260222.mbx

260222.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 22, 2026, Vol. 30, No. 53 Headlines 522 FUNDING 2019-5: S&P Affirms CCC+ (sf) Rating on Class F Notes AMMC CLO 30: S&P Assigns BB- (sf) Rating on Class E-R Notes ANNISA CLO: Moody's Affirms Ba3 Rating on $20MM Cl. E-RR Notes APIDOS CLO XXX: S&P Lowers Class D-R Notes Rating to 'BB+ (sf)' BALLYROCK CLO 2020-2: S&P Raises Cl. D-R Notes Rating to 'BB (sf)' BARCLAYS MORTGAGE 2026-CES1: DBRS Gives Prov. B Rating on B2 Notes BARCLAYS MORTGAGE 2026-NQM2: S&P Assigns (P)B- Rating on B-2 Certs BARINGS CLO 2023-IV: Moody's Assigns B3 Rating to $5MM F-R Notes BBCMS MORTGAGE 2023-C20: Fitch Affirms 'B-' Rating on Cl. H-RR Debt BENCHMARK 2022-B32: Fitch Lowers Rating on Class F Debt to 'B+sf' BRAVO RESIDENTIAL 2026-NQM2: Fitch Rates Cl. B-2 Notes 'B(EXP)' BRIDGE STREET II: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BWAY COMMERCIAL 2022-26BW: DBRS Cuts Class D Certs Rating to B BX COMMERCIAL 2026-VLT9: DBRS Gives Prov. BB(low) Rating on E Certs BXMT 2026-FL6: Fitch Assigns 'B-sf' Final Rating on Three Tranches CARMAX SELECT 2026-A: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes CARVAL CLO VI-C: Fitch Assigns 'B-sf' Rating on Class F-R Notes CASTLELAKE AIRCRAFT 2026-1: Fitch Gives BB+(EXP) Rating on C Notes CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms C Rating on F Certs CITIGROUP COMMERCIAL 2015-GC33: DBRS Confirms C Rating on 3 Classes COMM 2014-CCRE14: DBRS Confirms C Rating on 3 Classes COMM 2019-521F: DBRS Cuts Class C Certs Rating to BB DC OFFICE 2019-MTC: DBRS Confirms BB(low) Rating on E Certs DRYDEN 40 SENIOR: Moody's Cuts Rating on $33MM Cl. E-R Notes to B2 EFMT 2026-INV2: S&P Assigns B- (sf) Rating on Class B-2 Certs EFMT 2026-INV2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs EFMT 2026-NQM1: Fitch Assigns 'B-sf' Final Rating on Class B2 Certs ELDRIDGE MMPC 2026-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ELLINGTON CLO II: Moody's Lowers Rating on $37.5MM D Notes to Ba2 ELMWOOD CLO 20: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes ELMWOOD CLO I: S&P Assigns BB- (sf) Rating on Class E-3R Notes FS RIALTO 2026-FL11: DBRS Finalizes B(low) Rating on 3 Classes FS TRUST 2026-ORL: DBRS Gives Prov. BB(low) Rating on E Certs GCAT TRUST 2026-NQM1: Moody's Assigns (P)Ba3 Rating to B-1 Certs GLS AUTO 2026-1: S&P Assigns BB (sf) Rating on Class E Notes HARVEST COMMERCIAL 2025-1: DBRS Confirms B Rating on M5 Notes HOMES 2026-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes HPS LOAN 3-2014: S&P Affirms B- (sf) Rating on Class D-R Notes JPMBB COMMERCIAL 2014-C26: DBRS Confirms C Rating on 3 Tranches KENNEDY LEWIS 13: S&P Assigns BB- (sf) Rating on Class E-R Notes KEY COMMERCIAL 2019-S2: DBRS Cuts Class D Certs Rating to BB KKR CLO 36: Moody's Lowers Rating on $20MM Class E Notes to B1 LHOME MORTGAGE 2026-RTL1: DBRS Finalizes B Rating on M2 Notes MADISON PARK XXXV: Moody's Assigns B3 Rating to $250,000 F-R Notes MCF CLO 11: S&P Assigns BB- (sf) Rating on Class E Notes MOFT TRUST 2020-ABC: DBRS Cuts Class B Certs Rating to BB MORGAN STANLEY 2015-MS1: DBRS Confirms C Rating on Class F Certs MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 7 Classes MORGAN STANLEY 2016-C28: Moody's Cuts Rating on Cl. C Certs to B1 MSRW 2026-CHICOS: DBRS Gives Prov. B Rating on Class HRR Certs NMEF FUNDING 2026-A: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes OBX TRUST 2026-J1: Moody's Assigns B1 Rating to Cl. B-5 Certs OCEANVIEW MORTGAGE 2026-SBC1: DBRS Finalizes B Rating on B2B Notes OCEANVIEW MORTGAGE 2026-SBC1: DBRS Gives (P) B Rating on B2B Notes OCP CLO 2026-49: S&P Assigns Prelim BB- (sf) Rating on E Notes OHS ISSUER 2026-1: Moody's Assigns Ba3 Rating to Class B Notes PFP 2026-13: Fitch Assigns 'B-sf' Rating on Class G Notes PMT LOAN 2026-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POINT AU ROCHE: S&P Assigns BB- (sf) Rating on Class E-R Notes PPM CLO 2: S&P Affirms B+ (sf) Rating on Class E-R Notes PRESTIGE AUTO 2024-1: S&P Raises Cl. E Notes Rating to 'BB- (sf)' PRIMA CAPITAL 2019-RK1: DBRS Confirms B(high) on Group T/C-T Certs PRKCM 2026-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes REGATTA XVI: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes RKTL 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes SANTANDER MORTGAGE 2026-CES1: Fitch Rates Class B2 Notes 'Bsf' SANTANDER MORTGAGE 2026-NQM2: S&P Assigns 'B' Rating on B-2 Notes SDART 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Debt SEQUOIA MORTGAGE 2026-3: Fitch Assigns B(EXP)sf Rating on B5 Certs SILVER ROCK III: S&P Assigns Prelim BB- (sf) Rating on E-R Notes STEELE CREEK 2017-1: Moody's Cuts Rating on $18MM Cl. E Notes to B2 SYMPHONY CLO 37: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes SYMPHONY CLO 52: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TOWD POINT 2026-1: Fitch Assigns B+sf Final Rating on Cl. B3 Notes TOWD POINT 2026-CES2: DBRS Gives Prov. B(high) Rating on 5 Classes TRINITAS CLO IV: S&P Affirms B- (sf) Rating on Class F-R Debts TRUPS FINANCIALS 2026-1: Moody's Assigns (P)Ba2 Rating to D Notes VASA TRUST 2021-VASA: DBRS Confirms BB Rating on Class D Certs VB-S1 ISSUER 2026-1: Moody's Assigns B2 Rating to Class M Notes VELOCITY COMMERCIAL 2026-1: DBRS Finalizes B Rating on 3 Tranches VERUS SECURITIZATION 2026-2: DBRS Finalizes BB Rating on B-1 Notes VOYA CLO 2025-5: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2016-C34: Fitch Affirms 'B-sf' Rating on Class D Debt WELLS FARGO 2026-5C8: DBRS Gives Prov. BB Rating on F-RR Certs WELLS FARGO 2026-5C8: Fitch Assigns B-(EXP)sf Rating on F-RR Certs [] DBRS Discontinues Ratings on 16 Classes From 6 CMBS Deals [] DBRS Reviews 413 Classes in 38 US RMBS Transactions [] DBRS Takes Actions on 74 Classes of 13 Data Center Transactions [] Moody's Upgrades Ratings on 7 Bonds from 2 US RMBS Deals [] Moody's Ups Ratings of 28 Bonds From 14 Deals by Towd Point [] S&P Takes Various Actions on 153 Classes From 10 US RMBS Deals ********* 522 FUNDING 2019-5: S&P Affirms CCC+ (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, and C-R2 debt from 522 Funding CLO 2019-5 Ltd./522 Funding CLO 2019-5 LLC, a CLO managed by Morgan Stanley Eaton Vance CLO Manager LLC that was originally issued in December 2019 partial refinancing in February 2022. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, and C-R debt following payment in full on the Feb. 19, 2026, refinancing date. S&P also affirmed its ratings on the class D-R, E-R, and F debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Aug. 19, 2026. -- No additional assets were purchased on the Feb. 19, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 15, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $274.50 million: Three-month CME Term SOFR + 1.02% -- Class B-R2, $67.50 million: Three-month CME Term SOFR + 1.50% -- Class C-R2 (deferrable), $27.00 million: Three-month CME Term SOFR + 1.75% Previous debt -- Class A-R, $274.50 million: Three-month CME Term SOFR + 1.33% -- Class B-R, $67.50 million: Three-month CME Term SOFR + 1.85% -- Class C-R (deferrable), $27.00 million: Three-month CME Term SOFR + 2.20% 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. "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." Ratings Assigned 522 Funding CLO 2019-5 Ltd. / 522 Funding CLO 2019-5 LLC Class A-R2, $274.50 million: AAA (sf) Class B-R2, $67.50 million: AA (sf) Class C-R2, $27.00 million: A (sf) Ratings Withdrawn 522 Funding CLO 2019-5 Ltd. / 522 Funding CLO 2019-5 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed 522 Funding CLO 2019-5 Ltd. / 522 Funding CLO 2019-5 LLC Class D-R: BB+ (sf) Class E-R: B (sf) Class F: CCC+ (sf) Other Debt 522 Funding CLO 2019-5 Ltd. / 522 Funding CLO 2019-5 LLC Subordinated Notes: NR NR--Not rated. AMMC CLO 30: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from AMMC CLO 30 Ltd./AMMC CLO 30 LLC, a CLO managed by American Money Management Corp. that was originally issued in February 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 Feb. 12, 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-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the existing debt. -- The non-call period was extended to Feb. 12, 2028. -- The reinvestment period was extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2039. -- No additional assets were purchased on the Feb. 12, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. 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." Ratings Assigned AMMC CLO 30 Ltd./AMMC CLO 30 LLC Class A-1-R, $248.0 million: AAA (sf) Class A-2-R, $12.0 million: NR Class B-R, $44.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1-R (deferrable), $24.0 million: BBB- (sf) Class D-2-R (deferrable), $4.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Ratings Withdrawn AMMC CLO 30 Ltd./AMMC CLO 30 LLC Class A-1: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C: to NR from 'A (sf)' Class D: to NR from 'BBB- (sf)' Class E: to NR from 'BB- (sf)' Other Debt AMMC CLO 30 Ltd./AMMC CLO 30 LLC Subordinated notes, $45.10 million: NR NR--Not rated. ANNISA CLO: Moody's Affirms Ba3 Rating on $20MM Cl. E-RR Notes -------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Annisa CLO, Ltd.: US$24M Class D-RR Deferrable Mezzanine Secured Floating Rate Notes, Upgraded to Aa2 (sf); previously on Oct 28, 2025 Upgraded to A1 (sf) Moody's have also affirmed the ratings on the following notes: US$50M (Current outstanding balance USD31,033,746) Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 28, 2025 Affirmed Aaa (sf) US$18M Class C-RR Deferrable Mezzanine Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 28, 2025 Affirmed Aaa (sf) US$20M Class E-RR Deferrable Junior Secured Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 28, 2025 Affirmed Ba3 (sf) Annisa CLO, Ltd., originally issued in August 2016, and refinanced in July 2018 and July 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Invesco RR Fund L.P.. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrade on the Class D-RR notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2025. The affirmations on the ratings on the Class B-RR, Class C-RR and Class E-RR notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Since the last rating action in October 2025, the Class A-RR notes have been fully repaid (USD7.7 million (5.1%)), whilst the Class B-RR notes have paid down by approximately USD19 million (38%). As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated January 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 221.75%, 169.4%, 128.36% and 106.92% compared to October 2025[2] levels of 171.13%, 145.17%, 120.74% and 105.89%, respectively. Moody's notes that the January 2026 principal payments are not reflected in the reported OC 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: USD104.1m Defaulted Securities: USD0.2m Diversity Score: 40 Weighted Average Rating Factor (WARF): 3514 Weighted Average Life (WAL): 2.81 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.46% Weighted Average Recovery Rate (WARR): 46.24% Par haircut in OC tests and interest diversion test: 2.68% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the liquidation the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. APIDOS CLO XXX: S&P Lowers Class D-R Notes Rating to 'BB+ (sf)' --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R, B-R, C-R, and D-R debt from Apidos CLO XXX. At the same time, S&P removed the ratings on the class A-2-R and B-R from CreditWatch, where it placed them with positive implications on Feb. 5, 2026. S&P also affirmed its ratings on the class A-1A-R debt from the same transaction. The transaction is a U.S. CLO managed by CVC Credit Partners U.S. CLO Management LLC that was originally issued in 2018, and subsequently refinanced in August 2024. The transaction exited its reinvestment period in October 2023. The rating actions follow S&P's review of the transaction's performance using data from the January 2026 trustee report. On Feb. 5, 2026, S&P placed its rating on the class A-2-R and B-R debt on CreditWatch with positive implications. The transaction has paid down $257.09 million to the class A-1A-R notes since the August 2024 refinancing. These paydowns improved the reported overcollateralization (O/C) ratios since the September 2024 post-refinancing trustee report: -- The class A-1A-R/A-2-R O/C ratio increased to 167.56% from 134.97%. -- The class B-R O/C ratio increased to 140.06% from 122.85%. -- The class C=R O/C ratio increased to 120.55% from 112.85%. -- The class D-R O/C ratio increased to 110.76% from 107.31%. -- The reported trustee O/Cs do not reflect the paydowns in January 2026, and so the O/C ratios will be higher than the above once the trustee calculates and reports them going forward While the O/C metrics have strengthened, the transaction has incurred par losses over time, which has limited the benefit to the more junior-rated classes because the uplift in credit enhancement was modest. Offsetting this, the collateral pool's credit quality has improved since our September 2024 rating actions. Specifically, obligations rated in the 'CCC' category declined to $17.69 million in the January 2026 report from $41.36 million reported in September 2024, and defaulted collateral was reduced to $0.65 million from $1.98 million over the same period. In addition, the transaction has benefited from collateral seasoning, with the portfolio's weighted average life decreasing to 2.89 years as of January 2026 from 3.81 years at the time of the August 2024 review. Together, these factors support stronger asset performance expectations relative to S&P's prior review. Following the increase in the credit support from their previous rating levels, all ratings other than the 'AAA (sf)' rating were upgraded. S&P said, "Although the results of the cash flow analysis indicated a higher rating on the class B-R, C-R, and D-R notes, our actions reflect our qualitative consideration of the results of extra sensitivity analysis that we ran given the portfolio's exposure to 'CCC (sf)'/'CCC- (sf)' rated collateral and to some assets with low market values." S&P said, "We affirmed the 'AAA (sf)' rating on the senior most tranche, which reflects adequate credit support at the current rating levels. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Apidos CLO XXX Ltd. Class A-2-R to 'AAA (sf)' from 'AA (sf)/Watch Positive' Class B-R to 'AA+ (sf)' from 'A (sf)/Watch Positive' Ratings Raised Apidos CLO XXX Ltd. Class C-R to 'A+ (sf)' from 'BBB- (sf)' Class D-R to 'BB+ (sf)' from 'BB- (sf)' Ratings Affirmed Apidos CLO XXX Ltd. Class A-1A-R: AAA (sf) BALLYROCK CLO 2020-2: S&P Raises Cl. D-R Notes Rating to 'BB (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on four classes of notes from Ballyrock CLO 2020-2 Ltd. and affirmed its rating on one class from the transaction. At the same time, S&P removed its ratings on two classes from CreditWatch, where they were placed with positive implications on Feb. 5, 2026. The rating actions follow its review of the transaction's performance using data from the January 2026 trustee report. The transaction has made approximately $160 million in collective paydowns to the class A-1-R notes since our Oct. 20, 2021, review. These paydowns have resulted in positive migration in the reported overcollateralization (O/C) ratios since the November 2021 trustee report, which was the first trustee report issued after the 2021 refinancing. The changes include: -- The class A O/C ratio improved to 146.94% from 131.59%. -- The class B O/C ratio improved to 130.20% from 121.97%. -- The class C O/C ratio improved to 116.88% from 113.65%. -- The class D O/C ratio improved to 111.19% from 109.90%. As the CLO amortized, the collateral portfolio's credit quality has deteriorated slightly since our October 2021 review. Collateral obligations with ratings in the 'CCC' category have increased, with reported amounts rising to $18.26 million as of the January 2026 trustee report from $6.94 million as of the November 2021 trustee report. In addition, exposure to defaulted obligations increased to $5.19 million from zero. However, the paydowns and the lower weighted average life more than offset these increases. The upgrades reflect the improved credit support available to the notes at the previous rating levels. The affirmation reflects the adequate credit support at the current rating level, though any deterioration in the credit support available to the notes could result in further rating actions. S&P said, "Our cash flow analysis indicates the potential for higher ratings for the class C-R and D-R notes. However, our rating actions also reflect additional sensitivity analyses that considered the transaction's exposure to 'CCC' collateral obligations and assets with low market prices. The class C-R and D-R notes have a more subordinated position in the capital structure, and we believe there is a greater likelihood of rating migration than the senior-most class in the capital structure. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of our cash flow analysis--and other qualitative factors, as applicable--demonstrated that the rated outstanding classes all have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Ballyrock CLO 2020-2 Ltd. Class A-2-R to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class B-R to 'AA+ (sf) ' from 'A (sf)/Watch Pos' Ratings Raised Ballyrock CLO 2020-2 Ltd. Class C-R to 'BBB+ (sf) ' from 'BBB- (sf)' Class D-R to 'BB (sf) ' from 'BB- (sf)' Rating Affirmed Ballyrock CLO 2020-2 Ltd. Class A-1-R: AAA (sf) BARCLAYS MORTGAGE 2026-CES1: DBRS Gives Prov. B Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-CES1 (the Notes) to be issued by Barclays Mortgage Loan Trust 2026-CES1 (the Trust or the Issuer) -- $173.0 million Class A-1A at (P) AAA (sf) -- $31.3 million Class A-1B at (P) AAA (sf) -- $11.7 million Class A-2 at (P) AA (sf) -- $12.7 million Class A-3 at (P) A (sf) -- $12.3 million Class M-1 at (P) BBB (sf) -- $11.0 million Class B-1 at (P) BB (sf) -- $6.4 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating reflects 21.65% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 17.15%, 12.30%, 7.60%, 3.40%, and 0.95% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of fixed, prime, expanded-prime, and closed-end second-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,015 mortgage loans with a total principal balance of $260,809,746 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is 13 months seasoned, though seasoning ranges from one to 45 months. Borrowers in the pool represent prime and expanded-prime credit quality, with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 733 and an Issuer-provided original combined loan-to-value ratio of 67.5%. As of the Cut-Off Date, 98.8% of the pool was current and 1.2% of the pool was 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, none of the borrowers are in active bankruptcy. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Owner Trustee. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodians. Citicorp Trust Delaware, National Association will act as the Delaware Trustee. As Sponsor, Sutton Funding LLC, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. On or after the earlier of (1) the Payment Date occurring in February 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be an affiliate of the Sponsor) may terminate the Issuer at a price equal to the greater of the note amounts of the related Notes plus accrued and unpaid interest, including any Net WA Coupon (WAC) Shortfalls, servicing advances, fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under a forbearance plan as of the Closing Date) that becomes 90 or more days delinquent 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. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 91.4% of the loans are designated as non-QM, 3.2% are designated as QM Rebuttable Presumption, and 1.0% are designated as QM Safe Harbor. Approximately 4.4% of the mortgages were not subject to the QM/ATR rules as they were made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not 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 be material recoveries. For this transaction, any loan that becomes 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 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 employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfall on the Notes, but such interest shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in March 2030. Notes: All figures are in U.S. dollars unless otherwise noted. BARCLAYS MORTGAGE 2026-NQM2: S&P Assigns (P)B- Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barclays Mortgage Loan Trust 2026-NQM2'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 kkof approximately six months. The mortgage loans have primarily 30-year maturities, with some loans extending to 40-year terms. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, one five- to 10-unit multifamily property, and one mixed-use property. The pool has 729 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (average prime offer rate), QM/higher-priced mortgage loan (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. The preliminary ratings are based on information as of Feb. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originators and aggregator; 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(i) Barclays Mortgage Loan Trust 2026-NQM2 Class A-1FCF, $85,436,000: AAA (sf) Class A-1LCF, $26,245,000: AAA (sf) Class A-1A, $96,402,000: AAA (sf) Class A-1B, $15,278,000: AAA (sf) Class A-1, $111,680,000: AAA (sf) Class A-2, $15,889,000: AA- (sf) Class A-3, $37,430,000: A- (sf) Class M-1, $12,070,000: BBB- (sf) Class B-1, $8,402,000: BB- (sf) Class B-2, $4,889,000: B- (sf) Class B-3, $3,514,563: NR Class SA, $120,238: NR Class XS, notional(ii): NR Class PT, $305,675,801: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)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. WAC--Weighted average coupon. NR--Not rated. BARINGS CLO 2023-IV: Moody's Assigns B3 Rating to $5MM F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Barings CLO Ltd. 2023-IV (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$5,000,000 Class F-R Secured Deferrable Junior 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 bonds. Barings 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 the seven other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2935 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. BBCMS MORTGAGE 2023-C20: Fitch Affirms 'B-' Rating on Cl. H-RR Debt ------------------------------------------------------------------- Fitch Ratings has affirmed all classes of BBCMS Mortgage Trust 2023-C20 and BBCMS Mortgage Trust 2023-C21. The Rating Outlook for all classes in both transactions remain Stable. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2023-C20 A-2 07336DAT8 LT AAAsf Affirmed AAAsf A-3 07336DAU5 LT AAAsf Affirmed AAAsf A-4 07336DAV3 LT AAAsf Affirmed AAAsf A-5 07336DAW1 LT AAAsf Affirmed AAAsf A-S 07336DBA8 LT AAAsf Affirmed AAAsf A-SB 07336DAX9 LT AAAsf Affirmed AAAsf B 07336DBB6 LT AA-sf Affirmed AA-sf C 07336DBC4 LT A-sf Affirmed A-sf D-RR 07336DAA9 LT BBB+sf Affirmed BBB+sf E-RR 07336DAC5 LT BBBsf Affirmed BBBsf F-RR 07336DAE1 LT BBB-sf Affirmed BBB-sf G-RR 07336DAG6 LT BB-sf Affirmed BB-sf H-RR 07336DAJ0 LT B-sf Affirmed B-sf X-A 07336DAY7 LT AAAsf Affirmed AAAsf X-B 07336DAZ4 LT AA-sf Affirmed AA-sf BBCMS 2023-C21 A-2 05553WAB5 LT AAAsf Affirmed AAAsf A-3 05553WAC3 LT AAAsf Affirmed AAAsf A-5 05553WAE9 LT AAAsf Affirmed AAAsf A-S 05553WAH2 LT AAAsf Affirmed AAAsf A-SB 05553WAF6 LT AAAsf Affirmed AAAsf B 05553WAJ8 LT AA-sf Affirmed AA-sf C 05553WAK5 LT A-sf Affirmed A-sf D-RR 05553WAL3 LT BBB+sf Affirmed BBB+sf E-RR 05553WAN9 LT BBB-sf Affirmed BBB-sf F-RR 05553WAQ2 LT BB-sf Affirmed BB-sf G-RR 05553WAS8 LT B-sf Affirmed B-sf X-A 05553WAG4 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating case loss for the BBCMS 2023-C20 transaction is 3.27% and 4.0% for the BBCMS 2023-C21 transaction. Fitch Loans of Concern (FLOCs) include four loans (9.5%) in BBCMS 2023-C20, including two loans (3.0% of the pool) in special servicing, and four loans (10.3% of the pool) in BBCMS 2023-C21, which includes one loan (2.1%) in special servicing. The affirmations and stable outlooks for all classes in BBCMS 2023-C20 and BBCMS 2023-C21 reflect stable performance and increased credit enhancement from scheduled amortization. Specially serviced loans in the BBCMS 2023-C20 transaction include, Cross Island Plaza (1.5%) and Wyndham National Hotel Portfolio (1.5%) and the Alma Products and Velko Hinge Portfolio (2.1%) loan in the BBCMS 2023-C21 transaction. Largest Contributors to Loss Expectations: The largest loss driver and largest increase in loss expectations since the prior rating action in the BBCMS 2023-C20 transaction is the Wyndham National Hotel Portfolio, which comprises 44 limited-service hotels (primarily Travelodge and Baymont; some Super 8 and one Days Inn) across 20 states, with the largest concentrations in KS (6), WY (6), NE (4), NM (4) and TX (3). The loan transferred to special servicing in April 2024, and is currently REO as of December 2025. Additionally, the borrower filed for bankruptcy in June 2024. Recently reported portfolio performance reflects 51% occupancy and 1.44x NOI DSCR as of June 2025, as compared to 58% and 1.84x at YE 2023. At issuance, it was noted that all but one hotel is supported by one or more contract(s) with one of four large North American railway partners: Union Pacific, BNSF, CSX and Canadian Pacific, most of which provide a set number of required minimum room nights at a fixed rate. Given their remote locations and primary reliance on railroad demand, the hotels have limited independent demand drivers. Fitch's 'Bsf' rating case loss of 31.90 % (prior to concentration adjustments) reflects the Fitch issuance NCF, cap rate of 13.5% and factors a higher probability of default to reflect the REO status of the assets which equates to a stressed value of approximately $21,000 per key. The second largest increase in loss expectations since the prior rating action and the third largest loss driver in the BBCMS 2023-C20 transaction is the Cross Island Plaza loan, which is secured by a 269,893-sf office property in Rosedale, NY. The loan transferred to special servicing in November 2025, due to non-monetary default for failure to remit excess cash and provide required financial reporting. A cash trap remains active, accruing default interest since July 2025. Occupancy has declined since issuance, with TTM September 2025 occupancy falling to 80% from 91% at issuance. Cashflow has remained in line with issuance with NOI DSCR at 1.56x as of September 2025 as compared to 1.62x at issuance. The largest tenant is OEC Freight (11.3% of NRA) which had a lease expiration in May 2025. The most recent rent roll does not provide status of renewal), however, CoStar indicates that the tenant remains in place. Fitch's 'Bsf' rating case loss of 7.2% (prior to concentration adjustments) reflects a 9.25% cap rate and a 20% stress to the TTM June 2025 NOI to reflect near-term rollover. The largest loss driver in the BBCMS 2023-C21 transaction is the Alma Products and Velko Hinge Portfolio loan, which is secured by two single-tenant industrial manufacturing facilities: a 276,000-sf property in Alma, MI (built in 1945; renovated 1989) and a 35,000-sf property in Munster, IN (built in 1987). The loan transferred to special servicing in March 2025, due to payment default. According to the borrower, Alma Products, the tenant occupying the Michigan location has struggled to meet rent obligations due to financial and liquidity issues. The special servicer is reviewing a borrower proposal to sell the Alma asset and substitute replacement collateral. Additionally, the loan is more than 60 days delinquent on property taxes. Foreclosure has been filed and a receiver was appointed in October 2025. Fitch's 'Bsf' rating case loss of 34.9% (prior to concentration adjustments) reflects the Fitch issuance NCF, cap rate of 9.0% and factors a higher probability of default to reflect the defaulted status of the loan which equates to a stressed value of approximately $30 psf. The second largest loss driver in the BBCMS 2023-C21 transaction is the Rhino Retail Portfolio II loan (8.2% of the pool), secured by a portfolio of seven retail properties in CA, OR, WA, WI and NV totaling 827.429 sf. As of YE 2024, portfolio performance has deteriorated with portfolio occupancy falling to 90% from 95% at issuance and NOI DSCR declining to 1.20x as of YE 2024 from 1.51x at issuance. Additionally, YE 2024 NOI has declined 22.6% from the originator's underwritten NOI from issuance. Fitch's 'Bsf' rating case loss of 6.8% (prior to concentration adjustments) reflects a weighted average cap rate of 9.08% across the portfolio on the YE 2024 NOI . The third largest loss driver in the BBCMS 2023-C21 transaction is the Art Ovation Hotel loan (2.9% of the pool), secured by a 162-key full-service hotel in Sarasota, FL. The hotel was built in 2018. Performance has deteriorated from issuance with the TTM Sept. 2025 NOI of $5.70 million declining 29.1% from the originator's underwritten NOI of $8.0 million at issuance, but reflecting a 6.5% increase above YE 2024. NOI DSCR of 1.56x as of TTM September 2025 remains below NOI DSCR of 1.96x at issuance. YE 2024 results reflected NCF DSCR of 1.25x as compared with 1.75x underwritten at issuance. As of the December 2024 STR report the property outperformed its STR competitive set reporting occupancy, ADR and RevPAR of 81.6%, $246 and $201 which compares with competitive set occupancy, ADR and RevPAR of 75.6%, $240 and $182, respectively. Fitch's 'Bsf' rating case loss of 8.9% (prior to concentration adjustments) reflects a 11.25% cap rate on the TTM September 2025 NOI stressed by 15% equating to a stressed value of $317,800 per key. Improving Credit Enhancement (CE): As of the January 2026 distribution date, the pool's aggregate balance for the BBCMS 2023-C20 transaction has been reduced by 1.1% to $817.33 million from $825.20 million at issuance. For the BBCMS 2023-C21 transaction the pool's aggregate balance has been reduced by 1.1% to $672.03 million from $679.26 million at issuance. There are no realized losses or cumulative interest shortfalls to date in either transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably Cross Island Plaza and Wyndham National Hotel Portfolio in BBCMS 2023-C20 and Alma Products and Velko Hinge Portfolio in BBCMS 2023-C21, deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' rating category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and stronger performance on the FLOCs. This includes Cross Island Plaza, Wyndham National Hotel Portfolio, Rhino Retail Portfolio, and North Run Business Park in BBCMS 2023-C20 and Alma Products and Velko Hinge Portfolio, Triple Net Portfolio, Art Ovation Hotel, and 500 Delaware in BBCMS 2023-C21. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2022-B32: Fitch Lowers Rating on Class F Debt to 'B+sf' ----------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed 14 classes of Benchmark 2022-B32 Mortgage Trust (BMARK 2022-B32). Fitch assigned Negative Outlooks to six classes following the downgrades. The Outlooks for five classes remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2022-B32 A-1 08163NBE4 LT AAAsf Affirmed AAAsf A-2 08163NBF1 LT AAAsf Affirmed AAAsf A-2A1 08163NAA3 LT AAAsf Affirmed AAAsf A-3 08163NBG9 LT AAAsf Affirmed AAAsf A-4 08163NBH7 LT AAAsf Affirmed AAAsf A-5 08163NBJ3 LT AAAsf Affirmed AAAsf A-S 08163NBN4 LT AAAsf Affirmed AAAsf A-SB 08163NBK0 LT AAAsf Affirmed AAAsf B 08163NBP9 LT AA-sf Affirmed AA-sf C 08163NBQ7 LT A-sf Affirmed A-sf D 08163NAL9 LT BBB-sf Downgrade BBBsf E 08163NAN5 LT BBsf Downgrade BBB-sf F 08163NAQ8 LT B+ f Downgrade BB+sf G 08163NAS4 LT B-sf Downgrade Bsf H 08163NAU9 LT CCCsf Affirmed CCCsf X-A 08163NBL8 LT AAAsf Affirmed AAAsf X-B 08163NBM6 LT A-sf Affirmed A-sf X-D 08163NAC9 LT BBsf Downgrade BBB-sf X-FG 08163NAE5 LT B-sf Downgrade Bsf X-H 08163NAG0 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increasing Loss Expectations: Deal-level 'Bsf' rating case losses are 4.4%, an increase from 3.9% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) include nine loans (18.6% of the pool), including one specially serviced loan (2.2%) The downgrades reflect increased pool loss expectations since the prior rating action, driven by deteriorating performance and refinance concerns with office FLOCs in the pool, including Dealertrack and Divvy (4.2%), , Benefitfocus HQ (2.3%), 425 Eye Street (2.3%), 45 Liberty Boulevard (1.4%), and AT&T Chicago (0.6%). The Negative Outlooks reflect the potential for downgrades should performance of the FLOCs fail to stabilize and/or deteriorate beyond current Fitch's expectations and if additional loans transfer to special servicing. The pool has a high office concentration of 52.0%. The office FLOCs include dark single-tenant properties - Benefitfocus HQ and AT&T Chicago, as well as loans with exposure to General Services Administration (GSA) tenants including 425 Eye Street. Largest Increases in Loss: The largest contributor to loss and the largest increase in loss expectations since the prior review is the Dealertrack and Divvy (4.2%) loan, secured by two office buildings totaling 318,831 sf in Draper, Utah. CoStar reports 22% of the space as available at the Dealertrack building and 19% at the Divvy building. The largest tenants, Dealer Track (18% of portfolio NRA) and Divvypay have near-term lease expirations in 2029 and 2031, respectively. As of September 2025, the property was 87% occupied with an NOI DSCR of 1.87x, compared with an NOI DSCR of 2.18x at YE 2024 and 2.28x at YE 2023. Fitch's 'Bsf' rating case loss of 11.9% (prior to concentration adjustments) reflects a 10% cap rate and a 15% stress to 2024 NOI and factors a higher probability of default due to heightening refinance risk as the loan approaches maturity in January 2027. The second-largest increase in loss since the prior rating action is the 45 Liberty Boulevard (1.4%) loan, secured by a 136,977-sf office building in Chester County, PA, approximately 26 miles northwest of central Philadelphia. The property's largest tenant, Vanguard Group, represents 64% of NRA and has an upcoming lease expiration in June 2026. According to CoStar, 100% of this space is listed as available. As of September 2025, the property was 95% occupied with an NOI DSCR of 2.79x, compared with 95% occupancy and an NOI DSCR of 3.57x at YE 2024. Fitch's 'Bsf' rating case loss of 25.4% (prior to concentration adjustments) reflects a 10% cap rate, 15% stress to 2024 NOI, and an increased probability of default given the upcoming expiration of the dark anchor tenant lease. The third-largest increase in loss since the prior rating action is Benefitfocus HQ (2.3%), secured by a 145,800-sf single-tenant office property built in 2015 in Charleston, SC. According to CoStar, the entire space has been listed as available. The loan has a maturity date in January 2027 and may face difficulty refinancing at maturity given the high availability in the submarket. CoStar reports an availability rate of 19.0% in the Daniel Island Office Submarket of Charleston. Fitch's 'Bsf' rating case loss of 15.0% (prior to concentration adjustments) reflects a 10.25% cap rate, 30% stress to 2024 NOI and factors an increased probability of default due to the high availability at the property and in the submarket, resulting in a Fitch stressed value of approximately $33.9 million equating to $232 psf. Realized Loss: The Lakeville Townhomes loan, with a balance of $7.17 million at issuance, was liquidated in September 2025 with $7.1 million in realized losses to the trust. GSA Exposure: Two loans, 425 Eye Street (2.3%) and Raleigh GSA (0.7%), have exposure to GSA tenants. 425 Eye Street, the third-largest contributor to loss, is secured by a 374,667-sf office property in Washington, DC. Two GSA tenants—Department of Veterans Affairs (64.4% of NRA) and Medicare Payment Advisory Commission (3.8%)—have lease expirations in June 2026 and August 2037, respectively. According to the servicer, a trigger event has occurred as the largest GSA tenant did not provide a notice of renewal 12 months prior to lease expiration. and Fitch's 'Bsf' rating case loss of 16.1% (prior to concentration adjustments) reflects a 30% stress to servicer-reported YE 2024 NOI and factors an increased probability of default to account for renewal uncertainty of the largest tenant. The Raleigh GSA loan is secured by a 46,697-sf single-tenant office building in Raleigh, NC. The property was built-to-suit for the Social Security Administration, with a lease expiration in August 2036. Fitch's 'Bsf' rating case loss of 9.7% (prior to concentration adjustments) reflects a 10% stress to servicer-reported YE 2024 NOI. Single-Tenant Concentration: Seven loans, representing 11.3% of the pool, are secured by single-tenant office properties, including Novo Nordisk HQ (3.4% of the pool), ADS Corporate Headquarters (2.7%), Benefitfocus HQ (2.3%), ABB Office (1.3%), Raleigh GSA (0.7%), AT&T Chicago (0.6%) and Bankwell HQ (0.5%). The AT&T Chicago loan is secured by a 93,086-sf office property in Chicago, IL. The lease expiration for AT&T is in April 2027. The property is vacant, with the entire space listed for sublease. Fitch's analysis includes a 20% stress to YE 2024 NOI and a higher probability of default, resulting in a 'Bsf' case loss of 27.4% (prior to concentration adjustments). Limited Change to Credit Enhancement (CE): Per the January 2026 remittance report, the aggregate pool balance of the transaction has been paid down 0.7% since issuance. One loan (0.3%) is fully defeased. Cumulative interest shortfalls of $131,881 are affecting the non-rated class K. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to high CE, senior the position in the capital structure and expected continued amortization and loan repayments but may occur if deal level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes currently on Rating Outlook Negative are possible with continued performance declines of the specially serviced loans and office FLOCs. The FLOCs include Moonwater Office Portfolio, vacant single-tenant property Benefitfocus HQ, 425 Eye Street (GSA exposure), 45 Liberty Boulevard, Raleigh GSA, AT&T Chicago and Metro Place. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the aforementioned FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur if additional loans are transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations from performance stabilization of the FLOCs, including Dealertrack and Divvy (4.2%), Moonwater Office Portfolio (3.6%), Benefitfocus HQ (2.3%), 425 Eye Street (2.3%), specially serviced The Onyx (2.1%), Glen Forest Office Portfolio (1.7%), 45 Liberty Boulevard (1.4%), AT&T Chicago (0.6%) and Metro Place (0.4%). Upgrades of these classes to 'AAAsf' would also reflect the concentration of defeased loans in the transaction. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2026-NQM2: Fitch Rates Cl. B-2 Notes 'B(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-NQM2 (BRAVO 2026-NQM2). Entity/Debt Rating ----------- ------ BRAVO 2026-NQM2 A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 996 loans with a total balance of approximately $519 million as of the cutoff date. Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra), ClearEdge Lending LLC and Change Lending originated approximately 32.5%, 10.9% and 10.3% of the pool, respectively, and all are considered 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Citadel, Select Portfolio Servicing (SPS) and Rocket Mortgage LLC, d/b/a Rushmore Servicing (Rushmore) will service 53.6%, 30.1% and 16.3% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM2 has a final probability of default (PD) of 41.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.0%. The expected loss in the 'AAAsf' rating stress is 17.6%. The pool consists of 996 primarily newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO of 743 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 70.9%. Fitch considers approximately 88% of the pool to be non-prime. About 14.3% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 34.8%), bank statement (39.9%) and other program (11.0%) loans. 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 76.6% of borrowers are self-employed or have unknown employment status. In addition, approximately 2.3% of the loans were originated to foreign nationals (including individual taxpayer identification number [ITIN] borrowers) and are therefore subject to a 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 original CLTV [OCLTV]). Documentation is simplified to full versus non-full, and the treatment of alternative documentation underwriting is less punitive, all else equal, resulting in lower PD levels for non-QM pools compared with the previous methodology (see Highlights and Asset Analysis Sections for more details). Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM2 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, 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 100bps, subject to the net WA coupon (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 principal and interest (P&I) advancing. 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 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 5bp z-score reduction for loans fully reviewed by a third-party review (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. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM2 to be fully de-linked and 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 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% probability of default credit was applied at the loan level for all loans graded either 'A' or 'B' DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIDGE STREET II: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bridge Street CLO II Ltd. reset transaction. Entity/Debt Rating ----------- ------ Bridge Street CLO II Ltd. X-R LT NRsf New Rating A-1R LT NRsf New Rating A-1R Loans LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1AR LT BBB-sf New Rating D-1BR LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Equity LT NRsf New Rating Transaction Summary Bridge Street CLO II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) which originally closed in September 2021 and will be managed by FS Structured Products Advisor, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 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 23.73 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.89% 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 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 4.9-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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AAsf' for class C-R, 'Asf' for class D-1R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bridge Street CLO II Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BWAY COMMERCIAL 2022-26BW: DBRS Cuts Class D Certs Rating to B -------------------------------------------------------------- DBRS Limited downgraded the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-26BW issued by BWAY Commercial Mortgage Trust 2022-26BW as follows: -- Class A to AA (low) (sf) from AA (high) (sf) -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BB (sf) from BBB (high) (sf) -- Class X to B (high) (sf) from BB (high) (sf) -- Class D to B (sf) from BB (sf) -- Class E to CCC (sf) from B (sf) Morningstar DBRS changed the trends on Classes A, B, C, D, and X to Negative from Stable. Class E has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect Morningstar DBRS' concerns regarding recent historical and expected future performance challenges at the subject property that stem from the sustained decline in occupancy since issuance coupled with the restatement of the YE2024 financials. At the last credit rating action in March 2025, Morningstar DBRS noted the overall stable financial performance of the subject property and the limited rollovers scheduled through the near to moderate term as support for the credit rating confirmations with Stable trends made at that time. However, since the March 2025 review, occupancy has declined to an all-time low and the servicer's restatement of the YE2024 expenses noted a decrease of 9.8% from the previously reported YE2024 net cash flow (NCF) and 5.6% from the previous Morningstar DBRS NCF figure of $16.3 million. With this review, Morningstar DBRS updated its loan-to-value ratio (LTV) sizing benchmark tool to reflect the most recent financial performance of the subject property, resulting in significant negative pressure throughout the capital stack, supporting the credit rating downgrades. Morningstar DBRS does not expect leasing momentum to gain significant traction because of ongoing submarket conditions and physical challenges with the subject property further supporting the Negative trends. The transaction is secured by 26 Broadway, a 29-story, 839,712-square-foot (sf) office property in Manhattan's Financial District. The $290.0 million whole loan includes $222.2 million held within the trust and $67.8 million held in companion loans. In addition, there was a $40 million mezzanine loan in place at closing, secured by the ownership interests of the borrowers. The interest-only (IO) loan is structured with a fixed rate for the entirety of its 10-year term. The loan is sponsored by the Chetrit Group, a New York-based real estate investment company that operated approximately 14 million sf of office space at issuance, the majority of which is in New York City. In 1995, the New York City Landmarks Preservation Commission designated the subject property as an official city landmark, which limits the sponsor's ability to make significant changes to the space. According to June 2025 rent roll, the property was 71.2% occupied compared with 73.0% as of YE2024 and 82.2% at issuance. The largest tenants include the New York City Department of Education (34.3% of net rentable area (NRA); lease expires in January 2039 and March 2041); Seed Suite LLC (5.8% of NRA; lease expiry in December 2027); and New York Film Academy (5.2% of NRA; lease expiry in June 2030). Two of the top five tenants are considered investment-grade: New York City Department of Education and Court of Claims (5.21% of NRA, lease expiry in January 2032). The remaining tenancy is relatively granular; however, over the next 24 months there is a tenant rollover risk totaling approximately 10% of the NRA, including the second-largest tenant, Seed Suite LLC. Morningstar DBRS expects significant leasing of vacant space to be a challenge in the near term because of the subject's location and submarket conditions. According to a Q4 2025 Reis report for the Downtown submarket, the vacancy rate was reported at 15.1%, in line with prior year's figure of 15.2%, and is expected to climb to 15.8% by 2030. According to the financials for the trailing nine-month period ended September 30, 2025, the annualized NCF was $14.4 million (debt service coverage ratio (DSCR) of 0.80 times (x)), which remains below the YE2024 NCF of $15.4 million (DSCR of 0.85x) and the Morningstar DBRS NCF of $16.3 million derived at issuance. As mentioned above, the servicer restated the financial figures for YE2024 to $15.4 million from $17.1 million (DSCR of 1.11x). The differences between the two reported YE2024 financials were solely expense driven, with the Repair & Maintenance, Payroll & Benefits, and Professional Fees line items specifically seeing notable increases. Morningstar DBRS does expect NCF to decline over the subsequent reporting periods as the continued occupancy declines are realized in the financials; however, the core of the property's tenancy, the New York City Department of Education, remains in-place on a long-term lease. According to the January 2026 reserve report, the subject has a cumulative reserve balance of $3.7 million. Given the continuous decline in occupancy and the newly restated financials illustrating a more sustained downward trend in performance, Morningstar DBRS updated its LTV sizing benchmarks for this review. Morningstar DBRS used an NCF of $14.1 million, derived by applying a 2.0% haircut to the annualized NCF for the trailing nine months ended September 30, 2025, representing a 13.6% decline from the Morningstar DBRS NCF of $16.3 million derived at issuance. Morningstar DBRS maintained the capitalization rate of 8.5% to derive an updated Morningstar DBRS value of $165.6 million that was used with this year's review. The resulting Morningstar DBRS value represents a -64.3% variance from the issuance appraised value of $465 million and implies an all-in LTV of 175.1%, exclusive of mezzanine debt, an increase from the LTV of 151.24% at the previous review. Morningstar DBRS maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 3.5%, primarily to reflect the subject property's limited rollover risks during the course of the loan term, but also to acknowledge the subject's location in New York's financial district as well as the age and challenging layout of the property. Use of the Morningstar DBRS property value noted above resulted in significant downward pressure across the capital stack, supporting the credit rating downgrades with this review. As previously noted, positive leasing momentum remains a concern with continued year-over-year declines in occupancy and should occupancy and NCF continue to deteriorate, there could be additional credit rating downgrades in the future, supporting the Negative trends. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2026-VLT9: DBRS Gives Prov. BB(low) Rating on E Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-VLT9 (the Certificates) to be issued by BX Commercial Mortgage Trust 2026-VLT9 (BX 2026-VLT9): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. BX 2026-VLT9 is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interests in three data center properties. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, geographic diversity, and desirable efficiency metrics. QTS (or the Sponsor) is one of the largest data center owners globally with a portfolio of more than 75 data centers across 20 global markets, totaling more than 1,200 customers with 99% leased capacity, including the subject portfolio. Founded in 2003, with a single data center in Kansas, QTS continued acquiring data centers and by 2008 it had a presence in Georgia, California, and Florida. QTS' Sustainability Report and QTS' Freedom standard data center design, which standardizes every element of the data center, further supports QTS' advanced purchasing model. Using consistent equipment across its portfolio of Freedom Design facilities, QTS can forward purchase hundreds of megawatts (MW) worth of equipment. QTS' Freedom data center design includes a water-free cooling system that delivers a Water Usage Effectiveness of 0.0 for data center operations and electric vehicle charging stations. Morningstar DBRS' credit ratings on the Certificates reflect the moderate leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the high quality of service provided by QTS, the access to key fiber nodes, and the technology that can maintain the data centers' relevance into the future. The subject data centers received $682 million in capital investment (approximately $7.2 million per MW) across the portfolio over the last four years to double the total leasable capacity and benefit from Tier 1 market network densities. QTS is responsible for servicing a diverse tenant base, with more than 1,200 customers around the world. The well-seasoned QTS management team boasts at least 20 years of operating history in total and a relatively strong track record. Additionally, QTS is committed to providing an environment of sustainability within its operations. It has committed to designing 100% of its buildings to green building standards, recycling 90% of operational waste by 2025, and making 100% of new builds reliant on zero water for cooling. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence (AI) applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location centers act as an on-ramp for users to gain access to the wider network or for information from the network to be routed back to users. From the standpoint of the physical plants, the subject data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy, that is built to accommodate the technology needs of today and the future. Notes: All figures are in U.S. dollars unless otherwise noted. BXMT 2026-FL6: Fitch Assigns 'B-sf' Final Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BXMT 2026-FL6, Ltd. and BXMT 2026-FL6, LLC as follows: - $562,500,000a class A 'AAAsf'; Outlook Stable; - $133,750,000a class A-S 'AAAsf'; Outlook Stable; - $75,000,000a class B 'AA-sf'; Outlook Stable; - $57,500,000a class C 'A-sf'; Outlook Stable; - $35,000,000ab class D 'BBBsf'; Outlook Stable; - $0ab class D-E 'BBBsf'; Outlook Stable; - $0abc class D-X 'BBBsf'; Outlook Stable; - $16,250,000ab class E 'BBB-sf'; Outlook Stable; - $0ab class E-E 'BBB-sf'; Outlook Stable; - $0abc class E-X 'BBB-sf'; Outlook Stable; - $35,000,000b class F 'BB-sf'; Outlook Stable; - $0b class F-E 'BB-sf'; Outlook Stable; - $0bc class F-X 'BB-sf'; Outlook Stable; - $21,250,000b class G 'B-sf'; Outlook Stable; - $0b class G-E 'B-sf'; Outlook Stable; - $0bc class G-X 'B-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 billion and does not include future funding. The total collateral interest balance includes the principal balance of delayed close collateral interests. Transaction Summary The notes are collateralized by 19 loans secured by 156 commercial properties with an aggregate principal balance of $1 billion as of the cut-off date. The loans and interests securing the notes will be owned by BXMT 2026-FL6, Ltd., as issuer of the notes. The servicer is Trimont LLC, and the special servicer is CT Investment Management Co., LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes will 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'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from KPMG LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARMAX SELECT 2026-A: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to CarMax Select Receivables Trust 2026-A (CMXS2026-A). Entity/Debt Rating ----------- ------ CarMax Select Receivables Trust 2026-A A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 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 KEY RATING DRIVERS Collateral — Subprime Credit Quality: CMXS 2026-A has stronger credit quality than subprime peers, with a weighted-average (WA) FICO score of 612 and WA loan-to-value (LTV) ratio of 98.4%. Loans with original terms greater than 60 months total 89.4% of the collateral pool, higher than 86.2% for 2025-B. Like the prior CMXS transactions, the pool is primarily backed by used vehicles, with ValuMax collateral making up 36.4% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Loss performance for the non-prime portfolio peaked in 2016 after beginning originations in 2014 and experienced subsequent improvement in 2018. Although the 2019 and 2020 vintages of CBS's managed portfolio benefited from government stimulus, net losses on the 2021 through 2023 vintages are currently tracking higher compared with all prior vintages due to impacts from continuing economic headwinds. Fitch used 2007-2009 peer proxy data, together with the 2006-2008 data from the lower credit quality segment of CAF's core portfolio as proxy recessionary managed portfolio data. To reflect recent performance, Fitch used 2022-2023 vintage data from CAF, together with 2016-2019 peer proxy data, to arrive at a forward-looking rating-case cumulative net loss (CNL) proxy of 10.00%, up from 9.25% in 2025-B and 9.00% in 2025-A and 2024-A. Payment Structure — Adequate Credit Enhancement (CE): Initial hard CE totals 27.15%, 21.10%, 12.55%, 5.60% and 3.50% for classes A, B, C, D and E, respectively. This is up or equal to all classes for 2025-B. Initial expected excess spread is 9.27%, which is higher than the 9.20% in 2025-B. Initial CE is sufficient to withstand Fitch's rating-case CNL proxy of 10.00% at the applicable rating loss multiples. Operational and Servicer Risk — Stable Origination/Underwriting/Servicing: CBS demonstrates adequate abilities as underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch deems CBS as capable to service this series. Base Case Loss Expectation Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 9.00% based on Fitch's "Global Economic Outlook - December 2025" report and peer managed portfolio performance. 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 that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts a 1.5x and 2.0x increase to the rating case CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades. If the CNL is 20% less than the projected rating case proxy, the expected ratings for the subordinate notes could be upgraded by up to five notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 125 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARVAL CLO VI-C: Fitch Assigns 'B-sf' Rating on Class F-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CarVal CLO VI-C Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- CarVal CLO VI-C Ltd. A-1 14686FAA6 LT PIFsf Paid In Full AAAsf A1-R LT NRsf New Rating A2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D1-R LT BBBsf New Rating D2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated-R LT NRsf New Rating X LT NRsf New Rating Transaction Summary CarVal CLO VI-C Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CarVal CLO 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.68, 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 97.93% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.64% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-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 'BBB+sf' and 'AA+sf' for class A2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D1-R, between less than 'B-sf' and 'BB+sf' for class D2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than '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 A2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A+sf' for class D1-R, 'A-sf' for class D2-R, and 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. CASTLELAKE AIRCRAFT 2026-1: Fitch Gives BB+(EXP) Rating on C Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings to the notes issued by Castlelake Aircraft Structured Trust 2026-1 (CLAS 2026-1): - $718,534,000 series A notes 'A(EXP)sf'/Outlook Stable; - $69,857,000 series B notes 'BBB+(EXP)sf'/Outlook Stable; - $54,888,000 series C notes 'BB+(EXP)sf'/Outlook Stable. Entity/Debt Rating ----------- ------ Castlelake Aircraft Structured Trust 2026-1 Series A LT A(EXP)sf Expected Rating Series B LT BBB+(EXP)sf Expected Rating Series C LT BB+(EXP)sf Expected Rating Transaction Summary The notes issued by CLAS 2026-1 are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 37 passenger aircraft operated by third-party lessees. Proceeds from the notes will be used to acquire assets from the seller, fund the initial expense and maintenance reserve accounts, and pay transaction fees and expenses related to the offering. As servicer, Castlelake Aviation Holdings (Ireland) Limited (Castlelake) will be responsible for managing the aircraft including aircraft leasing, maintenance and disposition. This is the sixth public Fitch-rated Castlelake transaction, and the seventh public transaction serviced by Castlelake since 2018. KEY RATING DRIVERS Asset Quality and Tiering (Neutral): The pool is largely midlife with a weighted average (WA) age of 11.6 years. Aircraft models are in high demand; the age-adjusted tier percentages are 66.2%, 21.1% and 12.7% for Tier 1, 2 and 3, respectively, by maintenance-adjusted base value (MABV). A320-200s make up the largest portion of the pool by MABV (40.7%), followed by 737-800s (25.2%), A320neos (7.2%), A330-300s (6.4%), A330-200s (6.3%), B737-MAX8s (5.5%), A321neos (4.8%) and E195-E2s (4.0%). Pool Concentration (Positive): The 37-aircraft portfolio spans 22 countries with no single country exceeding 12% of the portfolio. This balanced regional distribution reduces the transaction's vulnerability to localized economic downturns or geopolitical events in any single market. Of the 31 unique lessees, no single lessee exceeds 8% of the portfolio value. This granular distribution of lessees reduces the transaction's exposure to any individual airline's credit deterioration or operational challenges. Lessee Credit Risk (Neutral): The pool comprises 31 lessees. By aircraft value, 7% are leased to 'BBB' category lessees, 19.3% are leased to 'BB' to 'B' category lessees, and the remaining 73.7% to 'CCC' to 'CC' credits. The WA credit rating by Fitch Value (FV) is approximately 'CCC+' which is similar, albeit on the lower side, to that of other aircraft ABS transactions. All the assets are on-lease and current. Operational and Servicing Risk (Neutral): Fitch has found Castlelake to be an effective servicer with a proven track-record in the areas of remarketing, underwriting, procuring and managing aircraft maintenance, and managing a portfolio. This is evidenced by the experience of the Castlelake team and its servicing of the managed fleet. Transaction Structure (Neutral): Leverage is acceptable at 72.0% for the class A note, 79.0% for the class B note and 84.5% for the class C note. Notes amortize on a straight-line basis over varying time frames, based on the aircraft age and note class. The transaction is structured with sequential pay with A note interest and principal senior to B note interest and principal, which are, in turn, senior to the C note interest and principal in the waterfall. Concentration risk toward the end of the transaction life is mitigated through a mechanism that results in a rapid amortization event if the aircraft count drops below eight. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, please refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria,". RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'B' credits. Fitch ran a sensitivity assuming future lessees are rated 'CCC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the commercial aviation industry. The lower assumed lessee credit quality decreased gross cash flows due to increased downtime resulting from aircraft repossessions and remarketing. Expenses also rose due to repossession and transition costs. These, in turn, combined to impact the net cash flow, which impacted the model-implied ratings (MIR) of the class B and C notes. The MIR for the class A notes was unchanged, while that of class B and class C was reduced by two notches and one notch, respectively. Value Stress Sensitivity: Fitch ran a sensitivity assuming a 10% haircut to the starting FV to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of commercial aircraft values. This value sensitivity decreased gross cash flows as the lower starting FV drove lower future lease rates and disposition proceeds. The MIR for the class A notes was unchanged. The impact was a two-notch decline in MIR for classes B and C. Combined Credit Stress and Gross Rental Cash Flow Sensitivity: The combined down sensitivities of credit (CCC future lessees) and haircutting FV by 10% resulted in an unchanged MIR for the class A note. The class B MIR was reduced by three notches, while that of the C note was reduced by two notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the 'Asf' rating cap, the class A notes would not be subject to an upgrade. If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade of the class B and C notes. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms C Rating on F Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit rating on the one remaining class of the Commercial Mortgage Pass-Through Certificates, Series 2013-GC15 issued by Citigroup Commercial Mortgage Trust 2013-GC15 as follows: -- Class F at C (sf) Class F has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmation reflects Morningstar DBRS' loss expectations for the remaining three loans in the pool, all of which are in special servicing and have reported considerable value declines from issuance. Since the last review, the Spectrum Office Building loan (Prospectus ID#31) was liquidated from the pool at a loss of $7.1 million, which was in line with Morningstar DBRS' projected loss of $7.3 million. To date, the trust has incurred total losses amounting to $18.1 million, which has been contained to the nonrated Class G certificate. As of the January 2026 remittance, the trust reported a current balance of $42.2 million, representing a 96.2% collateral reduction from issuance. Interest shortfalls have continued to accrue, totaling $11.7 million as of the January 2026 remittance, an increase from the last credit rating action in March 2025, when interest shortfalls were reported at $10.8 million. Morningstar DBRS analyzed all three specially serviced loans in the pool with liquidation scenarios based on haircuts to the most recently reported appraised values for the underlying collateral, resulting in a projected cumulative loss of $35.3 million, which would erode the entirety of the nonrated Class G certificate and almost 60% of the C (sf) rated Class F certificate balance. The primary driver behind Morningstar DBRS' loss projections is the largest loan in the pool, 735 Sixth Avenue (Prospectus ID#6, 80.6% of the pool balance), which is secured by the 16,500-square-foot ground and mezzanine floor and retail portion of a 40-story multifamily property in Manhattan's Chelsea neighborhood. The asset has been real estate owned since June 2023 and reported negative net cash flows in the last few years, mainly driven by a sharp decline in occupancy which hovered around 60% as of September 2025. The December 2024 appraisal valued the property at $13.4 million, down from the January 2024 and January 2023 values of $13.7 million and $16.2 million, respectively. The trust exposure is estimated to be $42.9 million at disposition. Morningstar DBRS assumed a stressed haircut of 30.0% to the December 2024 appraised value in the liquidation scenario for this review, given the collateral's low occupancy rate and the historical trends showing precipitous declines in the asset's value since the initial default. The resulting loss of $33.6 million in Morningstar DBRS' liquidation scenario leads to a loss severity approaching 100%. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2015-GC33: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------------- DBRS, Inc. downgraded credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC33 issued by Citigroup Commercial Mortgage Trust 2015-GC33 as follows: -- Class B to BBB (sf) from A (high) (sf) -- Class C to CCC (sf) from BBB (sf) -- Class PEZ to CCC (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-D at CCC (sf) Morningstar DBRS maintained the Negative trend on Class B. There are no trends for Classes C, PEZ, D, X-D, E, F, and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades are primarily driven by Morningstar DBRS' limited tolerance for periods of shorted interest. As of the January 2026 remittance, cumulative unpaid interest totaled approximately $5.8 million, up from $2.1 million at the previous credit rating action in May 2025. All scheduled interest has been shorted on Classes D through H for nine or more reporting periods, with Class C shorted for the last three reporting periods. Given the uncertainty surrounding the timing for the disposition of the remaining assets and the propensity for future shortfalls, as discussed further below, it is unlikely that the interest shorted to Class C will be recovered within Morningstar DBRS' tolerance periods, supporting the credit rating downgrades on Classes B, C, and PEZ and the Negative trend on Class B. The credit rating downgrades also reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in May 2025, 39 loans have repaid from the pool, leaving four loans remaining as of the January 2026 remittance. Three out of the four loans, representing 72.5% of the pool, are in special servicing and are beyond their scheduled maturity dates and are currently contributing to interest shortfalls that extend into the Class C certificate. Morningstar DBRS expects all three specially serviced loans to be resolved with a loss to the trust. The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for expected servicer expenses. Across the three specially serviced loans, Morningstar DBRS is projecting total liquidated losses of $64.0 million, which would erode F through H and partially erode the balance of Class E. The largest loan in the pool and the primary driver for both interest shortfalls and Morningstar DBRS' liquidations losses, Illinois Center (Prospectus ID#1, 42.5% of the pool), is secured by two adjoining Class A office towers in downtown Chicago. The loan transferred to special servicing in April 2024 for payment default and has since matured in August 2025. The property's occupancy rate has seen declines year over year, most recently being reported at 49% as of September 2025. Per Reis, the East Loop submarket reported an average vacancy rate and rental rate of 21.8% and $24.3 per square foot as of Q4 2025. Given the sluggish market fundamentals within the Chicago central business district office market, Morningstar DBRS considered a liquidation scenario based on a conservative 25% haircut to the most recent appraised value, less the appraisal reduction amount (ARA) from August 2024, resulting in a liquidated value of $152.3 million and a loss severity of approximately 47%. Given the loan's uncertain workout strategy and poor performance, Morningstar DBRS expects interest shortalls tied to this loan to continue accumulating. The second largest specially serviced loan, Hamilton Landing (Prospectus ID#4, 27.7% of the pool), is secured by seven office buildings totaling approximately 406,000 square feet in the San Francisco Bay Area. The loan transferred to special servicing in July 2025 for imminent monetary default ahead of the loan's August 2025 maturity. Per the most recent financial reporting, the properties reported a consolidated occupancy figure of 61.6% as of September 2025, which represents a decrease from the YE2024 figure of 70%, and notably decreased from the issuance figure of 91.8%. The loan reported trailing 12-month net cash flow (NCF) of $4.9 million and a debt service coverage ratio (DSCR) of 1.84 times (x) for the period ended September 30, 2025. Both figures mark stark declines from the Issuance NCF and DSCR of $6.4 million and 2.42x, respectively. Given the loan's status in special servicing, Morningstar DBRS considered a liquidation scenario for this loan based on a stressed haircut to the most recent appraised value, less the ARA, which resulted in a liquidated value of approximately $45.6 million and implied liquidated losses of $18.4 million. Considering the loan's uncertain resolution, Morningstar DBRS expects interest shortfalls to continue building. The Decoration and Design Building (Prospectus ID#3, 27.5% of the pool) continues to be monitored on the servicer's watchlist for both occupancy and upcoming maturity risk concerns as the loan matures in May 2026. The loan is secured by the leasehold interest in an 18-story office building that is mainly used as a showroom in Midtown Manhattan, New York. The property was 64.3% occupied as of September 2025, relatively stable with the YE2024 figure of 66.7%, but trends in recent years have been showing steady decline from the occupancy rate of 94.8% at issuance. Mainly as a result of the YE2024 financial reporting not including ground rent expense, the property's NCF has fallen since YE2024, with an annualized Q3 2025 figure of $10.9 million (a DSCR of 1.13x), down from $17.4 million as of YE2024, $14.7 million as of YE2023, and the Issuer's NCF of $22.1 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE14: DBRS Confirms C Rating on 3 Classes ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE14 issued by COMM 2014-CCRE14 Mortgage Trust as follows: -- Class B at A (low) (sf) -- Class C at CCC (sf) -- Class PEZ at CCC (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) The trend on Class B is Negative. Classes C, D, E, F, and PEZ have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations reflect the recoverability expectations for the transaction, which is currently in the final stages of wind-down with just six loans remaining as of the January 2026 remittance. Since the prior credit rating action, the 149 New Montgomery loan (Prospectus ID#21; previously 10.4% of the pool), was repaid in full as of the September 2025 remittance with no reported loss to the trust, a favorable outcome compared with Morningstar DBRS' loss projection of $10.5 million. This outcome helped offset increased loss projections for some of the remaining loans since the last review, with total projected losses declining to $69.9 million from $71.8 million. The loss forecast for the 175 West Jackson loan (Prospectus ID#8; 19.9% of the pool) is a primary contributor to the overall loss amount. The collateral is a 1.5 million-square foot (sf) office tower in Chicago's central business district with a recent appraisal reporting a value decline of more than 80% from issuance. Morningstar DBRS' total projected losses would erode the entire Class E, Class F, and Class G balances, as well as approximately 35% of the Class D balance, all of which have an assigned credit rating of C (sf). The credit rating confirmation for Class B, which had an outstanding principal balance of $33.3 million as of the January remittance, reflects the expectation that the largest remaining loan in the pool, 625 Madison (Prospectus ID#3; 53.0% of the current pool balance) would be repaid in full. The $95.3 million trust balance would be sufficient to repay the entire Class B and C balances. However, as the servicer continues to short partial interest on Class C, the credit rating confirmation at CCC (sf) is warranted. In the analysis for this review, Morningstar DBRS considered conservative liquidation scenarios for each of the five specially serviced loans based on value stresses to the most recent appraised values. Individual property value haircuts range from 25.0% to 35.0%. Morningstar DBRS also considered various factors when determining the level of stress, including property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The Negative trend for Class B reflects Morningstar DBRS' concerns regarding the general uncertainty surrounding the timing for the resolution of the remaining loans in the deal. Although both Class B and Class C are ultimately expected to repay in full, the partial interest shortfall for Class C suggests the servicer's conservative approach given the deal's wind-down status, with exposure to a high concentration of loans in default. As of the January 2026 remittance, interest shortfalls had increased by approximately $2.4 million since the previous credit rating action and continue to accumulate at a rate of approximately $331,000 per month. The primary contributor to these shortfalls is the 175 West Jackson loan, for which the entire interest amount was deemed nonrecoverable by the servicer. As the workouts for the defaulted loans continue to progress, the possibility of increased fees or other expenses ultimately affecting the trust could be a factor, which could result in periods of shortfalls for Class B. The 175 West Jackson loan might be nearing a resolution, but, news published in the first week of February 2026 reported the property had been sold for $41.0 million, less than half of the November 2024 appraised value of $84.0 million, and well below the issuance value of $410.0 million and the whole-loan balance of $250.5 million. Morningstar DBRS applied the reported sale price in a liquidation scenario for this review, which resulted in a full loss to the trust. The largest loan in the pool, 625 Madison, is a pari passu loan that is also secured in the COMM 2014-CCRE15 Mortgage Trust transaction (also credit rated by Morningstar DBRS). The loan is secured by the leased-fee interest in the land under 625 Madison Avenue, a 17-story Class A office tower in Manhattan. SL Green (SLG) was the ground-lease tenant and owned the improvements; however, following a default on a mezzanine loan secured by the subject borrower's interest in the property, SLG acquired the former sponsor's interest in the land. The senior loan was modified in December 2023 to terminate the ground lease, preapprove an equity transfer in the land interest, and extend the loan maturity to December 2026, with a $25.0 million principal paydown contributed to close the modification. Related Companies (Related) was the equity interest transferee, and SLG and Related have spoken publicly about their plans to redevelop the subject property. A demolition contract was signed in August 2024 to demolish the improvements and construct a new tower that would include hotel, retail, and luxury condo space. According to a site inspection report, in September 2025, the improvements had been demolished. Based on the November 2023 appraisal, the value of the land was reported at $415.1 million, an increase from the $400.0 million appraised land value at issuance, and well above the current whole-loan balance of $168.9 million (subject trust balance of $95.3 million). Given these developments and the estimated land value, Morningstar DBRS expects the loan will ultimately be fully recovered; however, the timing remains uncertain given the ongoing redevelopment. The 16530 Ventura Boulevard loan (Prospectus ID#20; 9.7% of the pool) is secured by Encino Atrium, a 157,000-sf suburban office building in Encino, California. The loan transferred to special servicing as the borrower failed to pay off the loan at the scheduled January 2024 maturity date. The servicer's recent commentary stated that a receiver was appointed and was actively working to lease up vacant space, while efforts to sell the property were underway. Property-level occupancy has been depressed for the last several years with cash flows generally below breakeven. In comparison, the SFV - Central submarket reported an average vacancy rate of 19.7% for Q3 2025 compared with 18.0% in Q3 2024, according to Reis. An updated appraisal was made available in May 2025, valuing the collateral at $4.3 million, unchanged from the September 2024 appraised value but down 85.7% from the issuance value of $30.0 million and well below the current trust exposure of approximately $21.0 million. Given these factors, Morningstar DBRS considered a conservative 30% haircut to the 2024 appraisal in its liquidation scenario, which resulted in a full loss to the trust. The three remaining specially serviced loans -- La Terraza San Diego (Prospectus ID#24; 7.4% of the pool), Perryville Corporate Park (Prospectus ID#25; 6.3% of the pool), and Flint Creek Crossing (Prospectus ID#40; 3.7% of the pool) -- are secured by office properties in suburban San Diego, New Jersey, and Chicago, respectively. While the La Terraza San Diego loan is heading toward a foreclosure action, according to the servicer, both the Perryville Corporate Park and Flint Creek Crossing loans are real-estate owned. As a result of the tertiary market locations and underperformance of these assets, Morningstar DBRS applied 30.0% haircuts to the 2025 appraisals of the La Terraza San Diego and Perryville Corporate Park loans and a 25.0% haircut to a November 2025 appraisal for the Flint Creek Crossing loan. Projected losses from these liquidation scenarios totaled $16.8 million, with loss severities ranging from 41.0% to 66%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-521F: DBRS Cuts Class C Certs Rating to BB ---------------------------------------------------- DBRS, Inc. downgraded its credit ratings on all six classes of COMM 2019-521F Mortgage Trust, Commercial Mortgage Pass-Through Certificates, issued by COMM 2019-521F Trust as follows: -- Class A to A (sf) from AAA (sf) -- Class B to BBB (sf) from A (high) (sf) -- Class C to BB (sf) from BBB (high) (sf) -- Class D to CCC (sf) from BB (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) The trends on Classes A, B, and C remain Negative, while Classes D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss expectations for the underlying loan based on a liquidation scenario, as well as the possibility that the overall credit risks could increase through the remainder of the workout period. The loan, which is secured by an office property in New York's Grand Central submarket, transferred to special servicing in June 2024 after the borrower requested a loan modification to extend the loan's final maturity to June 2026 from June 2024. A modification agreement was never reached, however, and, as of the most recent update provided by the special servicer, the borrower and lender are engaging in a cooperative disposition strategy through a joint third-party sale. At its review in March 2025, Morningstar DBRS downgraded its credit ratings on five of the six rated classes, and changed the trends to Negative for the top four classes, reflecting both the expectation that interest shortfalls would likely continue to accumulate, exceeding the Morningstar DBRS tolerance threshold for the credit ratings on those classes, and the expected decline in value for the collateral property. As of the March 2025 review, a liquidation value of $219.6 million was considered, a figure that suggested losses would erode the majority of the Class F certificate balance. As described below, Morningstar DBRS updated its liquidation scenario to reflect an additional value stress to the most recent appraisal, and that scenario suggests losses could erode the entirety of Classes D through F and partially erode Class C. The liquidation scenario factors in current outstanding advances, projected future advances, and liquidation expenses, yielding