260301.mbx

260301.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, March 1, 2026, Vol. 30, No. 60 Headlines ACRES COMMERCIAL 2026-FL4: Fitch Rates Class G Notes 'B-' ANCHORAGE CAPITAL 2026-22: Fitch Rates Class E-R4 Notes 'BB-sf' ANTHELION CLO 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ASPIRE MORTGAGE 2026-1: S&P Assigns (P) B+(sf) Rating on B-2 Certs ATLAS SENIOR XXVII: S&P Assigns Prelim BB- (sf) Rating on E Notes BARCLAYS MORTGAGE 2026-NQM2: S&P Assigns 'B-' Rating on B-2 Notes BBCMS MORTGAGE 2026-5C40: Fitch Gives B-sf Rating on Cl. F-RR Certs BLACK DIAMOND 2022-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes BMARK 2023-V2: Fitch Lowers Rating on Class F-RR Certs to 'B-sf' BMO 2026-C14: Fitch Assigns 'BB-sf' Final Rating on Cl. F-RR Certs BRAVO RESIDENTIAL 2026-NQM2: Fitch Rates Class B-2 Notes 'B-sf' BRYANT PARK 2026-29: S&P Assigns Prelim BB- (sf) Rating on E Notes BX COMMERCIAL 2026-VLT9: Fitch Gives B+(EXP) Rating on HRR Certs CARMAX SELECT 2026-A: S&P Assigns BB+ (sf) Rating on Class E Notes CITIGROUP 2015-GC31: Moody's Cuts Rating on Cl. A-S Certs to B2 CRSNT TRUST 2026-MOON: Moody's Assigns B2 Rating to Cl. F Certs DRYDEN 37 SENIOR: Moody's Cuts Rating on $25.65MM ER Notes to B1 DRYDEN 41 SENIOR: Moody's Affirms B1 Rating on $25.3MM E-R Notes ELDRIDGE MMPC 2026-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ELEVATION CLO 2026-19: S&P Assigns BB-(sf) Rating on Class E Notes FLATIRON CLO 24: Fitch Assigns 'BB-sf' Rating on Class E-R Notes GALAXY 32: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes GREEN TREE 1996-04: Moody's Upgrades Rating on M-1 Certs from B1 GS MORTGAGE 2026-NQM2: Moody's Assigns (P)B2 Rating Cl. B-2 Certs JP MORGAN 2018-AON: S&P Affirms CCC (sf) Rating on Class F Certs JP MORGAN 2026-VIS1: S&P Assigns (P) 'B-' Rating on B-2BX Certs KKR CLO 12: Moody's Affirms Ba3 Rating on $22MM Class E-R2 Notes KKR CLO 40: Moody's Lowers Rating on $20MM Class E-R Notes to B1 LEDN ISSUER 2026-1: S&P Assigns B- (sf) Rating on Class B Notes MADISON PARK XIV: Moody's Cuts Rating on $9MM Cl. F-R Notes to Caa2 MADISON PARK XXXV: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes MIDOCEAN CREDIT XIII: Fitch Assigns BB-sf Rating on Class E-R Notes MORGAN STANLEY 2026-NQM2: S&P Assigns B (sf) Rating on B-2 Certs NEW RESIDENTIAL 2026-NQM2: Fitch Gives B-sf Rating on Cl. B2 Notes NEW RESIDENTIAL 2026-NQM3: Fitch Rates Class B2 Notes 'B-(EXP)' NMEF FUNDING 2026-A: Moody's Assigns Ba3 Rating to Class E Notes OBX TRUST 2026-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs OCP CLO 2024-31: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OCTAGON INVESTMENT 49: S&P Affirms BB-(sf) Rating on Cl. E-R Notes OFSI BSL XVI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OLYMPIC TOWER 2017-OT: Fitch Affirms 'Bsf' Rating on Cl. E Certs PALMER SQUARE 2024-1: Moody's Assigns Ba3 Rating to Cl. E-R Notes PALMER SQUARE 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes PLYM COMMERCIAL 2026-IND: Fitch Gives BB+(EXP) Rating on HRR Certs SG RESIDENTIAL 2026-1: S&P Assigns B- (sf) Rating on Cl. B-2 Certs SILVER ROCK III: S&P Assigns BB- (sf) Rating on Class E-R Notes SOUND POINT XVI: Moody's Affirms B3 Rating on $40MM Class E Notes SPRITE 2026-1: Fitch Assigns 'BB-(EXP)sf' Rating on Series C Notes SV RNO 1: Fitch Assigns 'BB(EXP)' LongTerm IDR, Outlook Stable TOWD POINT 2026-CES2: S&P Assigns B- (sf) Rating on Cl. B2BX Notes TRINITAS CLO XXXV: Fitch Assigns BB+(EXP)sf Rating on Class E Notes VERTICAL BRIDGE 2026-1: Fitch Assigns 'Bsf' Rating on Class M Notes VERUS SECURITIZATION 2026-2: Fitch Rates Class B-2 Notes 'B-sf' VIBRANT CLO XI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. D-R Notes [] Moody's Upgrades Ratings on 4 Bonds from 3 US RMBS Deals [] S&P Takes Various Actions on 638 Classes From 202 US RMBS Deals ********* ACRES COMMERCIAL 2026-FL4: Fitch Rates Class G Notes 'B-' --------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ACRES Commercial Realty 2026-FL4 Issuer, LLC as follows: - $589,722,000a class A 'AAAsf '; Outlook Stable; - $104,218,000a class A-S 'AAAsf '; Outlook Stable; - $72,444,000a class B 'AA-sf'; Outlook Stable; - $58,464,000a class C 'A-sf '; Outlook Stable; - $36,857,000a class D 'BBBsf'; Outlook Stable; - $17,794,000a class E 'BBB-sf'; Outlook Stable; - $34,315,000 class F 'BB-sf'; Outlook Stable; - $24,149,000 class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $78,799,158b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, totaling 7.750% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $816,762,158 and does not include future funding. The ratings are based on information provided by the issuer as of Feb. 11, 2026. Transaction Summary The issuer's primary assets include 18 loans secured by 20 commercial properties with an aggregate principal balance of $816,762,158 as of the cutoff date. The pool includes ramp-up collateral interest of $200 million. The pool features $44 million of unfunded future funding, $17 million of which is performance based and not modeled. The loans will be contributed to the issue by ACRES Realty Funding, Inc. and ACRES Commercial Realty 2026-FL4 Issuer, LLC. CBRE Loan Services, Inc. is the master servicer, and ACRES Capital Servicing LLC is the special servicer. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on seven loans totaling 48.0% of the pool by balance, excluding loans for which Fitch conducted an alternate value analysis. Fitch's resulting NCF of $23.9 million represents an 6.2% decrease from the issuer's underwritten NCF of $25.5 million, excluding loans for which Fitch conducted an alternate value analysis. Multifamily Concentration: The pool comprises 100.0% multifamily properties, compared with the 2025 YTD and 2024 CRE-CLO averages of 77.1% and 78.4%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated CRE-CLO transactions. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 138.6% is higher than the 2025 YTD five-year CRE-CLO transaction average of 140.5% and the 2024 five-year CRE-CLO transaction average of 140.7%. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than the 2025 YTD average of 6.4% and the 2024 average of 6.5%. Higher Pool Concentration: The pool concentration is higher than recently rated Fitch transactions. The top 10 loans make up 74.5%, which is higher than the 2025 YTD five-year CRE-CLO average of 61.2% and the 2024 average of 70.5%. The pool's effective loan count of 14.7 is below the 2025 YTD and 2024 10-year averages of 20.6 and 16.9, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Amortizing Portfolio: The pool is 89.0% comprised of partially amortizing loans. This is better than both the 2025 YTD and 2024 CRE-CLO averages of 26.3% and 43.2%, respectively, based on fully extended loan terms. As a result, the pool is expected to have 1.1% principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2025 YTD and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch-defined NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf/AA-sf/A-sf/BBBsf/BBB-sf/BB-sf/B-sf. - 10% NCF Increase: AAAsf/AAAsf/AAsf/Asf/BBB+sf/BBBsf/BB+sf. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the BBB- level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in its "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. ANCHORAGE CAPITAL 2026-22: Fitch Rates Class E-R4 Notes 'BB-sf' --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 2026-22, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 2026-22, Ltd. X LT NRsf New Rating A-R4 LT NRsf New Rating B-R4 LT AAsf New Rating C-R4 LT Asf New Rating D-1-R4 LT BBB-sf New Rating D-2-R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Anchorage Capital CLO 2026-22, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.28 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 99.08% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 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 between 'BB+sf' and 'A+sf' for class B-R4, between 'Bsf' and 'BBB+sf' for class C-R4, between less than 'B-sf' and 'BB+sf' for class D-1-R4, between less than 'B-sf' and 'BB+sf' for class D-2-R4, and between less than 'B-sf' and 'B+sf' for class E-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R4, 'AAsf' for class C-R4, 'A+sf' for class D-1-R4, 'A-sf' for class D-2-R4, and 'BBB+sf' for class E-R4. 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 2026-22, 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. ANTHELION CLO 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Anthelion CLO 2025-2 Ltd./Anthelion CLO 2025-2 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 Anthelion Capital Partners LLC, a subsidiary of Anthelion Capital Holdings. The preliminary ratings are based on information as of Feb. 26, 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. 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 Anthelion CLO 2025-2 Ltd./Anthelion CLO 2025-2 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $12.00 million: A (sf) Class C-2 (deferrable), $12.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $2.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $37.35 million: NR NR--Not rated. ASPIRE MORTGAGE 2026-1: S&P Assigns (P) B+(sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Aspire Mortgage Trust 2026-1's mortgage-backed certificates. 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 prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans have primarily 30-year maturity, some with 40-year maturity and one loan with 20-year maturity. The loans are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 752 loans, which are QM safe harbor (APOR), QM/HPML, non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Feb. 20, 2026. Subsequent information may result in the assignment of a final rating that differs from the preliminary rating. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty (R&W) framework; -- The mortgage aggregator, Aspire Residential Conduit--Redwood Trust Inc.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Aspire Mortgage Trust 2026-1 Class A-1A, $266,068,000: AAA (sf) Class A-1B, $39,127,000: AAA (sf) Class A-1, $305,195,000: AAA (sf) Class A-2, $19,173,000: AA (sf) Class A-3, $33,454,000: A (sf) Class M-1, $13,695,000: BBB (sf) Class B-1, $8,999,000: BB (sf) Class B-2, $3,913,000: B+ (sf) Class B-3, $6,847,813: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR Class LT-R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $391,276,813. NR--Not rated. N/A—Not applicable. ATLAS SENIOR XXVII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atlas Senior Loan Fund XXVII Ltd./Atlas Senior Loan Fund XXVII LLC 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 Crescent CLO Management L.P. The preliminary ratings are based on information as of Feb. 20, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Atlas Senior Loan Fund XXVII Ltd. Class X(i), $4.0 million: AAA (sf) Class A, $256.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D1 (deferrable), $24.0 million: BBB- (sf) Class DJ (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $37.6 million: NR (i)The class X notes are expected to be paid down in equal installments using interest proceeds over the 19 payment dates included in the reinvestment period. NR--Not rated. BARCLAYS MORTGAGE 2026-NQM2: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 of approximately six months. The mortgage loans have primarily 30-year maturities, with some of those 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 loans. S&P said, "After we assigned our preliminary ratings on Feb. 12, 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. