its Repurchase Option -- An optional redemption occurs -- The Issuer sells a mortgage loan in an arm's length transaction at the Repurchase Price or sells an REO property at fair market value (FMV) -- The Issuer sells a mortgage loan to an affiliate at FMV but such price must be at least par plus interest. Voluntary repurchases and sales may not exceed 10.0% of the cumulative UPB of the mortgage loans (Repurchase Limit). U.S. Credit Risk Retention As the Sponsor, TVC, or one or more majority-owned affiliates will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (in this case, the entirety of the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. UNITED AUTO 2026-1: DBRS Gives Prov. BB(high) Rating on E Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by United Auto Credit Securitization Trust 2026-1 (UACST 2026-1 or the Issuer): -- $100,350,000 Class A Notes at (P) AAA (sf) -- $40,130,000 Class B Notes at (P) AA (high) (sf) -- $25,970,000 Class C Notes at (P) A (high) (sf) -- $40,000,000 Class D Notes at (P) BBB (sf) -- $18,550,000 Class E Notes at (P) BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of OC, subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' projected expected cumulative net loss (CNL) assumptions under various stress scenarios. -- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The Morningstar DBRS CNL assumption of 23.90%. (3) UACST 2026-1 provides for loss coverage multiples for certain notes that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (4) The Transaction parties' capabilities with regards to originations, underwriting, and servicing, and the existence of an experienced and capable backup servicer. -- Morningstar DBRS has performed an operational risk review of UACC and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. Additionally, the Transaction has an acceptable backup servicer. -- The UACC senior management team has considerable experience and a successful track record within the auto finance industry. -- UACC continues to evaluate and fine-tune its underwriting standards as necessary. The Company has a risk management system allowing centralized oversight of all underwriting and substantial technology systems, which provide daily metrics on all originations, servicing, and collections of loans. (5) The credit quality of the collateral and performance of UACC's auto loan portfolio. (6) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (7) The legal structure and presence of legal opinions, which are expected to address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with UACC, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. UNITED AUTO 2026-1: S&P Assigns Prelim BB (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization Trust 2026-1's (UACST 2026-1) automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 22, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 65.1%, 55.9%, 47.8%, 37.4%, and 33.3% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.45x, 2.10x, 1.79x, 1.40x, and 1.25x of S&P's 26.50% expected cumulative net loss (ECNL) for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.40x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of United Auto Credit Corp. (UACC) as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with our sector benchmarks. -- The transaction's payment and legal structures. Preliminary Ratings Assigned United Auto Credit Securitization Trust 2026-1 Class A, $100.35 million: AAA (sf) Class B, $40.13 million: AA (sf) Class C, $25.97 million: A (sf) Class D, $40.00 million: BBB (sf) Class E, $18.55 million: BB (sf) VEROS AUTO 2026-1: S&P Assigns B (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Veros Auto Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 60.67%, 53.79%, 45.23%, 33.84%, 28.76%, and 24.98% of credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 2.70x, 2.40x, 2.00x, 1.50x, 1.25x, and 1.10x of S&P's expected cumulative net loss of 22.00% for classes A, B, C, D, E, and F notes, respectively. -- S&P said, "The expectations that under a moderate ('BBB') stress scenario (1.50x our expected loss level), all else being equal, our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, will be within our credit stability limits." -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loan pool, S&P's view of the collateral's credit risk, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Deutsche Bank Trust Co. Americas, which do not constrain the ratings. -- S&P's operational risk assessment of Veros Credit LLC as servicer and originator, and its view of the company's underwriting and backup servicing arrangement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Veros Auto Receivables Trust 2026-1 Class A, $127.340 million: AAA (sf) Class B, $33.649 million: AA (sf) Class C, $34.687 million: A (sf) Class D, $43.729 million: BBB (sf) Class E, $25.792 million: BB (sf) Class F, $9.487 million: B (sf) VERUS SECURITIZATION 2026-R1: Fitch Affirms B(EXP) on B-2 Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R1 (Verus 2026-R1). RATING ACTIONS Entity/Debt Rating ----------- ------ VERUS 2026-R1 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-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating DA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2026-R1 notes are supported by 1,179 loans with a balance of $572.7 million as of Jan. 1, 2026 (the cutoff date). The transaction is scheduled to close on Jan. 30, 2026. 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 whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Primary residence loans comprise 39.3% of the Verus 2026-R1 transaction pool, followed by second home and investor loans at 60.7%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 53.2%, and 22.9% were originated to a bank statement program. The remaining 23.9% of the population was underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment (WVOE) product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-R1 has a final probability of default (PD) of 47.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.2%. The expected loss in the 'AAAsf' rating stress is 16.6%. Structural Analysis: Verus 2026-R1 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 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-R1 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-R1. 