an implied loss severity of 35.4%. The scenario suggests principal recovery for the Class A and B certificates. However, the possibility of further value deterioration and other increased credit risks through the remainder of the workout period are contributing factors for the credit rating downgrades and Negative trends maintained with this review. The $242.0 million transaction is secured by the borrower's fee-simple interest in 521 Fifth Avenue, a 495,636-square-foot (sf), 39-story Class A office property built in 1929. The space includes three underground levels and multilevel retail space, which represents 10.1% of the subject's total net rentable area (NRA). The property is well located, close to Grand Central Terminal, Bryant Park, and the New York City Public Library, and offers efficient and flexible floorplates ranging from 3,000 sf to 22,500 sf with outdoor terraces that appeal to both large and boutique tenants. It is noteworthy that, while there have been investments to modernize the common areas in recent years, the building exterior has not been significantly changed since its construction and suffers from an overall aged aesthetic with small windows and a grey stone exterior. The sponsor, Savanna Capital Partners, acquired the building in May 2019 for $381.0 million. The loan had an initial term of 24 months, with three one-year extension options, for a fully extended maturity in June 2024. Occupancy has trended downward in recent years, having decreased to 67.1% as of December 2025, compared with 68.1% as of December 2024, and cash flows are below breakeven. The largest tenant, Urban Outfitters, representing about 5.0% of NRA but 20.0% of base rent, occupies the prime Fifth Avenue retail space on the ground floor, with a lease expiring in February 2026. The tenant has announced plans to relocate to a new space but has agreed to a short-term lease extension to March 2027, at a rental rate discount of almost 40% to the current rental rate. Given its desirable location, Morningstar DBRS expects the space will attract interest from other retailers; however, the loss of income through the re-leasing period suggests increased risks, particularly given the ongoing efforts to sell the property and the outstanding loan defaults. The remainder of the rent roll is relatively granular with few tenants representing more than 5.0% of the NRA, and near-term scheduled rollover is generally minimal. The occupancy rate has been hovering between 65% and 70% since YE2023 reporting, a steep decline from the issuance occupancy rate of 93.0% and the primary contributor to the cash flow declines since. According to the Reis, Inc. (Reis) Q3 2025 market report, the Grand Central submarket reported an average vacancy rate of 11.9% for Class A buildings. Reis forecasts the overall submarket vacancy rate to increase incrementally to nearly 15.0% by mid-2030 from 11.8% as of Q3 2025. According to the servicer's provided analysis for the period ended June 30, 2025, the property generated net cash flow (NCF) of $10.2 million (with a debt service coverage ratio (DSCR) of 0.64 times (x)) compared with the YE2023 servicer reported NCF figure of $12.4 million (DSCR of 0.79x), a decline of nearly 20% over that 18-month period. Given the continued performance decline, with this review, Morningstar DBRS considered a more conservative 20.0% haircut to the August 2024 appraisal value estimate of $244.0 million, resulting in an analyzed liquidation value of $195.0 million. The current appraised value implies a cap rate of 5.1% based on the servicer's most recent full-year reporting of $12.4 million as of YE2023 NCF, which Morningstar DBRS considers to be aggressive, particularly given the more recent analysis suggesting cash flows have fallen even further. Morningstar DBRS further notes that total advances have increased to $21.3 million as of the January 2026 remittance from $9.0 million at the time of the previous credit rating action in March 2025, further reducing the proceeds to the trust at resolution. Notes: All figures are in U.S. dollars unless otherwise noted. DC OFFICE 2019-MTC: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-MTC issued by DC Office Trust 2019-MTC as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations, with the collateral continuing to exhibit healthy performance metrics per the most recent financials. The loan is secured by the Midtown Center, an 867,654-square foot (sf), 14-story Class A office campus built in 2018 in Washington, D.C. The sponsor, Carr Properties, is an experienced owner, developer, and manager of commercial properties primarily in Washington and Boston. The $404.0 million trust debt consists of three Senior A Notes, totaling $261.0 million and three subordinate B Notes totaling $143.0 million. The remaining $121.0 million of the $525.0 million whole loan is composed of pari passu A Notes, held across the BANK 2019-BNK22 (also rated by Morningstar DBRS) and COMM 2018-GC44 transactions (not rated by Morningstar DBRS). The underlying fixed-rate loan for the subject transaction is interest only (IO) through its maturity in September 2033 with an anticipated repayment date in October 2029. Per the September 2025 rent roll, the property's occupancy rate declined to 84.1% from 100%. As noted at the last review, the largest tenant, Fannie Mae (previously 85.6% of the net rentable area (NRA)), opted to remain at the property but downsize its space to 340,000 sf from 713,500 sf (approximately 41.0% of the NRA), while extending its lease through 2045. As of the September 2025 rent roll, Fannie Mae footprint has been reduced to approximately 615,000 sf (70.6% of the NRA) and future contractions totaling approximately 275,000 sf are expected to occur over the next two years. According to the January 2026 reserve report, $39.7 million are held in tenant reserves, which mainly represents Fannie Mae's contraction fees. According to the January 2026 financials, the annualized trailing nine-month ended September 30, 2025, net cash flow (NCF) remained in line with the YE2024 NCF of $44.8 million, corresponding to a debt service coverage ratio of 2.73 times. Although occupancy dropped by 15.9%, the improvement in cash flow was driven by higher base rent, which Morningstar DBRS attributes to rent steps and rental abatements beginning to burn off. The property's average rent increased to $57.62 per square foot (psf) as of September 2025 from $54.18 psf as of October 2024. Recent leasing activity includes Carr properties (1.9% of the NRA) in February 2026, which backfilled a portion of Fannie Mae's vacated space, in addition to the signings of Arentfox Schiff and Freshfields, which Morningstar DBRS noted at last review. These two tenants will collectively backfill approximately 28.0% of the NRA once their leases commence between 2027 and 2028. Given these leasing updates and minimal change in performance from the prior review, Morningstar DBRS maintained the valuation approach from the from the April 2024 review, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $42.8 million. The resulting Morningstar DBRS value is $590.9 million, reflecting a whole loan loan-to-value ratio (LTV) of 88.8%. The Morningstar DBRS value represents a -38.4% variance from the issuance value of $960.0 million. Additionally, Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmarks, totaling 4.0%, to reflect the property's quality and performance stability in the long term. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 40 SENIOR: Moody's Cuts Rating on $33MM Cl. E-R Notes to B2 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 40 Senior Loan Fund: US$30M Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 28, 2025 Upgraded to Aa1 (sf) US$33M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Apr 28, 2025 Upgraded to Baa2 (sf) US$33M Class E-R Junior Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Apr 28, 2025 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following debt: US$288.52M (Current outstanding amount US$72,009,603) Class A-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 13, 2024 Assigned Aaa (sf) US$85M (Current outstanding amount US$21,214,689) Class A Loans, Affirmed Aaa (sf); previously on May 13, 2024 Assigned Aaa (sf) US$72M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 13, 2024 Assigned Aaa (sf) US$12M Class F-R Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Apr 28, 2025 Downgraded to Caa3 (sf) Dryden 40 Senior Loan Fund, originally issued in July 2015 and later refinanced in August 2018 and May 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in August 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C-R2 and D-R notes are primarily a result of the deleveraging of the Class A-R2 notes and A Loans following amortisation of the underlying portfolio since the last rating action in April 2025. The Class A-R2 notes and A loans have paid down by approximately USD161.5 million (43.3%) since the last rating action in April 2025 and USD280.3 million (75.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 153.46%, 133.23%, 116.36% and 103.28% compared to April 2025[2] levels of 134.14%, 122.86%, 112.46% and 103.68%, respectively. Moody's notes that the February 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 downgrade to the rating on the Class E-R notes is due to the deterioration of the key credit metrics of the underlying pool since the last rating action in April 2025, with a main factor being the erosion of the portfolio par amount as a result of losses due to defaults and credit risk sales. Furthermore, according to the trustee report dated January 2026[1] the Weighted Average Spread (WAS) declined to 3.07% from 3.21% in April 2025[2]. The reduction in the WAS of the portfolio reduces the excess spread available to cover shortfalls caused by future defaults. The affirmations on the ratings on the Class A-R2 notes, Class A loans, Class B-R2 notes and Class F-R notes are primarily a result of their expected losses 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: USD302.75m Defaulted Securities: USD3.33m Diversity Score: 71 Weighted Average Rating Factor (WARF): 2812 Weighted Average Life (WAL): 3.49 years Weighted Average Spread (WAS): 3.04% Weighted Average Recovery Rate (WARR): 47.06% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the January 2026[1] trustee report was published at the time Moody's were completing Moody's analysis of the December 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. 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 debt's exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the debt are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The debt's performance is subject to uncertainty. The debt's 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 debt's 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 debt's 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 debt beginning with the debt 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 debt's 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 debt's ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. EFMT 2026-INV2: S&P Assigns B- (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to EFMT 2026-INV2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing business-purpose residential mortgage loans (some with an interest-only period) and one consumer purpose residential mortgage loan, secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, five- to 10-unit multifamily residential properties, condotels, and mixed-use properties to prime and nonprime borrowers. The pool consists of 1,229 ability-to-repay-exempt residential mortgage loans and one residential non-qualified mortgage loan backed by 1,269 properties, including 12 cross-collateralized loans backed by 51 properties. S&P said, "After we assigned our preliminary ratings on Feb. 12, 2026, the issuer decided not to issue the class A-1FCF, A-1FCX, and A-1LCF certificates on the closing date, so these classes were not assigned ratings. As a result, the class A-1A and A-1B certificate amounts were increased to $191.084 million and $36.677 million, respectively, from $137.794 million and $26.448 million. As a result, the corresponding class A-1 certificate amount was increased to $227.761 million from $164.242 million. The credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, we assigned ratings to the remaining classes that are unchanged from the preliminary ratings." The ratings reflects: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's macroeconomic and sector outlook, which consider its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings(i) Assigned EFMT 2026-INV2 Class A-1, $227,761,000: AAA (sf) Class A-1A, $191,084,000: AAA (sf) Class A-1B, $36,677,000: AAA (sf) Class A-1F, $26,316,000: AAA (sf) Class A-1IO, $26,316,000: AAA (sf) Class A-2, $35,186,000: AA- (sf) Class A-3, $52,166,000: A- (sf) Class M-1, $24,548,000: BBB- (sf) Class B-1, $19,434,000: BB- (sf) Class B-1A, $19,434,000: BB- (sf) Class B-X-1A, $19,434,000: BB- (sf) Class B-2, $13,707,000: B- (sf) Class B-3A, $5,932,000: not rated Class B-3B, $4,092,094: not rated Class B-3, $10,024,094: not rated Class A-IO-S, notional(ii): not rated Class X, notional(ii): not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. (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. EFMT 2026-INV2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to EFMT 2026-INV2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing business-purpose residential mortgage loans (some with an interest-only period) and one consumer purpose residential mortgage loan, secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, five- to 10-unit multifamily residential properties, condotels, and mixed-use properties to prime and nonprime borrowers. The pool consists of 1,229 ability-to-repay-exempt residential mortgage loans and one residential non-qualified mortgage loan backed by 1,269 properties, including 12 cross-collateralized loans backed by 51 properties. The preliminary ratings are based on information as of Feb. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflects: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's macroeconomic and sector outlook, which consider its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned EFMT 2026-INV2 Class A-1, $164,242,000: AAA (sf) Class A-1A, $137,794,000: AAA (sf) Class A-1B, $26,448,000: AAA (sf) Class A-1FCF, $46,051,000: AAA (sf) Class A-1FCX, $46,051,000(ii): AAA (sf) Class A-1LCF, $17,468,000: AAA (sf) Class A-1F, $26,316,000: AAA (sf) Class A-1IO, $26,316,000: AAA (sf) Class A-2, $35,186,000: AA- (sf) Class A-3, $52,166,000: A- (sf) Class M-1, $24,548,000: BBB- (sf) Class B-1, $19,434,000: BB- (sf) Class B-1A, $19,434,000: BB- (sf) Class B-X-1A, $19,434,000: BB- (sf) Class B-2, $13,707,000: B- (sf) Class B-3A, $5,932,000: not rated Class B-3B, $4,092,094: not rated Class B-3, $10,024,094: not rated Class A-IO-S, notional(iii): not rated Class X, notional(iii): not rated Class R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The class A-1FCX certificates will have a class notional amount equal to balance of the class A-1FCF certificates and will not be entitled to distributions of principal. Notwithstanding this, the class A-1FCX notional amount is subject to change and will be determined at the time of pricing. In the event that the fixed rate for the class A-1FCF certificates is greater than the fixed rate for the class A-1LCF certificates at the time of pricing, then the class A-1FCX notional amount will be equal to the balance of the class A-1LCF certificates. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. EFMT 2026-NQM1: Fitch Assigns 'B-sf' Final Rating on Class B2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2026-NQM1. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2026-NQM1 A1FCF LT AAAsf New Rating AAA(EXP)sf A1FCX LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf BX1A LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 1,275 loans with a balance of $566,689,208.79 as of the cutoff date. This will be the 16th EFMT transaction rated by Fitch and the first non-QM EFMT transaction in 2026. The certificates are secured mainly by nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule) and include investment properties and other loans that are not subject to ATR. The loans were originated by the following entities, as follows: 21.33% of the loans were originated by The Loan Store, Inc. (Loan Store), 25.70% were originated by LendSure Mortgage Corp. (LendSure), American Heritage (10.11%), and the remaining 42.86% were originated by various third-party originators. Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB and Nationstar Mortgage LLC d/b/a Rushmore will service the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.85% of the pool comprises loans with an adjustable rate. All ARM loans are based on the 30-day secured overnight financing rate (SOFR). Classes A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3 are fixed rate with a step-up coupon on or after February 2030 and capped at the net weighted average coupon (WAC). Class A-1F will be a floating-rate class with a per annum rate equal to the least of (i) the related benchmark plus 1.1500%, (ii) 7.000% and (iii) the class A-1F net WAC cap for such distribution date prior to February 2030. Class A-1IO will be an inverse floating-rate class with a per annum rate equal to the excess, if any, of (i) the lesser of (a) 7.000% and (b) the product of (x) the net WAC rate for such distribution date divided by the class A-1 senior blended rate and (y) 7.000% over (ii) the pass-through rate on the class A-1F certificates for such distribution date. Class A-1F will have a step-up coupon on and after February 2030, and the cap on the A-1F steps up to 8.000% on and after February 2030. Classes M-1 and B-1 are fixed rated and capped at the net WAC. Classes B-2 and B-3 will have an interest rate equal to the net WAC. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,275 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs]), condos/condotels, townhouses, townhouse/rowhouses, multifamily two- to four-unit properties, five- to 10-unit multifamily properties, mixed-use properties) totaling $566,689,208.79. There are cross-collateralized loans in the pool, which results in 1,479 properties with a total balance of $568,359,500.50. The loans are exempt from QM or are NQM loans, with the majority of the loans being underwritten to 12-24 months bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 746 according to Fitch's analysis of the pool (747 based on the transaction documents), indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 72.49%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.47%. This transaction has a final PD of 42.37 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 44.87. The expected loss at the 'AAAsf' rating stress is 19.01. Structural Analysis (Mixed): EFMT 2026-NQM1 has a modified sequential structure with limited advancing of delinquent P&I and Excess Spread. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-1F, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially first to classes A-1A, A-1B, A-1FCF, A-1LCF and A-1F and then to A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in February 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1F, A-1FCF, A-1FCX, A-1LCF, A-1IO, A-2 and A-3 classes on and after February 2030. Specifically, on any distribution date occurring on or after the distribution date in February 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF, A-1FCX, A-1IO, A-1LCF and A-1F certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after February 2030, since classes A-1A, A-1B, A-1F, A-1FCF, A-1LCF, A-1IO, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is there is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. In addition to subordination, the transaction has excess spread to protect the classes from losses, should they occur. Losses are allocated reverse sequentially starting with the B-3 class. Once the A-2 class is written off losses will be allocated on a pro rata basis (based upon the aggregate class balance of (i) the class A-1A and class A-1B certificates, (ii) the class A-1FCF and class A-1LCF certificates and (iii) the class A-1F certificates, in each case, on such distribution date), (i) sequentially, to the class A-1B and class A-1A certificates, in that order, until their respective class balances have been reduced to zero, (ii) concurrently, to the class A-1FCF and class A-1LCF certificates, pro rata (based on the respective class balance of each such class of certificates), until their respective class balances have been reduced to zero and (iii) to the class A-1F certificates, until the class balance thereof has been reduced to zero. 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 arrive at a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the third-party review (TPR) firm and that have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to 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 EFMT 2026-NQM1 to be fully de-linked and have a bankruptcy remote SPV transaction structure. All transaction parties and triggers align with Fitch's 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 EFMT 2026-NQM1; therefore, Fitch is comfortable rating the transaction at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the 10 TPR firms which are all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm that have a final grade of either A or B. Loans graded C did not receive the PD credit. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms all of which Fitch assesses as 'Acceptable'. The third-party due diligence described in Form 15E focused on three areas: compliance, credit, and valuation review. Fitch received a loan tape in the ASF format and used it for its analysis. Fitch considers the data provided robust for its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELDRIDGE MMPC 2026-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-1-L-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt from Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC, a CLO managed by Eldridge Credit Advisers LLC that was originally issued in December 2023. The current legal name for this transaction is Maranon Loan Funding 2023-2 Ltd., which is expected to change to Eldridge MMPC CLO 2026-1 Ltd. at closing. The preliminary ratings are based on information as of Feb. 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 20, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-1-L-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-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 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-1-R, A-1-L-R, A-2-R, B-R, C-1-R, D-1-R, D-2-R, E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class C-2-R debt is expected to be issued at a fixed coupon. -- The replacement class A-1-L-R is a loan class. -- The legal final maturity dates for the replacement debt and the existing variable dividend notes will be extended to Jan. 15, 2037. -- The reinvestment period will be extended to April 15, 2029. -- The non-call period will be extended to Feb. 20, 2027. -- The target initial par amount will remain at $400,000,000, and the first payment date following the refinancing is July 15, 2026. -- No additional variable dividend notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. 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 Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC Class A-1-R, $138.20 million: AAA (sf) Class A-1-L-R, $93.80 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $24.00 million: AA (sf) Class C-1-R (deferrable), $24.00 million: A (sf) Class C-2-R (deferrable), $8.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $16.00 million: BB- (sf) Other Debt Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC Variable dividend notes, $44.60 million: NR NR--Not rated. ELLINGTON CLO II: Moody's Lowers Rating on $37.5MM D Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Ellington CLO II, Ltd.: US$31,500,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes") (current outstanding balance $9,433,212.83), Upgraded to Aaa (sf); previously on February 8, 2022 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$37,500,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Downgraded to Ba2 (sf); previously on February 8, 2022 Upgraded to Baa3 (sf) Ellington CLO II, Ltd., originally issued in January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in February 2021. 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 deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2025. The Class C notes have been paid down by approximately 66% or $18.8 million since then. Based on the trustee's January 2026 report[1], the OC ratio for the Class C notes is reported at 452.47% versus January 2025[2] level of 222.12%. The downgrade rating action on the Class D notes reflects the specific risks to the junior notes posed by par loss and spread compression observed in the underlying CLO portfolio. Based on the trustee's January 2026 report[3], the OC ratio for the Class D notes is reported at 89.27% versus January 2025[4] level of 95.30%. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[5] is 2.88%, compared to 3.44% in January 2025[6]. No action was taken on the Class E notes because its expected loss remain commensurate with its current rating, 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. In addition, because of the collateral pool's low diversity, Moody's used CDOROM™ to simulate a default distribution that it then used as an input in the cash flow model. 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: $38,513,318 Defaulted par: $33,622,316 Diversity Score: 5 Weighted Average Rating Factor (WARF): 3870 Weighted Average Spread (WAS): 2.92% Weighted Average Recovery Rate (WARR): 49.89% Weighted Average Life (WAL): 1.77 years Par haircut in OC tests and interest diversion test: 17.13% 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. ELMWOOD CLO 20: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Elmwood CLO 20 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elmwood CLO 20 Ltd. X-R2 LT AAAsf New Rating A-R2 LT NRsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating F-R2 LT B-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Elmwood CLO 20 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $449 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 21.97, 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 94.99% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2 and between less than 'B-sf' and 'B-sf' for class F-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for class E-R2 and 'BBB-sf' for class F-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 20 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ELMWOOD CLO I: S&P Assigns BB- (sf) Rating on Class E-3R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-3R, A-1-3R, A-2-3R, B-3R, C-3R, D-3R, and E-3R debt from Elmwood CLO I Ltd./Elmwood CLO I LLC, a CLO managed by Elmwood Asset Management LLC, that was originally issued in Oct. 2020. At the same time, S&P withdrew its ratings on the previous class X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt following payment in full on the Feb. 17, 2026, refinancing date. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Feb. 17, 2027. -- No additional assets were purchased on the Feb. 17, 2026, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class X-3R, $1.60 million: 0.850% -- Class A-1-3R, $308.75 million: Three-month CME term SOFR + 1.12% -- Class A-2-3R, $8.75 million: Three-month CME term SOFR + 1.31% -- Class B-3R, $62.50 million: Three-month CME term SOFR + 1.40% -- Class C-3R (deferrable), $30.00 million: Three-month CME term SOFR + 1.60% -- Class D-3R (deferrable), $30.00 million: Three-month CME term SOFR + 2.65% -- Class E-3R (deferrable), $20.00 million: Three-month CME term SOFR + 5.95% Previous debt -- Class X-RR, $1.60 million: 1.000% -- Class A-1-RR, $308.75 million: Three-month CME term SOFR + 1.52% -- Class A-2-RR, $8.75 million: Three-month CME term SOFR + 1.72% -- Class B-RR, $62.50 million: Three-month CME term SOFR + 2.00% -- Class C-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.40% -- Class D-RR (deferrable), $30.00 million: Three-month CME term SOFR + 3.75% -- Class E-RR (deferrable), $20.00 million: Three-month CME term SOFR + 6.40% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability-to-pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all but the E-3R classes of debt have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-3R debt. However, we assigned our 'BB- (sf)' rating on the class E-3R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. 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, as well as 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." Ratings Assigned Elmwood CLO I Ltd./Elmwood CLO I LLC Class X-3R, $1.60 million: AAA (sf) Class A-1-3R, $308.75 million: AAA (sf) Class A-2-3R, $8.75 million: AAA (sf) Class B-3R, $62.50 million: AA (sf) Class C-3R, $30.00 million: A (sf) Class D-3R, $30.00 million: BBB- (sf) Class E-3R, $20.00 million: BB- (sf) Ratings Withdrawn Elmwood CLO I Ltd./Elmwood CLO I LLC Class X-RR to NR from 'AAA (sf)' Class A-1-RR to NR from 'AAA (sf)' Class A-2-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-RR to NR from 'BBB- (sf)' Class E-RR to NR from 'BB- (sf)' Other Debt Elmwood CLO I Ltd./Elmwood CLO I LLC Subordinated notes: NR NR--Not rated. FS RIALTO 2026-FL11: DBRS Finalizes B(low) Rating on 3 Classes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by FS Rialto 2026-FL11 Issuer, LLC (FS RIAL 2026-FL11 or the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class F-E at BB (low) (sf) -- Class F-X at BB (low) (sf) -- Class G at B (low) (sf) -- Class G-E at B (low) (sf) -- Class G-X at 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: (i) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes and (ii) 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. FS TRUST 2026-ORL: DBRS Gives Prov. BB(low) Rating on E Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-ORL (the Certificates) to be issued by FS Trust 2026-ORL (FS 2026-ORL, or the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. FS 2026-ORL is a single-asset/single-borrower (SASB) transaction secured by the borrower's fee-simple interest in the Four Seasons Resort Orlando (Four Seasons Orlando). The Four Seasons Orlando is a 444-key, AAA Five Diamond hotel and club in Lake Buena Vista, Florida, in the Golden Oak neighborhood in close proximity to theme parks and surrounding amenities. The property boasts an extensive amenity package, including approximately seven food and beverage (F&B) outlets, an 18-hole golf course, a spa, a fitness center, various sport courts, retail shops, a pool complex, and approximately 55,000 square feet (sf) of indoor and outdoor meeting and event space. The Four Seasons Orlando comes with unique benefits not available at other properties, including early entry to the parks and an on-site character breakfast. Additionally, the Four Seasons Orlando is the most luxurious asset in the Orlando market, providing an edge over its competitive set for travelers seeking a true luxury experience. The $510.0 million loan will be used by the sponsor, BDT & MSD Partners, to acquire the property for $750.0 million (after netting out the approximately $20.0 million FF&E reserve that the borrower is purchasing as part of the acquisition), with the sponsor contributing $255.0 million of equity to the transaction. The loan has a two-year initial term with three one-year extension options with interest-only (IO) payments throughout. The seller purchased the property in 2021 and invested $39.4 million in capex during its ownership period. Built in 2014, the Four Seasons Orlando's guest rooms are divided into 376 standard rooms, 60 suites, and eight specialty suites. The only rooms that have been renovated since opening are the suites. The sponsor is planning to kick off a $63.9 million capex program (subject to change) post-acquisition, which will first focus on common areas and amenities before moving onto guest rooms in two to three years. Upgrades are planned for the membership club areas, F&B outlets, pool area, game room, lobby, and spa. The property is the dominant hotel of its competitive set, which includes Hard Rock Hotel Orlando; Grand Bohemian Orlando, Autograph Collection; Ritz-Carlton Orlando, Grande Lakes; and the Waldorf Astoria Orlando. Four Seasons Orlando had YE2025 occupancy of 63.0%, average daily rate (ADR) of $1,241.71, and revenue per available room (RevPAR) of $782.73, with penetration figures of 84.5%, 259.5%, and 219.3% in this period, respectively. The property's ADR for YE2025 was more than twice the ADR of the competitive set's ADR of $478.43, a variance of $763. While the occupancy rate lags the competitive set, the property's RevPAR is also more than double its competitive set RevPAR. The number of guest rooms at the resort allows the property to accommodate and capture a large number of guests for large conferences, weddings, and popular tourist events at nearby theme parks. The Four Seasons Orlando has strong group demand, with 40% of room nights coming from groups. The property is able to attract groups to the property given its proximity to the Orange County Convention Center, one of the largest convention centers in the country, as well as its large amount of on-site meeting and event spaces, totaling approximately 55,000 sf. The hotel saw approximately 41,600 group nights in the YE2025 period, which is an approximately 8.0% increase from the approximately 38,500 in 2024. The hotel has put a strong emphasis on retaining groups as well as booking groups to multiyear contracts, both of which have been successful and the sponsor plans to continue post-acquisition. The sponsor shared that it also hopes to build on this group travel by trying to get group guests to extend their stays. In addition to its offerings for hotel guests, the Four Seasons Orlando also caters to nearby residents through its membership club, which currently has approximately 330 members. There are three tiers of access: family, individual, and junior, all of which have an option to add pool access for an additional fee. Membership benefits include access to the sport courts throughout the resort, including golf, tennis, and pickleball; gym access; member-exclusive events; and discounts throughout the hotel. The hotel's golf facility, Tranquilo Golf Club, features an 18-hole course designed by Tom Fazio, a 16-acre practice facility, a driving range, chipping and pitching areas, and practice bunkers. Members accounted for 55.9% of gold rounds in the YE2025 period, which is fairly consistent with the YE2021 to YE2024 periods. The property's F&B offerings also drive non-hotel guests to the property, highlighted by Capa, a Michelin-star Spanish steakhouse, and Epilogue, a newly created, weekend-only speakeasy. Based on the property's excellent quality, various amenities, experienced sponsorship, and irreplaceable location, Morningstar DBRS has a favorable outlook on the property's continued performance during the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT TRUST 2026-NQM1: Moody's Assigns (P)Ba3 Rating to B-1 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 9 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2026-NQM1 Trust, and sponsored by Blue River Mortgage V LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by GCAT 2024-31, LLC and GCAT 2025-33, LLC, and GCAT 2025-36, LLC originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GCAT 2026-NQM1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)Aa3 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba3 (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 1.40%, in a baseline scenario-median is 0.90% and reaches 15.31% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GLS AUTO 2026-1: S&P Assigns BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2026-1's (GCAR 2026-1) 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 54.85%, 46.41%, 36.32%, 28.18%, and 23.83% of credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post pricing stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.00% 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 (1.60x 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's believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Global Lending Services LLC (GLS) as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned GLS Auto Receivables Issuer Trust 2026-1 Class A-1, $105.00 million: A-1+ (sf) Class A-2, $231.00 million: AAA (sf) Class A-3, $135.02 million: AAA (sf) Class B, $133.18 million: AA (sf) Class C, $126.12 million: A (sf) Class D, $112.93 million: BBB (sf) Class E, $64.47 million: BB (sf) HARVEST COMMERCIAL 2025-1: DBRS Confirms B Rating on M5 Notes ------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on the following classes of notes issued by Harvest Commercial Capital Loan Trust 2025-1. -- Class A Notes AAA (sf) Confirmed -- Class M-1 Notes AA (sf) Confirmed -- Class M-2 Notes A (sf) Confirmed -- Class M-3 Notes BBB (sf) Confirmed -- Class M-4 Notes BB (sf) Confirmed -- Class M-5 Notes B (sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations are based on the following analytical considerations: -- The transactions' performance, which is within Morningstar DBRS' expectations. -- Credit enhancement is in the form of overcollateralization, a reserve account, subordination, and excess spread. Credit enhancement levels are sufficient to cover Morningstar DBRS-expected losses at their current respective rating levels. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing of first-lien, SBA 504 and conventional commercial real estate loans. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2026-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HOMES 2026-AFC1 Trust's mortgage-backed notes, series 2026-AFC1. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 785 loans, which are primarily non-qualified mortgage/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Feb. 19, 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 originator, AmWest Funding Corp.; -- 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 economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) HOMES 2026-AFC1 Trust, series 2026-AFC1 Class A-1FCF, $91,723,000: AAA (sf) Class A-1LCF, $30,574,000: AAA (sf) Class A-1A, $106,289,000: AAA (sf) Class A-1B, $16,008,000: AAA (sf) Class A-1, $122,297,000: AAA (sf) Class A-2, $24,012,000: AA (sf) Class A-3, $29,934,000: A (sf) Class M-1, $8,964,000: BBB (sf) Class B-1, $5,923,000: BB (sf) Class B-2, $3,842,000: B (sf) Class B-3, $2,881,515: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $320,150,515 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. HPS LOAN 3-2014: S&P Affirms B- (sf) Rating on Class D-R Notes -------------------------------------------------------------- S&P Global Ratings took various actions on HPS Loan Management 3-2014 Ltd. (HPS3) and HPS Investment Partners CLO (US) Subsidiary II LLC (HPSIPII). HPSIPII is a term loan facility backed by a 5% vertical strip of underlying collateral loan obligation (CLO) classes from HPS3 and up to 50% of HPS3's management fees. S&P said, "We raised the ratings on the class C-R debt from HPS3 and the class B-R and C-R debt from HPSIPII. At the same time, we affirmed our ratings on the class B-R and D-R debt from HPS3. We also lowered our rating on the class E-R notes from HPS3. Finally, we withdrew our rating on the class A-2R debt from HPSIPII. "The rating actions follow our review of the transaction's performance using data from the January 2026 trustee report of HPS3. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions." These transactions have exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. All upgrades are primarily due to an increase in credit support. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, affirm, or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of these considerations. The upgrades primarily reflect the class's increased credit support due to the senior note paydowns of the underlying CLO classes of the risk retention transactions for the respective deals, improved overcollateralization levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the classes' indicative cash flow results, exposure to 'CCC' rated and defaulted assets, and increased concentration risk, as well as the decline in the weighted recovery rate of the portfolio. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings List Rating Issuer Class CUSIP To From HPS Loan Management 3-2014 Ltd. 3-2014 B-R 40436XAG2 AAA (sf) AAA (sf) Main rationale: The cash flow passes at the current rating level. HPS Loan Management 3-2014 Ltd. 3-2014 C-R 40436XAJ6 AAA (sf) A+ (sf) Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. HPS Loan Management 3-2014 Ltd. 3-2014 D-R 40436YAA3 B- (sf) B- (sf) Main rationale: S&P said, "While our base-case cash flow results indicated a lower rating, our rating action considered the note's pure overcollateralization and the existing level of credit enhancement, which aligns with the current rating. We do not believe that this tranche aligns with our definition of 'CCC' and is not dependent upon favorable business, financial, and economic conditions to meet its financial commitment." HPS Loan Management 3-2014 Ltd. 3-2014 E-R 40436YAC9 CC (sf) CCC- (sf) Main rationale: S&P views that this class fulfills its 'CC' rating definition of virtual certainty of default. Based on the January 2026 trustee report, the aggregate balance of the transaction's assets is $58.19 million, which comprises $50.57 million performing assets and $3.34 million defaults (carried at full par). However, the outstanding aggregate balance of the rated debt (including the class E-R deferred interest) is currently $58.23 million, which is $28,115.29 higher than the value of the total assets, even assuming defaults will fully recover. HPS Investment Partners CLO (US) Subsidiary II LLC A-2R 40437AAB2 NR AAA (sf) Main rationale: The underlying tranche, class A-2R, was paid off and withdrawn in September 2025. S&P withdrew the rating of this risk retention tranche as the underlying class balance is zero. HPS Investment Partners CLO (US) Subsidiary II LLC B-R 40437AAC0 AAA (sf) AA (sf) Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. HPS Investment Partners CLO (US) Subsidiary II LLC C-R 40437AAD8 AAA (sf) BBB (sf) Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. NR--Not rated. JPMBB COMMERCIAL 2014-C26: DBRS Confirms C Rating on 3 Tranches --------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C26 issued by JPMBB Commercial Mortgage Securities Trust 2014-C26 as follows: -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class X-C at BBB (sf) -- Class C at BBB (low) (sf) -- Class EC at BBB (low) (sf) -- Class D at CCC (sf) -- Class X-D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-E at C (sf) Classes D, E, F, X-D, and X-E have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The trends on the remaining classes are Stable. The credit rating confirmations reflect the recoverability expectations for the remaining loans in the pool and some positive developments for select loans that were recently returned to the master servicer. At the previous credit rating action in February 2025, Morningstar DBRS downgraded its credit ratings on Classes C and D because of the accumulation of interest shortfalls combined with the transfer of the International Corporate Center loan (Prospectus ID#21, 9.3% of the current pool balance) to special servicing. At that time, Morningstar DBRS projected $97.6 million in losses for seven specially serviced loans. Since then, three loans have been repaid without a loss to the trust, resulting in $70.0 million of principal repayment, while four previous specially serviced loans were returned to the master servicer as corrected mortgages. As of the January 2026 remittance, the Heron Lakes (Prospectus ID#4, 16.1% of the pool) and International Corporate Center loans remained in special servicing. As part of its review, Morningstar DBRS analyzed both loans, along with one additional loan of concern, with liquidation scenarios, resulting in $102.4 million of projected losses, which would completely write down the certificate balances of Classes E, F, and the non-rated class and approximately 10.0% of the Class D certificate balance. It should be noted that the previous specially serviced St. John Knits Campus loan (Prospectus ID#27, previously 4.7% of the pool) was liquidated from the pool in February 2025 with no loss to the trust. During its previous credit rating action, Morningstar DBRS projected a loss of $6.9 million for the loan. The Stable trends for Classes B and C reflect the recoverability expectations for the largest loan in the pool, 500 Fifth Avenue (Prospectus ID#1, 33.1% of the pool) and the St. Louis Premium Outlets loan (Prospectus ID#6, 14.2% of the pool). Both loans are performing, and recent valuations show that leverage levels support the expectation of a full repayment. The combined $135.9 million of principal proceeds would fully repay the Class B and C certificate balances and approximately 50% of the Class D balance. As of the January 2026 remittance, interest shortfalls continued to accrue, having increased by approximately $3.3 million from the previous credit rating action and are accumulating at a rate of approximately $411,000 per month. The primary contributor to these shortfalls is the Heron Lakes loan, for which the entire interest amount was deemed nonrecoverable by the special servicer. Interest shortfalls are currently contained to Class D, which was shorted approximately 75% of the interest due to that class for the January 2026 reporting period. Total nonrecoverable interest is reported at $277,853 per month. Morningstar DBRS assumed conservative advancing assumptions for loans that exhibited elevated default risk that may ultimately lead to additional shorted interest. The outcome of these assumptions shows that interest shortfalls are likely to be contained to the Class D certificate, supporting the Stable trends on Classes B and C. In the analysis for this review, Morningstar DBRS considered conservative liquidation scenarios for the two specially serviced loans and 1515 Market (Prospectus ID#2, 19.9% of the current pool balance), a loan of concern that recently transferred back to the master servicer. The resulting values were based on haircuts to the most recent appraised values or aggressive capitalization rates applied to recent cash flow figures. As mentioned above, the total projected losses from specially serviced loan liquidation scenarios are $102.4 million. The largest contributor to the loss projections is associated with the Heron Lakes loan, which was originally secured by a seven-building office campus in the West Bel submarket of Houston. The loan transferred to special servicing in 2018 and has been real estate owned (REO) since June 2020. Performance has lagged issuance expectations since 2018, and the most recent figures reported show a net cash flow (NCF) figure at less than half of the Morningstar DBRS NCF derived at issuance. According to the October 2025 rent rolls, the collateral was 62.4% leased, up from 51.4% at YE2024. Since issuance, three of the seven buildings were sold including the 7840 and 7900 North Sam Houston Parkway West buildings, which were sold in January 2025 and April 2025, respectively, while the 7850 North Sam Houston Parkway West building was sold in October 2024. Collective sale proceeds were used in part to fund servicer advances, according to recent servicer commentary. The most recent appraisal from November 2024 valued the collateral at $18.5 million, a 73.9% decline from the issuance appraised value of $71.0 million. Given the tepid demand for office properties in Houston, Morningstar DBRS applied a conservative 35% haircut to the most recent appraised value, resulting in a total loss of $44.3 million, with a loss severity of 96%. The other loan in special servicing, International Corporate Center (Prospectus ID#21, 9.3% of the current pool balance), is secured by a 165,889-square-foot (sf) office building in suburban Rye, New York, and transferred to special servicing in May 2024 for imminent monetary default. The loan matured in December 2024 with the borrower and lender engaged in discussions regarding a new management agreement; however, no formal workout has been decided. According to recent servicer commentary, the collateral was 71.0% occupied, down from 91.0% at issuance. The Rye submarket reported a Q4 2025 average vacancy rate of 26.5%, according to Reis, Inc. (Reis), up from 24.9% the year prior. No updated financial reporting was provided; however, the most recent financials from 2023 show a debt service coverage ratio (DSCR) of 0.41 times (x). The property was appraised in September 2025 for $11.4 million (a whole-loan loan-to-value ratio (LTV) of 234%), down 28.3% from the September 2024 value of $15.9 million and 72.2% below the $41.0 million appraised value at issuance. Given the precipitous decline in value and occupancy, soft submarket fundamentals, and stalled leasing traction, Morningstar DBRS analyzed the loan with a liquidation scenario with this review, applying a 30.0% haircut to the September 2025 appraised value, resulting in a total loss of $19.5 million and a loss severity of 73.0%. The pool's second-largest loan, 1515 Market, is secured by a Class A office tower in Philadelphia's central business district. The loan transferred to special servicing in September 2023 for imminent maturity default. The loan was modified in September 2024 extending the maturity date to July 2025, which included an equity injection from the borrower. A second loan modification closed in September 2025 that extended the loan's maturity date to July 2027 and split the loan into a $27 million A-tranche and a $30.2 million B-tranche in addition to a $7.0 million equity injection from the borrower. The loan was ultimately returned to the master servicer as a corrected mortgage in December 2025. A primary concern at the prior credit rating action was the renewal plans for the largest tenant, Temple University of the Commonwealth (26.0% of the net rentable area, lease expiring June 2027). According to recent servicer commentary, the tenant purchased an office property in downtown Philadelphia and will be vacating at lease expiration. The September 2025 reporting noted an occupancy rate of 70.5%, compared with the issuance occupancy rate of 88.7% and the Q4 2025 greater Center City submarket vacancy rate of 15.4%, according to Reis. The property was appraised in April 2025 for $28.0 million, down from the $60.5 million and $87.0 million appraised values from February 2024 and issuance, respectively. Given the largest tenant's near-term departure and low cash flows, Morningstar DBRS analyzed the loan liquidation scenario with this review, applying a 25.0% haircut to the April 2025 appraised value, resulting in a total loss of $38.7 million and a loss severity of 68.0%. Notes: All figures are in U.S. dollars unless otherwise noted. KENNEDY LEWIS 13: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-2R, B-R, C-1R, C-2R, D-R, and E-R debt from Kennedy Lewis CLO 13 Ltd./Kennedy Lewis CLO 13 LLC, a CLO managed by Kennedy Lewis Loan Management LLC that was originally issued in November 2023. The replacement A-1R debt will not be rated. At the same time, S&P withdrew its ratings on the previous class B-1, B-2, C-1, C-2, D-1, D-2, and E following payment in full on the Feb. 17, 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 Jan. 20, 2027. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 20, 2038. -- Target initial par amount was reduced to $394.843 million from $400.000 million. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1R, $248.75 million: Three-month CME term SOFR + 1.14% -- Class A-2R, $11.85 million: Three-month CME term SOFR + 1.40% -- Class B-R, $43.40 million: Three-month CME term SOFR + 1.50% -- Class C-1R (deferrable), $17.00 million: Three-month CME term SOFR + 1.85% -- Class C-2R (deferrable), $7.00 million: 5.546% -- Class D-R (deferrable), $22.00 million: Three-month CME term SOFR + 3.25% -- Class E-R (deferrable), $14.25 million: Three-month CME term SOFR + 6.75% Previous debt -- Class A-1, $194.50 million: Three-month CME term SOFR + 1.80% -- Class A-1L loans, $50.00 million: Three-month CME term SOFR + 1.80% -- Class A-2, $11.50 million: 6.43% -- Class B-1, $37.00 million: Three-month CME term SOFR + 2.65% -- Class B-2, $11.00 million: 7.27% -- Class C-1 (deferrable), $11.00 million: Three-month CME term SOFR + 3.00% -- Class C-2 (deferrable), $13.00 million: 7.62% -- Class D-1 (deferrable), $17.50 million: Three-month CME term SOFR + 5.00% -- Class D-2 (deferrable), $4.50 million: 9.62% -- Class E (deferrable), $12.00 million: Three-month CME term SOFR + 8.04% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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." Ratings Assigned Kennedy Lewis CLO 13 Ltd./Kennedy Lewis CLO 13 LLC Class A-2R, $11.85 million: AAA (sf) Class B-R, $43.40 million: AA (sf) Class C-1R (deferrable), $17.00 million: A (sf) Class C-2R (deferrable), $7.00 million: A (sf) Class D-R (deferrable), $22.00 million: BBB- (sf) Class E-R (deferrable), $14.25 million: BB- (sf) Ratings Withdrawn Kennedy Lewis CLO 13 Ltd./Kennedy Lewis CLO 13 LLC Class B-1 to NR From 'AA (sf)' Class B-2 to NR From 'AA (sf)' Class C-1 to NR From 'A (sf)' Class C-2 to NR From 'A (sf)' Class D-1 to NR From 'BBB- (sf)' Class D-2 to NR From 'BBB- (sf)' Class E to NR From 'BB- (sf)' Other Debt Kennedy Lewis CLO 13 Ltd./Kennedy Lewis CLO 13 LLC Class A-1R, $248.75 million: NR Subordinated notes, $42.00 million: NR NR--Not rated. KEY COMMERCIAL 2019-S2: DBRS Cuts Class D Certs Rating to BB ------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2019-S2 issued by Key Commercial Mortgage Trust 2019-S2 as follows: -- Class D to BB (sf) from BBB (sf) -- Class E to C (sf) from BB (sf) -- Class F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class X at AA (low) (sf) Morningstar DBRS changed the trend on Class D to Stable from Negative and maintained the Stable trends on Classes A-3, A-S, B, C, and X. Classes E and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. At the September 2025 credit rating action, Morningstar DBRS changed the trends on Classes D, E, and F to Negative from Stable because of concerns surrounding the sole loan in special servicing, 180 North Wacker Drive (Prospectus ID#2, 10.1% of the pool). Since then, an updated appraisal was provided that valued the property at $7.0 million, which is below the loan amount of $10.7 million. With this review, Morningstar DBRS analyzed the loan with a liquidation scenario based on a 30% haircut to the most recent appraised value, resulting in a projected loss of approximately $8.0 million. The loss amount fully erodes the balance of the unrated Class G certificate, the rated Class F certificate, and 27.9% of the rated Class E certificate. This scenario reduces implied credit support for Class D, thereby supporting the credit rating downgrades. In addition, interest shortfalls have increased to $0.24 million, compared with $0.12 million at the last review. Although the servicer has been advancing the majority of the interest owed for 180 North Wacker Drive, given the uncertainty regarding the loan's resolution timing and the potential for further value declines, the risk of interest shortfalls reaching more senior bonds is elevated, further supporting the credit rating downgrades. As of the January 2026 remittance, 23 loans remained in the pool, representing a collateral reduction of 32.2% since issuance. One loan, representing 2.4% of the pool balance, is on the servicer's watchlist and four loans, representing 23.7% of the pool balance, are defeased. The credit rating confirmations and Stable trends reflect the ongoing performance for the majority of the pool, which reported a weighted-average YE2024 debt service coverage ratio (DSCR) of 1.83 times (x), excluding the 180 North Wacker Drive loan. Additionally, the pool is well diversified by property type, with loans secured by office, retail, and self-storage representing 17.8%, 17.7%, and 16.9% of the pool balance, respectively. Additionally, even with the conservative liquidation scenario, the investment-grade rated classes remain well insulated from loss and increasing interest shortfalls in the near term, further supporting the credit rating confirmations and Stable trends. The 180 North Wacker Drive loan is secured by the leasehold interest in a 72,088-square-foot office building in Chicago's West Loop submarket. The loan transferred to special servicing in February 2025 for imminent monetary default and was last paid through in March 2025. The property was reappraised in July 2025, reflecting a value of $7.0 million, which is a large decline from the issuance value of $18.9 million. Although the deal was last reviewed in September 2025, the July 2025 value was not available at that time. As of June 2025, the property was 63% occupied and reported a DSCR of 0.16x, a departure from the already depressed YE2024 figures of 71% and 0.77x, respectively. According to Reis, office properties in the West Loop submarket reported a Q4 2025 vacancy rate of 16.4%, an increase over the Q4 2024 reported figure of 13.7%. There is rollover risk as tenants representing 10.5% of net rentable area have leases scheduled to roll in the next 12 months as of June 2025. Considering the ongoing low performance, soft office submarket, and value declines and general uncertainty surrounding the timing of the loan's resolution, Morningstar DBRS analyzed the loan with a liquidation scenario based on a conservative haircut to the most recent appraised value, resulting in an implied loss of $8.0 million and a loss severity of approximately 75%. Notes: All figures are in U.S. dollars unless otherwise noted. KKR CLO 36: Moody's Lowers Rating on $20MM Class E Notes to B1 -------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by KKR CLO 36 Ltd.: US$20M Class E Senior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Nov 2, 2021 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$315M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 3, 2025 Assigned Aaa (sf) KKR CLO 36 Ltd., originally issued in November 2021 and partially refinanced in September 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period will end in October 2026. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration of the weighted average spread (WAS) of the portfolio since the last rating action in September 2025. The portfolio WAS has deteriorated since the last rating action in September 2025. According to the trustee report dated December 2025[1], the WAS is reported at 3.21% compared to June 2025[2] level of 3.41%. Moody's notes that the Minimum Floating Spread Test is currently failing. The affirmation on the rating on the Class A-R notes is primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Key model inputs: The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on 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: USD484.5m Defaulted Securities: USD3.1m Diversity Score: 77 Weighted Average Rating Factor (WARF): 3007 Weighted Average Life (WAL): 4.48 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Coupon (WAC): 4.47% Weighted Average Recovery Rate (WARR): 46.13% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability 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: -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- 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. LHOME MORTGAGE 2026-RTL1: DBRS Finalizes B Rating on M2 Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on LHOME Mortgage Trust 2026-RTL1 (LHOME 2026-RTL1 or the Issuer) as follows: -- $282.6 million Class A1 at A (low) (sf) -- $21.6 million Class A2 at BBB (low) (sf) -- $25.8 million Class M1 at BB (low) (sf) -- $20.1 million Class M2 at B (sf) The A (low) (sf) credit rating reflects 23.30% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 17.45%, 10.45%, and 5.00% 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) to be funded by the issuance of the Mortgage-Backed Notes, Series 2026-RTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 585 mortgage loans with a total unpaid principal balance of approximately $150,020,307 -- Approximately $150,000,000 in the Accumulation Account -- Approximately $68,400,746 in the RP Accumulation Account -- Approximately $3,000,000 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. LHOME 2026-RTL1 represents the 24th RTL securitization issued by the Sponsor, Kiavi Funding, Inc. (Kiavi). Kiavi was founded in 2013 as LendingHome Funding Corporation and re-branded as Kiavi in November 2021. Kiavi is a privately held technology-enabled lender that provides business-purpose loans for real estate investors engaged in acquiring, renovating and either reselling or holding for investment purposes single-family residential properties. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may 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 740. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 91.5%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 73.0%. 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 multifamily 5+ properties (the latter is limited to 5.0% of the 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 Asset Manager. In the LHOME 2026-RTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, -- 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, or -- With a portion of the loan proceeds held back by the Servicer (Interest Reserve Holdback Amounts) for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for (1) approved rehab, construction, or repairs of the property or (2) interest (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 LHOME 2026-RTL1 eligibility criteria, unfunded commitments are limited to 40.0% of the portfolio by aggregate principal limit. 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) 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. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will satisfy Disbursement Requests by (1) for loans with funded commitments, directing release of funds from the Rehab Escrow Account or the Interest Reserve Holdback Account as applicable or (2) for loans with unfunded commitments, (A) directing the release of funds from the Accumulation Account to fund Rehabilitation Disbursement Request or Payment Account to Interest Draw Election; (B) advancing funds on behalf of the Issuer (Rehabilitation Advances); or (C) advancing funds on behalf of the Issuer (Interest Draw Advance). The Servicer will be entitled to reimburse itself for Disbursement Requests from time to time from the Accumulation Account. The Asset Manager may direct the Paying Agent to remit funds from the RP Accumulation to the Accumulation Account in accordance with the Indenture and the REMIC provisions. 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 CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum CE 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 the minimum CE for the rated Notes. 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. A Pre-Funding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $3,000,000. On the payment dates occurring in February 2026, March 2026, and April 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Kiavi RTL originations 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 Kiavi'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 the related credit rating report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or 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 less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative unpaid principal balance of the mortgage loans. During the reinvestment period, if the Depositor 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. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to repurchase a loan because of a material breach, a material document defect, or the loan is a non-REMIC qualified mortgage. -- The Depositor elects to exercise its Repurchase Option. -- An automatic repurchase is triggered in connection with the third-party, due diligence review. -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Kiavi, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by mortgage properties that are within certain disaster areas. Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the affected area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with representations and warranties (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. MADISON PARK XXXV: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXXV, Ltd. (the Issuer): US$6,500,000 Class X-R Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$416,000,000 Class A-1-R2 Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of assets that are not senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $650,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2938 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or 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. MCF CLO 11: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to MCF CLO 11 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 Apogem Capital LLC. At the same time, we withdrew our ratings on the corporate loan warehouse facility under the same issuer name, which merged into and closed in connection with this transaction. 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 MCF CLO 11 LLC Class A-1, $227.00 million: AAA (sf) Class A-1L loans(i), $5.00 million: AAA (sf) Class A-2, $3.00 million: AAA (sf) Class A-2L loans(i), $13.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class B-L loans(i), $6.00 million: AA (sf) Class C (deferrable), $28.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $52.40 million: NR Ratings Withdrawn MCF CLO 11 LLC Class A loans to NR from 'AA (sf)' Class B loans to NR from 'A (sf)' Class C loans to NR from 'BBB- (sf)' (i)Class A-1L loans, A-2L loans, and B-L loans can convert all or a portion of their balance into the class A-1, A-2, or B debt, respectively, which will increase the outstanding amount of the corresponding note class by the amount converted with a decrease in the outstanding amount of the corresponding loan class. No notes can be converted into loans. NR--Not rated. MOFT TRUST 2020-ABC: DBRS Cuts Class B Certs Rating to BB --------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-ABC issued by MOFT Trust 2020-ABC: -- Class A to BBB (low) (sf) from A (low) (sf) -- Class X-A to BBB (sf) from A (sf) -- Class B to BB (sf) from BBB (low) (sf) -- Class C to B (high) (sf) from BB (low) (sf) -- Class D to CCC (sf) from B (low) (sf) Classes A, B, C, and X-A have Negative trends. Class D has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades and Negative trends reflect Morningstar DBRS' outlook on the transaction given the likely upcoming significant decline in the leased rate of the collateral, the collateral net cash flow (NCF), and the corresponding property values as a result of the forthcoming departure of Google LLC (Google). These concerns are exacerbated by additional tenant rollover risk over the 10-year loan term coupled with a soft submarket. Loan collateral includes the fee-simple interest in three Class A office buildings, known as Moffett Towers A, B, and C, totaling more than 950,000 square feet (sf) in Sunnyvale, California. The properties are 100% leased to five tenants but are only 14.3% occupied. Google leases 85.7% of the total net rentable area (NRA) across the three buildings via three separate leases, including the entirety of Towers A and B. The entirety of its space was reported as fully dark, according to the April 2024 property inspection reports. The lease for Tower A (33.3% of the total NRA) has an upcoming expiry in June 2026, and the servicer has confirmed Google will vacate upon lease expiry. To date, the borrower has been unsuccessful in backfilling the building despite the extended availability period. Similarly, Google has not been able to sublease any space, and the submarket has reported a vacancy rate above 20.0% for the past three years. With this credit rating action, Morningstar DBRS updated its value for the collateral to reflect the loss of revenue from Google at Tower A. The analysis is consistent with the Morningstar DBRS-rated Benchmark 2020-IG2 and IG3 transactions. The updated NCF of $39.8 million represents a -21.0% variance from the $50.4 figure Morningstar DBRS used in its prior review. Morningstar DBRS maintained the capitalization rate of 7.25% and decreased qualitative adjustments to the Loan-to-Value Ratio (LTV)-Sizing benchmarks to 5.0% to reflect increased cash flow volatility given the upcoming Google lease expirations. The Morningstar DBRS concluded value of $549.0 million represents a -52.1% variance from the issuance appraised value of $1.15 billion and implies an all-in LTV of 140.2%. The Morningstar DBRS value warrants the credit rating downgrades and Negative trends. The transaction consists of a $328.0 million participation in a $770.0 million whole mortgage loan. The components of the whole mortgage loan securitized in this transaction include $1.0 million of the senior trust notes and all of the $327.0 million in junior trust notes. The remaining $442.0 million of senior trust notes are securitized across seven commercial mortgage-backed security (CMBS) transactions. As early as January 2023, there were reports indicating Google would reduce its office footprint nationwide with a focus on its California and New York exposure. In addition to its space at Tower A, Google occupies approximately 180,000 sf at Tower C (19.0% of the total NRA) and the entirety of Tower B (33.3% of the total NRA). These leases expire in September 2027 and December 2030, respectively. While Google continues to pay rent, similar to Tower A, there are no subleases in place and there is no potential leasing activity at this time, according to the servicer. For the purposes of this review, Morningstar DBRS expects Google will not renew its leases, exposing the transaction to heightened vacancy and declining NCF risks. In 2025, Google paid approximately $18.1 million in rent at Tower A. According to Reis, Inc., the Sunnyvale submarket vacancy rate in Q4 2025 was 22.9%, in line with Q4 2024 figures, suggesting the weakened submarket fundamentals will continue to complicate leasing efforts. The transaction benefits from the cash trap trigger as, since October 2025, the lender has been trapping excess cash, estimated at approximately $2.3 million per month in addition to an existing $36.0 million tenant reserve. Following Google's first lease expiry in June 2026, the loan is expected to remain current as the collateral will generate enough cash flow have an above breakeven debt service coverage ratio given the low fixed interest rate of 3.49%. While there has been no positive material leasing to date, the staggered lease expirations of Google and availability of reserves will allow the borrower additional time and capital to offer prospective tenants competitive tenant-improvement packages in an attempt to secure new leases. The credit ratings on Classes A, B, and C are higher than those implied by the LTV Sizing tool benchmarks. These variances are warranted given the borrower has the time and margin to improve the performance at the property as the loan doesn't mature until 2030, performance remains above breakeven, and there are considerable in-place reserves that are expected to increase given the cash sweep that should give the borrower additional leverage when negotiating leases for prospective tenants. 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. MORGAN STANLEY 2015-MS1: DBRS Confirms C Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1 as follows: -- Class D to BB (high) (sf) from BBB (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class E at CCC (sf) -- Class F at C (sf) Morningstar DBRS maintained the Negative trend on Class D. The trends on all other classes are Stable, with the exception of Classes E and F, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities transactions. The credit rating downgrade and Negative trend reflect Morningstar DBRS' concerns regarding outstanding interest shortfalls, which are approaching Morningstar DBRS' maximum tolerance for consecutive months of outstanding shortfalls for a BBB (sf) category credit rating. Additionally, there is uncertainty surrounding the ultimate recoverability expectations for the pool, specifically the largest loan in the pool, 300 South Riverside Plaza Fee (Prospectus ID#2, 39.1% of the pool), which is discussed in further detail below. As of the January 2026 remittance, cumulative interest shortfalls totaled $1.6 million, up from $0.3 million at the time of the previous Morningstar DBRS credit rating action in May 2025. Class D has been accruing interest since December 2025 and in the current analysis, Morningstar DBRS deemed shortfalls would exceed the three- to four-month maximum tolerance, supporting the credit rating downgrade. The transaction is in wind down with the five of the original 54 loans remaining in the pool, representing a collateral reduction of 80.7% since issuance. Three of those loans, representing 73.2% of the pool balance, are in special servicing. In the analysis for this review, Morningstar DBRS liquidated four of the five remaining loans (96.6% of the pool) based on a haircut to the most recent appraisal values, resulting in projected cumulative losses of $44.9 million, which would fully erode the Class F and nonrated Class G certificate balances and would partially erode the Class E certificate balance. The reduction in credit support for Class D further supports the credit rating downgrade with this review. The Negative trend for Class D reflects Morningstar DBRS' concern of adverse selection as this class is exposed to further reductions in credit support if the remaining underlying collateral experience further value deterioration. The 300 South Riverside Plaza Fee loan (Prospectus ID#2A2; 39.1% of the current pool balance) is secured by the borrower's leased-fee interest in the 2.1-acre land parcel under 300 South Riverside Plaza, a 1 million-square-foot (sf) office building in Chicago's West Loop submarket. The loan transferred to special servicing in November 2025 because of monetary default, after the borrower notified the lender that ground lease payments would no longer be remitted by the leasehold tenant. At issuance, the borrower entered into a 99-year ground lease agreement with the ground lessee in a sale lease-back transaction with an annual ground rent payment initially set at $9.9 million and annual increases equal to the lesser of 3.0% and the consumer price index. Morningstar DBRS notes the leasehold owner has been in default on the $175.0 million loan, held outside of this transaction, after not repaying at the loan's maturity in December 2022. The collateral interest is paid through September 2025. While the most recent servicer reported financials as of June 2025 reflect the collateral being fully occupied, the property's website has about 10.7% of net rentable area (NRA) listed as available, and media reports suggest that second-largest tenant Zurich American Insurance (10.2% of NRA) will be reducing its footprint and several other tenants are subleasing portions of their spaces, all of which contributes to the property's inability to generate sufficient cash flow to cover debt service payments. While the underlying collateral benefits from superior quality and a desirable location, Chicago's central business district remains saturated with an abundance of supply leading to significant leasing challenges for the overall office and likely value deterioration. As of Q4 2025, Reis, Inc. reported a vacancy rate of 16.4% for the West Loop submarket, and projects the figure to gradually increase to 20.7% by YE2027. Given the loan-specific challenges and taking into consideration the healthy overall performance to date, Morningstar DBRS analyzed this loan with a 30% haircut to the issuance appraisal value of $229.0 million, resulting in expected losses of $8.4 million, or a loss severity of 12.5%. Morningstar DBRS will continue to monitor the loan for additional updates pertaining to the workout strategy and property performance. The primary driver of Morningstar DBRS' liquidated losses in the current review is related to the analysis of the Waterfront at Port Chester loan (Prospectus ID #4, 31.2% of the pool), which is secured by a 350,000-sf retail property in Port Chester, New York. The loan transferred to special servicing in April 2025 for maturity default. According to servicer reporting, the property's occupancy rate declined to 78.0% as of September 2025 compared with 88.0% as of YE2024 and 96.0% at issuance. Net cash flow (NCF) has been volatile over the last few reporting periods, most recently reported at $6.9 million (reflecting a debt service coverage ratio (DSCR) of 1.21 times (x)) as of September 2025 compared with $5.7 million as of YE2024 (DSCR of 1.00x) and $9.3 million at issuance. Given the recent declines in the occupancy rate, Morningstar DBRS expects NCF has likely experienced further volatility. The collateral was recently re-appraised in June 2025 for $80.0 million, a decline from the September 2020 appraisal value estimate of $106.0 million. In the analysis for this review, the loan was liquidated based on a 20.0% haircut to the June 2025 appraised value, resulting in an implied loss of $31.9 million and a loss severity of 59.6%. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 7 Classes ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C28 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 as follows: -- Class A-S to AA (sf) from AAA (sf) -- Class X-B to BBB (low) (sf) from A (high) (sf) -- Class B to BB (high) (sf) from A (sf) -- Class C to C (sf) from BB (high) (sf) -- Class D to C (sf) from CCC (sf) -- Class X-D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class E-1 at C (sf) -- Class E-2 at C (sf) -- Class F-1 at C (sf) -- Class F-2 at C (sf) -- Class E at C (sf) -- Class EF at C (sf) -- Class F at C (sf) The trends on Classes A-S, B, and X-B are Negative. Classes C, D, E-1, E-2, F-1, F-2, X-D, E, EF, and F have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The trends on Classes A-4 and X-A are Stable. At the previous credit rating action in March 2025, Morningstar DBRS downgraded 12 classes to reflect increased loss projections from the three loans in special servicing, driven primarily by the Princeton Pike Corporate Center loan (Prospectus ID#5; 12.2% of the pool balance) and several larger loans on the servicer's watchlist including the Navy League Building (Prospectus ID#4; 13.6% of the pool). The rationale for the Negative trends placed on four classes with that credit rating action signaled the potential for further credit deterioration as the transaction continues to wind down. The credit rating downgrades for Classes C and D with this review reflect the increased loss projections based on a recoverability analysis for the 15 remaining loans in the pool, 10 of which are in special servicing and eight of which recently defaulted. As a result, projected liquidated losses have increased to $117.1 million from $96.5 million, eroding the entire Class F-2, F-1, E-2, E-1, and D certificate balances in Morningstar DBRS' scenario and approximately 65% of the Class C balance, supporting the credit rating downgrades to C (sf) for those classes. The credit rating downgrades and persisted Negative trends on Classes A-S and B reflect accruing interest shortfalls that, as of the January 2026 remittance, total $10.5 million, up $3.1 million from March 2025. Shortfalls continue to accumulate from all nine specially serviced assets at a rate of $180,000 per month, primarily driven by nonrecoverable interest contributed by the DoubleTree by Hilton - Cleveland, OH loan (Prospectus ID#13; 6.3% of the current pool balance), and special servicing fees for the remaining loans. Although the Class A-S and B certificates remain well insulated from loss and continue to receive full interest due, Morningstar DBRS is concerned about the timing around the disposition of the remaining assets. As the workouts for the defaulted loans continue to progress, the possibility of increased adverse selection and/or increased fees or other expenses ultimately affecting the trust could be a factor, which could ultimately affect interest payments for the Class B and A-S certificates. The credit rating confirmation and Stable trend on the Class A-4 certificate, which had an outstanding principal balance of $133.5 million as of the January 2026 remittance, is largely reflective of the ultimate recoverability expectations for the Penn Square Mall loan (Prospectus ID#1; 22.2% of the pool). Although the investment-grade shadow-rated loan, secured by a 1.1 million-square-foot (sf) regional mall in Oklahoma City, transferred to special servicing in November 2025 for maturity default, credit metrics remain healthy and the loan benefits from sponsorship in Simon Property Group. The September 2025 annualized financials reported a debt service coverage ratio (DSCR) of 2.06 times (x) and an occupancy rate of 89.4%. The $90 million trust balance comprises the senior A-1B note; the whole loan balance of $206.5 million implies a whole-loan loan-to-value (LTV) ratio of 31.0% based on the $660 million appraised value from issuance. As of the January 2026 remittance, 15 of the original 42 loans remained outstanding with a pool balance of $378.6 million, representing a collateral reduction of 60.4% since issuance. Since the prior credit rating action, 21 loans were successfully repaid and one loan, Princeton Pike South Corporate Center (Prospectus ID#6; previously 5.8% of the pool), was liquidated from the trust in February 2025, contributing a realized loss of $31.1 million, below the $37.4 million loss assumption at the prior credit rating action. In addition, the DoubleTree by Hilton - Cleveland, OH loan incurred a $10.5 million loss attributed to the recuperation of nonrecoverable advances. The largest contributor to Morningstar DBRS' projected losses is Princeton Pike Corporate Center, an eight-building suburban office complex in Lawrenceville, New Jersey. The loan transferred to special servicing in February 2024 for imminent monetary default and is currently delinquent, having last paid in June 2025 and matured on January 1, 2026. The consolidated collateral occupancy rate has fallen significantly, reported at 44.8% as of the February 2025 rent rolls, a decline from the September 2023 figure of 59.5%. In addition, 15 tenants representing 15.2% of net rentable area (NRA) have leases that recently expired or are scheduled to expire in the next 12 months. According to Reis, office properties within the Trenton submarket reported an average vacancy rate of 14.7% as of Q3 2025. Although an updated appraisal was not available, Morningstar DBRS referred to the recent liquidation price of $12.3 million ($48 per sf) for the Princeton South Corporate Center loan to help derive a liquidation price for the subject loan. As such, Morningstar DBRS liquidated the loan from the pool with an 80.0% haircut to the issuance value of $199.0 million, resulting in a total loss of $38.4 million and a loss severity of 77.0%. The second-largest loan in special servicing is the Navy League Building, secured by a 191,000-sf office building in Arlington, Virginia. The loan recently transferred to special servicing in October 2025 ahead of its December 1, 2025, maturity date. According to recent servicer commentary, counsel has been engaged to establish receivership and initiate foreclosure proceedings. Although cash flow levels are unchanged from 2023, they remain below the Morningstar DBRS net cash flow (NCF) with a DSCR that has remained below breakeven since 2020. As of September 2025, the property was 69.1% occupied, up from 57.1% in September 2023; however, tenants representing 22.3% of NRA have leases that recently expired or are scheduled to expire in the next 12 months. According to Reis, office properties within the Rosslyn/Courthouse submarket reported an average vacancy rate of 26.6% for the Q3 2025 reporting period, up from 25.5% at Q3 2024. Given the loan's recent transfer, an updated appraisal was not available. However, Morningstar DBRS did look to recent appraisals received for another loan collateralized by a similarly located portfolio of properties for comparison purposes. Based on that comparison and the subject's poor historical performance, a conservative 70.0% haircut to the issuance appraised value of $97.7 million was assumed in the liquidation scenario, resulting in a total loss of $33.2 million and a loss severity of 60.0%. The DoubleTree by Hilton - Cleveland, OH loan is secured by a 379-key full-service hotel. The loan has been in special servicing since 2019 and the listed workout for the loan is a discounted payoff; however, a timeline for disposition remains uncertain. Since before the pandemic, the property has underperformed its competitive set, and the borrower has failed to submit updated financial reporting. The property was most recently appraised in February 2024 at a value of $16.6 million, 58.5% below the $40.0 million value at issuance and insufficient to cover the $25.4 million loan balance. Given the location and performance history, Morningstar DBRS assumed a conservative liquidation scenario for the loan that included a 30.0% haircut to the February 2024 appraised value, resulting in a total loss of $19.0 million and a loss severity of 75.0%, not inclusive of previous realized losses related to the aforementioned recuperation of advances. Besides the Penn Square Mall loan, the six remaining specially serviced loans contribute $26.5 million to total projected losses, with loss severities ranging from 15.0% to 52.0%. The loans are secured by a regional mall, office, retail, and lodging properties and were analyzed with conservative haircuts to the most recent appraised values. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C28: Moody's Cuts Rating on Cl. C Certs to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28, Commercial Mortgage Pass-Through Certificates, Series 2016-C28 as follows: Cl. A-4, Downgraded to Aa2 (sf); previously on Aug 6, 2024 Affirmed Aaa (sf) Cl. A-S, Downgraded to A3 (sf); previously on Aug 6, 2024 Downgraded to Aa3 (sf) Cl. B, Downgraded to Baa2 (sf); previously on Aug 6, 2024 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Aug 6, 2024 Downgraded to Baa3 (sf) Cl. X-A*, Downgraded to Aa2 (sf); previously on Aug 6, 2024 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Baa1 (sf); previously on Aug 6, 2024 Downgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were downgraded due to higher anticipated losses and increased risk of interest shortfalls due to the significant exposure to specially serviced loans. Ten of the 15 remaining loans (81.7% of the pool) are in special servicing due to weakened collateral performance and/or maturity default. The largest specially serviced loan, the Penn Square Mall (23.8% of the pool), remains current on its monthly debt service payments but has suffered from declining cash flow in recent years and was unable to pay off at its original maturity date. Eight of the remaining specially serviced loans were last paid through November 2025 or prior payment dates as of the January 2026 remittance statement. The two largest delinquent specially serviced loans, the Navy League Building (14.6% of the pool) and Princeton Pike Corporate Center (13.1% of the pool), are secured by office properties with significant occupancy and cash flow deterioration. As of the January 2026 remittance, nearly all loans have now passed their original maturity dates and given the higher interest rate environment and loan performance, Moody's do not anticipate significant near-term loan paydowns. While Moody's rated P&I classes did not have any interest shortfalls as of the January 2026 remittance date, there would be higher risks of interest shortfalls and higher potential losses if the outstanding loans remain or become further delinquent. The downgrades also reflect the recent $41.6 million loss reported in the November 2025 remittance resulting from a loan liquidation and the servicer's recoupment of outstanding advances. Furthermore, there are still outstanding cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $3.8 million on the outstanding specially serviced loans. The ratings on the two IO (interest-only) 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 references all classes senior to and including Cl. A-4, however, Classes A-1, A-2, A-3 and A-SB have previously paid off in full and Cl. A-4 is its only outstanding referenced class. Moody's rating action reflects a base expected loss of 26.1% of the current pooled balance, compared to 13.4% at Moody's last review. Moody's base expected loss plus realized losses is now 14.7% of the original pooled balance, compared to 10.8% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 81.7% of the pool is in special servicing. 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 loan to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 16, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 60% to $378.6 million from $955.6 million at securitization. The certificates are collateralized by 15 remaining mortgage loans, of which 14 have passed their original maturity dates and ten loans are already in special servicing. One loan representing over 6.7% of the pool was deemed non-recoverable and there are cumulative outstanding advances (P&I, T&I, other expenses and unpaid advance interest) of $3.8 million. One loan has been liquidated from the pool, contributing to an aggregate realized loss of $41.6 million. The realized losses are due to a combination of the liquidated loan and the servicer reimbursement of non-recoverable advances. As of the January 2026 remittance statement cumulative interest shortfalls were $10.5 million and impacted up to Cl. E. Moody's anticipates interest shortfalls will continue and may increase due to the exposure to specially serviced loans and delinquent loans. The largest specially serviced loan is the Penn Square Mall Loan ($90.0 million - 23.8% of the pool), which represents a pari passu portion of a $206.5 million senior mortgage loan. There was also subordinate mortgage debt of $103.5 million for a total mortgage loan of $310.0 million. The loan is sponsored by Simon Property Group and secured by approximately 777,300 SF of a 1.1 million SF super-regional mall located in Oklahoma City, Oklahoma, approximately five miles from the CBD. Anchor tenants at the property include Dillard's Women's, Dillard's Men's, Children's and Home (all part of collateral), and Macy's and JC Penney (both non-collateral). Based on the June 2025 rent roll, occupancy for the total property was 90%. The property's NCF for 2024 was $27.1 million, which was about 6% below the NOI in 2023 and 19% lower than in 2019. The decline in property performance has been mainly due to lower revenues, driven by lower in-line occupancy from 2019 levels. The loan is interest-only through its entire term and Moody's LTV on the senior pooled portion of this loan is 74%. The second largest specially serviced loan is the Navy League Building Loan ($55.2 million -- 14.6% of the pool), which is secured by an approximately 191,000 SF, seven-story, Class A office building located in downtown Arlington, Virginia, less than five miles from Washington, D.C. The largest tenant, Brazim Ventures LLC (15% of NRA), has a lease expiration in January 2033. The property was 75% leased as of September 2025, compared to 57% at year-end 2023 and 75% at year-end 2024. Per the special servicer, several tenants, including Excella Consulting Inc (13.1% of NRA, lease expiration in September 2025) and Associated General (8.5% of NRA, lease expiration in December 2025) were dark or expected to be vacant at lease expiration. Excluding these tenants, the occupancy would be reduced to approximately 50%. Due to the lower occupancy, the property's annualized NOI as of September 2025 was 28.5% lower than in 2016 and the September 2025 NOI DSCR was below 1.00X. Due to the recent departures, Moody's expects the NOI may decrease further in 2026. The loan transferred to the special servicer in October 2025 and is last paid through its November 2025 payment date. The loan has passed its original December 2025 maturity date and servicer commentary indicates the special servicer is currently engaged in discussions with the borrower regarding potential resolution strategies, while simultaneously pursuing the appointment of a receiver. The third largest specially serviced loan is the Princeton Pike Corporate Center Loan ($49.6 million – 13.1% of the pool) which represents a pari passu portion of a $129 million mortgage loan. The property is also encumbered with a $17.0 million mezzanine note. The loan is secured by eight, Class B suburban office buildings totaling approximately 809,500 SF located in Lawrence Township, New Jersey. The loan previously transferred to special servicing in April 2021 but the loan returned to the master servicer in December 2021 after a loan modification was executed in September 2021 to include interest-only payments. However, the loan transferred back to special servicing in February 2024 and the occupancy was only approximately 43% in October 2025 and the 2024 NOI was 36% lower than in 2016 with further near term declines expected due to recent occupancy trends. The loan was last paid through its July 2025 payment date and special servicer commentary indicates that negotiations are ongoing regarding modification terms. The fourth largest specially serviced loan is the Greenville Mall Loan ($36.6 million – 9.7% of the pool), which is secured by a Class B regional mall located in Greenville, North Carolina. The collateral consists of 406,464 SF of total retail space in a one-story building and two restaurant-occupied outparcels, with 2,109 surface parking spaces available. As of the November 2025 rent roll, the property was 96% occupied and stores listed as in-line tenants were 87% leased. As of September 2025 the loan reported an NOI DSCR of 1.51X and has amortized nearly 19.4% since securitization. The property's NOI has been relatively stable since 2019, however, the 2024 performance remains marginally below levels at securitization. The loan was transferred to special servicer in November 2025 due to maturity default and was last paid through its October 2025 payment date. The special servicer commentary indicated they have retained counsel and were proceeding with discussions with the borrower. The fifth largest specially serviced loan is the DoubleTree by Hilton – Cleveland, OH Loan ($25.4 million – 6.7% of the pool), which is secured by a 17-story, 379-room full-service hotel located in downtown Cleveland, Ohio. The loan has been in special servicing since October 2019 and was last paid through its April 2020 payment date as of the January 2026 remittance date. The loan has been deemed non-recoverable by the master servicer and servicer commentary indicates that the property is actively marketed for sale, with offers expected soon. The remaining five specially serviced loans account for a combined 14.0% of the pool, and are collateralized by a combination of office, retail properties and one hotel property. Moody's expected an aggregate loss of $99 million (a 45% expected loss on average) from nine of the specially serviced loans (excluding the Penn Square Mall). The largest non-specially serviced loan is the 40 West Plaza Loan ($25.4 million – 6.7% of the pool). The loan is secured by a community shopping center that contains 203,406 SF in Catonsville area of southwestern Baltimore County in Maryland. As of September 2025, the property was 100% leased, the same as in 2024 and compared to 87% in 2023, and 99% in 2016. As of September 2025, the loan reported an NOI DSCR of 1.74X and has amortized nearly 10.8% since securitization. The property's NOI has generally been above 2016 levels and the loan does not mature until February 2028. Moody's LTV and stressed DSCR are 98% and 1.10X, respectively, compared to 101% and 1.07x at last review. The second largest non-specially serviced loan is the Solar Plaza & Sunbelt Professional Centre Loan ($23.9 million -- 6.3% of the pool), which is secured by portfolio of two office properties comprising 192,926 SF located in Oxnard, California. As of September 2025, the property was 94% leased, compared to 93% in 2024 and 85% in 2016. The loan reported an NOI DSCR of 1.66X as of September 2025 and has amortized nearly 14.3% since securitization. The property's NOI has been improving since 2021, however, the 2024 performance remains marginally below levels at securitization. Moody's LTV and stressed DSCR are 103% and 1.08X respectively, compared to 107% and 1.05X at the last review. The loan passed its January 2026 maturity date and was last paid through its December 2025 payment date, however, servicer commentary indicates the borrower requested a payoff quote and the loan is being actively monitor for its maturity resolution. MSRW 2026-CHICOS: DBRS Gives Prov. B Rating on Class HRR Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series MSRW 2026-CHICOS (the Certificates) to be issued by MSRW Commercial Mortgage Trust 2026-CHICOS: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) B (high) (sf) -- Class HRR at (P) B (sf) All trends are Stable. MSRW 2026-CHICOS single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 510,962-square-foot (sf) office campus in Fort Myers, Florida, approximately six miles south of downtown Fort Myers and 11 miles north of Southwest Florida International Airport. The campus was purpose-built for Chico's Folk Art Specialties (Chico's) in multiple phases between 1985 and 2013. Chico's has occupied 100% of the property since 1994, gradually increasing its footprint to 10 buildings in 2013. However, Chico's entered into four separate subleases for 49,770 sf, or 9.7% of the net rentable area (NRA), and currently occupies eight of the 10 buildings. The campus serves as Chico's headquarters and can accommodate 700 employees. The campus was renovated in 2006 and 2012, and approximately $4.5 million was invested into the property since 2020. In order to acquire the property, the sponsor obtained a second mortgage at a premium. The loan is structured with a $70.0 million second mortgage of which only $38.3 million of proceeds will be given to the sponsor at the closing of the loan. Because of neutering provisions in the subordination and intercreditor agreement, the second mortgage will act as subordinate debt to the senior loan and not have a claim on the collateral until the senior loan is completely paid off. The senior loan is expected to fully amortize over the 10-year term with no interest-only period. During this period, the second mortgage will be accruing at a rate where the outstanding principal and interest balance will reach $100.1 million at the end of Year 10. Sycamore Partners Management L.P. (Sycamore) closed a take-private transaction in January 2024, resulting in the integration of Chico's into Sycamore's KnitWell brand. KnitWell generated sales of approximately $5.0 billion in 2024 operating multiple brands such as Ann Taylor, Loft, and Talbot across 3,000 stores in North America. Sycamore boasts approximately $11 billion in aggregate committed capital, which is deployed across approximately 23 companies. The sponsor for this transaction is 271 Realty Capital LLC (271 Realty). Founded in 2018 by brothers Michael Marcus and David Marcus, 271 Realty is an investment management company that primarily focuses on investing in single-tenant net lease properties. Since its inception, 271 Realty has purchased 12 single-tenant distribution warehouses totaling more than 60 million sf and $6.0 billion in value. Notable transactions include the $675 million sale leaseback of Verizon Wireless' headquarters in New Jersey, and the $165.0 million purchase of UnitedHealthcare's headquarters in Minnesota. Notes: All figures are in U.S. dollars unless otherwise noted. NMEF FUNDING 2026-A: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to the NMEF Funding 2026-A, LLC (NMEF 2026-A) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by North Mill Equipment Finance, LLC (NMEF). It is the second Fitch-rated transaction of the equipment contract backed notes issued under the NMEF platform. Entity/Debt Rating ----------- ------ NMEF Funding 2026-A, LLC A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 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 KEY RATING DRIVERS Collateral Performance — Diverse Segment Mix: The 2026-A transaction consists primarily of contracts secured by the following equipment types: medical (21.63%), services/retail (18.49%), construction/agriculture (12.22%), vocational (11.97%) and transportation (8.27%). The medical equipment segment was first included in the 2019-A transaction and is the strongest-performing segment to date. Similarly, 2026-A has experienced a positive shift in credit tiers, with approximately 77.96% in the best credits, tiers 1 and 2, compared with 74.09%-82.84% in transactions since 2024-A. The weighted average (WA) FICO score is 737, the second-highest to date for the platform, after 746 in 2025-B. Given the generally low obligor concentrations, the stress loss approach is the primary rating driver. Forward-Looking Approach to Derive Rating Case Loss Proxy: While default performance has been volatile historically for North Mill's managed portfolio and securitizations, net losses have largely improved due to shifts in collateral mix and improved credit tiering. Recent vintages have experienced marginally higher losses, attributable to the recent stress in the transportation sector. Fitch accounted for this volatility by assuming a stressed recovery rate and incorporating the performance of recent 2019-2021 vintages in its forward-looking rating case cumulative net loss (CNL) proxy derivation of 7.25%. Concentration Risk — Concentrated Transportation Collateral, but Obligor Concentration Low: The pool has 23.26% exposure to the transportation sector (vocational, transportation and trailer equipment types), higher than 18.87% for 2025-B, which has been under stress for over a year. The top 10 obligors represent 6.13% of the 2026-A pool, down from 8.48% in 2025-B; no obligors represent more than 1.19% of the pool. Initial credit enhancement (CE) to class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors, respectively, on a net coverage basis at close, under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2026-A is down for all classes compared to 2025-B, but the second highest since 2019-A. Total initial hard CE for NMEF 2026-A class A, B, C, D and E notes is 38.15%, 31.05%, 24.35%, 16.65% and 11.90%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 10.90% of the initial discounted pool balance. Additionally, all classes benefit from 0.50% per annum of excess spread. At a 7.25% rating case CNL proxy, the transaction structure can support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes North Mill has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 6.00%, based on its global economic outlook and asset class outlook and North Mill's managed pool and historical securitization performance. 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 that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage available to the notes. Unanticipated decreases 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. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch increases the rating case CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. These analyses are intended to indicate the rating sensitivity of notes to an unexpected deterioration in a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for class B, C, and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 100 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through via the link contained at the bottom of the related rating action commentary. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OBX TRUST 2026-J1: Moody's Assigns B1 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 73 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-J1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (88.3% by balance) and GSE-eligible (11.7% 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 MAXEX Clearing LLC (MAXEX; 4.0% by loan balance) and Onslow Bay Financial LLC (Onslow Bay; 14.3%). 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, 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-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-30, Definitive Rating Assigned Aaa (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa1 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on January 23, 2026, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A 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 0.28%, in a baseline scenario-median is 0.12% 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. OCEANVIEW MORTGAGE 2026-SBC1: DBRS Finalizes B Rating on B2B Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings to the following classes of Mortgage-Backed Securities (Notes) to be issued by Oceanview Mortgage Trust 2026-SBC1: -- Class A at AAA (sf) -- Class AIO at AAA (sf) -- Class M1A at AA (high) (sf) -- Class M1B at AA (sf) -- Class M1C at AA (low) (sf) -- Class M2A at A (high) (sf) -- Class M2B at A (sf) -- Class M2C at A (low) (sf) -- Class M3A at BBB (high) (sf) -- Class M3B at BBB (sf) -- Class M3C at BBB (low) (sf) -- Class B1A at BB (high) (sf) -- Class B1B at BB (sf) -- Class B1C at BB (low) (sf) -- Class B2A at B (high) (sf) -- Class B2B at B (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral consists of 704 individual loans secured by 762 commercial, multifamily, and single-family rental (SFR) properties with an average loan cut-off balance of $556,326 (unless noted otherwise, average refers to straight average). The transaction is configured with a pro rata pay pass-through structure. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "Rating and Monitoring North American CMBS Multi-Borrower Transactions" and "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology." Of the 704 individual loans, 369 loans, representing 50.3% of the pool, have a fixed interest rate with an average of 9.13%. The floating-rate loans are structured with interest rate life floors ranging from 2.50% to 13.99% with a straight average of 8.99% and interest rate margins ranging from -0.38% to 5.99% with a straight average of 1.94%. To determine the probability of default and loss given default inputs in the CMBS Insight Model for the floating-rate loans, Morningstar DBRS applied a stress to the various indexes that corresponded with the fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. Morningstar DBRS looked to the greater of the interest rate floor or the Morningstar DBRS stressed index rate when calculating stressed debt service. The average modeled coupon rate across all loans was 9.9%. The loans have original terms of 10 years to 30 years and amortize over periods of 15 years to 30 years. When the cut-off loan balances were measured against the Issuer underwritten net cash flow and their respective actual constants or stressed interest rates, there were 502 loans, representing 72.4% of the pool, with term debt service coverage ratios (DSCRs) of less than 1.21 times (x), a threshold indicative of a higher likelihood of term default. Additionally, there were 263 loans, representing 38.2% of the pool, with term DSCRs of less than 1.00x. The pool has an average original term length of 339 months or 28.3 years with an average remaining term of 312 months or 26.0 years. Based on the original loan balance and the broker's price opinion from October 2025 to November 2025, the pool had a Weighted-Average Issuance Loan-to-Value ratio (LTV) of 56.7%. Morningstar DBRS made LTV adjustments to 230 loans that had an implied capitalization rate (cap rate) of more than 200 basis points lower than a set of minimal cap rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum cap rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 67.7% Furthermore, 678 loans fully amortize over their respective remaining loan terms, resulting in 98.3% expected amortization; this is not representative of typical commercial mortgage-backed security (CMBS) conduit pools, which have substantial concentrations of interest-only (IO) and balloon loans. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% to 22.0%, with a median rate of 16.5%. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. There are prepayment penalties on all loans within the pool. As such, Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. As a result of higher interest rate and lending spreads, 268 loans (approximately 38.2% of the deal) have an Issuer NOI term DSCR less than 1.0x; a threshold indicative of a higher likelihood of term default. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the nonzero WA FICO score for the underlying SBC loans is 736. A borrower with a FICO score of 736 could be described as potentially having had previous negative credit events (foreclosure, bankruptcy, etc.), but it is likely that these credit events were cleared within the past two to five years. Morningstar DBRS therefore applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for increased risks given the factors outlined above. Morningstar DBRS also elected to increase the probability of default in the CMBS Insight Model by one notch to reflect the potential for the general degradation in operating performance of the underlying collateral and increased delinquency throughout the transaction's life cycle as observed by historical performance of similar asset classes over time. In addition, Morningstar DBRS elected to reduce the probability of default in the CMBS Insight Model by one notch given 678 of the 704 loans fully amortize over their respective remaining loan terms, resulting in 98.3% expected amortization, indicating refinance risk is largely absent for this SBC pool of loans. Only limited borrower and property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, phase I/II environmental site assessment reports, and historical cash flows were generally not available for review in conjunction with this securitization. As such, Morningstar DBRS elected to incorporate additional stresses in its analysis of the underlying transaction and applied a tapered 5.0% penalty to the fully adjusted cumulative default assumptions. Notes: All figures are in U.S. dollars unless otherwise noted. OCEANVIEW MORTGAGE 2026-SBC1: DBRS Gives (P) B Rating on B2B Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Mortgage-Backed Securities (Notes) to be issued by Oceanview Mortgage Trust 2026-SBC1: -- Class A at (P) AAA (sf) -- Class AIO at (P) AAA (sf) -- Class M1A at (P) AA (high) (sf) -- Class M1B at (P) AA (sf) -- Class M1C at (P) AA (low) (sf) -- Class M2A at (P) A (high) (sf) -- Class M2B at (P) A (sf) -- Class M2C at (P) A (low) (sf) -- Class M3A at (P) BBB (high) (sf) -- Class M3B at (P) BBB (sf) -- Class M3C at (P) BBB (low) (sf) -- Class B1A at (P) BB (high) (sf) -- Class B1B at (P) BB (sf) -- Class B1C at (P) BB (low) (sf) -- Class B2A at (P) B (high) (sf) -- Class B2B at (P) B (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral consists of 704 individual loans secured by 762 commercial, multifamily, and single-family rental (SFR) properties with an average loan cut-off balance of $556,326 (unless noted otherwise, average refers to straight average). The transaction is configured with a pro rata pay pass-through structure. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "Rating and Monitoring North American CMBS Multi-Borrower Transactions" and "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology." Of the 704 individual loans, 369 loans, representing 50.3% of the pool, have a fixed interest rate with an average of 9.13%. The floating-rate loans are structured with interest rate life floors ranging from 2.50% to 13.99% with a straight average of 8.99% and interest rate margins ranging from -0.38% to 5.99% with a straight average of 1.94%. To determine the probability of default and loss given default inputs in the CMBS Insight Model for the floating-rate loans, Morningstar DBRS applied a stress to the various indexes that corresponded with the fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. Morningstar DBRS looked to the greater of the interest rate floor or the Morningstar DBRS stressed index rate when calculating stressed debt service. The average modeled coupon rate across all loans was 9.9%. The loans have original terms of 10 years to 30 years and amortize over periods of 15 years to 30 years. When the cut-off loan balances were measured against the Issuer underwritten net cash flow and their respective actual constants or stressed interest rates, there were 502 loans, representing 72.4% of the pool, with term debt service coverage ratios (DSCRs) of less than 1.21 times (x), a threshold indicative of a higher likelihood of term default. Additionally, there were 263 loans, representing 38.2% of the pool, with term DSCRs of less than 1.00x. The pool has an average original term length of 339 months or 28.3 years with an average remaining term of 312 months or 26.0 years. Based on the original loan balance and the broker's price opinion from October 2025 to November 2025, the pool had a Weighted-Average Issuance Loan-to-Value ratio (LTV) of 56.7%. Morningstar DBRS made LTV adjustments to 230 loans that had an implied capitalization rate (cap rate) of more than 200 basis points lower than a set of minimal cap rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum cap rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 67.7% Furthermore, 678 loans fully amortize over their respective remaining loan terms, resulting in 98.3% expected amortization; this is not representative of typical commercial mortgage-backed security (CMBS) conduit pools, which have substantial concentrations of interest-only (IO) and balloon loans. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% to 22.0%, with a median rate of 16.5%. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. There are prepayment penalties on all loans within the pool. As such, Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. As a result of higher interest rate and lending spreads, 268 loans (approximately 38.2% of the deal) have an Issuer NOI term DSCR less than 1.0x; a threshold indicative of a higher likelihood of term default. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the nonzero WA FICO score for the underlying SBC loans is 736. A borrower with a FICO score of 736 could be described as potentially having had previous negative credit events (foreclosure, bankruptcy, etc.), but it is likely that these credit events were cleared within the past two to five years. Morningstar DBRS therefore applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for increased risks given the factors outlined above. Morningstar DBRS also elected to increase the probability of default in the CMBS Insight Model by one notch to reflect the potential for the general degradation in operating performance of the underlying collateral and increased delinquency throughout the transaction's life cycle as observed by historical performance of similar asset classes over time. In addition, Morningstar DBRS elected to reduce the probability of default in the CMBS Insight Model by one notch given 678 of the 704 loans fully amortize over their respective remaining loan terms, resulting in 98.3% expected amortization, indicating refinance risk is largely absent for this SBC pool of loans. Only limited borrower and property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, phase I/II environmental site assessment reports, and historical cash flows were generally not available for review in conjunction with this securitization. As such, Morningstar DBRS elected to incorporate additional stresses in its analysis of the underlying transaction and applied a tapered 5.0% penalty to the fully adjusted cumulative default assumptions. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2026-49: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OCP CLO 2026-49 Ltd./OCP CLO 2026-49 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 Onex Credit Partners LLC, a subsidiary of Onex Corp. The preliminary ratings are based on information as of Feb. 19, 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. 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." Preliminary Ratings Assigned OCP CLO 2026-49 Ltd./OCP CLO 2026-49 LLC Class A-L loans, $105.0 million: AAA (sf) Class A, $210.0 million: AAA (sf) Class B-1, $60.0 million: AA (sf) Class B-2, $5.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $30.0 million: BBB- (sf) Class D-2 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $48.9 million: NR NR--Not rated. OHS ISSUER 2026-1: Moody's Assigns Ba3 Rating to Class B Notes -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to two series of notes, Series 2026-1 and Series 2026-2 (together the 2026 notes) issued by OHS Issuer, LLC, an indirect wholly owned subsidiary of Lakehouse BidCo Inc. (the parent). Since the provisional rating, the transaction has incorporated leverage based scheduled amortization and early amortization triggers that accelerate deleveraging if senior leverage deteriorates. The addition of these structural features is credit positive because they are expected to provide additional protection to noteholders. American Water Resources, LLC, doing business as Oncourse Home Solutions (Oncourse) an affiliate of the issuer and the parent, is the transaction's manager and AlixPartners, LLP (AlixPartners, B1 stable) is the backup manager. The transaction is backed by Oncourse's current and future customer warranty agreements, partner agreements, and contractor agreements. Cash flows from existing and future customer warranty agreements will be used to repay the notes. For the 12 months ending August 31, 2025, the securitized pool generated about $525 million in revenue, $355 million in retained revenue, and $220 million in pro forma securitized net cash flows (SNCF). Oncourse, founded in 1992, provides home infrastructure warranties for single-family homes across the US. Its two main products are (i) exterior service line warranties, covering repair or replacement of private service lines (e.g., water pipes from the street to the home), and (ii) interior home system and appliance warranties, covering systems such as HVAC and plumbing and appliances such as washers and dryers. Oncourse primarily originates warranties through partnerships with utilities and municipalities. As of August 2025, it managed over 3 million warranty plans for 1.9 million customers in 43 states and Washington, D.C., with about 88% in partner markets. Claims are serviced through a nationwide network of more than 700 third party contractors. The complete rating actions are as follows: Issuer: OHS Issuer, LLC Series 2026-1 Floating Rate Senior Secured Variable Funding Notes, Class A-1-V, Definitive Rating Assigned Baa2 (sf) Series 2026-1 Floating Rate Senior Secured Liquidity Funding Notes, Class A-1-L, Definitive Rating Assigned Baa1 (sf) Series 2026-1 Fixed Rate Senior Secured Term Notes, Class A-2, Definitive Rating Assigned Baa2 (sf) Series 2026-1 Fixed Rate Senior Secured Term Notes, Class B, Definitive Rating Assigned Ba3 (sf) Series 2026-2 Fixed Rate Senior Secured Term Notes, Class A-2, Definitive Rating Assigned Baa2 (sf) Series 2026-2 Fixed Rate Senior Secured Term Notes, Class B, Definitive Rating Assigned Ba3 (sf) TRANSACTION SUMMARY The notes are issued out of a master trust. The maximum commitment amount of the floating rate senior secured liquidity funding notes, Class A-1-L (the LFN), is $25 million, and the maximum commitment amount of the floating rate senior secured variable funding notes, Class A-1-V (the Class A 1 VFN), is $300 million. The Class A 1 VFN will not be drawn at closing. The Series 2026-1 Class A-2 and Class B term note balances are $515 million and $90 million, respectively. The Series 2026-2 Class A-2 and Class B term note balances are $685 million and $40 million, respectively. The anticipated repayment date (ARD) for the Series 2026-1 Class A-2 term notes, Class B term notes and the Class A 1 VFN is February 2031. The ARD for the Series 2026-2 Class A-2 and Class B term notes is February 2033. The legal final maturity date for the 2026 notes is February 2061. RATINGS RATIONALE The ratings on the 2026 notes are primarily based on: i. Sponsor and manager strength: The ratings reflect the creditworthiness, experience, and expertise of American Water Resources, LLC (Oncourse), which maintains long-term relationships with its partners and contractors. ii. Diversified and stable customer base: Oncourse benefits from a large, geographically diverse pool of customers. Revenue and margins are stable and predictable, driven by partnerships with utilities and municipalities and homeowner's demand for warranty products. Customer contracts are annual, allowing customers to switch providers each year; however, historical churn rates have been very low (around 1% per month), reflecting strong customer loyalty. iii. Limited linkage to manager performance: The performance of the securitized assets is relatively insulated from the manager's direct actions. Most customers are billed through their utility or municipality, and the majority of claims are serviced by third-party contractors. iv. Robust transaction structure: The transaction features a 35-years legal final maturity, providing a long horizon for principal repayment. Liquidity is supported by a funded reserve account and letters of credit, together covering three months of expected claims payments, interest, and senior fees. Debt service coverage ratio and leverage ratio triggers further protect bondholders. v. Back-up management: AlixPartners, a global consulting firm, acts as backup manager. When the manager is removed or replaced, it is required to assist the control party — acting at the direction of the noteholder representative or controlling class — in developing and carrying out a transition plan, and in helping identify and support the appointment of a successor manager. The backup management agreement strictly limits the circumstances under which the backup manager may resign or be removed, preventing departure without cause. vi. Leverage considerations: The transaction has an initial senior leverage ratio of about 5.4x SNCF, which is lower than that of other whole business securitizations that Moody's have rated. After closing, additional leverage will be constrained at both the issuer and parent levels. At closing, the parent will not have any debt other than the securitization debt, although the parent has the ability to incur new debt that has the potential to weaken its credit profile. In addition, the inclusion of leverage based scheduled amortization of 1% per annum on the Class A-2 term notes, together with the implementation of the 25% leverage based early amortization trigger, will further accelerate the deleveraging of the notes. vii. Cash flow model strength: The cash flow model demonstrates strong performance under stress scenarios, withstanding significant reductions to the most recent 12 months' revenue and still paying off at the recommended ratings in less than 15 years under most scenarios. The ratings also reflect the waterfall structure and pari passu ranking of senior notes after an event of default. viii. Seniority of the LFN: The ratings of the LFN are based on its relatively small size, and its senior position in the priority of payments at all times, while factoring in the overall reliance on Oncourse to manage the transaction. The rating analysis also reflects Moody's considerations of other key risks to the transaction, which include: i. Manager durability: The manager's durability is relatively low but benefits from the manager's strong track record. ii. Partnership disruption risk: Revenue is closely tied to exclusive partnerships established via revenue-sharing agreements with over 35 partners. Approximately 60% of revenue is generated through on-bill channels. Disruption or non-renewal of a partnership would require changes to billing methods and create the risk of increased customer churn due to short contract terms. iii. Revenue concentration: As of August 2025, about 75% of total revenue was attributable to the top five partners, indicating concentration risk. The credit quality of these top partners is solid, which mitigates some risk. iv. Revenue-sharing changes: Partners typically receive 10–15% of revenue under revenue-sharing agreements, a margin that has remained consistent. If a partner demands a significant increase in its share, revenue and net cash flows available to bondholders would decline. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Operating Company Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings include (1) if collections or performance metrics materially exceed initial projections, or (2) an improvement in the credit quality of the sponsor/manager. Down Factors that could lead to a downgrade of the ratings include (1) A deterioration in the credit quality or bankruptcy of the sponsor or sponsor's parent, (2) collections or performance metrics that underperform initial expectations, or (3) other reasons for worse-than-expected performance, including error on the part of transaction parties, or inadequate transaction governance. PFP 2026-13: Fitch Assigns 'B-sf' Rating on Class G Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PFP 2026-13, LLC as follows: - $696,000,000a class A 'AAAsf'; Outlook Stable; - $156,000,000a class A-S 'AAAsf'; Outlook Stable; - $82,500,000a class B 'AA-sf'; Outlook Stable; - $64,500,000a class C 'A-sf'; Outlook Stable; - $39,000,000a class D 'BBBsf'; Outlook Stable; - $18,000,000a class E 'BBB-sf'; Outlook Stable; - $33,000,000b class F 'BB-sf'; Outlook Stable; - $21,000,000b class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $90,000,000b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,039,656,823 and does not include future funding. The ratings are based on information provided by the issuer as of Jan. 30, 2026. Transaction Summary The certificates represent the beneficial interests in the trust, the primary assets of which are 33 loans secured by 39 commercial properties having an aggregate principal balance of $1,089,082,582 as of the cutoff date, including one delayed-closed collateral interest totaling $26.5 million that is expected to close within 180 days after the closing date. The pool also includes ramp-up collateral interest of $110.9 million. The ramp period lasts for six months from settlement, and the reinvestment period lasts for 30 months from settlement. The pool does not include $72.5 million of expected future funding. The loans were contributed to the trust by PFP 2026-13 Depositor, LLC. The servicer is Trimont LLC, and the special servicer is Prime Finance Special Servicing, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (82.8% by balance). Fitch's resulting aggregate net cash flow (NCF) of $25.9 million represents a 10.8% decline from the issuer's aggregate underwritten NCF of $29.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 136.5% is lower than both the 2025 and 2024 CRE CLO averages of 140.5% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.4% is in line with both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool's diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 46.4% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages of 61.2% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 27.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool comprises 97.1% partial IO loans, based on fully extended loan terms. This is better than both the 2025 and 2024 CRE CLO averages of 26.3% and 43.2%, respectively. As a result, the pool is expected to have 2.2% principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' /'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'AA-' level (class B) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PMT LOAN 2026-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 56 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-INV2, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. Issuer: PMT Loan Trust 2026-INV2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on February 04, 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 0.75%, in a baseline scenario-median is 0.45% and reaches 7.69% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-J2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-J2, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (65.1% by balance) and GSE-eligible (34.9% 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-J2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.37%, in a baseline scenario-median is 0.17% and reaches 5.16% 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. POINT AU ROCHE: 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-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and new class X debt from Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in June 2021. 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 Feb. 18, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-1-R, C-R, D-1-R, and E-R debt was issued at a lower spread over the benchmark than the existing debt. -- The replacement class B-2-R debt was issued at a higher coupon than the existing debt. -- The replacement class D-2-R debt was issued at a fixed coupon. -- The non-call period was extended to Jan. 20, 2028. -- The reinvestment period was extended to Jan. 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 20, 2039. -- No additional assets were purchased, and the target initial par amount remains at $450 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. 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 Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC Class X, $4.500 million: AAA (sf) Class A-R, $282.375 million: AAA (sf) Class B-1-R, $50.625 million: AA (sf) Class B-2-R, $9.000 million: AA (sf) Class C-R, $27.000 million: A (sf) Class D-1-R, $27.000 million: BBB- (sf) Class D-2-R, $2.250 million: BBB- (sf) Class E-R, $15.750 million: BB- (sf) Ratings Withdrawn Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC Class A, $279.00 million: to NR from 'AAA (sf)' Class B-1, $57.00 million: to NR from 'A (sf)' Class B-2, $6.00 million: to NR from 'AA (sf)' Class C (deferrable), $27.00 million: to NR from 'A (sf)' Class D (deferrable), $27.00 million: to NR from 'BBB- (sf)' Class E (deferrable), $18.00 million: to NR from 'BB- (sf)' Other Debt Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC Subordinated notes, $72.637 million: NR NR--Not rated. PPM CLO 2: S&P Affirms B+ (sf) Rating on Class E-R Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R3 and A-LR3 loans and A-R3 and B-R3 debt from PPM CLO 2 Ltd./PPM CLO 2 LLC, a CLO managed by PPM Loan Management Company LLC that was originally issued in March 2019 and underwent a second refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class X and A-LR loans and A-R and B-R2 debt following payment in full on the Feb. 19, 2026, refinancing date. S&P also affirmed its ratings on the class C-R2, D-R2A, D-R2B, and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Feb. 19, 2027. -- No additional assets were purchased on the Feb. 19, 2026, refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 16, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "We were aware that the class C-R2, D-R2A, D-R2B, and E-R debt (which was not refinanced) was not passing its cash flows at the current rating level even before the proposed refinancing. This was due largely due to the par losses as reflected in the decline in overcollateralization levels. In addition, there has been an overall deterioration as reflected in the increases in defaulted assets and a drop in the portfolio's weighted average recovery and spread. The benefits of a lower cost of funding do not seem to fully offset the above and, as a result, the class C-R2, D-R2A, D-R2B, and E-R debt do not pass their cash flows at the current level even after considering the proposed refinancing. However, refinancing decreases the margin of failure, and we view this as an improvement. Any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class X-R3, $2.22 million: Three-month CME term SOFR + 0.800% -- Class A-LR3 loans, $45.00 million: Three-month CME term SOFR + 1.15% -- Class A-R3, $205.00 million: Three-month CME term SOFR + 1.15% -- Class B-R3, $54.00 million: Three-month CME term SOFR + 1.60% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.80% -- Class D-R2A (deferrable), $20.00 million: Three-month CME term SOFR + 4.66% -- Class D-R2B (deferrable), $8.00 million: Three-month CME term SOFR + 5.57% -- Class E-R (deferrable), $10.00 million: Three-month CME term SOFR + 8.01% Previous debt -- Class X, $2.22 million: Three-month CME term SOFR + 1.150% -- Class A-LR loans, $29.00 million: Three-month CME term SOFR + 1.50% -- Class A-R, $221.00 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $54.00 million: Three-month CME term SOFR + 2.25% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.80% -- Class D-R2A (deferrable), $20.00 million: Three-month CME term SOFR + 4.66% -- Class D-R2B (deferrable), $8.00 million: Three-month CME term SOFR + 5.57% -- Class E-R (deferrable), $10.00 million: Three-month CME term SOFR + 8.01% (i)The CSA is %. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 PPM CLO 2 Ltd. / PPM CLO 2, LLC Class X-R3, $2.22 million: AAA (sf) Class A-LR3 loans, $45.00 million: AAA (sf) Class A-R3, $205.00 million: AAA (sf) Class B-R3, $54.00 million: AA (sf) Ratings Withdrawn PPM CLO 2 Ltd. / PPM CLO 2, LLC Class X to NR from 'AAA (sf)' Class A-LR loans to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class B-R2 to NR from 'AA (sf)' Ratings Affirmed PPM CLO 2 Ltd. / PPM CLO 2, LLC Class C-R2: A (sf) Class D-R2A: BBB (sf) Class D-R2B: BBB- (sf) Class E-R: B+ (sf) Other Debt PPM CLO 2 Ltd. / PPM CLO 2, LLC Subordinated notes, $48.00 million: NR NR--Not rated. PRESTIGE AUTO 2024-1: S&P Raises Cl. E Notes Rating to 'BB- (sf)' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of notes, and affirmed its ratings on four classes of notes from Prestige Auto Receivables Trust (PART) 2021-1 and 2024-1, which are ABS transactions backed by subprime retail auto loan receivables originated and serviced by Prestige Financial Services Inc. The rating actions reflect: -- The transactions' collateral performance to date; -- S&P's remaining cumulative net loss (CNL) expectations for the transactions, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, and our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. S&P said, "Since our prior rating actions on these transactions, PART 2021-1's performance has trended marginally worse than our revised CNL expectations. The transaction continues to experience higher back-ended losses and lower recovery rates as borrowers face prolonged economic headwinds. As a result, we have revised and raised our expected CNL (ECNL) for PART 2021-1." PART 2024-1's net losses were elevated from the outset as a result of high gross charge-offs and low recoveries. A key pillar of Prestige's business model is funding auto retail contracts for obligors whose credit history displays a period of good credit followed by a period of poor credit, which may include a recent bankruptcy (Chapter 7 or 13). Historically, Prestige's bankruptcy collateral performed better than its non-bankruptcy collateral. However, the relatively higher non-bankruptcy collateral in PART 2024-1 (69%), together with the economic headwinds and lower wholesale used vehicle prices, negatively impacted performance and negated the performance differential between the two collateral types. The PART 2024-1 performance continues to trend worse than S&P's revised CNL expectations. As a result, S&P has revised and raised its ECNL for PART 2024-1. Table 1 PART collateral performance (%)(i) Pool 60+ day Monthly Series Mo. Factor delinq. Extensions CGL CRR CNL 2021-1 51 14.31 12.27 1.77 30.15 29.72 21.19 2024-1 23 49.32 8.08 4.44 20.38 23.38 15.62 (i)As of the February 2026 distribution date. PART--Prestige Auto Receivables Trust. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Prior Revised Lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2021-1 14.50-15.50 23.25 24.00 2024-1 19.25 28.00 30.00 (i)Revised in March 2025 for series 2021-1 and June 2025 for series 2024-1. (ii) As of February 2026. CNL exp.--Cumulative net loss expectations. The transactions contain a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes, except the lowest-rated subordinate class. The transactions also have credit enhancement in the form of a nonamortizing reserve account, overcollateralization (O/C), and excess spread. As of the February 2026 distribution date, neither PART 2021-1 nor 2024-1 is at its respective O/C target. PART 2021-1 had previously built to its O/C target but has been marginally below its O/C target since September 2025 as the series enters the late stage of its life cycle. PART 2024-1 is yet to build to its O/C target but the amount differential to the target is declining. Both transactions are at their respective target nonamortizing reserve amounts. Overall, hard credit enhancement (without credit to excess spread) has increased as the series' pools have amortized. Table 3 Hard credit support(i) Current total Total hard credit hard credit support Series Class support at issuance (%) (% of current)(ii) 2021-1 D 10.55 60.14 2021-1 E 6.00 28.34 2024-1 B 44.10 96.26 2024-1 C 30.60 68.89 2024-1 D 17.60 42.52 2024-1 E 6.50 20.01 (i)As of the February 2026 distribution date. (ii)Calculated as a percentage of the total receivable pool balance, and consisting of a reserve account, subordination, and overcollateralization. Excludes excess spread which can also provide additional enhancement. S&P said, "We incorporated a cash flow analysis, giving credit to stressed excess spread, to assess the loss coverage levels, given our revised ECNL for the series. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended Jan. 31, 2026. "We will continue to monitor the performance of the transactions to ensure that credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each rated class." Ratings Raised Prestige Auto Receivables Trust 2021-1 Class D to 'A+ (sf)' from 'A- (sf)' Prestige Auto Receivables Trust 2024-1 Class C to 'AA (sf)' from 'A+ (sf)' Ratings Affirmed Prestige Auto Receivables Trust 2021-1 Class E: 'BB (sf)' Prestige Auto Receivables Trust 2024-1 Class B: 'AAA (sf)' Class D: 'BBB (sf)' Class E: 'BB- (sf)' PRIMA CAPITAL 2019-RK1: DBRS Confirms B(high) on Group T/C-T Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-RK1 issued by Prima Capital CRE Securitization 2019-RK1 as follows: DBRS Confirms Credit Ratings on All Classes of Prima Capital CRE Securitization 2019-RK1 The Gateway (Group G Certificates): -- Class A-G at A (low) (sf) -- Class B-G at BBB (low) (sf) -- Class C-G at BB (high) (sf) TriBeCa House (Group T Certificates): -- Class A-T at BBB (low) (sf) -- Class B-T at BB (low) (sf) -- Class C-T at B (high) (sf) All trends are Stable. Interest is deferrable on Classes C-G, B-T, and C-T. The credit rating confirmations reflect the overall stable to improving performance of the underlying collateral, as evidenced by the year-over-year growth in net cash flow (NCF) and steady residential occupancy rates that have remained above 90.0% since issuance. The transaction consists of two nonpooled B notes tied to The Gateway and TriBeCa House loans, which are categorized as Loan Groups G and T, respectively. The notes are secured by the grantor trust certificate representing beneficial interests in a subordinate loan, which is a portion of a whole loan. The loans are interest only through their respective maturity dates in 2028. As the notes are not pooled together, proceeds from the collateral interest relating to either Loan Group will not be available to support shortfalls of the other Loan Group. Additionally, TriBeCa House is the only loan in the transaction that has existing mezzanine financing. No new mezzanine or unsecured debt may be incurred for either borrower going forward. DreamWorks Campus and Headquarters (Group D) was part of the transaction at issuance but was repaid in April 2023, bringing the total trust mortgage balance to $89.5 million. The Gateway loan (58.7% of the transaction) is secured by four high-rise multifamily buildings totaling 1,254 units with ground-floor retail space in downtown San Francisco. The residential component of the property was 95.3% occupied as of September 2025, in line with previous years, and the commercial portion was approximately 70.0% occupied, down from 76.5% at YE2024. The largest remaining commercial tenants include Safeway, Inc. (25.7% of net rentable area (NRA); lease expiration in 2030), Bay Club at Golden Gateway (13.2% of NRA; lease expiration in 2027), and 42nd Street Moon (8.1% of NRA; lease expiration in 2030). The annualized NCF for the trailing nine-month (T-9) period ended September 30, 2025, was $30.3 million, above the YE2024 and YE2023 figures of $28.0 million and $24.4 million, respectively, but below the Morningstar DBRS figure of $33.6 million. An increase in operating expenses has been the primary driver behind the downward pressure on NCF; however, revenue has been trending upward, and operating expenses have shown signs of normalization. Although the multifamily units were initially rent controlled, San Francisco's rent control ordinance allows for units to be marked to market, within stipulated limits, once a unit turns over, suggesting additional incremental revenue growth could be achieved in the future. The loan continues to exhibit healthy credit metrics, most recently reporting a total debt service coverage ratio (DSCR) (inclusive of both the A and B notes) of 2.43 times (x). The property has historically maintained an occupancy rate above 90.0% and benefits from committed institutional sponsorship, including Prime Group and C.M. Capital Corporation, which have owned and managed the property since 1991. The TriBeCa House loan (41.3% of the transaction) is secured by a high-rise multifamily complex totaling 503 units in New York City's Tribeca neighborhood. As of September 2025, the residential portion was 94.0% occupied, in line with previous years. The sole ground-floor retail tenant at 53 Park Place vacated the space in 2020, and the space appears to remain vacant. Equinox, a fitness and health club, continues to occupy the retail space at 50 Murray Street. The annualized NCF for the T-9 period ended September 30, 2025, was $23.7 million, reflecting a DSCR (A and B notes) of 2.17x, which compares favorably with the YE2024 and Morningstar DBRS figures of $21.3 million and $17.4 million, respectively. According to Reis, vacancy rates are expected to remain below 5.0% in the subject's West Village/Downtown submarket through the loan's maturity in 2028. For The Gateway, Morningstar DBRS maintained the valuation approach derived in 2020. A capitalization rate of 6.25% was applied to the Morningstar DBRS NCF of $33.6 million, resulting in a Morningstar DBRS Value of $538.3 million. This represents a 38.0% haircut from the issuance appraised value of $868.0 million and a whole-loan loan-to-value (LTV) ratio of 102.2%. In addition, Morningstar DBRS maintained positive qualitative adjustments to the final LTV Sizing Benchmark, totaling 4.0%, to account for low cash flow volatility and market fundamentals. For TriBeCa House, Morningstar DBRS analyzed the collateral under both a base-case and stressed scenario to evaluate the potential for credit rating upgrades given the overall improvement in the property's operating performance. In both scenarios, a 6.25% capitalization rate was applied. The base-case scenario, which considered a haircut to the YE2024 NCF, resulted in a Morningstar DBRS Value of $323.1 million (a whole-loan LTV ratio of 79.6%, excluding mezzanine debt). In the stressed scenario, which included a 20% haircut to the YE2024 NCF, Morningstar DBRS derived a value of $272.5 million (a whole-loan LTV of 94.3%, excluding mezzanine debt). The Morningstar DBRS Value is a variance of -44.3% and 15.8% from the appraised value at issuance ($580.0 million) and the Morningstar DBRS Value derived in 2020 ($278.9 million), respectively. As a result of the collateral's strong rental-rate growth and healthy submarket fundamentals, Morningstar DBRS maintained positive qualitative adjustments totaling 4.0% to the LTV Sizing Benchmarks. The credit rating assigned to the Class C-T certificate is lower than the results implied by the LTV Sizing Benchmarks by three or more notches. This is largely reflective of the updated Morningstar DBRS Value to reflect the increased property cash flow, as described above. However, the stressed scenario results did not support credit rating upgrades with this review. Notes: All figures are in U.S. dollars unless otherwise noted. PRKCM 2026-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to PRKCM 2026-AFC1 Trust's series 2026-AFC1 mortgage-backed notes. The ratings reflect S&P's view of the transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration, among other factors. PRKCM 2026-AFC1 Trust's issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 971 loans comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on Feb. 4, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts increased to $225.764 million and $36.326 million, respectively, from $168.911 million and $27.179 million. At the same time, the corresponding class A-1 note amount increased to $262.090 million from $196.090 million. However, the credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, we assigned ratings to the classes, which remain unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. S&P said, "On Feb. 6, 2026, we updated the HPI and over/under-valuations used in our WAFFLE model. The credit impact of these changes depends on the pool's geographic distribution and valuation dates of the properties backing the loans. Since the pool is generally well diversified geographically – 1.013x factor (consistent with our assessment of exposure to environmental risks which we consider well-diversified and in line with the benchmark if less than 1.050x) and the pool is not seasoned, we determined the impact of the update to be non-material to our analysis, did not re-run the pool and affirmed the loss coverage previously assigned." As a result, there is no change in the final ratings from the preliminary ratings. Ratings Assigned(i) PRKCM 2026-AFC1 Trust Class A-1A, $225,764,000: AAA (sf) Class A-1B, $36,326,000: AAA (sf) Class A-1, $262,090,000: AAA (sf) Class A-2, $37,053,000: AA (sf) Class A-3, $31,058,000: A (sf) Class M-1, $14,349,000: BBB (sf) Class B-1, $8,173,000: BB (sf) Class B-2, $6,539,000: B (sf) Class B-3, $3,996,051: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $363,258,051.35 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. REGATTA XVI: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XVI Funding Ltd.'s reset transaction. Entity/Debt Rating ----------- ------ Regatta XVI Funding Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating F-R2 LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta XVI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Regatta Loan Management, LLC that originally closed in December 2019. This is the second refinancing in which will refinance the existing secured notes in whole on February 11, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $547 million (excluding defaulted obligations) of primarily first lien senior secured leveraged loans KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.28, 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 97.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.43% 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-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 is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-1-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-2-R2 notes, between 'BB+sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'BBB+sf' for class C-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-1-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-2-R2 notes, between less than 'B-sf' and 'B+sf' for class E-R2 notes and between less than 'B-sf' and 'B+sf' for class F-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 notes, class A-1-R2 notes and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, 'AAsf' for class C-R2 notes, 'A+sf' for class D-1-R2 notes, 'A-sf' for class D-2-R2 notes, 'BBBsf' for class E-R2 notes and 'BB+sf' for class F-R2 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XVI Funding Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RKTL 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by RKTL 2026-1. Entity/Debt Rating ----------- ------ RKTL 2026-1 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 KEY RATING DRIVERS Solid Receivables Quality: The RKTL 2026-1 pool consists of unsecured consumer loans made to obligors with strong credit scores. The weighted average (WA) credit score is 741 and WA income is $144,921. The pool consists of amortizing loans with a WA net interest rate of 13.44% and a WA original term of 52 months, averaging two months of seasoning. Of the loans, 91.6% are originated to borrowers who own a home. Base Case Default Reflects Recent Performance Trends: Rocket Loans' managed default rates increased in 2022 and 2023. The cumulative gross default (CGD) rate in vintage 1Q22 was approximately 10.4% and peaked at 13.5% in vintage 4Q22. However, since initiating corrective measures that included tightening credit standards, performance in 2H23 and 2024 vintages improved quarter over quarter (qoq). Fitch's WA base case gross default assumption (the default assumption) for RKTL 206-1 is 10.59%. The default assumption was established based on data stratified by Rocket Loans' default probability score band and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage year 2020 and considered early trends of default curves in vintage year 2025. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 41.87%, 26.97%, 17.52%, 9.97% and 6.47% of the initial pool balance for class A, B, C, D and E notes, respectively. The transaction amortizes the notes sequentially and excess cash is not released before the specified overcollateralization (OC) amount of 11.00% is met. 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. In particular, Fitch applied a 'AAAsf' rating stress of 4.5x the base case default rate for consumer loans. The stress multiples decrease for lower rating levels according to the "higher" prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: Rocket Loans' securitization transactions comprise consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of Rocket Loans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Rocket Loans, rather than Cross River Bank, 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 RKTL 2026-1, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Rocket Loans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities with Removal Risk: Rocket Loans has a strong record of servicing consumer loans. Since the launching of the RockLoans Platform in 2016, Rocket Loans has acted as a subservicer for the consumer loans originated by Cross River Bank. Starting in May 2025, Rocket Loans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. The class R-1 certificate holder may remove Rocket Loans as servicer at any time without cause and without controlling noteholders' approval, and with no obligation to consider noteholders' interests when selecting a successor servicer. While this provision did not impact Fitch's analysis because its effect is limited to servicing operations, the servicer replacement right granted to the subordinated class R-1 certificate holder is not typically seen in comparable public structured finance transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AAsf (EXP)'/'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)' Increased default base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'BB-sf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'Bsf'; Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity from decreased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AAsf (EXP)'/'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'. Decreased default base case by 10%: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'; Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'/'BB+sf'; Decreased default base case by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 150 randomly selected preliminary portfolio loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SANTANDER MORTGAGE 2026-CES1: Fitch Rates Class B2 Notes 'Bsf' -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Santander Mortgage Asset Receivable Trust 2026-CES1 (SAN 2026-CES1). Entity/Debt Rating Prior ----------- ------ ----- SAN 2026-CES1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary SAN 2026-CES1 is the second transaction to be rated by Fitch that includes 100% CES loans off the SAN shelf. The transaction closed 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 three months, according to Fitch and 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, regulatory compliance, and property valuation. Third-party due diligence was performed on 100.0% 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." DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms all of which Fitch assesses as 'Acceptable'. The third-party due diligence described in Form 15E focused on three areas: compliance, credit, and valuation review. Fitch received a loan tape in the ASF format and used it for its analysis. Fitch considers the data provided robust for its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SANTANDER MORTGAGE 2026-NQM2: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2026-NQM2's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, townhouses, manufactured housing, and a condotel property. The pool consists of 659 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. After S&P assigned its preliminary ratings on Feb. 02, 2026, the sponsor removed the class A-1FCF and A-1LCF notes and reallocated those balances to the class A-1A and A-1B notes and the associated exchange class A-1 notes, keeping the subordination credit enhancement the same. Also, the class B-1 notes rate was priced at a fixed coupon rate. After analyzing the final coupons and the updated structure, S&P's assigned ratings are unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." S&P said, "On Feb. 6, 2026, we updated the HPI and over/under-valuations used in our WAFFLE model. The credit impact of these changes depends on the pool's geographic distribution and valuation dates of the properties backing the loans. Since the pool is generally well diversified geographically–1.000x factor and the pool is not seasoned, we determined the impact of the update to be non-material to our analysis, did not re-run the pool and affirmed the loss coverage previously assigned. See the Related Research section herein for the HPI and over/under-valuation assessments used in our analysis for this transaction." As a result, there is no change in the final ratings from the preliminary ratings. Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM2 Class A-1, $205,772,000: AAA (sf) Class A-1A, $175,971,000: AAA (sf) Class A-1B, $29,801,000: AAA (sf) Class A-2, $19,520,000: AA (sf) Class A-3, $32,780,000: A (sf) Class M-1, $14,900,000: BBB (sf) Class B-1, $10,878,000: BB (sf) Class B-2, $8,940,000: B (sf) Class B-3, $5,215,426: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $298,005,426: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SDART 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2026-1. Entity/Debt Rating ----------- ------ Santander Drive Auto Receivables Trust 2026-1 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 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 KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2026-1 is backed by collateral that is consistent with that of prior SDART series, with a weighted average (WA) Fair Isaac Corporation (FICO) score of 604 and an internal WA loan funded score (LFS) of 532. The WA FICO and WA LFS score remains consistent with that of prior transactions over the past five years. WA seasoning is 5.05 months, a decrease from 5.61 months for 2025-4. New vehicles total 25.9% of the pool, down from 26.4% in 2025-4. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 91.2%, and greater-than-72-month term loans total 26.7%, up from 21.0% in 2025-4. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2026-1, representing through-the-cycle performance. While performance has deteriorated for 2022, 2023, and 2024 originations, the 2025 vintage has shown early signs of slightly improved performance. Fitch's rating case cumulative net loss (CNL) proxy for 2026-1 is 15.00%. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) total 37.10%, 28.30%, 19.10%, 8.95%, and 3.20% for classes A, B, C, D and E, respectively, all down from 2025-4. This is a continuation of declining hard CE over the past several transactions. Excess spread is expected to be 10.31% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: SC has adequate abilities as the originator and underwriter and SBNA as the servicer, as evidenced by their historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/Stable/'F1'. Fitch deems SC capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00% based on Fitch's "Global Economic Outlook — December 2025" report, historical transaction performance and projections. 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 that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of plug-in hybrid and electric vehicles, at 0.78% and 2.20% respectively, did not have an impact on Fitch's ratings analysis or conclusion for this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-3: Fitch Assigns B(EXP)sf Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-3 (SEMT 2026-3). Entity/Debt Rating ----------- ------ SEMT 2026-3 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB+(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 305 loans with a total balance of approximately $384.7 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 780 and 35.8% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.6% mark-to-market combined LTV (cLTV). Overall, 92.1% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-3 has a final probability of default (PD) of 9.40% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.91%. The expected loss in the 'AAAsf' rating stress is 3.28%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-3 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the 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 99.3% of the loans in the transaction by loan count. Fitch applies a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-3 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-3 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 37.6% 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SILVER ROCK III: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and E-R debt and proposed new class X-R, D-1-R, and D-2-R debt from Silver Rock CLO III Ltd./Silver Rock CLO III LLC, a CLO managed by Silver Rock Management LLC, the relying adviser for Silver Rock Financial L.P., that was originally issued in January 2024. The preliminary ratings are based on information as of Feb. 19, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 25, 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 -1, A-2, B, C-1, C-2, D, and E debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and E-R debt and proposed new class X-R, D-1-R, and D-2-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-1-R, A-2-R, B-R, C-1-R, and E-R floating-rate debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class C-2-R fixed-rate debt is expected to be issued at a lower coupon than the existing debt. -- The replacement class D-1-R and D-2-R debt is expected to be issued at a fixed coupon, replacing the current class D floating-rate debt. -- The non-call period will be extended to Jan. 20, 2028. -- The reinvestment period will be extended to Jan. 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 20, 2038. -- No additional assets will be purchased on the Feb. 25, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- New class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first seven payment dates, beginning with 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 Silver Rock CLO III Ltd./Silver Rock CLO III LLC Class X-R, $2.13 million: AAA (sf) Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-1-R (deferrable), $16.00 million: A (sf) Class C-2-R (deferrable), $8.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Silver Rock CLO III Ltd./Silver Rock CLO III LLC Subordinated notes, $43.40 million: NR NR--Not rated. STEELE CREEK 2017-1: Moody's Cuts Rating on $18MM Cl. E Notes to B2 ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Steele Creek CLO 2017-1, Ltd.: US$28,125,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030, Upgraded to A2 (sf); previously on August 29, 2025 Upgraded to Baa1 (sf) Moody's have also downgraded the rating on the following notes: US$18,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2030, Downgraded to B2 (sf); previously on August 27, 2024 Downgraded to B1 (sf) Steele Creek CLO 2017-1, Ltd., issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in December 2022. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratio since August 2025. The Class A notes have been paid down completely and Class B notes have been paid down by approximately 41.7% or $21.6 million since then. Based on Moody's calculations, the OC ratio for the Class D notes is currently 128.0%, versus August 2025 level of 120.5%. The downgrade rating action on the Class E notes reflect the specific risks to the junior notes posed by credit deterioration 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 3349 compared to 2986 in August 2025. No actions were taken on the Class B and Class C 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: $110,482,890 Defaulted par: $5,534,860 Diversity Score: 35 Weighted Average Rating Factor (WARF): 3349 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 46.51% Weighted Average Life (WAL): 2.62 years Par haircut in OC tests and interest diversion test: 6.09% 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. SYMPHONY CLO 37: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 37, Ltd.'s second refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 37, Ltd. A-2R 87169VAU9 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-1R 87169VAW5 LT PIFsf Paid In Full AAsf B-2R 87169VBE4 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 87169VAY1 LT PIFsf Paid In Full A+sf C-R2 LT Asf New Rating D-R 87169VBA2 LT PIFsf Paid In Full BBB-sf D-R2 LT BBB-sf New Rating E-R 87169WAG8 LT PIFsf Paid In Full BBsf E-R2 LT BB-sf New Rating Transaction Summary Symphony CLO 37, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC that originally closed in December 2022 and was subsequently reset for the first time in December 2023. On the second refinancing date, all secured notes from the existing transaction will be redeemed in full with refinancing proceeds. Net proceeds from the issuance of the second refinancing notes and the existing subordinated notes will provide financing on a portfolio of approximately $497 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 23.87, 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 97.84% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.34% 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 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 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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. - All existing secured notes are being refinanced with lower spreads across all classes; - The non-call period for the refinancing notes will end in Jan. 2027; - The WAL test value on the second refinancing date will be 8.0 years; - The stated maturity and the reinvestment period end date of the refinancing notes remain the same as the existing notes; - The target par will be reduced slightly from $500 million to $497.21 million; - The transaction indenture will incorporate Fitch collateral quality tests, with 12 Fitch test matrices in total. The matrices allow flexibility depending on the top-obligor and fixed-rate concentration limitations, the Fitch Test Matrix collateral principal amount (CPA) and the WAL test value. The top-obligor concentration limits are 2.5% (for the top five obligors, with 2.0% for each of the remaining obligors) and 1.5% (for the top five obligors, with 1.0% for each of the remaining obligors). The fixed-rate limits are 0% and 5%. The Fitch Test Matrix CPA are 100%, 99.5% and 99.0% of the target par. The Fitch WAL values are 8.0 years, 7.0 years and 6.0 years. The manager may also elect to linearly interpolate between matrices, based on differences in WAL limits and target par amounts commensurate with the stated difference in obligor or fixed-rate concentration limits. Fitch Analysis The portfolio includes 406 assets from 355 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $489 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Moody's Weighted Average Rating Factor test. 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 47.3% of the current portfolio par balance; ratings for 52.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.6% 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 an aggregate of 12.5%; - Largest three industries: 15.0%, 12.1%, and 12.0%, respectively; - Assumed risk horizon: 7.09 years; - Minimum weighted average spread of 2.85%; - Minimum weighted average recovery rate of 70.70%; - Maximum weighted average rating factor of 26.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 7.50%; - The transaction will exit its reinvestment period on Jan. 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-R2: 'AAAsf' / Default 42.60% / Recovery 39.20% / Cushion 12.80%; - Class B-R2: 'AAsf' / Default 39.60% / Recovery 47.98% / Cushion 11.30%; - Class C-R2: 'Asf' / Default 35.10% / Recovery 57.55% / Cushion 10.10%; - Class D-R2: 'BBB-sf' / Default 27.00% / Recovery 67.04% / Cushion 10.80%; - Class E-R2: 'BB-sf' / Default 22.60% / Recovery 72.57% / Cushion 9.90%. Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 53.20% / Recovery 37.23% / Cushion 1.80%; - Class B-R2: 'AAsf' / Default 49.70% / Recovery 44.66% / Cushion 0.00%; - Class C-R2: 'Asf' / Default 44.70% / Recovery 54.55% / Cushion 0.40%; - Class D-R2: 'BBB-sf' / Default 35.80% / Recovery 63.99% / Cushion 4.20%; - Class E-R2: 'BB-sf' / Default 30.40% / Recovery 69.34% / Cushion 1.80%. 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 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, and between less than 'B-sf' and 'BB+sf' for class D-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, and 'A+sf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 37, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SYMPHONY CLO 52: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Symphony CLO 52, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 52, Ltd. X-R LT AAAsf New Rating A 87272HAA8 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Senior Subordinated Notes LT NRsf New Rating Transaction Summary Symphony CLO 52, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative 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 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 23.36, 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 97.43% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.19% 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 two-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 up to 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'Asf' and 'AAAsf' for class A-R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, and between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 52, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2026-1: Fitch Assigns B+sf Final Rating on Cl. B3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2026-1 (TPMT 2026-1). Entity/Debt Rating Prior ----------- ------ ----- Towd Point Mortgage Trust 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT BB-sf New Rating BB-(EXP)sf B3 LT B+sf New Rating B+(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf CVR LT NRsf New Rating NR(EXP)sf A1L LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(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 notes are supported by 1,012 primarily seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $500 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 150 days (under the OTS method) or until deemed nonrecoverable. 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. TPMT 2026-1 has a Final PD of 19.8% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 17.3%. The expected loss in the 'AAAsf' rating stress is 3.4%. Structural Analysis (Positive): 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. In addition, excess cash flow resulting from difference between interest earned on mortgage collateral and amount paid on the notes may be available to cover unpaid reimbursement amounts on notes. 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 40.9% of the loans in the transaction. Fitch applies a 5% PD reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects TPMT 2026-1 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 36.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC and Opus all assessed as 'Acceptable' third-party review (TPR) firms by Fitch. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. A third-party due diligence review was performed on approximately 40.9% of the pool by loan count. The results of the review indicated moderate operational risk with a 2.87% (by UPB) assigned final compliance grades of C or D. In addition, 15 loans did not have a final HUD-1 file for compliance testing purposes. Fitch increased the LS for these loans to account for the potential assignee liability costs. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TOWD POINT 2026-CES2: DBRS Gives Prov. B(high) Rating on 5 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-CES2 (the Notes) to be issued by Towd Point Mortgage Trust 2026-CES2 (TPMT 2026-CES2 or the Trust): -- $311.5 million Class A1A at (P) AAA (sf) -- $12.5 million Class A1B at (P) AAA (sf) -- $324.0 million Class A1 at (P) AAA (sf) -- $16.9 million Class A2 at (P) AA (low) (sf) -- $14.4 million Class M1 at (P) A (low) (sf) -- $13.6 million Class M2 at (P) BBB (low) (sf) -- $8.4 million Class B1 at (P) BB (high) (sf) -- $6.4 million Class B2 at (P) B (high) (sf) -- $16.9 million Class A2A at (P) AA (low) (sf) -- $16.9 million Class A2AX at (P) AA (low) (sf) -- $16.9 million Class A2B at (P) AA (low) (sf) -- $16.9 million Class A2BX at (P) AA (low) (sf) -- $16.9 million Class A2C at (P) AA (low) (sf) -- $16.9 million Class A2CX at (P) AA (low) (sf) -- $16.9 million Class A2D at (P) AA (low) (sf) -- $16.9 million Class A2DX at (P) AA (low) (sf) -- $14.4 million Class M1A at (P) A (low) (sf) -- $14.4 million Class M1AX at (P) A (low) (sf) -- $14.4 million Class M1B at (P) A (low) (sf) -- $14.4 million Class M1BX at (P) A (low) (sf) -- $14.4 million Class M1C at (P) A (low) (sf) -- $14.4 million Class M1CX at (P) A (low) (sf) -- $14.4 million Class M1D at (P) A (low) (sf) -- $14.4 million Class M1DX at (P) A (low) (sf) -- $13.6 million Class M2A at (P) BBB (low) (sf) -- $13.6 million Class M2AX at (P) BBB (low) (sf) -- $13.6 million Class M2B at (P) BBB (low) (sf) -- $13.6 million Class M2BX at (P) BBB (low) (sf) -- $13.6 million Class M2C at (P) BBB (low) (sf) -- $13.6 million Class M2CX at (P) BBB (low) (sf) -- $13.6 million Class M2D at (P) BBB (low) (sf) -- $13.6 million Class M2DX at (P) BBB (low) (sf) -- $8.4 million Class B1A at (P) BB (high) (sf) -- $8.4 million Class B1AX at (P) BB (high) (sf) -- $8.4 million Class B1B at (P) BB (high) (sf) -- $8.4 million Class B1BX at (P) BB (high) (sf) -- $6.4 million Class B2A at (P) B (high) (sf) -- $6.4 million Class B2AX at (P) B (high) (sf) -- $6.4 million Class B2B at (P) B (high) (sf) -- $6.4 million Class B2BX at (P) B (high) (sf) The (P) AAA (sf) credit rating on the Notes reflects 16.80% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 12.45%, 8.75%, 5.25%, 3.10%, and 1.45% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2026-CES2 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-CES2 (the Notes). The Notes are backed by 3,602 mortgage loans with a total principal balance of $389,381,088 as of the Cut-Off Date. The portfolio, on average, is three months seasoned, though seasoning ranges from one to 42 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 74.0%, and all loans were originated with Issuer-defined full documentation. As of cut-off date all the loans are current. Approximately 99.3% of the mortgage pool has been clean for the last 24 months or since origination, after accounting for temporary delinquency related to servicing transfer or borrower confusion. Additionally, one loan (0.1% of the pool balance) in the pool is in bankruptcy. TPMT 2026-CES2 represents the 14th CES securitization by FirstKey Mortgage, LLC (FirstKey) and first by CRM 3 Sponsor, LLC (CRM). Spring EQ, LLC (Spring EQ; 58.8%) and Newrez, LLC (Newrez; 21.1%) are the originators for the mortgage pool. Approximately 41.2% of the mortgage loans (loans other than Spring EQ) are acquired by Redwood (Redwood Residential Acquisition Corporation (RRAC) and RRAC-NY Holdings, Inc.). Redwood will provide R&W for these loans. Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint; 73.2%) and Select Portfolio Servicing, Inc. (SPS; 26.8%) are the Servicers of 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 3 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to the Issuer. As a Co-Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities (excluding the Class R Certificates) to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 9.5% of the loans are designated as non-QM, 8.3% are designated as QM Rebuttable Presumption, and 80.9% are designated as QM Safe Harbor. Approximately 1.3% 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 applicable 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 applicable 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 each 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 with a pro rata principal distribution among the Class A1A and A1B Notes. 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 A1A and A1B Notes are retired. The FKM 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 February 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. TRINITAS CLO IV: S&P Affirms B- (sf) Rating on Class F-R Debts -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-RR and C-R debt from Trinitas CLO IV Ltd. At the same time, S&P affirmed its ratings on the class D-R, E-R, and F-R debt from the same transaction. S&P also removed the ratings on the class B-RR, C-R, and D-R debt from CreditWatch, where it had placed them with positive implications in February 2026. The rating actions follow its review of the transaction's performance using data from the January 2026 trustee report. S&P said, "The transaction has made $256.6 million in collective paydowns to the class A-1F-2, A-1L-2, A-2F-2, A-2L-2, and B-RR debt since our October 2021 rating actions. The class A-2F-2 and A-2L-2 were paid down in full on the Jan. 20, 2026, payment date. These paydowns have resulted in positive migration in the reported overcollateralization (O/C) ratios since the July 2021 trustee report, which we had used for our previous rating actions, except for the junior-most O/C ratio, which has declined. -- The class A/B O/C ratio improved to 205.14% from 128.29%. -- The class C-R O/C ratio improved to 153.59% from 119.35%. -- The class D-R O/C ratio improved to 119.78% from 110.69%. -- The class E-R O/C ratio improved to 106.34% from 106.26%. -- The class F-R O/C ratio declined to 102.79% from 104.97%. Taking into account the Jan. 20, 2026, payment date, S&P anticipates most of the O/Cs to increase further. The higher coverage tests for the class A/B, C, D, and E debt indicate an increase in their credit support due to the deleveraging of the senior notes. This was the primary reason for the upgrades. While senior O/Cs improved, the class F O/C has declined since the previous trustee report and is now failing due to par losses and an increase in the O/C haircut for excess 'CCC' exposure. After adjusting for the principal payments that occurred on Jan. 20, 2026, payment date, S&P estimates the class F O/C ratio test is still failing but to a lesser degree. The class has not deferred any interest at this time. As of the Jan. 2026 trustee report, the 'CCC' haircut totals about $8.9 million. S&P said, "Though paydowns have helped the senior classes, the collateral portfolio's credit quality has deteriorated since our last rating actions, in part due to the increasing concentration of the pool. Collateral obligations with ratings in the 'CCC' category have increased, with $27.3 million reported as of the Jan. 2026 trustee report, compared with $14.8 million reported as of the July 2021 trustee report." There are no defaulted obligations in the portfolio as of the Jan. 2026 trustee report. While the pool's weighted average life has declined since the last rating action to 2.8 years from 4.8 years, the increasing concentration and proportion of 'CCC' collateral has increased the portfolio's scenario default rate (SDR). Additionally, the pool has incurred roughly $5 million of par loss which has offset some of the improvement to the junior class credit enhancement levels that occurred from senior debt payments. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could result in rating changes. Despite the failing class F-R O/C ratio test, S&P affirmed the rating because the cash flow results are passing at the current rating level, the class has not deferred any interest, and the payments made on the Jan. 20, 2026 payment date should reduce the level of the O/C test failure. S&P said, "Although our cash flow results indicated the potential for higher ratings for the class C-R, D-R, and E-R debt, our actions reflect the consideration of additional sensitivity analysis given the CLO's increasing exposure to 'CCC' collateral obligations and assets with low market prices, and our preference for a higher cushion. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rates and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these 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 will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Trinitas CLO IV Ltd. Class B-RR to 'AAA (sf)' from 'AA (sf)'/Watch pos Class C-R to 'AA+ (sf)' from 'A (sf)'/Watch pos Rating Affirmed And Removed From CreditWatch Positive Trinitas CLO IV Ltd. Class D-R to 'BBB- (sf)' from 'BBB- (sf)'/Watch pos Ratings Affirmed Trinitas CLO IV Ltd. Class E-R: B+ (sf) Class F-R: B- (sf) TRUPS FINANCIALS 2026-1: Moody's Assigns (P)Ba2 Rating to D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to eight classes of notes to be issued by TruPS Financials Note Securitization 2026-1 (the Issuer or TFNS 2026-1): US$174,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$34,000,000 Class A-2a Senior Secured Floating Rate Notes due 2038, Assigned (P)Aa2 (sf) US$18,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2038, Assigned (P)Aa2 (sf) US$5,000,000 Class B-1 Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)A2 (sf) US$13,250,000 Class B-2 Mezzanine Deferrable Fixed/Floating Rate Notes due 2038, Assigned (P)A2 (sf) US$8,500,000 Class C-1 Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)Baa3 (sf) US$9,750,000 Class C-2 Mezzanine Deferrable Fixed/Floating Rate Notes due 2038, Assigned (P)Baa3 (sf) US$15,250,000 Class D Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)Ba2 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2026-1 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes, and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank senior notes or bank subordinated note issued after January 01, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer will issue one other classes of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt, surplus notes and senior notes issued by 58 US community banks and 9 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q3-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $305,442,000 Weighted Average Rating Factor (WARF): 720 Weighted Average Spread (WAS) Float only: 3.32% Weighted Average Coupon (WAC) Fixed only: 7.52% Weighted Average Coupon (WAC) Fixed to float: 6.98% Weighted Average Spread (WAS) Fixed to float: 4.14% Weighted Average Life (WAL): 7.4 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM™, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. VASA TRUST 2021-VASA: DBRS Confirms BB Rating on Class D Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-VASA issued by VASA Trust 2021-VASA: -- Class A at AAA (sf) -- Class A-IO at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class B at A (high) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) The trends on all classes are Stable, with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the stable performance of the transaction since the previous Morningstar DBRS credit rating action in March 2025, as evidenced by the annualized net cash flow (NCF) and occupancy rate for the trailing nine-month (T-9) period ended September 30, 2025, of $31.8 million and 95.0%, respectively. The figures represent improvements from the respective YE2024 figures of $30.6 million and 94.4%. The collateral consists of the borrower's fee and leasehold interest in a 576,921-square-foot (sf) mixed-use office and retail development in Mountain View, California. The property was built in 2017 and consists of 456,760 sf (79.2% of the net rentable area (NRA)) of Class A office space and 120,161 sf (20.8% of the NRA) of ground/second-floor retail space. There is also a nine-story parking garage. The property benefits from its location within the highly developed and affluent Mountain View submarket, which has relatively high barriers to entry. The $505.6 million floating-rate loan has an upcoming anticipated repayment date (ARD) in April 2026 as the borrower has exercised all three of its 12-month extension options. The loan is sponsored by Brookfield Strategic Real Estate Partners III GP L.P., which is managed by Brookfield Asset Management, Inc. (Brookfield). Brookfield maintains a significant office portfolio but has previously walked away from distressed assets. Morningstar DBRS inquired about the borrower's plan regarding the April 2026 ARD and a response from the servicer is pending. Based on the annualized T-9 NCF noted above, the loan reported a debt service coverage ratio of 0.96 times and a debt yield of 6.3%. These figures suggest the borrower may need to contribute fresh equity to successfully refinance the loan. If the borrower does not successfully refinance the loan or sell the property, the loan will hyper amortize with a final maturity date in July 2029. The collateral's office component was originally 100.0% leased by LinkedIn but, following Microsoft's acquisition of LinkedIn in 2016, Microsoft assigned the LinkedIn lease to WeWork and provided a guaranty on the assigned lease that extends through July 2029. The lease has a provision enabling the execution of license agreements instead of formal subleases. For example, WeWork and Amazon entered into a license agreement to fully occupy the entire office portion of 401 San Antonio (37.6% of NRA). Other office tenants included LaceWork (7.5% of NRA) operating under a sublease, Earning (7.3% of NRA) operating under a license agreement, and Yahoo (13.2% of NRA) operating under an extended license agreement. Microsoft is subject to an absolute and unconditional guarantee of the payment and performance of WeWork's covenants, obligations, liabilities, and duties that arise in relation to the leased space through July 2029. The largest retail tenant at the property at closing was ShowPlace ICON Theatre (8.8% of NRA), which had a scheduled lease expiration in December 2040; however, the theater closed in July 2024. Alamo Drafthouse Theater subsequently took over the space on a 15-year lease, scheduled to expire in June 2040. Given the stable performance over the past year, Morningstar DBRS maintained its analytical approach in the current analysis of transaction. In April 2024, Morningstar DBRS updated its value for the collateral and concluded to an increased capitalization (cap) rate of 7.25%, up from the issuance cap rate of 6.50%. The resulting value was $432.3 million based on the Morningstar DBRS NCF of $31.3 million derived at issuance, a -32.5% variance from the issuance appraised value of $640.0 million. The Morningstar DBRS loan-to-value ratio is 117.0%. Morningstar DBRS also maintained positive qualitative adjustments totaling 5.75% to reflect the portfolio's low cash flow volatility, good property quality, and strong market fundamentals. For more information regarding the approach and analysis conducted, please refer to the press release for this transaction dated April 15, 2024, on Morningstar DBRS' website. Overall, Morningstar DBRS has a favorable outlook on the property throughout the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. VB-S1 ISSUER 2026-1: Moody's Assigns B2 Rating to Class M Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to Vertical Bridge REIT, LLC's (Vertical Bridge) secured tower revenue notes, Series 2026-1, class C-2, class D, class F, and class M notes (together, the 2026 notes), issued by VB-S1 Issuer, LLC (the issuer). The collateral backing the securitization is a pool of 10,022 wireless tower sites, including 5,691 tower sites to be added by the closing date, and related leases. The tower sites are leased to a variety of users, primarily major wireless telephony carriers. The issuer expects to use the proceeds of the issuance of the series 2026-1 to pay transaction fees and expenses, and for other general corporate purposes. As of September 30, 2025, the tower pool had an annualized run rate net cash flow (ARRNCF) of approximately $284 million. Vertical Bridge is the sponsor of the transaction. Vertical Bridge Management, LLC, a direct wholly-owned subsidiary of Vertical Bridge, is the manager of the securitized assets. The anticipated repayment date (ARD) for the 2026 notes will be in March 2031 and the final distribution date will be in March 2056. The complete rating action is as follows: VB-S1 Issuer, LLC Secured Tower Revenue Notes, Series 2026-1 - Class C-2 Notes, Definitive Rating Assigned A2 (sf) - Class D Notes, Definitive Rating Assigned Baa3 (sf) - Class F Notes, Definitive Rating Assigned Ba3 (sf) - Class M Notes, Definitive Rating Assigned B2 (sf) To date, the issuer has issued five series of term wireless tower securitizations. The Series 2026-1 notes are being issued out of a master trust, and totals to $1.94 billion. After closing, there will be eleven series of notes outstanding: (1) the Series 2022-1 Class C-1 notes, which following closing can be drawn to a maximum of $100 million, with an ARD of May 2027, (2) the $462 million Series 2022-1 Class C-2-I notes with an ARD of August 2027, (3) the $462 million Series 2022-1 Class C-2-II notes with an ARD of February 2032, (4) the $202 million Series 2022-1 Class D notes with an ARD of August 2027, (5) the $242 million Series 2022-1 Class F notes with an ARD of August 2027, (6) the $421.5 million Series 2024-1 Class C notes with an ARD of May 2029, (7) the $92.3 million Series 2024-1 Class D notes with an ARD of May 2029, (8) the $111.2 million Series 2024-1 Class F notes with an ARD of May 2029, (9) the $1.21 billion series 2026-1 Class C2 notes with an ARD of March 2031, (10) the $290 million series 2026-1 Class D notes with an ARD of March 2031, (11) the $158.1 million series 2026-1 Class F notes with an ARD of March 2031, and (12) the $284.1 million series 2026-1 Class M notes with an ARD of March 2031. Following the issuance of the 2026-1 notes, the total amount of Class C notes of the issuer rated by us is around $2.55 billion. RATINGS RATIONALE The ratings of the 2026 notes are based on (1) Moody's assessed cumulative loan-to-value (CLTV) ratio of the 2026 notes, (2) the high quality of the underlying wireless tower pool and associated leases, of which around 93% of the annualized-run-rate-revenue (ARRR) comes from leases to wireless telephony/data tenants, (3) the strength of the transaction legal structure, including the benefit of mortgages on the tower sites securing the mortgage loans and the class C leverage ratio trigger that will provide additional protection should the transaction's cash flows decline, (4) the ability, experience and expertise of Vertical Bridge's management team and Vertical Bridge Management, LLC as the manager of the wireless towers in the securitization pool, (5) the role of Midland Loan Services, Inc. (Midland), a division of PNC Bank, N.A. (Aa3/A2 stable, a2), as the servicer of the securities, and (6) the capital structure of the trust including the sequential timing of the ARDs which allow for paydown of debt prior to the 2026 notes' ARDs, if the issuer is unable to refinance series with earlier ARDs than those of the 2026 notes. In determining the assigned ratings, Moody's supplemented the main quantitative and CLTV analysis with additional sensitivity analyses and considerations for factors such as structural features. For instance, Moody's qualitatively considered the strength of the class C leverage ratio trigger. Based on the trigger, if the class C leverage ratio is greater than 9.0x ARRNCF, excess cash flows will be used to paydown the class C notes including the 2024 notes until the leverage ratio declines below 9.0x. The issuer may optionally cure the trigger by prepaying the class C notes and/or by adding additional tower sites. In determining the CLTV ratio of the 2026 notes, Moody's assessed the present value of the net cash flow the tower pool will likely generate from space licenses (leases) on the towers, which it then used to calculate the CLTV ratio for each rated tranche. In deriving the value, Moody's considered various scenarios including higher operating expenses and lower organic growth. Moody's modeled values of the scenarios that primarily include those, ranged from around $4.085 billion to $4.235 billion, resulting in CLTV ratios for the 2026 Class C-2 notes ranging from around 59% to 62%, for the 2026 Class D notes ranging from 73% to 76%, for the 2026 Class F notes 85% to 89%, and for the Class M notes ranging from 92% to 96%. The assumptions Moody's applied to arrive at the value are listed below. The CLTV ratio for a particular class of securities reflects the loan-to-value ratio of the combined original principal balance of all the securities that rank pari-passu to a specific class and the combined original principal balance of all the classes that are senior to it. RATINGS OF EXISTING SERIES UNAFFECTED Moody's also announced today that the issuance of the 2026 notes and the Second Amendment to Third Amended & Restated Indenture, the Second Amendment to Amended and Restated Servicing Agreement and the Series 2026-1 Supplement (the amendments) would not, in and of themselves and as of this time, result in a reduction or withdrawal of the ratings currently assigned to Series 2022-1 Class C-1, Series 2022-1 Class C-2-I, Series 2022-1 Class C-2-II and Series 2024-1 Class C-2 notes issued by the issuer (together the existing class C notes). Moody's opinion addresses only the credit impact associated with the issuance of the 2026 notes and the amendments, and Moody's are not expressing any opinion as to whether the issuance of the 2026 notes and the amendments have, or could have, other non-credit related effects that may have a detrimental impact on the interests of holders of rated obligations and/or counterparties. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Digital Connectivity Securitizations " published in October 2025. The following are the key assumptions Moody's used in Moody's quantitative analysis: (1) Revenue growth: Moody's assumed two sources of revenue growth for wireless telephony/data: 1) lease escalators were assumed to be fixed at about 2.3% until year ten, 2.2% for years 11-20, and 2.0% thereafter, and 2) organic revenue growth resulting in an incremental increase in revenue of about 4.0%-8.0% per annum for the next five years. Moody's assumed that revenues from broadcasting (around 5% of the ARRR) would either decline continuously over a 15-year period to around 70% of current levels or remain at current levels and that other sources of revenue (such as paging, Land Mobile Radio-Specialized Mobile Radio) would decline to zero based on a triangular distribution ranging from five to ten years. (2) Probability of default of wireless telephony/data tenants using the actual ratings of rated tenant or a credit estimate and assuming low speculative grade rating for unrated tenants. (3) Recovery upon wireless telephony/data tenant default: Moody's assumed these recoveries would be zero in the year following the default, and rise to 80% for large carriers, and to 50% or 80% for small carriers, of pre-default revenues over the two years after the default. (4) Operating expenses ranging from 24% to 32% of revenue based on a triangular distribution. (5) Management fee: The management fee and successor management fee are set at 4.5% of revenue. In deriving the Moody's assessed value, Moody's assumed a 5% management fee for the transaction. (6) Maintenance capital expenditures: Moody's assumed that these expenditures would be $600 per tower per annum and would increase by 2% to 4% every year. (7) A discount rate applied to the net cash flow based on a triangular distribution anchored between 7.5% and 12.0%. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings are (1) sustained revenue growth significantly greater than Moody's forecasts and (2) significant improvement in the credit quality of the tenants leasing space on the towers. Down Factors that could lead to a downgrade of the ratings are (1) revenue growth that is materially below Moody's initial expectations, (2) the emergence of competing technologies that could obviate the need for wireless towers and adversely affect future lease revenues and (3) significant decline in the credit quality of the tenants leasing space on the towers. Other reasons for worse-than-expected transaction performance could include poor management of the tower pool or error on the part of transaction parties. VELOCITY COMMERCIAL 2026-1: DBRS Finalizes B Rating on 3 Tranches ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2026-1 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2026-1 (VCC 2026-1 or the Issuer) as follows: -- $243.5 million Class A at AAA (sf) -- $16.7 million Class M-1 at AA (low) (sf) -- $17.4 million Class M-2 at A (low) (sf) -- $35.7 million Class M-3 at BBB (low) (sf) -- $22.2 million Class M-4 at BB (sf) -- $10.8 million Class M-5 at B (sf) -- $4.6 million Class M-6 at B (low) (sf) -- $243.5 million Class A-S at AAA (sf) -- $243.5 million Class A-IO at AAA (sf) -- $16.7 million Class M1-A at AA (low) (sf) -- $16.7 million Class M1-IO at AA (low) (sf) -- $17.4 million Class M2-A at A (low) (sf) -- $17.4 million Class M2-IO at A (low) (sf) -- $35.7 million Class M3-A at BBB (low) (sf) -- $35.7 million Class M3-IO at BBB (low) (sf) -- $22.2 million Class M4-A at BB (sf) -- $22.2 million Class M4-IO at BB (sf) -- $10.8 million Class M5-A at B (sf) -- $10.8 million Class M5-IO at B (sf) -- $4.6 million Class M6-A at B (low) (sf) -- $4.6 million Class M6-IO at B (low) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 31.45% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (sf), and B (low) (sf) credit ratings reflect 26.75%, 21.85%, 11.80%, 5.55%, 2.50%, and 1.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2026-1 is a securitization of a portfolio of newly originated fixed-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial (SBC) mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Certificates, which are backed by 973 mortgage loans with a total principal balance of $355,159,386 as of the Cut-Off Date (January 1, 2026). Approximately 46.6% of loans in the pool are residential investor loans and about 53.4% are traditional SBC loans. In contrast to certain other recent VCC securitizations, there are no SBA 504 loans in this pool. Velocity Commercial Capital, LLC (Velocity or VCC) originated the majority of the loans in the securitization. New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity (itself wholly owned by Velocity Financial, Inc.), originated 34 (12.7%) of the loans in the pool. The loans were generally underwritten to program guidelines for business-purpose loans for which the lender generally expects the property (or its value) to be the primary source of repayment. For all of the New Day originated loans, underwriting was based on business cash flows but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 34 New Day-originated loans, and PMC will also act as the Backup Servicer for these loans. If New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (the Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Mortgage Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-Off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS Certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-Off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 331 individual loans secured by 332 commercial and multifamily properties with an average cut-off date loan balance of $572,773. Included in the SBC pool is one blanket loan that has a 38-unit multifamily property, and a four-unit multifamily property that would typically be part of the Investor 1-4 program. Because of the blanket-loan, and given the complexity of the structure and granularity of the pool, Morningstar DBRS analyzed this loan under its "Rating and Monitoring North American CMBS Multi-Borrower Transactions" methodology (the CMBS Methodology). The SBC loans have a weighted-average (WA) fixed interest rate of 10.6%. This is approximately 30 basis points (bps) lower than the VCC 2025-5 transaction, 40 bps lower than the VCC 2025-4 transaction, 20 bps lower than the VCC 2025-3 transaction, and 30 bps lower than the VCC 2025-2 transaction. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 12 loans, which represent 5.2% of the SBC pool, have an initial IO period between 12 months and 120 months. All the SBC loans were originated between October 2025 and December 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of approximately 360 months, or 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.9%. However, Morningstar DBRS made LTV adjustments to 35 loans that had an implied capitalization rate (cap rate) of more than 200 bps lower than a set of minimal cap rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum cap rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 64.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization, greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year ranges between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the CMBS Methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (one fourth of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-fourth reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects that this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rates and lending spreads, the SBC pool has a significant increase in interest rates compared with VCC transactions in 2022 and 2023. Consequently, 48.8% of the loans in the deal (160 SBC loans) have an Issuer Net Operating Income DSCR of less than 1.0 times (x), which is slightly below the 2025 and 2024 transactions, but a larger composition than the VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, there is a WA FICO score of 705 for the SBC loans, which is similar to those of prior VCC transactions. Morningstar DBRS therefore applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. A comparison of the deal with previous VCC transactions is shown in the related presale report. Morningstar DBRS also applied an additional 2.5% penalty to the fully adjusted cumulative default assumptions to account for the anticipated delinquencies based on performance from the prior VCC transactions in 2025. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $572,773, a concentration profile equivalent to that of a transaction with 154 equal-size loans, and a top 10 loan concentration of 15.8%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool includes 12 loans originated via New Day's Lite Doc Investor Loan Program, which does not require a review of tax returns. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (28.8% of the SBC pool) and office (25.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 54.2% of the SBC pool balance. Morningstar DBRS applied a 25.7% reduction to the net cash flow (NCF) for retail properties and a 36.6% reduction to the NCF for office assets in the SBC pool, which is higher than the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans in its sample for this transaction. Instead, Morningstar DBRS relied on analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, the Property Quality score of one was Average + (2.3% of sampled pool balance), 21 were Average (30.1%), 35 were Average - (38.8%), 18 were Below Average (23.2%), and five were Poor (5.5%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions that Morningstar DBRS rates. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 30 SBC loans in the pool, which represent 30.4% of the SBC pool balance. These appraisals were issued between July 2025 and December 2025. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements are provided. Therefore, an loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.6%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small-balance borrowers and assessments from past small-balance transactions rated by Morningstar DBRS. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 642 mortgage loans with a total balance of approximately $166 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2026-2: DBRS Finalizes BB Rating on B-1 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-2 (the Notes) to be issued by Verus Securitization Trust 2026-2 (Verus 2026-2 or the Trust) as follows: -- $407.9 million Class A-1A at AAA (sf) -- $62.5 million Class A-1B at AAA (sf) -- $470.5 million Class A-1 at AAA (sf) -- $108.0 million Class A-1FCF at AAA (sf) -- $108.0 million Class A-1FCX at AAA (sf) -- $36.0 million Class A-1LCF at AAA (sf) -- $26.3 million Class A-1F at AAA (sf) -- $26.3 million Class A-1IO1 at AAA (sf) -- $26.3 million Class A-1IO2 at AAA (sf) -- $26.3 million Class A-1IO at AAA (sf) -- $43.4 million Class A-2 at AA (high) (sf) -- $76.2 million Class A-3 at A (high) (sf) -- $41.7 million Class M-1 at BBB (sf) -- $21.3 million Class B-1 at BB (sf) -- $11.1 million Class B-2 at B (high) (sf) Class A-1 and Class A-1IO are exchangeable notes while Classes A-1A, A-1B, A-IO1 and A-IO2 are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 24.75% of credit enhancement provided by the subordinated Notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (high) (sf) credit ratings reflect 19.65%, 10.70%, 5.80%, 3.30%, and 2.00% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-2 (the Notes). The Notes are backed by 1,617 mortgage loans with a total principal balance of $851,551,874 as of the Cut-Off Date (February 1, 2026). Subsequent to the issuance of the related Presale Report, the pool was updated to reflect a Cut-Off Date of February 1, 2026. The Notes are backed by 1,624 loans with a total principal balance of $854,270,152 in the Presale Report. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. Through various entities, Invictus Capital Partners, LP (Invictus) began acquiring loans in 2015, and Verus 2026-2 represents the 83rd rated securitization issued from the Verus shelf. The mortgage loans were originated by various Originators. Each Originator originated less than 10.0% of the Mortgage Loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 60.8% of the loans and Cornerstone Servicing will service 39.2% of the loans. 