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- 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." Ratings Assigned(i) Barclays Mortgage Loan Trust 2026-NQM2 Class A-1A, $192,804,000: AAA (sf) Class A-1B, $30,557,000: AAA (sf) Class A-1, $223,361,000: 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, N/A: 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. N/A--Not applicable. NR--Not rated. BBCMS MORTGAGE 2026-5C40: Fitch Gives B-sf Rating on Cl. F-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2026-5C40, Commercial Mortgage Pass-Through Certificates, Series 2026-5C40 as follows: - $6,215,000 class A-1 'AAAsf'; Outlook Stable; - $113,297,000 class A-2 'AAAsf'; Outlook Stable; - $464,554,000 class A-3 'AAAsf'; Outlook Stable; - $584,066,000a class X-A 'AAAsf'; Outlook Stable; - $108,470,000 class A-S 'AAAsf'; Outlook Stable; - $36,504,000 class B 'AA-sf'; Outlook Stable; - $28,160,000 class C 'A-sf'; Outlook Stable; - $173,134,000ab class X-B 'A-sf'; Outlook Stable; - $20,860,000b class D 'BBB-sf'; Outlook Stable; - $20,860,000ab class X-D 'BBB-sf'; Outlook Stable; - $15,644,000b class E 'BB-sf'; Outlook Stable; - $15,644,000ab class X-E 'BB-sf'; Outlook Stable. - $8,344,000bc class F-RR 'B-sf'; Outlook Stable. Fitch will not rate the following class: - $32,332,977bc class G-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest totaling approximately 2.1496% of the pool balance. Additionally, the retaining sponsor will hold an eligible vertical risk retention interest comprising approximately 2.9100% of the pool. Since Fitch published its expected ratings on Jan. 16, 2026, the following changes have occurred: - The balances for A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$200,000,000, subject to a variance of plus or minus 5%. The final class balance for A-2 is $113,297,000. The initial aggregate certificate balance of the A-3 class was expected to be in the range of $377,851,000-$577,851,000, subject to a variance of plus or minus 5%. The final class balance for class A-3 is $464,554,000. There were no other material changes. The final ratings are based on information provided by the issuer as of Feb. 12, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 44 loans secured by 58 commercial properties with an aggregate principal balance of $834,380,978, as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Argentic Real Estate Finance 2 LLC, German American Capital Corporation, KeyBank National Association, Goldman Sachs Mortgage Company, UBS AG New York Branch, LMF Commercial, LLC, Citi Real Estate Funding Inc., Societe Generale Financial Corporation, and Natixis Real Estate Capital LLC. The master servicer will be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Argentic Services Company LP. The trustee and certificate administrator will be Computershare Trust Company, National Association. Pentalpha Surveillance LLC will act as the operating advisor. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 81.2% by balance. Fitch's resulting net cash flow (NCF) of $90.0 million represents a 13.3% decline from the issuer's underwritten NCF of $103.9 million. Fitch Leverage: The pool leverage is in-line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 94.8% compares favorably with the 2025 and 2024 averages of 101.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.8% is slightly above the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 12.0% of the pool received an investment-grade credit opinion. CityCenter (Aria & Vdara; 9.0% of the pool) received a standalone credit opinion of 'AAAsf*', while 9911 Belward (3.0% of the pool) received a standalone credit opinion of 'A-sf*'. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 100.6% and 9.7%, respectively, compared to the 2025 averages of 105.2% and 9.3% and the 2024 averages of 99.1% and 9.9%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically mostly included loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'CCC+sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BB-sf'. 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 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 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. BLACK DIAMOND 2022-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class B-R,C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt from Black Diamond CLO 2022-1 Ltd./Black Diamond CLO 2022-1 LLC, a CLO managed by Black Diamond CLO 2022-1 Adviser LLC, a subsidiary of Black Diamond Capital Management, that was originally issued in December 2022. The preliminary ratings are based on information as of Feb. 26. 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the march 4, 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 X, A-1a, A-1b, B, C, D-1a, D-1b, D-2, and E debt and assign ratings to the replacement class 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 X-R, A-1-R, A-1-R loan, A-2-R, B-R, C-1-R, D-1-R, D-2-R, and 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 non-call period will be extended to March 4, 2028. -- The reinvestment period will be extended to April 25, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 25, 2039. -- Total target par is expected to increase to $400 million from $375 million. -- New class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds, beginning with the second payment date, over seven payment dates in equal payments of $214,285.71. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Subordinated notes are expected to be reduced on the refinancing date to $32 million. 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 Black Diamond CLO 2022-1 Ltd./Black Diamond CLO 2022-1 LLC Class B-R, $48.00 million: AA (sf) Class C-1-R (deferrable), $14.00 million: A (sf) Class C-2-R (deferrable), $10.00 million: A (sf) Class D-1-R (deferrable), $18.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Black Diamond CLO 2022-1 Ltd./Black Diamond CLO 2022-1 LLC Class X-R, $1.50 million: NR Class A-1-R, $206.00 million: NR Class A-1-R-loan, $34.00 million: NR Class A-2-R, $16.00 million: NR Subordinated notes, $32.00 million: NR NR--Not rated. BMARK 2023-V2: Fitch Lowers Rating on Class F-RR Certs to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed seven classes of BMARK 2023-V2 Mortgage Trust commercial mortgage pass-through certificates, series 2023-V2. Following their downgrades, classes D, E-RR, F-RR, and X-D were assigned Negative Rating Outlooks. The Outlooks for classes A-S, B, C, and X-A were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2023-V2 A-1 08163TAA0 LT AAAsf Affirmed AAAsf A-2 08163TAB8 LT AAAsf Affirmed AAAsf A-3 08163TAC6 LT AAAsf Affirmed AAAsf A-S 08163TAD4 LT AAAsf Affirmed AAAsf B 08163TAE2 LT AA-sf Affirmed AA-sf C 08163TAF9 LT A-sf Affirmed A-sf D 08163TAR3 LT BBB-sf Downgrade BBBsf E-RR 08163TAH5 LT BB-sf Downgrade BBB-sf F-RR 08163TAK8 LT B-sf Downgrade BB-sf G-RR 08163TAM4 LT CCCsf Downgrade B-sf X-A 08163TAG7 LT AAAsf Affirmed AAAsf X-D 08163TAV4 LT BBB-sf Downgrade BBBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 5.9% which is above Fitch's issuance expectations. Six loans are designated as Fitch Loans of Concern (FLOCS) (19.1%), including four loans (15.8%) in special servicing. The downgrades reflect increased pool loss expectations, driven primarily by the specially serviced Austin Multifamily Portfolio loan (8.8% of the pool). The Negative Outlooks reflect potential downgrades with continued performance deterioration of the FLOCs, as well as prolonged workouts and/or outsized valuation declines for the specially serviced loans. Due to the exposure to near-term loan maturities from five-year loans, Fitch performed a sensitivity and liquidation analysis which grouped the remaining loans based on their current status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectations. All but one loan in the BMARK 2023-V2 transaction is scheduled to mature in 2028. Largest Contributors to Expected Loss: The largest contributor to overall pool loss expectations and largest increase in loss since the last rating action is the specially serviced Austin Multifamily Portfolio, which is secured by two garden-style apartment complexes (Orbit and Starburst) totaling 840 units across 60 buildings located in Austin, TX. The loan transferred to special servicing in May 2025 due to a monetary payment default. Per recent servicer commentary, the servicer is trapping all cash flow and a receiver has been appointed to stabilize the property. As of June 2025, the reported occupancy of Orbit is 80.1% and the occupancy of Starburst is 71.6%. Fitch's 'Bsf' rating case loss of approximately 35.4% (prior to a concentration adjustment) factors in a discount to the most recent servicer reported appraisal value, the elevated probability of default given the delinquency status and potential for a prolonged workout. The second largest contributor to overall pool loss expectations is the specially serviced KY and MN Warehouse Distribution Portfolio (3.9%), which is secured by three industrial warehouses, two in Bowling Green, KY and one in Eden Prairie, MN. The loan was transferred to the special servicer in December 2025 due to imminent default after the sole tenant, iMedia Brands, Inc., vacated the property and terminated the lease without consent from the lender. All three properties have recently been listed for sale or lease. Fitch utilized a dark value analysis to assess recovery. Assumptions were made for market rent, downtime between leases, carrying costs, and re-tenanting costs. Fitch's 'Bsf' rating case loss of approximately 9.0% (prior to a concentration adjustment) reflects an elevated probability of default given the vacant properties, an expectation of a prolonged workout and a decline in cash flow. The third largest contributor to overall pool loss expectations is Patewood Corporate Center (2.4%), which is secured by a six-building, 447,282-sf office park located in Greenville, SC. According to the November 2025 rent roll, the properties were 73% occupied compared to 90% at issuance. The prior largest tenant, RealPage (10.3%), terminated its lease in May 2023. The September 2025 NOI DSCR was 1.66x compared to 1.73x at YE 2024 and 2.0x at YE 2023. Fitch's 'Bsf' rating case loss of 13.7% (prior to concentration adjustment) reflects a 10% cap rate and a 10% stress to YE 2024 NOI. Limited Change to Credit Enhancement (CE): As of the January 2026 remittance report, the transaction has paid down by 0.4% since issuance with cumulative interest shortfalls of $599,245 affecting non-rated J-RR class. There are 21 (84.6%) full-term, interest-only (IO) loans and six (15.4%) loans with no IO period. Based on the scheduled balances at maturity, the pool will pay down by only 0.8%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with lower-than-expected recoveries and/or prolonged workouts of the specially serviced loans including the Austin Multifamily Portfolio and the KY and MN Warehouse Distribution Portfolio, or additional performance declines of the FLOCs with additional loans transferring to the special servicer. Downgrades to classes rated in the 'AAsf' and 'Asf' categories with Negative Outlooks may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term or at maturity. Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories with Negative Outlooks are possible with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans. Downgrades to the distressed 'CCCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses are realized or losses become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better than expected resolutions for the specially serviced loans, particularly the Austin Multifamily Portfolio and KY and MN Warehouse Distribution Portfolio. Upgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories 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, including Austin Multifamily Portfolio, KY and MN Warehouse Distribution Portfolio, Motel 6 Tropicana, Patewood Corporate Center, and Chicago Heights are better than expected and there is sufficient CE to the classes. Upgrades to the distressed 'CCCsf' rated classes are not expected but are possible with better-than-expected recoveries on specially serviced loans 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. BMO 2026-C14: Fitch Assigns 'BB-sf' Final Rating on Cl. F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2026-C14 Mortgage Trust commercial mortgage pass-through certificates, series 2026-C14, as follows: - $17,188,000 class A-1 'AAAsf'; Outlook Stable; - $10,000,000a class A-2-CS 'AAAsf'; Outlook Stable; - $21,863,000 class A-SB 'AAAsf'; Outlook Stable; - $105,000,000 class A-4 'AAAsf'; Outlook Stable; - $288,091,000 class A-5 'AAAsf'; Outlook Stable; - $442,142,000b class X-A 'AAAsf'; Outlook Stable; - $46,583,000 class A-S 'AAAsf'; Outlook Stable; - $35,529,000 class B 'AA-sf'; Outlook Stable; - $26,844,000 class C 'A-sf'; Outlook Stable; - $108,956,000b class X-B 'A-sf'; Outlook Stable; - $16,082,000c class D 'BBBsf'; Outlook Stable; - $16,082,000bc class X-D 'BBBsf'; Outlook Stable; - $8,394,000cd class E-RR 'BBB-sf'; Outlook Stable; - $14,212,000cd class F-RR 'BB-sf'; Outlook Stable. The following classes are not rated by Fitch: - $15,001,000cd class G-RR; - $7,106,000cd class J-RR; - $19,738,860cd class K-RR. (a) The class A-2-CS certificates are structured so that principal payments or liquidation proceeds on the Cummins Station mortgage loan will be applied first to pay down the class A-2-CS certificates even if class A-1 certificates remain outstanding. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. Since Fitch published its expected ratings on Jan. 21, 2026, the following changes have occurred: The balances of classes A-4 and A-5 were finalized. The initial certificate balance of class A-4 was expected to be in the range of $0-$175,000,000, and the initial certificate balance of class A-5 was expected to be in the range of $218,091,000-$393,091,000. The final balances of classes A-4 and A-5 are $105,000,000 and $288,091,000, respectively. Additionally, based on the final pricing of the certificates, to achieve a minimum 5% fair value for the horizontal risk retention interest, the balance of class D, and correspondingly class X-D, changed from $16,517,000 to $16,082,000, and the balance of class E-RR changed from $7,959,000 to $8,394,000. The deal structure and ratings reflect 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 27 loans secured by 88 commercial properties having an aggregate principal balance of $631,631,861 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Argentic Real Estate Finance 2 LLC, UBS AG New York Branch, Natixis Real Estate Capital LLC, Zions Bancorporation, N.A., Citi Real Estate Funding Inc. and Goldman Sachs Mortgage Company. The master servicer is Trimont LLC and the special servicer is Rialto Capital Advisors, LLC. The trustee is Wilmington Savings Fund Society, FSB, and the certificate administrator is Citibank, N.A. The certificates will follow a sequential paydown structure, except with respect to principal payments or liquidation proceeds on the Cummins Station mortgage loan. See Fitch's presale report for further details. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 90.7% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $63.6 million represents a 15.6% decline from the issuer's aggregate underwritten NCF of $75.4 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.3% is greater than both the 10-year 2025 and 2024 averages of 88.4% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 10.1% is lower than both the 10-year 2025 and 2024 averages of 12.2% and 12.3%, respectively. Office and Mall Concentration: Six loans totaling 27.9% of the pool, including four of the 10 largest loans in the pool, are secured by office properties. Additionally, four loans totaling 15.6% of the pool, including the third largest loan, are secured by malls. The malls represent 44.7% of the pool's entire retail exposure. Investment-Grade Credit Opinion Loans: Two loans representing 8.0% of the pool by balance received an investment-grade credit opinion. BioMed MIT Portfolio (6.5% of pool) received an investment grade credit opinion of 'A-sf*' on a standalone basis. Washington Square (1.5%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 10-year 2025 and 2024 averages of 21.4% and 21.4%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 101.0% and 9.9%, respectively, compared to the equivalent conduit 10-year 2025 LTV and DY averages of 98.1% and 10.0%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BB+sf'. BRAVO RESIDENTIAL 2026-NQM2: Fitch Rates Class B-2 Notes 'B-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-NQM2 (BRAVO 2026-NQM2). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-NQM2 A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS 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 Following presale publication, the issuer provided an updated structure reflecting final coupons and bond balances, while credit enhancement levels for all classes remained unchanged. Fitch re-ran the cash flow analysis on the updated structure and confirmed no changes between expected and final ratings for each tranche. 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 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). Documentation is simplified to full versus non-full, and the treatment of alternative documentation underwriting is less punitive, all else being equal, resulting in lower PD levels for non-QM pools compared with the previous methodology. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-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 and A-1B notes), A-2 and A-3 notes until they are reduced to zero. The class A-1 notes will receive principal payments among themselves either pro rata or sequentially depending on which combination of class A-1 notes is outstanding. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 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 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 framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review firm deemed 'Acceptable' by Fitch and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM2 to be fully de-linked and bankruptcy remote special purpose vehicle. 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. BRYANT PARK 2026-29: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bryant Park Funding 2026-29 Ltd./Bryant Park Funding 2026-29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Marathon Asset Management L.P. The preliminary ratings are based on information as of Feb. 20, 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 Bryant Park Funding 2026-29 Ltd./Bryant Park Funding 2026-29 LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $3.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $37.5 million: NR NR--Not rated. BX COMMERCIAL 2026-VLT9: Fitch Gives B+(EXP) Rating on HRR Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BX Commercial Mortgage Trust 2026-VLT9, Commercial Mortgage Pass-Through Certificates, series 2026-VLT9 (BX 2026-VLT9) as follows: - $1,089,900,000a class A 'AAA(EXP)sf'; Outlook Stable; - $233,000,000a class B 'AA-(EXP)sf'; Outlook Stable; - $141,500,000a class C 'A-(EXP)sf'; Outlook Stable; - $199,300,000a class D 'BBB-(EXP)sf'; Outlook Stable; - $286,300,000a class E 'BB-(EXP)sf'; Outlook Stable; - $102,700,000ab class HRR 'B+(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. The expected ratings are based on information provided by the issuer as of Feb. 12, 2025. Transaction Summary BX 2026-VLT9 is expected to represent the beneficial ownership in an interest-only (IO), two-year with three, one-year extension options, floating-rate, first lien mortgage loan with an original principal balance of $2,052.7 million. The mortgage loan will be secured by the fee simple interest in a portfolio of three multi-tenant turnkey enterprise colocation data center properties located in Manassas, VA, Chicago, IL and Suwanee, GA. The portfolio totals 399,710 sf and 94.7 megawatts (MW) of total current leasable capacity and 107.5 MW of leasable shell capacity. The portfolio is managed and operated by Quality Technology Services, LLC, an affiliate of QualityTech, LP (QTS). Loan proceeds will be used to refinance existing debt of approximately $1.36 billion, return about $419.0 million to the sponsor for general corporate purposes, fund upfront booked-but-not-billed (BBnB) reserves of about $127.4 million and pay estimated closing costs of about $41.1 million. The loan is expected to be co-originated by Bank of America, N.A., Bank of Montreal, Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Morgan Stanley Mortgage Capital Holdings LLC, Royal Bank of Canada, The Bank of Nova Scotia and Wells Fargo Bank, N.A. Midland Loan Services, a Division of PNC Bank, National Association, is expected to be the servicer and special servicer. Computershare Trust Company, National Association is expected to be the trustee and certificate administrator. The certificates are expected to follow a sequential-pay structure. The transaction is expected to close on Feb. 25, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $161.5 million; this is 7.7% lower than the issuer's NCF of $175.0 million. Fitch applied an 8.375% cap rate to derive a Fitch value of $1.93 billion. High Fitch Stressed Leverage: The $2,052.7 million mortgage loan equates to total senior debt of $21,675 per kilowatt (kW) of total current leasable capacity, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value (LTV) ratio and debt yield (DY) of 0.84x, 106.4% and 7.9%, respectively. The mortgage loan and interest-bearing mortgage loan components represent 77.1% and 73.2%, respectively, of the portfolio's "as-is" appraised value of $2.664 billion. Granular Rent Roll and High-Quality Tenancy: The portfolio is 88.1% utilized based on leasable shell capacity across over 100 unique tenants with a weighted average (WA) remaining lease term (WARLT) of 6.1 years (based on kW) as of the December 2025 rent roll. The portfolio's largest tenant represents 14.0% of total portfolio leasable shell capacity, and the top 10 largest tenants comprise 71.7% of total portfolio leasable shell capacity. Investment-grade (IG) tenants represent 54.1% of total portfolio leased capacity. The portfolio also includes one long-term IG (LTIG) tenant representing 6.3% of total portfolio leased capacity. The portfolio is highly diverse beyond the largest tenants, with no tenant outside the top 10 representing more than 1.4% of total portfolio leased capacity. The rent roll tenant mix comprises enterprise (59.2% of leased capacity), hyperscale (31.8%) and government and high security (9.0%). Tier One Data Center Markets: The portfolio is located across three Tier 1 data center markets: Northern Virginia (34.9% of portfolio leased capacity; 44.9% of base rent), Chicago (40.7%; 36.6%) and Atlanta (24.3%; 18.5%). These markets are three of the top four largest data center markets by inventory in the U.S. and, per CBRE's 1H25 report, exhibit some of the country's lowest vacancy rates ranging from 0.7% in Northern Virginia to 2.4% in Chicago. High-Quality Operator and Institutional Backing: The portfolio is managed and operated by QTS. QTS was acquired by affiliates of Blackstone Infrastructure Partners, Blackstone Real Estate Income Trust, Inc. and Blackstone Property Partners in August 2021 for around $10.0 billion, including debt. QTS currently operates a portfolio of over 3.0 gigawatts (GW) in critical IT load capacity across over 90 data center facilities (including facilities under construction). Located across over 20 markets, the company's campuses include locations in top-tier markets such as Northern Virginia, Atlanta and Phoenix, with locations in the Netherlands and a facility under development in the U.K. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf'; - 10% NCF Decline: 'AAsf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBsf' / 'BB-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 and re-computation of certain characteristics with respect to the mortgage loan. 