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 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. VITALITY RE XVII 2026: S&P Assigns 'B+ (sf)' Rating on Cl. C Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 'BBB+ (sf)', 'BB+ (sf)', and 'B+ (sf)' ratings to the series 2026 class A, B, and C notes, respectively, issued by Vitality Re XVII Ltd. The notes will cover claims payments of Health Re Inc. and ultimately Aetna Life Insurance Co. (ALIC; A-/Negative/--), related to the covered business to the extent the medical benefits ratio (MBR) exceeds 107.5% for the class A notes, 101.5% for the class B notes, and 98.5% for the class C notes. The MBR is calculated on an annual aggregate basis. S&P bases its ratings on the lowest of the following: -- The MBR risk factor for the ceded risk ('bbb+' for the class A notes, 'bb+' for the class B notes, and 'b+' for the class C notes); -- The rating on ALIC (the underlying ceding insurer); or -- The rating on the permitted investments ('AAAm') that will be held in the collateral account (there is a separate collateral account for each class of notes) at closing. According to the risk analysis provided by Milliman Inc., one of the world's largest providers of actuarial and related products and services, the primary factors in historical medical insurance financial fluctuations have been the volatility in per capita claim cost trends and lags in insurers' reactions to these trend changes in their premium rating increase actions. Other sources of volatility include changes in expenses and target profit margins. Although these factors cause the majority of claims volatility, the extreme tail risk is affected by severe pandemics. VOYA CLO 2017-1: Moody's Ups Rating on $20MM Class D Notes to Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Voya CLO 2017-1, LTD.: US$27.5 million Class C Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Sep 24, 2025 Upgraded to A3 (sf) US$20 million Class D Deferrable Floating Rate Notes, Upgraded to Ba3 (sf); previously on Sep 24, 2025 Affirmed B1 (sf) Moody's have also affirmed the ratings on the following notes: US$60 million (Current outstanding amount US$47,892,987) Class A-2-R Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 24, 2025 Affirmed Aaa (sf) US$32.5M Class B-R Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 24, 2025 Upgraded to Aaa (sf) Voya CLO 2017-1, LTD., originally issued in April 2017 and partially refinanced in May 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Voya Alternative Asset Management LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class C and D notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2025. The affirmations on the ratings on the Class A-2-R and B-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have been fully repaid, and the Class A-2-R notes have been paid down by approximately USD12.1 million (20.2%) since the last rating action in September 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 November 2025[1], the Class A, Class B and Class C OC ratios are reported at 278.66%, 166.01% and 123.70% compared to July 2025[2] levels of 212.90%, 149.84% and 119.81%, respectively. Class D OC ratio is reported at 104.35% and is currently in compliance. 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: USD141.4m Defaulted Securities: USD0.6m Diversity Score: 50 Weighted Average Rating Factor (WARF): 3455 Weighted Average Life (WAL): 2.85 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 46.41% Par haircut in OC tests and interest diversion test: 6.19% 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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. [] Moody's Upgrades Ratings on 11 Bonds from 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 11 bonds from two US residential mortgage-backed transactions (RMBS), backed by agency eligible non-owner occupied mortgage loans. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2022-INV1 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Apr 4, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Apr 4, 2025 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Apr 4, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Apr 4, 2025 Upgraded to Ba1 (sf) Issuer: PMT Loan Trust 2025-INV5 Cl. A-31, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on May 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A2 (sf); previously on May 14, 2025 Definitive Rating Assigned A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.001% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.18x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 32 Classes From 29 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of ratings on 32 classes from 29 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 16 downgrades and 16 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/zxbspuj7 S&P said, "The rating actions reflect our analysis of the transactions' interest shortfalls and/or missed interest payments on the affected classes. We lowered our ratings in accordance with our criteria in "S&P Global Ratings Definitions," published Dec. 16, 2025, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (i.e., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. In this review, 13 classes from 12 transactions were affected. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions. We lowered our ratings on three classes from three transactions due to the interest shortfall. "In accordance with our surveillance and withdrawal policies, we discontinued 16 ratings from 14 transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We had previously lowered our ratings on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls, missed interest payments, and/or credit-related reductions in interest due to loan modification. We view a subsequent upgrade to a rating higher than 'D (sf)' as unlikely under the relevant criteria within this review. "We will continue to monitor our ratings on securities that experience interest shortfalls and/or missed interest payments, and we will further adjust our ratings as we consider appropriate." ********* 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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