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, 99.2% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 30.9% of the loans by balance are designated as non-QM. Approximately 46.8% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 20.5% of the pool are designated as QM Safe Harbor, and there are 1.8% QM Rebuttable Presumption (by unpaid principal balance (UPB)). The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical interest, which represents at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Additionally, as of the Closing Date, the Sponsor is expected to initially retain 100% of the Class A-1IO1, Class A-1IO2, Class B-3, Class A-IO-S and Class XS Notes. On or after the earlier of (1) the Payment Date occurring in February 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Optional Redemption Right Holder's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate-owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Servicers will fund advances of delinquent P&I on first-lien loans until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The transaction's cash flow structure is generally similar to that of other recent non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost Notes before being applied sequentially to amortize the balances of the more subordinated Notes. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior Notes. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. The senior fixed rate coupons step up by 1.00% on and after the accrual period in February 2030. Interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Notes. Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2025-5: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2025-5, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2025-5 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 Voya CLO 2025-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.9% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.1% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41.0% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 28 January 2026 ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2025-5 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. WELLS FARGO 2016-C34: Fitch Affirms 'B-sf' Rating on Class D Debt ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of Wells Fargo Commercial Mortgage Trust (WFCM 2016-C34). The Rating Outlook for classes C and D remain Negative. Fitch has also affirmed all classes of Wells Fargo Commercial Mortgage Trust (WFCM 2016-C35). The Rating Outlooks for classes D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-C35 A-3 95000FAS5 LT AAAsf Affirmed AAAsf A-4 95000FAT3 LT AAAsf Affirmed AAAsf A-4FL 95000FBA3 LT AAAsf Affirmed AAAsf A-4FX 95000FBC9 LT AAAsf Affirmed AAAsf A-S 95000FAV8 LT AAAsf Affirmed AAAsf B 95000FAY2 LT AAsf Affirmed AAsf C 95000FAZ9 LT A-sf Affirmed A-sf D 95000FAC0 LT BBsf Affirmed BBsf E 95000FAE6 LT B-sf Affirmed B-sf F 95000FAG1 LT CCCsf Affirmed CCCsf X-A 95000FAW6 LT AAAsf Affirmed AAAsf X-D 95000FAA4 LT BBsf Affirmed BBsf WFCM 2016-C34 A-3 95000DBC4 LT AAAsf Affirmed AAAsf A-3FL 95000DAG6 LT AAAsf Affirmed AAAsf A-3FX 95000DAJ0 LT AAAsf Affirmed AAAsf A-4 95000DBD2 LT AAAsf Affirmed AAAsf A-S 95000DBF7 LT AAAsf Affirmed AAAsf B 95000DBJ9 LT Asf Affirmed Asf C 95000DBK6 LT BBB-sf Affirmed BBB-sf D 95000DAL5 LT B-sf Affirmed B-sf E 95000DAN1 LT CCsf Affirmed CCsf F 95000DAQ4 LT CCsf Affirmed CCsf X-A 95000DBG5 LT AAAsf Affirmed AAAsf X-B 95000DBH3 LT Asf Affirmed Asf X-E 95000DAA9 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case loss for the WFCM 2016-C34 increased to 11.8% (8.3% based on the original balance and including realized losses), from 9.9% (8.7% based on the original balance and including realized losses) at Fitch's prior rating action. Deal-level 'Bsf' rating case loss in the WFCM 2016-C35 transaction were 6.6% (5.9% based on the original balance and including realized losses) as compared to 8.0% (6.3% original pool balance and including realized losses) at the prior review. The WFCM 2016-C34 transaction has 11 Fitch Loans of Concern (FLOCs; 53% of the pool), including four loans (25.3%) currently in special servicing. The WFCM 2016-C35 transaction has 10 FLOCs (23.4%), including four loans (8.9%) in special servicing. The affirmations in WFCM 2016-C34 reflect increased credit enhancement (CE) from scheduled amortization and better-than-expected recoveries from loans paying off at maturity, along with favorable maturity outcomes for retail FLOCs including the payoff of Congressional North Shopping Center & 121 Congress (14.1% of the pool), which was the fourth largest contributor to loss expectations in the prior rating action. The Negative Outlooks in WFCM 2016-C34 reflect the pool's elevated retail concentration of 49.8% and high proportion of FLOCs (53%) and loans in special servicing (25.3%). Downgrades are possible if performance deteriorates beyond current expectations, property values decline further, specially serviced loans experience extended workout periods, or more loans than anticipated are unable to refinance. The affirmations in the WFCM 2016-C35 transaction reflect increased CE from improved pool performance and better than expected recoveries from loans paying off at maturity, including former FLOC the Mall at Turtle Creek, which was the second largest contributor to loss expectations in the prior rating actions and had a base case loss of 87.6% (prior to concentration adjustments) and improved occupancy and performance on the second largest loan the mall at Rockingham Park (8.3%). The Negative Outlooks in WFCM 2016-C35 reflect the pool's elevated retail concentration of 34.7% and the high proportion of FLOCs (23.4%). Downgrades are possible if performance deteriorates beyond current expectations, property values decline further, specially serviced loans experience extended workout periods, or more loans than anticipated are unable to refinance. Due to loan maturities concentrated in the first half of 2026, Fitch performed a recovery 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 and/or loss expectation. Largest Contributors to Loss: The largest contributor to overall loss expectations in WFCM 2016-C34 is the specially serviced Regent Portfolio loan (14.2%) which transferred to special servicing in June 2019 for delinquent payments and the loan remains in payment default. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The loan was originally secured by 13 buildings (352,001 total SF of mostly medical office space) in New Jersey (11 properties), New York (one property), and Florida (one property); one property was released in 2020 and 12 became REO in February 2023. One warehouse was sold in October 2023, with four properties were sold as REO in 2024, and two properties were sold as REO in 2025. The portfolio now consists of five properties with one more sale scheduled for February 2026. Fitch's 'Bsf' rating case loss of 41% (prior to concentration add-ons) reflects a discount to the most recently reported appraised values for the unsold portfolio of properties, and no stress applied to the purchase price of the property scheduled for sale. The second largest contributor to overall loss expectations in WFCM 2016-C34 is the specially serviced Nolitan Hotel (4.8%) which transferred in December 2020 following a payment default related to COVID-19. The loan is secured by a 57-room, nine story, full-service boutique hotel built in 2011 located in the Nolita neighborhood of downtown Manhattan, NY. The loan matures in May 2026 with the open period beginning in February. The borrower is pursuing a payoff while also negotiating a defeasance on the loan. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 36.8% reflects a stress to the most recently reconciled value equating to a stressed value of $310,947 per key. The largest contributor to overall loss expectations in WFCM 2016-C35 is the specially serviced DoubleTree Overland Park loan (2.6%) which transferred in May 2020 for imminent monetary default. A receiver was appointed in October 2020, the foreclosure sale occurred in November 2021, and the title was received in January 2022. The special servicer is working to stabilize the asset. Per servicer reporting, as of TTM November 2025, occupancy stands at 48.2%, with an ADR of $147.5 and a RevPAR of $71.1, compared to the previous year's figures of 44.8% occupancy, $142.9 ADR, and $64.0 RevPAR for TTM November 2024. Fitch's 'Bsf' rating case loss of 54.7% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal equating to a stressed value of $51,236 per key. The second largest contributor to loss expectations in the WFCM 2016-C35 is the specially serviced Eagle Square loan (2.5%), secured by a 105,724-sf mixed-use (office and retail) property located in Providence, RI. The borrower defaulted in February 2024 and a receiver was appointed in May 2024. As of September 2025, the property was 86.4% leased; however, a 9,000-sf GSA tenant is dark and is likely to vacate ahead of its October 2026 lease expiration. Approximately 56.2% of property revenue is derived from GSA tenants (Veterans Administration 48.9%, Coast Guard 2.3%, and Armed Forces 5%). The receiver continues efforts to stabilize the asset. Fitch's 'Bsf' rating case loss of 45.8% (prior to concentration adjustments) considers the most recent appraisal value, equating to a stressed value of $124 psf. Increased CE: As of the January 2026 distribution date, the aggregate balances of the WFCM 2016-C34 and WFCM 2016-C35 transactions have been reduced by 40.5% and 29.2%, respectively, since issuance. Two loans (2.3% of the pool) in the WFCM 2016-C34 transaction are fully defeased. 26 loans (19.9%) in the WFCM 2016-C35 transaction are fully defeased. Loan maturities are concentrated in 1Q2026 for WFCM 2016-C34 with 20 loans for 55.6% of the pool, and 53 loans for 67.2% of the pool due to mature in 2Q2026 for WFCM 2016-C35. Cumulative interest shortfalls of $3.49 million are affecting classes D, E, and F and the non-rated classes G and H in the WFCM 2016-C34 transaction and $3.19 million affecting the non-rated class G in the WFCM 2016-C35 transaction. WFCM 2016-C34 has realized losses of $8,880,913 affecting the non-rated class H and WFCM 2016-C35 has realized losses of $12,741,574 affecting the non-rated class G. Undercollateralization: The WFCM 2016-C35 transaction is undercollateralized by approximately $246,000 due to a workout delayed reimbursement of advances (WODRA) on the Trinity Co-Operative Apts. Loan, which was reflected in the February 2023 remittance report. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely 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' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably Regent Portfolio, Nolitan Hotel and Hilton & Homewood Suites Philadelphia in WFCM 2016-C34, DoubleTree Overland Park, Eagle Square, Pinnacle II, and Holiday Inn & Suites Lima in WFCM 2016-C35, deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain with loans liquidating at an outsized loss in-line with Fitch's stressed values and/or with further performance declines of the aforementioned FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. This includes Regent Portfolio, Nolitan Hotel and Hilton & Homewood Suites Philadelphia in WFCM 2016-C34, and DoubleTree Overland Park, Eagle Square, Pinnacle II in WFCM 2016-C35. 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 likelihood for interest shortfalls. Upgrades to the 'BBBsf', 'BBsf' and 'Bsf' classes considers these factors but are limited based on sensitivity to adverse selection and concentrations to the aforementioned FLOCs and loans in special servicing. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2026-5C8: DBRS Gives Prov. BB Rating on F-RR Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5C8 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2026-5C8 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class C at (P) AA (low) (sf) -- Class X-D at (P) A (low) (sf) -- Class X-E at (P) BBB (sf) -- Class D at (P) BBB (high) (sf) -- Class E at (P) BBB (low) (sf) -- Class F-RR at (P) BB (sf) All trends are Stable. Classes X-D, X-E, D, E, and F-RR will be privately placed. The collateral for the Trust consists of 29 fixed-rate loans secured by 40 commercial and multifamily properties with an aggregate cut-off date balance of $766.2 million. One loan, representing 9.8% of the total pool balance, is shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default (POD) within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.64 times (x) including the shadow-rated loan and 1.43x excluding the shadow-rated loan. Of the 29 loans, 14 loans, representing 45.5% of the pool, exhibited a Morningstar DBRS Issuance DSCR of less than 1.31x, a threshold that typically indicates a higher likelihood of midterm default. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) is 60.2% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 60.4% at maturity based on the A note balances. Excluding the shadow-rated loan, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 62.8% and a Morningstar DBRS WA Balloon LTV of 63.0%. Six loans, comprising 26.9% of the total pool, exhibit a Morningstar DBRS Issuance LTV above 67.6%, a threshold that typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. The largest loan in the pool, CityCenter (Aria & Vdara), representing 9.8% of the total pool balance, exhibited credit characteristics consistent with a shadow rating of AA. Fourteen loans, representing 51.7% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is moderately low at 60.2% (62.8% excluding the one shadow-rated loan) and the Morningstar DBRS WA Balloon LTV is 60.4% (63.0% excluding the shadow-rated loan). Six loans, representing 26.9% of the pool, have Morningstar DBRS Issuance LTVs above 67.6%, but only one loan comprising 5.2% of the pool has a Morningstar DBRS Issuance LTV above 75.7%, a threshold that has historically correlated with the highest rate of default. The Morningstar DBRS WA DSCR of 1.64x (1.43x excluding the shadow-rated loan) is relatively high for a conduit transaction, particularly when compared with the current interest rate environment where DSCRs have been severely constrained, as debt service payments have nearly doubled since mid-2022. Only two loans, comprising 6.0% of the pool, have a Morningstar DBRS DSCR below 1.10x, and no loans have a Morningstar DBRS DSCR below 1.00x. Four loans, representing 11.3% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, eight loans, comprising 31.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Thirteen loans, representing 35.7% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs, while only two loans, representing 3.2% of the pool, are in Morningstar DBRS MSA Group 1, the worst-performing group. The 29-loan pool results in a Herfindahl (Herf) score of 18.0, with the top 10 loans representing 67.4% of the transaction by cut-off date trust balance and the largest loan representing 9.8% of the cut-off date trust balance. While the Herf score for the subject transaction is higher than the Herf score for the WFCM 2025-5C7 transaction (17.2) and the WFCM 2025-5C6 transaction (16.4), it is lower than the Herf scores of most of the other recent multi-borrower conduits rated by Morningstar DBRS, including BANK5 2026-5YR20 (18.3), BANK5 2025-5YR19 (24.1), and BANK5 2025-5YR17 (24.1). In addition, the pool has a slightly elevated concentration of loans in California, with nine loans comprising 28.6% of the pool balance, meaning that changes in California government policy or economic trends could negatively affect more than a quarter of the pool. Twenty-three loans, representing 88.8% of the pool balance, are being used to refinance existing debt, a higher concentration than seen in most of the recent multi-borrower conduits rated by Morningstar DBRS. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Twenty-eight of the 29 loans in the pool, representing 99.2% of the pool balance, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The pool has a relatively high concentration of loans secured by office and retail properties at 14 loans, comprising 40.3% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. Four loans, representing 20.1% of the total pool balance, were regarded as having Average - property quality, while one loan, representing 2.3% of the pool balance, was determined to have Below Average property quality. This is a higher concentration of lower-quality properties than seen in many of the recent multi-borrower conduit transactions rated by Morningstar DBRS. Lower-quality properties may have difficulty attracting new tenants/guests and retaining their current tenants/guests, and therefore may exhibit less stable performance. The transaction includes six loans, representing 32.5% of the pool, that were assigned a Morningstar DBRS sponsor strength of Weak or Bad (Litigious), which increases the POD in Morningstar DBRS' model. This designation was generally applied to sponsors who had low net worth and liquidity, a recent history of defaults or foreclosures, a complex borrower structure, and/or a lack of commercial real estate experience. There are two loans (11.8% of the pool) with a Weak sponsor and four loans (20.6% of the pool) with a Bad (Litigious) sponsor. Morningstar DBRS' credit ratings on the Certificates 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 Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2026-5C8: Fitch Assigns B-(EXP)sf Rating on F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Ratings Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C8 commercial mortgage pass-through certificates, series 2026-5C8 as follows: - $262,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $125,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $411,052,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $536,314,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $65,124,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $40,223,000 class B 'AA-(EXP)sf'; Outlook Stable; - $30,647,000 class C 'A-(EXP)sf'; Outlook Stable; - $135,994,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $29,688,000 (c) class D 'BBB-(EXP)sf'; Outlook Stable; - $29,688,000 (b)(c) class X-D 'BBB-(EXP)sf'; Outlook Stable; - $18,197,000 (c) class E 'BB-(EXP)sf'; Outlook Stable; - $18,197,000 (b)(c) class X-E 'BB-(EXP)sf'; Outlook Stable; - $13,408,000 (c)(d) class F-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $32,562,164 (c)(d) class G-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $536,052,000 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-2 balance range is $0 to $250,000,000, and the expected class A-3 balance range is $286,052,000 to $536,052,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoint value of each range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes F-RR and G-RR certificates comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Feb. 11, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 40 commercial properties having an aggregate principal balance of $766,163,165 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, and Greystone Commercial Mortgage Capital LLC. The master servicer is expected to be Trimont LLC, the primary servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be Argentic Services Company LP. Deutsche Bank National Trust Company will act as the trustee and Computershare Trust Company, National Association, will act as the certificate administrator. The operating advisor and asset representations reviewer will be Park Bridge Lender Services LLP. The certificates will follow a sequential-paydown structure. The transaction is expected to close on March 5, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 91.3% by balance. Fitch's resulting net cash flow (NCF) of $78.6 million represents a 13.3% decline from the issuer's underwritten NCF. Fitch Leverage: The pool has slightly lower leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 100.4% is slightly lower than the 2025 average of 101.0% but higher than the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.3% is higher than both the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.4% of the pool, higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 17.7 is lower than the 2025 and 2024 averages of 21.6 and 22.7, respectively. Investment-Grade Credit Opinion Loans: One loan, CityCenter (9.8% of the pool), received a standalone credit opinion of 'AAAsf*'. The pool's investment grade credit opinion percentage is lower than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 105.8% and 9.2%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, 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'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. [] DBRS Discontinues Ratings on 16 Classes From 6 CMBS Deals ------------------------------------------------------------ DBRS Limited downgraded the credit ratings on 16 classes of commercial mortgage pass-through certificates across six transactions as follows: Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 (BSCMS 2007-PWR18) -- Class B to D (sf) from C (sf) -- Class C to D (sf) from C (sf) -- Class D to D (sf) from C (sf) CD 2016-CD1 Mortgage Trust (CD 2016-CD1) -- Class F to D (sf) from C (sf) COMM 2014-UBS2 Mortgage Trust (COMM 2014-UBS2) -- Class D to D (sf) from C (sf) GSCG Trust 2019-600C (GSCG 2019-600C) -- Class B to D (sf) from C (sf) -- Class C to D (sf) from C (sf) -- Class D to D (sf) from C (sf) -- Class E to D (sf) from C (sf) -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 (MSBAM 2013-C7) -- Class D to D (sf) from C (sf) -- Class E to D (sf) from C (sf) -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) Wells Fargo Commercial Mortgage Trust 2015-C28 (WFCM 2015-C28) -- Class F to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will discontinue and withdraw its credit ratings on all aforementioned classes. Morningstar DBRS discontinued the credit rating on Class A in the GSCG 2019-600C transaction as it was repaid with the January 2026 remittance. Additionally, Morningstar DBRS withdrew its credit ratings on Class X-B in the COMM 2014-UBS2 transaction and Class X in the GSCG 2019-600C transaction as the reference bonds for both classes incurred a loss with the January 2026 remittance. The credit rating downgrades were made as a result of losses to the respective trusts that were reflected with the January 2026 remittances. -- The BSCMS 2007-PWR18 transaction incurred a loss of $69.9 million, wiping out Classes C and D and eroding $11.9 million of Class B. The loss was tied to the liquidation of the Marriott Houston Westchase loan (Prospectus ID#6). The loan-level loss was in line with Morningstar DBRS' expected loss of $65.2 million at the last review. This concludes Morningstar DBRS' surveillance of this transaction. -- The CD 2016-CD1 transaction incurred a loss of $8.5 million, wiping out the remainder of the unrated Class G and eroding $4.4 million of Class F. The loss was tied to nonrecoverable advances and other certificate adjustments related to the Westfield San Francisco Centre loan (Prospectus ID#3; 11.9% of the pool). At the last review, Morningstar DBRS analyzed this loan with a liquidation scenario, with implied losses totaling $40.3 million (67.1% loss severity). -- The COMM 2014-UBS2 transaction incurred a loss of $45.4 million, wiping out the remainder of Class E and $18.1 million of Class D. The loss was tied to the liquidation of the One North State Street loan (Prospectus ID#6). The loan-level loss was in line with Morningstar DBRS' expected loss of $47.3 million at the last review. In addition, Morningstar DBRS withdrew the credit rating on Class X-B because of the loss incurred to its reference bond, Class D. This concludes Morningstar DBRS' surveillance of this transaction. -- The GSCG 2019-600C transaction incurred a loss of $139.2 million, wiping out Classes C through H and eroding $8.1 million of Class B. The loss was tied to the liquidation of the 600 California St loan (Prospectus ID#1). The loan-level loss was less than Morningstar DBRS' expected loss of $167.6 million at the last review. In addition, Morningstar DBRS discontinued Class A as it was repaid with the January 2026 remittance and withdrew the credit rating on Class X because of the loss incurred to its reference bonds. This concludes Morningstar DBRS' surveillance of this transaction. -- The MSBAM 2013-C7 transaction incurred a loss of $100.3 million, wiping out Classes E through H and eroding $5.4 million of Class D. The loss was tied to the liquidation of two loans, Solomon Pond Mall (Prospectus ID#2) and 494 Broadway (Prospectus ID#19), that incurred losses of $81.7 million and $18.5 million, respectively. The loan-level losses were in line with Morningstar DBRS' expected losses of $86.2 million and $18.4 million, respectively. -- The WFCM 2015-C28 transaction incurred a loss of $25.3 million, wiping out the unrated Class G and eroding $3.2 million of Class F. The loss was tied to the liquidation of the 3 Beaver Valley Road loan (Prospectus ID#6). The loan-level loss was less than Morningstar DBRS' expected loss of $28.5 million at the last review. 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. [] DBRS Reviews 413 Classes in 38 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 413 classes in 38 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 38 transactions reviewed, one is classified as a residential transition loan (RTL) and the remaining 37 deals are classified as legacy RMBS. Of the 413 classes reviewed, Morningstar DBRS upgraded its credit ratings on six classes, discontinued one credit rating, and confirmed its credit ratings on the remaining 406 classes. The Affected Ratings are available at https://tinyurl.com/2h5r6w4v The Issuers are: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1 C-BASS 2004-CB4 Trust Ameriquest Mortgage Securities Inc. Series 2004-R11 Structured Adjustable Rate Mortgage Loan Trust 2008-2 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10 New Century Home Equity Loan Trust 2005-1 New Century Home Equity Loan Trust 2005-3 ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4 Fidelis Mortgage Trust 2025-RTL1 Sequoia Mortgage Trust 2005-3 Aegis Asset Backed Securities Trust 2005-2 Security National Mortgage Loan Trust 2004-1 Soundview Home Loan Trust 2005-B SG Mortgage Securities Trust 2006-FRE2 SG Mortgage Securities Trust 2006-OPT2 Soundview Home Loan Trust 2007-OPT5 Citigroup Mortgage Loan Trust 2007-WFHE1 Structured Asset Investment Loan Trust, Series 2006-BNC3 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5 First Franklin Mortgage Loan Trust, Series 2005-FF1 Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC2 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1 Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 First Franklin Mortgage Loan Trust, Series 2004-FF10 Citigroup Mortgage Loan Trust Inc., Series 2005-WF2 Structured Asset Securities Corporation Mortgage Loan Trust 2005-OPT1 Accredited Mortgage Loan Trust 2006-1 Accredited Mortgage Loan Trust 2005-2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit rating reflects the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Takes Actions on 74 Classes of 13 Data Center Transactions ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all 74 classes across 13 data center commercial mortgage-backed securities (CMBS) transactions. All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transactions, as the reported cash flows and other performance metrics for majority of the loans are generally in line with Morningstar DBRS' expectations per the most recent servicer reporting available for each transaction. Morningstar DBRS also notes the concentration of transactions that are early in its life cycle, having closed in the second half of 2025, which has a relatively short performance history. Since Morningstar DBRS' last bulk credit rating action in March 2025, nine additional data center transactions have closed and are being reviewed as part of the current credit rating action, including the BX Commercial Mortgage Trust 2025-VOLT, secured by a portfolio of 10 data center properties that were previously securitized in the Morningstar DBRS-rated BX Commercial Mortgage Trust 2021-VOLT transaction, from which $3.2 billion of debt was refinanced as a result of this transaction. The Affected Ratings are available at https://tinyurl.com/ys3fux7x The Issuers are: Compass Datacenters Issuer II, LLC Series 2024-2 BX Trust 2025-VLT6 BX Trust 2025-VLT7 CONE Trust 2024-DFW1 DATA Trust 2024-CTR2 DC Commercial Mortgage Trust 2023-DC Switch ABS Issuer, LLC, Series 2025-1 Switch ABS Issuer, LLC, Series 2025-2 Switch ABS Issuer, LLC, Series 2024-2 BX Commercial Mortgage Trust 2025-COPT VDCM Commercial Mortgage Trust 2025-AZ GS Mortgage Securities Corporation Trust 2025-800D Switch ABS Issuer, LLC, Series 2024-1 Compass Datacenters Issuer II, LLC Series 2025-2 BX Commercial Mortgage Trust 2025-VOLT Compass Datacenters Issuer II, LLC Series 2025-1 SWCH Commercial Mortgage Trust 2025-DATA J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-DATA Compass Datacenters Issuer II, LLC Series 2024-1 Included in the transactions that closed since the last bulk review are the Compass Datacenters Issuer II LLC and the Switch ABS Issuer, LLC transactions, which are structured as a master trusts. To date, both master trusts have accumulated four note issuances each. For Compass Datacenters Issuer II LLC, the inaugural Series 2024-1 notes were securitized by two data centers (DFW-III-A and DFW-III-B); followed by the second Series 2024-2 issuance, which contributed the third data center (DFW-III-C). In the third and fourth issuance, Series 2025-1 and 2025-2, respectively, the fourth and fifth data centers (DFW-III-D and DFW-III-E) were contributed to the master trust. All five data centers are in Red Oak, Texas. For Switch ABS Issuer, LLC, the Series 2024-1 notes were securitized by four data centers in Michigan, Nevada, and Texas. The second Series 2024-2 issuance contributed two additional data centers in Georgia and Nevada. In the third and fourth issuance, Series 2025-1 and 2025-2, respectively, four additional data centers in Nevada were contributed to the master trust. As of the January 2026 reporting, all the underlying loans, which are interest-only (IO), are current on their debt service payments, with no loans in special servicing. There is one loan (within SWCH Commercial Mortgage Trust 2025-DATA (SWCH 2025-DATA)) being monitored on the servicer's watchlist for an informational reason. Only one loan (within CONE Trust 2024-DFW1) is set to mature in 2026. The loan has a maturity date in August 2026 and has three one-year extension options available. Morningstar DBRS expects the borrower to exercise the first extension option in the coming months. The 13 transactions are secured by 53 data center properties in various states across the U.S., with prevalent concentration in Northern Virginia, Texas, and Georgia, among others. The majority of the transactions are secured by hyperscale data centers, which require power usage greater than five megawatts and are designed for large capacity storage and processing of information. Morningstar DBRS notes a handful of these hyperscale data centers are fully occupied by investment-grade tenants that are on long-term leases. Although most of these tenants have termination options available, they are subject to termination fees and other penalties, as applicable. To date, none of these tenants have executed their termination options. There are three transactions (SWCH 2025-DATA, CONE Trust 2024-DFW1, and the Switch ABS Issuer, LLC transactions) that are solely collateralized by co-location centers, which typically allow customers to rent data center space and power within a larger facility, often with cloud on-ramp, robust carrier connectivity, and additional services that data center operators provide. Nine transactions are backed by portfolios that consist of two to 10 data center properties. Individual property releases are permitted via release premiums generally ranging from 105.0% to 115.0% on various portions of the allocated loan amount across these transactions, among other terms. Morningstar DBRS applies a penalty to the loan-to-value ratio (LTV) Sizing Benchmarks of the portfolio transactions that have release premiums of less than the Morningstar DBRS credit-neutral standard of 115.0%. To date, there have been no property releases reported. Additional penalties were also applied to account for the lack of warm body guarantors for applicable transactions. Overall, Morningstar DBRS continues to have a positive view on the credit profile of the subject transactions based on the centers' strong property qualities, experienced operators, high historical occupancy rates with investment-grade tenant exposure, annual contractual rent steps, desirable efficiency metrics, and stable redundancy. Furthermore, power availability continues to constrain new data center development. Aside from the recent vintage of transactions that closed in 2025, the data centers securitized in older vintage transactions continue to exhibit strong cash flow according to the most recent financials, with an average occupancy rate of higher than 90.0%. Given the stable performance of the underlying properties and the concentration of 2025-vintage transactions, Morningstar DBRS maintained its analytical approach from the prior credit rating actions, which is in accordance with Morningstar DBRS' "Rating and Monitoring Data Center Transactions" methodology and the Morningstar DBRS Data Center Base LTV Sizing Benchmarks. The Morningstar DBRS net present values (NPVs) for the underlying properties were determined based on the Morningstar DBRS Periodic net cash flows that were projected for each year through the loans' respective expected maturity dates. Reversionary cap rates ranging from 6.5% to 7.50% were applied across the 13 transactions, to reflect the location, data center type, and the current interest rate environment. while discount rates ranging from 7.75% to 9.0% were assumed, to derive the Morningstar DBRS reversion values and NPVs. The resulting all-in LTVs for the subject transactions ranged between 50.0% and 96.0%. Additionally, Morningstar DBRS maintained the net positive qualitative adjustments to the LTV Sizing Benchmarks for all of the transactions, which ranged between 5.5% and 11.0%, to reflect the centers' strong power capabilities, stable connectivity, renewable energy, varying levels of redundancy, and/or the credit-positive deal structure. Morningstar DBRS notes only the Switch ABS Issuer, LLC transactions were given the renewable energy credit in the LTV Sizing Benchmarks as its data centers are all powered by 100% renewable energy. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Upgrades Ratings on 7 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Investment Trust 2004-3 Cl. VI-A1, Upgraded to Aa1 (sf); previously on Apr 22, 2025 Upgraded to A1 (sf) Cl. VI-A5, Upgraded to A1 (sf); previously on Apr 22, 2025 Upgraded to A3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-10 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Apr 21, 2025 Upgraded to Aa3 (sf) Cl. 1-A-2, Upgraded to Aa1 (sf); previously on Apr 21, 2025 Upgraded to A1 (sf) Cl. 2-A-4, Upgraded to Aaa (sf); previously on Apr 21, 2025 Upgraded to Aa3 (sf) Cl. 1-M-1, Upgraded to Caa3 (sf); previously on Apr 21, 2025 Upgraded to Ca (sf) Cl. 2-M-1, Upgraded to Caa3 (sf); previously on Jun 17, 2024 Upgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. . Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Ups Ratings of 28 Bonds From 14 Deals by Towd Point -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 28 bonds from 14 deals issued by Towd Point Mortgage Trust between 2015 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by multiple servicers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2015-5 Cl. B3, Upgraded to Aa1 (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. B3, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. B3, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B4, Upgraded to Aa1 (sf); previously on Apr 17, 2025 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. B4, Upgraded to Aa1 (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Cl. B5, Upgraded to Ba2 (sf); previously on Apr 17, 2025 Upgraded to B1 (sf) Issuer: Towd Point Mortgage Trust 2017-1 Cl. B3, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2017-3 Cl. B3, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2018-1 Cl. B3, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2018-5 Cl. B1, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A2 (sf) Cl. B2, Upgraded to A2 (sf); previously on Apr 17, 2025 Upgraded to A3 (sf) Cl. B3, Upgraded to Baa2 (sf); previously on Apr 17, 2025 Upgraded to Ba2 (sf) Cl. B4, Upgraded to B3 (sf); previously on Apr 17, 2025 Upgraded to Caa3 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2018-6 Cl. B1, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A3 (sf) Cl. B3, Upgraded to A3 (sf); previously on Apr 17, 2025 Upgraded to Baa3 (sf) Cl. B4, Upgraded to Ba2 (sf); previously on Apr 17, 2025 Upgraded to B1 (sf) Issuer: Towd Point Mortgage Trust 2019-1 Cl. B1, Upgraded to A1 (sf); previously on Apr 17, 2025 Upgraded to A3 (sf) Cl. B2, Upgraded to A3 (sf); previously on Apr 17, 2025 Upgraded to Baa3 (sf) Cl. B3, Upgraded to Baa3 (sf); previously on Apr 17, 2025 Upgraded to Ba1 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2019-4 Cl. B1, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Cl. B1A, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Cl. B1B, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Apr 17, 2025 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2019-HY1 Cl. B2, Upgraded to Aaa (sf); previously on Apr 17, 2025 Upgraded to Aa1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY3 Cl. B2, Upgraded to A3 (sf); previously on Apr 17, 2025 Upgraded to Baa1 (sf) 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. The rating upgrades are a result of the improved loss coverage for the tranches given a continued growth of credit enhancement as the bonds amortize and a steady improvement of collateral performance in recent years. The credit enhancement available to the tranches Moody's upgraded showed a one-year increase of 10% on average. The loans underlying the pools have fewer delinquencies and lower realized losses than originally anticipated. Each of the deals Moody's reviewed have an average loan seasoning over 200 months. As a result of the long pay history, coupled with the robust home price appreciation that Moody's have seen over the past decade, Moody's believe that the average borrower has built significant equity in their home. This dynamic has supported the lower default numbers over time and, lower cumulative losses given strong recovery values should a borrower default. Cumulative net losses for all deals reviewed are currently below 3.5% with 11 of the 14 deals seeing cumulative net losses of less than 1.5%. As a result of the strong performance, Moody's lowered Moody's loss projection for each deal when compared to Moody's prior review in 2025. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The methodologies used in these ratings were "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 153 Classes From 10 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 153 classes from 10 U.S. RMBS credit risk transfer (CRT) transactions issued between 2018 and 2022. The review yielded 86 upgrades and 67 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/bdhmb9tw Analytical Considerations S&P said, "For each transaction, we performed a credit analysis for each mortgage pool using updated loan-level information from which, we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, and after which, we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a 1.04x pool-level adjustment in most instances, to account for the risk of estimated self-employed borrowers in the respective pools. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration was based on the transactions' current pool compositions. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected short duration; -- Available subordination; and -- Credit enhancement minimums/floors. Rating Actions The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. The upgrades primarily reflect deleveraging. The rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, the degree of credit enhancement relative to delinquencies, and low accumulative losses to date. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains consistent with its prior projections. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. 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