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. CARMAX SELECT 2026-A: S&P Assigns BB+ (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to CarMax Select Receivables Trust 2026-A's auto receivables asset-backed notes. The note issuance is an ABS securitization backed by nonprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 35.50%, 30.63%, 23.77%, 18.68%, and 17.29% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2a, A-2b, and A-3, collectively), B, C, D, and E notes, respectively, based on S&P's post-pricing final stressed cash flow scenarios. These credit support levels provide at least 3.60x, 3.10x, 2.35x, 1.75x, and 1.58x coverage of its expected cumulative net loss of 9.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'A-1+ (sf)' and '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 our stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' pool of nonprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at U.S. Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of CarMax Business Services LLC as servicer. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned CarMax Select Receivables Trust 2026-A Class A-1, $143.00 million: A-1+ (sf) Class A-2a, $272.79 million: AAA (sf) Class A-2b, $45.00 million: AAA (sf) Class A-3, $107.28 million: AAA (sf) Class B, $46.54 million: AA (sf) Class C, $65.77 million: A (sf) Class D, $53.46 million: BBB (sf) Class E(i), $16.16 million: BB+ (sf) (i)The class E notes are not being offered and are anticipated to be either privately placed or retained by the depositor or another affiliate of CarMax Business Services LLC. CITIGROUP 2015-GC31: Moody's Cuts Rating on Cl. A-S Certs to B2 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes in Citigroup Commercial Mortgage Trust 2015-GC31, Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 as follows: Cl. A-4, Downgraded to A2 (sf); previously on Jul 22, 2025 Downgraded to Aa2 (sf) Cl. A-S, Downgraded to B2 (sf); previously on Jul 22, 2025 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to Ba3 (sf); previously on Jul 22, 2025 Downgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were downgraded due to higher expected losses and increased interest shortfalls driven by the decline in pool performance from the exposure to specially serviced loans. All five loans remaining loans are in special servicing and failed to pay off at their scheduled maturity dates, and three loans accounting for 66% of the pool have been deemed non-recoverable by the master servicer. The largest specially serviced loan is 135 South LaSalle (44.4% of the pool), which is secured by an office property in Chicago and has experienced significant declines in cash flow and occupancy since securitization. The property is only 10% leased and the loan has been deemed non-recoverable by the master servicer. The second and third largest specially serviced loans, Selig Office Portfolio (32.0% of the pool) located in Seattle and Pasadena Office Tower (17.2% of the pool) located in Pasadena, are also secured by office properties with declining occupancy and weakening cash flow performance in markets with weaker office fundamentals. The 135 South LaSalle and Pasadena Office Tower loans have received recent appraisal values 56% and 40% below their outstanding loan balances, respectively, with Pasadena Office Tower loan reported as non-recoverable in the January 2026 remittance. As a result of the specially serviced loans and non-recoverable determinations, interest shortfalls have impacted throughout the capital stack. Cl. A-4 has not received interest payments since the December 2025 remittance, and Cl. A-S has not received interest payments since the October 2025 remittance. All the remaining loans have now passed their original maturity dates and given the higher interest rate environment and loan performance, Moody's do not anticipate imminent paydowns on Cl. A-4 and Cl. A-S and there may be increased risks of higher potential losses if certain loans remain delinquent for significant periods of time. The rating on the IO class, Cl. X-A, was downgraded due to a decline in the credit quality of its referenced classes and from principal paydowns of higher quality referenced classes. Cl. X-A originally referenced all senior classes up to and including Cl. A-S, however, Cl. A-4 has now paid down 84% from its original balance and all classes senior to Cl. A-4 have previously paid off in full. Moody's rating action reflects a base expected loss of 54.9% of the current pooled balance, compared to 45.2% at Moody's last review. Moody's base expected loss plus realized losses is now 22.1% of the original pooled balance, compared to 21.3% 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 100% 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 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, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 2026 distribution date, the transaction's aggregate certificate balance has decreased by 68.9% to $225 million from $723 million at securitization. The certificates are collateralized by five mortgage loans which are either in special servicing or have already passed their scheduled maturity date. As of the January 2026 remittance statement cumulative interest shortfalls were $10.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The pool has had an aggregate realized loss of $36.3 million from one previously liquidated loan and reimbursement of prior servicer advances on the specially serviced loans. All loans in the pool are currently in special servicing. The largest specially serviced loan is the 135 South LaSalle Loan ($100.0 million -- 44.4% of the pool), which is secured by a 1.3 million square foot (SF), 44-story, office property located in the Central Loop submarket of Chicago, Illinois. The largest tenant at securitization, Bank of America (63% of the net rentable area (NRA)), vacated the property at their lease expiration in July 2021 and the loan has been in special servicing since November 2021. As of September 2025, the property was only 10% occupied and has not generated sufficient cash flow to cover debt service since 2021. The borrower and servicer are working towards a resolution, including obtaining financing for a partial residential conversion, however, the loan remains last paid through its October 2021 payment date and has been deemed non-recoverable by the master servicer. The most recent appraisal from November 2024 valued the property 66% below the value at securitization, and 56% below the loan balance. The loan has also passed its May 2025 Anticipated Repayment Date (ARD) with a final maturity in May 2030. Due to the low occupancy, weaker Chicago office fundamentals and significant delinquencies Moody's anticipates a large loss on this loan. The second largest specially serviced loan is the Selig Office Portfolio loan ($72.0 million – 32.0% of the pool), which represents a pari-passu portion of $345 million of a senior mortgage. The loan is secured by nine office properties in Seattle, Washington. The largest of the nine properties, 1000 Second Avenue, is in Seattle's downtown financial district, while the other properties are concentrated in the Lower Queen Anne / Lake Union and Denny Regrade neighborhoods. Property performance has declined as a result of lower occupancy and decline in revenues. The portfolio was collectively 58% leased as of June 2025, compared to 60% in December 2024, 66% in December 2023, 81% in December 2022, and 92% at securitization. The loan transferred to special servicing in November 2024 for imminent maturity default. The most recent appraisal from August 2025 valued the property 37% below the value at securitization, and slightly below the total outstanding balance. A custodial receiver is working with borrower to identify a capital plan and stabilize operations. The lender has extended the in-place forbearance to allow the receiver time to finish the portfolio audit. The lender is capturing all cash flow, during the forbearance period. The borrower has requested a loan extension and negotiations are ongoing. The loan was last paid through its November 2025 payment date. The third largest specially serviced loan is the Pasadena Office Tower Loan ($38.7 million -- 17.2% of the pool), which is secured by a 142,000 SF, Class-A office tower located in Pasadena, California. Property performance has deteriorated due to a combination of a decline in occupancy, rental revenue and increased operating expenses. As of December 2024, the property was 69% leased compared to 70% in December 2022, 87% in December 2020, and 98% in 2015. The property faces significant near-term lease rollover with tenants representing over 53% of the NRA having lease expirations by year end 2027. The loan has been in special servicing since March 2025 and failed to pay-off at its June 2025 maturity date. Servicer commentary indicates they have engaged counsel and will initiate contact with the borrower on post maturity plans. The most recent appraisal from April 2025 valued the property 40% below the outstanding loan balance. The loan is last paid through its May 2025 payment date and has amortized 7.9% since securitization. This loan has been deemed non-recoverable by the master servicer. Due to weak performance and poor market fundamentals, Moody's anticipates a large loss on this loan. The fourth largest specially serviced loan is the Magnolia Hotel Omaha Loan ($9.2 million -- 4.1% of the pool), which is secured by a 145 key, full-service hotel property located in downtown Omaha, Nebraska. The hotel's 2024 occupancy, ADR and RevPAR were 69%, $130 and $90, respectively, compared to 64%, $137 and $88, respectively, in 2023. The loan had initially transferred to special servicing during 2020 due to pandemic related performance declines but subsequently returned back to the master servicer. The loan transferred back to special servicing in August 2025 as it failed to pay off at its June 2025 maturity date. As of the January 2026 remittance, the loan was last paid through its July 2025 payment date and has amortized over 18% since securitization. This loan has been deemed non-recoverable by the master servicer. The fifth largest specially serviced loan is the Walgreens – Smithfield Loan ($5.2 million -- 2.3% of the pool), which is secured by a 14,500 SF retail property in North Smithfield, Rhode Island. The Walgreens store went dark in 2019, and the loan transferred to special servicing in October 2020 when the borrower failed to comply with cash management procedures. The borrower subleased the space to Rhode Island Health Group in 2023 without obtaining servicer consent. The borrower and lender were engaged in legal actions regarding the resolution of the loan. In February 2024, a settlement was reached, and the property was marketed for sale, however the sale was unsuccessful. Recent servicer commentary indicates that foreclosure was completed in October 2025, and title was transferred to the lender with the deed recorded on November 2025. As of January 2026 remittance, the loan was REO and was last paid through its December 2025 payment date. CRSNT TRUST 2026-MOON: Moody's Assigns B2 Rating to Cl. F Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to eight classes of CMBS securities, issued by CRSNT Trust 2026-MOON, Commercial Mortgage Pass-Through Certificates, Series 2026-MOON: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. JRR, Definitive Rating Assigned B3 (sf) Cl. KRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interests in The Crescent (the "Property"), which is a 1.4 million square foot mixed-use office and retail center located in Dallas, TX. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Crescent is a Class A, LEED Silver mixed-use office and retail property located in the Uptown submarket of Dallas, TX. Built in 1986, the Property consists of three office towers with ground level retail totaling approximately 1.2 million SF (the "Crescent Tower"), as well an approximately 167,500 SF three-story office and retail building at the north end of the site (the "Courtyard Building"). The sponsor acquired the Property in 2021 for $655.0 million ($477 PSF) and has since invested approximately $22.8 million ($17 PSF) in capital improvements, in addition to approximately $41.7 million ($30 PSF) of renovations completed by the prior owner, JPMorgan Asset Management. A sponsor affiliate previously owned the Property from 1994 to 2011, and the asset serves as the firm's namesake. The Property benefits from a comprehensive amenity package that includes a modern fitness facility, a five-level underground parking garage with approximately 3,500 spaces, as well as a mix of food, beverage, and lifestyle tenants such as Avra, The Capital Grille, Ascension, Stanley Korshak, City Golf Club, and Scissors & Scotch. The property is adjacent to the Hotel Crescent Court, which is not part of the collateral but provides additional complementary amenities, including Nobu and The Spa at The Crescent. As of January 2026, the Property was approximately 89.9% occupied by a granular roster of 110 unique tenants. No single tenant occupies more than 4.8% of NRA or contributes more than 5.3% of base rent. Additionally, tenants that are either assigned a senior unsecured investment-grade rating by us or are listed as AmLaw 100 law firms represent 24.9% of NRA and 28.3% of base rent. The Property's three largest occupants are McKool Smith (66,003 SF, 4.8% of NRA and 5.3% of base rent; NR), PNC Bank (55,519 SF, 4.0% of NRA and 4.9% of base rent; A2, senior unsecured) and Wil Gotshal & Manges LLP (66,126 SF, 4.8% of NRA and 4.2% of base rent; AM 100 law firm). The retail component of the Property contains 135,147 SF of NRA that is 94.2% leased as of January 2026 to 14 tenants. The space is distributed across ground-level retail integrated into the Crescent Towers and the dedicated Courtyard Building. The largest retailer is Stanley Korshak L.P., a luxury department store, and accounts for 55,345 SF. The tenant does not contribute to the overall base rent and is subject to a percentage-in-lieu rent structure, based on 7.5% of sales. Other retailers at the Property include restaurants and lifestyle retailers such as Avra, Capital Grille, Sixty Vines, Scissors and Scotch, among others. Retail tenants exhibit strong performance metrics, with eight tenants that report sales data featuring an average occupancy cost of 8.6% and average sales of $1,097 PSF. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.33X and Moody's first mortgage actual stressed DSCR is 0.87X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $596,000,000 represents a Moody's LTV of 114.4%. Moody's LTV ratio is based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 113.3% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 1.75. Notable strengths of the transaction include: (i) asset quality, (ii) granular tenancy, (iii) recent leasing activity, (iv) stable historical occupancy, and (v) experienced sponsorship. Notable concerns of the transaction include: (i) rollover risk, (ii) market fundamentals, (iii) floating rate and interest-only loan profile, (iv) return of equity, (v) lack of asset diversification, and (vi) certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. DRYDEN 37 SENIOR: Moody's Cuts Rating on $25.65MM ER Notes to B1 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 37 Senior Loan Fund: US$31.1M Class DR Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on May 12, 2025 Upgraded to Baa1 (sf) US$25.65M Class ER Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Oct 6, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$36,728,067) Class AR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 21, 2017 Assigned Aaa (sf) US$62.3M Class BR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 12, 2023 Upgraded to Aaa (sf) US$22.2M Class CR Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on May 12, 2025 Upgraded to Aaa (sf) US$8.75M Class FR Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on May 12, 2025 Downgraded to Caa3 (sf) US$2.0M Combination Notes due 2031 (Current rated balance of US$395,958), Affirmed Aaa (sf); previously on Dec 12, 2023 Upgraded to Aaa (sf) Dryden 37 Senior Loan Fund, originally issued in March 2015 and later reset in December 2017, 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 January 2023. RATINGS RATIONALE The rating upgrade on the Class DR notes is primarily a result of the deleveraging of the Class AR notes following amortisation of the underlying portfolio since the last rating action in May 2025. The Class AR notes have paid down by approximately USD84.1 million (26.3%) since the last rating action in May 2025 and USD283.3 million (88.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated December 2025[1] the Class A/B, Class C, Class D, Class E and Class F OC ratios are reported at 172.54%, 146.31%, 120.62%, 105.36% and 101.01% compared to May 2025[2] levels of 150.83%, 134.52%, 116.82%, 105.39% and 101.98%, respectively. Moody's notes that the January 2026 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The rating downgrade on the Class ER notes is primarily a result of the deterioration of the key credit metrics of the underlying pool since the last rating action in May 2025. According to the trustee report dated December 2025 the Weighted Average Recovery Rate (WARR) and Weighted Average Spread (WAS) were reported at 45.43% and 3.24% respectively, compared to May 2025 levels of 46.10% and 3.41%. The decline in the WAS of the portfolio reduces the excess spread available to cover shortfalls caused by future defaults. In addition, erosion of the portfolio par amount as a result of losses due to defaults and credit risk sales also negatively impacts the tranche. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. The affirmations on the ratings on the Class AR, BR, CR, FR and Combination Notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD188.8m Defaulted Securities: USD2.3m Diversity Score: 66 Weighted Average Rating Factor (WARF): 2815 Weighted Average Life (WAL): 3.35 years Weighted Average Spread (WAS): 3.16% Weighted Average Coupon (WAC): 3.87% Weighted Average Recovery Rate (WARR): 45.52% Par haircut in OC tests and interest diversion test: 0.24% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. DRYDEN 41 SENIOR: Moody's Affirms B1 Rating on $25.3MM E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Dryden 41 Senior Loan Fund: US$35.75M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Sep 12, 2025 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$61.9M (Current outstanding amount US$53,877,158) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 12, 2025 Affirmed Aaa (sf) US$28.35M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 12, 2025 Affirmed Aaa (sf) US$25.3M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Sep 12, 2025 Affirmed B1 (sf) US$8.25M (Current outstanding amount US$8,745,194) Class F-R Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Sep 12, 2025 Affirmed Caa3 (sf) Dryden 41 Senior Loan Fund, originally issued in October 2015 and later refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2025. The affirmations on the ratings on the Class B-R, C-R, E-R and F-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Since the last rating action, the Class A-R notes fully repaid the remaining balance of USD79.7 million, additionally the Class B-R notes were paid down by USD8.0 million (13%). In total, USD87.7 million was repaid since September 2025 and USD365.5 million since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated December 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 205.22%, 156.42%, 120.34% and 103.45% compared to August 2025[2] levels of 170.63%, 142.16%, 117.45% and 104.58%, respectively. Moody's notes that the January 2026 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The 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: USD151.4m Defaulted Securities: USD2.2m Diversity Score: 59 Weighted Average Rating Factor (WARF): 3006 Weighted Average Life (WAL): 2.87 years Weighted Average Spread (WAS): 3.12% Weighted Average Recovery Rate (WARR): 47.24% Par haircut in OC tests and interest diversion test: 1.66% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ELDRIDGE MMPC 2026-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E debt following payment in full on the Feb. 20, 2026, refinancing date. The legal name for this transaction changed to Eldridge MMPC CLO 2026-1 Ltd. at closing from Maranon Loan Funding 2023-2 Ltd. 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-1-L-R, A-2-R, B-R, C-1-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class C-2-R debt was 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 were extended to Jan. 15, 2037. -- The reinvestment period was extended to April 15, 2029. -- The non-call period was extended to Feb. 20, 2027. -- The target initial par amount remained at $400 million, and the first payment date following the refinancing is July 15, 2026. -- No additional variable dividend notes were issued on the refinancing date. -- The transaction 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." Ratings Assigned Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC Class A-1-R, $138.2 million: AAA (sf) Class A-1-L-R, $93.8 million: AAA (sf) Class A-2-R, $16.0 million: AAA (sf) Class B-R, $24.0 million: AA (sf) Class C-1-R (deferrable), $24.0 million: A (sf) Class C-2-R (deferrable), $8.0 million: A (sf) Class D-1-R (deferrable), $24.0 million: BBB (sf) Class D-2-R (deferrable), $8.0 million: BBB- (sf) Class E-R (deferrable), $16.0 million: BB- (sf) Ratings Withdrawn Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A- (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt Eldridge MMPC CLO 2026-1 Ltd./Eldridge MMPC CLO 2026-1 LLC Variable dividend notes, $44.6 million: Not rated ELEVATION CLO 2026-19: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elevation CLO 2026-19 Ltd./Elevation CLO 2026-19 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ArrowMark Colorado Holdings LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. 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 Elevation CLO 2026-19 Ltd./Elevation CLO 2026-19 LLC Class X, $1.50 million: AAA (sf) Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $15.20 million: BB- (sf) Subordinated notes, $33.13 million: NR NR--Not rated. FLATIRON CLO 24: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 24 Ltd. reset. Entity/Debt Rating Prior ----------- ------ ----- Flatiron CLO 24 Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 33882CAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 33882CAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 33882CAG2 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 33882HAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating X-R LT NRsf New Rating Transaction Summary Flatiron CLO 24 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', 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 98.98% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1-R, '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 Flatiron CLO 24 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GALAXY 32: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R loans and A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt from Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC, a CLO managed by PineBridge Investments LLC that was originally issued in November 2023. The preliminary ratings are based on information as of Feb. 24, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 27, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A loan, and A, B, C, D, and E debt and assign ratings to the replacement class A-R loans and A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The stated maturity and the reinvestment period will be extended by 2.25 years. -- The non-call period will be extended to January 20, 2028. -- 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 beginning with the July 2026 payment date. -- The required minimum overcollateralization 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 Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC Class X-R, $2.50 million: AAA (sf) Class A-R, $182.59 million: AAA (sf) Class A-R loans (i), $69.41 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 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) (i)None of the class A-R loans may be converted into any other class. Other Debt Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC A subordinated notes, $40.60 million: NR B subordinated notes, $0.10 million: NR NR--Not rated. GREEN TREE 1996-04: Moody's Upgrades Rating on M-1 Certs from B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from three US residential mortgage-backed transactions (RMBS), backed by manufactured housing mortgages issued by Green Tree Financial Corporation. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Green Tree Financial Corporation MH 1996-04 M-1, Upgraded to Baa3 (sf); previously on May 5, 2025 Upgraded to B1 (sf) Issuer: Green Tree Financial Corporation MH 1997-01 M-1, Upgraded to Baa1 (sf); previously on Aug 21, 2024 Upgraded to Baa3 (sf) Issuer: Green Tree Financial Corporation MH 1997-04 M-1, Upgraded to Baa3 (sf); previously on May 5, 2025 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions 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 upgrade is the result of the improving performance of the related pools, and an increase in credit enhancement available to the bond. Credit enhancement grew by 1.6x over the past 12 months. Moody's analysis also considered the expected timing of when the upgraded notes will be paid down, taking into account their legal maturity. The pace of repayment may be influenced by changes in the paydown speed. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GS MORTGAGE 2026-NQM2: Moody's Assigns (P)B2 Rating Cl. B-2 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 10 classes of residential mortgage-backed securities (RMBS) to be issued by GS Mortgage-Backed Securities Trust 2026-NQM2, and sponsored by Goldman Sachs Mortgage Company. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Goldman Sachs Mortgage Company, including loans aggregated by MAXEX Clearing LLC (MAXEX; 15.1% by loan balance) and originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Select Portfolio Servicing, Inc. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2026-NQM2 Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A2 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.69%, in a baseline scenario-median is 1.95% and reaches 23.45% 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. JP MORGAN 2018-AON: S&P Affirms CCC (sf) Rating on Class F Certs ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON, which is a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on two other classes from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a portion ($400.0 million as of the Feb. 6, 2026, trustee remittance report) of a 4.63% per annum fixed-rate interest-only (IO) $536.0 million whole mortgage loan secured by the borrower's fee-simple interest in Aon Center, an 83-story, 2.8 million sq-ft, 1972-built office tower located at 200 East Randolph Street in Chicago's East Loop office submarket. The property consists of approximately 2.6 million sq ft of office space and 177,000 sq ft of retail, storage, telecom, and amenity space (which includes a 15,000-sq-ft gym, a 14,000-sq-ft tenant lounge, and a 7,000-sq-ft conference facility). Rating Actions The downgrades on the class A, B, C, and D certificates and affirmations on the class E and F certificates reflect the following: -- S&P said, "Our net recovery value is 24.1% lower than the valuation we derived in our last review in September 2025, primarily due to decreasing occupancy at the property, which was 65.7% as of the Dec. 31, 2025, rent roll, down from our assumed 71.6%. Moreover, the property's reported net cash flow (NCF) in 2024 declined 12.2% from that of 2023. We increased our capitalization rate assumption to reflect the potential additional volatility in NCFs and occupancy at the property." -- The property's low leasing activity, which is partly due to the office submarket continuing to experience elevated vacancy (over 25%) and availability (over 30%) rates for four- and five-star office properties, with negative net absorption in each year since 2021. S&P believes the property's performance is not likely to improve to historical levels in the near term without significant capital investments. -- S&P' view that net recoveries to the bondholders may be less than the most recent reported appraised value of $414.0 million (as of May 2023; 46.9% below the issuance-appraised value of $780.0 million), due to the challenging Chicago office market conditions, as evidenced by recent comparable sales. This compares with the whole loan balance of $536.0 million. S&P's concern with the sponsor's ability to refinance the loan by its modified extended maturity date in July 2026 if the property's performance and appraised value do not materially improve. The sponsor could not repay the loan by its original July 1, 2023, maturity date. The servicer reported a debt service coverage of 1.18x on the whole loan for the nine months ended Sept. 30, 2025, based on the current 4.63% fixed annual interest rate that is below the prevailing rates for office properties in the current interest rate environment. According to the master servicer, the sponsor is yet to deposit $7.5 million, which was due by January 2026, into the new lease reserve account, as specified in the August 2023 loan extension and modification agreement. According to the transaction documents, the special servicer may extend the trust loan's maturity date up to, but not beyond, a date that is five years prior to the rated final distribution date in July 2031. The downgrades on classes C and D and the affirmations on classes E and F further reflect S&P's qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that the classes are vulnerable to default. The downgrade on the class HRR to 'D (sf)' reflects our expectation that the accumulated interest shortfalls (totaling $3,275 as of the February 2026 trustee remittance report) will remain outstanding for the foreseeable future. Our assessment also indicates that the class may incur principal losses upon the eventual liquidation of the loan. The downgrades on the class X-A and X-B IO certificates reflect S&P's criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A, while class X-B references classes B and C. The loan, which has a reported current payment status, was initially transferred to special servicing on Feb. 10, 2023, because the borrower executed a major lease without the lender's consent. In addition, the borrower was unable to pay off the loan upon its initial maturity on July 1, 2023. The loan was subsequently modified and extended to July 1, 2026, and returned to master servicing on Nov. 9, 2023. As part of the modification, the borrower was also required to deposit $25.0 million into a reserve account to fund leasing costs for new, existing, and future tenants, as well as an additional $5.0 million by January 2025 and another $7.5 million by January 2026. According to the master servicer, KeyBank Real Estate Capital, the borrower has not yet funded the remaining amount. As of the February 2026 reporting period, there is approximately $17.1 million in reserves, predominantly from excess cash flow sweep. S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the borrower's efforts and timing to fund the reserve account and repay the loan. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Update As of the Dec. 31, 2025, rent roll, the property was 65.7% leased, down from the assumed 71.6% in S&P's last review. Further, the property faces a concentrated tenant rollover in 2029 (14.8% of the net rentable area; 23.1% of the S&P Global Ratings in-place gross rent), 2031 (12.9%; 19.6%), 2032 (10.5%; 15.4%), and 2033 (9.8%; 16.8%). According to CoStar, vacancy and availability rates remain high for four- and five-star properties in the East Loop office submarket, where the office property is situated. As of year-to-date February 2026, the submarket average vacancy rate was 25.4%, the availability rate was 30.5%, and the market asking rental rate was $42.71 per sq ft. According to the December 2025 rent roll, the property had a vacancy rate of 34.3% and a gross rent of $45.67 per sq ft, as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported declines in occupancy and NCF, as noted in the servicer-provided December 2025 rent roll and operating statements for the nine months ended September 2025, as well as a still weak office submarket, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings value of $117 per sq ft, which was 21.7% below the May 2023 appraised value, and an S&P Global Ratings loan-to-value ratio of 165.3% on the whole loan. Based on our analysis, the S&P Global Ratings asset quality score is 3.5 and the S&P Global Ratings income stability score is 2.0. Table 1 Servicer-reported performance Nine months ending September 2025(i) 2024(i) 2023(i) Occupancy rate (%) 66.0 71.5 75.6 Net cash flow (mil. $) 23.4 35.9 40.9 Debt service coverage (x) 1.18 1.02 1.16 Appraisal value (mil. $)(ii) 414.0 414.0 414.0 (i)Reporting period. (ii)As of May 2023. The appraised value at issuance was $780.0 million. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance Feb 2026)(i) (Sep 2025)(i) (June 2018)(i) Occupancy rate (%) 65.7 71.6 85.0 Net cash flow (mil. $) 27.2 31.6 40.5 Capitalization rate (%) 8.50 7.50 7.00 Add to Value (mil. $) (ii) 4.8 6.0 13.9 Value (mil. $) 324.3 427.5 592.7 Value per sq ft ($) 117 154 213 Loan-to-value ratio (%) (iii) 165.3 125.4 90.4 (i)Review period. (ii) Present value of future rent steps for investment grade rated tenants. (iii) Based on the whole loan balance of $536.0 million. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON Class A to 'BB- (sf)' from 'BBB+ (sf)' Class B to 'B- (sf)' from 'BB (sf)' Class C to 'CCC (sf)' from 'B+ (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Class HRR to 'D (sf)' from 'CCC (sf)' Class X-A to 'BB- (sf)' from 'BBB+ (sf)' Class X-B to 'CCC (sf)' from 'B+ (sf)' Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON Class E: CCC (sf) Class F: CCC (sf) JP MORGAN 2026-VIS1: S&P Assigns (P) 'B-' Rating on B-2BX Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2026-VIS1's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and five- to 10-family properties. The pool consists of 1,648 ability-to-repay-exempt business-purpose investment property loans. The preliminary ratings are based on information as of Feb. 24, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) J.P. Morgan Mortgage Trust 2026-VIS1 Class A-1FCF, $114,492,000: AAA (sf) Class A-1LCF, $38,164,000: AAA (sf) Class A-1A, $130,023,000: AAA (sf) Class A-1B, $22,633,000: AAA (sf) Class A-1, $152,656,000: AAA (sf) Class A-2, $39,606,000: AA- (sf) Class A-3, $50,471,000: A- (sf) Class M-1, $23,538,000: BBB- (sf) Class B-1, $16,974,000: BB- (sf) Class B-1A, $16,974,000: BB- (sf) Class B-1AX, $16,974,000: BB- (sf) Class B-1B, $16,974,000: BB- (sf) Class B-1BX, $16,974,000: BB- (sf) Class B-2, $11,090,000: B- (sf) Class B-2A, $11,090,000: B- (sf) Class B-2AX, $11,090,000: B- (sf) Class B-2B, $11,090,000: B- (sf) Class B-2BX, $11,090,000: B- (sf) Class B-3, $5,658,449: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(iii): Not rated (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by Newrez LLC (dba Shellpoint Mortgage Servicing) and Selene Finance L.P. as of the cutoff date. (iii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. KKR CLO 12: Moody's Affirms Ba3 Rating on $22MM Class E-R2 Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by KKR CLO 12 Ltd.: US$25.7M Class D-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Jul 11, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$44.8M (Current outstanding amount US$42,006,906) Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 11, 2025 Affirmed Aaa (sf) US$19.5M Class C-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 11, 2025 Upgraded to Aaa (sf) US$22M Class E-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jul 11, 2025 Affirmed Ba3 (sf) KKR CLO 12 Ltd., originally issued in August 2015 and refinanced in August 2017 and October 2018, 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 ended in October 2022. RATINGS RATIONALE The rating upgrade on the Class D-R2 notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2025. The affirmations on the ratings on the Class B-R2, Class C-R2 and Class E-R2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R2a and Class A-R2b notes were fully repaid, amortizing a total of USD58.8 million since the last rating action in July 2025. Meanwhile, the Class B-R2 notes have been paid down by approximately USD2.8 million (6% of its original balance) as of the January 2026 payment date. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class A-R2/B-R2, Class C-R2, Class D-R2 and Class E-R2 OC ratios are reported at 274.56%, 187.52%, 132.25% and 105.61%, compared to May 2025[2] levels of 172.35%, 145.05%, 119.99% and 104.54% respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD123.1 million Defaulted Securities: USD1.69 million Diversity Score: 43 Weighted Average Rating Factor (WARF): 3515 Weighted Average Life (WAL): 2.98 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.48% Weighted Average Recovery Rate (WARR): 46.30% Par haircut in OC tests and interest diversion test: 6.4% 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 notes 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 diversity score, weighted average spread and life exhibit little or no change between these dates. The USD24.1 million repayment of the notes had been incorporated in Moody's model runs. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KKR CLO 40: Moody's Lowers Rating on $20MM Class E-R Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by KKR CLO 40 Ltd.: US$20M Class E-R Senior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Jun 6, 2024 Assigned Ba3 (sf) Moody's have also affirmed the rating on the following notes: US$320M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 6, 2024 Assigned Aaa (sf) KKR CLO 40 Ltd., originally issued in May 2022 and refinanced in June 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period will end in April 2026. RATINGS RATIONALE The rating downgrade on the Class E-R notes is primarily a result of the deterioration in over-collateralisation ratios and the deterioration of the weighted average spread (WAS) of the portfolio since the payment date in January 2025. The over-collateralisation ratios of the rated notes have deteriorated over the past year. According to the trustee report dated December 2025[1], the Class A/B, Class C, Class D and Class E OC ratios are reported at 126.88%, 117.59%, 109.58% and 104.81% compared to December 2024[2] levels of 128.69%, 119.27%, 111.14% and 106.31%, respectively. In addition, the portfolio WAS has deteriorated since the payment date in January 2025. According to the trustee report dated December 2025[1], the WAS is reported at 3.17% compared to December 2024[2] level of 3.66%. Moody's notes that the Minimum Floating Spread Test is currently failing. The affirmation on the rating on the Class A-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD484.4m Defaulted Securities: USD3.0m Diversity Score: 78 Weighted Average Rating Factor (WARF): 2950 Weighted Average Life (WAL): 4.48 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.19% Weighted Average Coupon (WAC): 4.54% Weighted Average Recovery Rate (WARR): 46.19% 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. Moody's notes that the January 2026 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 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: Once reaching the end of the reinvestment period in April 2026, the main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- 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. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. LEDN ISSUER 2026-1: S&P Assigns B- (sf) Rating on Class B Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ledn Issuer Trust 2026-1's fixed-rate notes. The note issuance is an ABS securitization backed by a portfolio consisting of 5,441 fixed-rate balloon loans extended to a diversified base of 2,914 unique obligors. As of the statistical cutoff date (Dec. 31, 2025), the initial loans represent an aggregate outstanding principal balance of $199.1 million, secured by a pledge of 4,078.87 bitcoin with a fair market value of approximately $356.9 million. Each loan features an original tenor not exceeding 12 months. The initial loans are structured with a single "bullet" repayment covering principal and accrued interest at maturity or upon an event of default, with no interim requirements for periodic interest or principal payments. Also included are additional fixed-rate loans purchased by the issuer during the revolving period, as well as $910,497 cash, which is the initial amount on deposit in the funding account for purchasing additional loans. Ledn's credit underwriting relies primarily on the value of the bitcoin collateral and Ledn's ability to realize value by liquidating the collateral rather than on traditional credit underwriting metrics like credit scores or cash flow modeling. However, the loans included in this transaction are also made on a full-recourse basis. In the event that bitcoin is liquidated by the lender and the proceeds are not sufficient to cover all unpaid principal, interest, and fees, the borrower is still responsible for paying back any remaining amounts due. S&P said, "We view the recourse provisions as credit-positive, as they create some additional incentive for borrowers to pay amounts due on their loans, even if the value of their bitcoin collateral has dropped significantly. Nevertheless, in our stress scenarios, we do not assume recoveries on defaulted loans in excess of liquidation proceeds. This reflects the possibility that administrative or legal obstacles in the diverse jurisdictions in which the borrowers are domiciled, or the possible costs involved, may make the pursuit of additional remedies impractical or uneconomical." Changes To The Collateral Pool Between the cut-off-date and Feb. 20, 2026, the portfolio of loans decreased in number and balance. As of Feb. 19, 2026, the collateral now consists of 3,612 loans to 2,187 individual borrowers, comprising $136.8 million in principal balance and $63.1 million in cash. Of the 1,829 loans that have left the pool, representing $62.2 million, 955 totaling $34.5 million were repaid via bitcoin liquidation through Ledn's liquidation engine, and 874 totaling $27.8 million were repaid by borrowers. On a weighted-average basis, the loan-to-value (LTV) ratio at liquidation for these 955 loans was 80.1%, and the maximum LTV ratio at liquidation was 83.1%. All of the liquidations occurred during a rapid decline in the price of bitcoin between Jan. 29, 2026, and Feb. 6, 2026. The remainder of the loans that left the pool were either repaid in cash by borrowers early, repaid in cash at maturity, or renewed into a new loan. By way of comparison, the typical age at repayment for Ledn's loans is approximately 5.5 months, which corresponds to a monthly repayment rate of about 18.2% and would have accounted for repayment of about $60.3 million, only slightly below the portfolio attrition experienced, indicating the decrease in loan balance since the cutoff date is not atypical. In S&P's rating scenarios, it assumed monthly repayment rates of approximately 12%-18%. The transaction features a 36-month revolving/reinvestment period, during which the issuer may replace loans that have been repaid with new originations. In revolving structures, cash held for reinvestment can generate negative-carry, as it typically yields less than the interest rate of the issuer's debt. If it becomes more difficult to obtain reinvestment collateral, the negative-carry can worsen. As of the closing date, Ledn continues to make new loans. S&P said, "We tested this transaction's sensitivity to reinvestment collateral availability by running various scenarios. Our base rating scenario assumes that the issuer will use available reinvestment cash on deposit as of the closing date to buy additional eligible loans. We also considered a hypothetical stress scenario where additional loans would not be available for purchase. When we ran this scenario in which no new loans were added to the transaction at or after closing, we observed that some of the cash was used to cover interest on the debt, causing an increase in the transaction's LTV ratio and triggering an early amortization event approximately eight months after closing; however, we did not observe any payment default on the rated notes." Custody of the Bitcoin Collateral The loans are secured by bitcoin collateral that will be held in custody by Fidelity Digital Assets N.A. (Fidelity). Fidelity, a national trust bank, will act as cryptocurrency custodian pursuant to an account control agreement that mandates that Fidelity establish an account in the name of the issuer for the benefit of the indenture trustee, hold the bitcoin securing the loans in the cryptocurrency custodial account, and comply only with instructions from the indenture trustee or its designated agents (the issuer, servicer, or, in the event of a servicer replacement, backup servicer) with respect to the sale of bitcoin collateral. The ratings reflect S&P's view of: -- The notes' ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under our rating stresses; -- The servicer's ability to liquidate the bitcoin collateral in a timely manner so as to repay the loans in the event of borrower default; -- The cryptocurrency custodian's security protocols and policies and procedures for operational, cyber, and physical control of the underlying bitcoin collateral; -- The portfolio characteristics, including its diversification by borrower and domicile, as well as the current loan-to-value distribution; -- The manager's experience in managing the loan portfolio; -- The portfolio's performance under specific rating sensitivity stresses, and other non-rating sensitivity runs; -- Certain early amortization events included in the transaction documents, which, if breached, would result in an end to the revolving period and acceleration of the notes; -- Certain eligibility criteria and concentration limitations concerning the additional loans included in the transaction documents; and -- The presence of a liquidity reserve account funded at closing with cash in an amount equal to 5% of the outstanding note balance, $9.4 million. The target balance remains 5% of the outstanding note balance for the first 11 months then steps down to 4% in month 12 and 3% in month 13, then holds steady at 2% of the outstanding note balance from month 14 until the notes are paid off. Ratings Assigned Ledn Issuer Trust 2026-1 Class A, $160 million: BBB- (sf) Class B, $28 million: B- (sf) MADISON PARK XIV: Moody's Cuts Rating on $9MM Cl. F-R Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Madison Park Funding XIV, Ltd: US$50M Class C-R4 Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 27, 2025 Assigned Aa1 (sf) US$51.75M Class D-1R4 Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Mar 27, 2025 Assigned Baa1 (sf) US$15M Class D-2R4 Deferrable Fixed Rate Notes, Upgraded to A2 (sf); previously on Mar 27, 2025 Assigned Baa1 (sf) US$9M (Current outstanding amount US$9,273,446) Class F-R Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Sep 28, 2023 Downgraded to Caa1 (sf) Moody's have also affirmed the ratings on the following debts: US$459.97M (Current outstanding amount US$181,472,268) Class A-R4 Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 27, 2025 Assigned Aaa (sf) US$98.5M Class B-R4 Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 27, 2025 Assigned Aaa (sf) US$61M Class E-R Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 28, 2020 Confirmed at Ba3 (sf) Madison Park Funding XIV, Ltd., originally issued in August 2014, refinanced in April 2017, October 2018, February 2024 and March 2025 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by UBS Asset Management (Americas) LLC. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C-R4, Class D-1R4 and Class D-2R4 notes are primarily a result of the deleveraging of the Class A-R4 notes following amortisation of the underlying portfolio since the transaction's last refinancing in March 2025. The downgrade on the rating on the Class F-R notes is primarily a result of the deterioration in the credit quality of the underlying collateral pool since March 2025. The affirmations on the ratings on the Class A-R4, Class B-R4 and Class E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R4 notes have paid down by approximately US$278.5 million (60.5%) since the since the transaction's refinancing in March 2025. As a result of the deleveraging, the Class A/B, Class C and Class D over-collateralisation (OC) have increased. According to the trustee report dated January 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 147.89%, 132.04% and 115.51% compared to March 2025[2] levels of 137.59%, 126.29% and 113.80%, respectively. Moody's notes that the January 2026 principal payments are not reflected in the reported OC ratios. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated January 2026[1], the WARF was 3188, compared with 3012 as of March 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 13.3% of the underlying portfolio in January 2026[1], versus 10.2% in March 2025[2]. 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 its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: US$494,104,014 Defaulted Securities: US$8,657,005 Diversity Score: 52 Weighted Average Rating Factor (WARF): 3190 Weighted Average Life (WAL): 2.83 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.23% Weighted Average Recovery Rate (WARR): 46.30% Par haircut in OC tests and interest diversion test: 0.0% 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 its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in Collateral administrator-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 other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MADISON PARK XXXV: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XXXV, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XXXV, Ltd. A-1-R 55819MAN6 LT PIFsf Paid In Full AAAsf A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating A-2A-R 55819MAQ9 LT PIFsf Paid In Full AAAsf A-2B-R 55819MAS5 LT PIFsf Paid In Full AAAsf 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-R LT NRsf New Rating X-R LT NRsf New Rating Transaction Summary Madison Park Funding XXXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $650 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.65% first-lien senior secured loans and has a weighted average recovery assumption of 74.24%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, and 'A-sf' for class D-2-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 Madison Park Funding XXXV, 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MIDOCEAN CREDIT XIII: Fitch Assigns BB-sf Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XIII reset transaction. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XIII Ltd X-R LT NRsf New Rating A-1 Loan LT NRsf New Rating A-R1 LT NRsf New Rating A-2 59803DAL0 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B 59803DAE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 59803DAG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 59803DAJ5 LT PIFsf Paid In Full BBB-sf D-R1 LT BBBsf New Rating D-R2 LT BBB-sf New Rating E 59803EAA2 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary MidOcean Credit CLO XIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by MidOcean Credit RR Manager LLC that originally closed in December 2023. The existing secured notes will be redeemed in full on Feb. 13, 2026. Net proceeds from the issuance of the refinancing secured debt and the existing subordinated notes will provide financing for a portfolio of approximately $396.7 million (excluding defaulted or current pay obligations, if any) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.1 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote 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 94.91% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.06% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The three largest 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 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 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R2 notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-R1 notes, between less than 'B-sf' and 'BB+sf' for class D-R2 notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. 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-R notes, 'AAsf' for class C-R notes, 'A+sf' for class D-R1 notes, 'A-sf' for class D-R2 notes, and 'BBB+sf' for class E-R 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 MidOcean Credit CLO XIII. 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. MORGAN STANLEY 2026-NQM2: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans have a weighted average seasoning of four months and are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties and five- to 10-unit multifamily residential properties. The pool consists of 953 loans backed by 982 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (non-HPML; APOR), QM/HPML (rebuttable presumption), non-QM/ability to repay (ATR)-compliant, and ATR-exempt. The loans have mostly 30-year maturities, except for 14 loans with 40-year maturities and four loans with 15-year maturities. S&P said, "After we assigned our preliminary ratings on Feb. 11, 2026, the sponsor removed the class A1-FCF and A1-LCF certificates and reallocated those balances to the class A-1-A and A-1-B certificates and the associated exchange class A-1 certificates, keeping the subordination credit enhancement the same. In addition, the class B-1 certificate rate was priced at a fixed coupon rate. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2 Class A-1, $332,320,000: AAA (sf) Class A-1-A, $288,360,000: AAA (sf) Class A-1-B, $43,960,000: AAA (sf) Class A-2, $29,243,000: AA- (sf) Class A-3, $39,539,000: A- (sf) Class M-1, $16,035,000: BBB- (sf) Class B-1, $8,567,000: BB (sf) Class B-2, $8,567,000: B (sf) Class B-3, $5,052,501: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $21,969,501: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $439,323,501. NR--Not rated. NEW RESIDENTIAL 2026-NQM2: Fitch Gives B-sf Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM2 (NRMLT 2026-NQM2). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM2 A1FCF LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn 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 A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 882 nonprime loans that were primarily originated by Newrez LLC (Newrez), with a total balance of approximately $508.03 million as of the cutoff date. Fitch has withdrawn the expected rating of 'AAAsf' for the previous class A-1FCF and class A-1LCF notes, as these were not funded at close and are no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM2 has a final probability of default (PD) of 36.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.4%. The expected loss in the 'AAAsf' rating stress is 15.1%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM2 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to notes of the A-1 classes, A-2 class and A-3 class until they are reduced to zero. The A-1 classes will receive interest and principal payments among themselves either pro rata or sequentially, depending on which combination of the A-1 classes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM2 to be is a fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM2 and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 several firms. 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 origination PD credit for loans fully reviewed by the TPR firm and 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. NEW RESIDENTIAL 2026-NQM3: Fitch Rates Class B2 Notes 'B-(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM3 (NRMLT 2026-NQM3). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM3 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 884 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $475.8 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM3 has a final probability of default (PD) of 34.8% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.8%. The expected loss in the 'AAAsf' rating stress is 14.9%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM3 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 and A-3 notes until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially, depending on which combination of the A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5 bps reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM3 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 (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 NRMLT 2026-NQM3; therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 several firms. 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 origination PD credit for loans fully reviewed by the TPR firm and 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. NMEF FUNDING 2026-A: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by NMEF Funding 2026-A, LLC (NMEF 2026-A). North Mill Equipment Finance LLC (NMEF) is the sponsor and servicer of the securitized loan pool. The notes are backed by a pool of loans and leases secured mainly by new and used medical, transportation, and construction equipment. NMEF Funding 2026-A is NMEF's eleventh ABS transaction and the sixth transaction rated by us. This is NMEF's first equipment ABS issuance in 2026. The complete rating actions are as follows: Issuer: NMEF Funding 2026-A, LLC Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa1 (sf) Class C Notes, Definitive Rating Assigned Aa2 (sf) Class D Notes, Definitive Rating Assigned Baa1 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings of the notes are based on (1) the credit quality of the underlying equipment loan and lease including the types of equipment; (2) Moody's expectations of the pool's credit performance, informed by the historical performance of NMEF's prior securitizations and NMEF's managed portfolios; (3) the experience and expertise of NMEF as the originator and servicer of the pool to be securitized; (4) the back-up servicing arrangement with GreatAmerica Financial Services Corporation; (5) the strength of the expected transaction structure, including the sequential-pay structure and levels of credit enhancement; and (6) the legal aspects of the transaction. Additionally, in assigning the definitive short-term rating to the Class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the Class A-1 notes' legal final maturity date. Moody's cumulative net loss expectation for the NMEF 2026-A collateral pool is 6.75%, 1.00% higher than that of the NMEF 2025-B collateral pool, due to a weaker mix of collateral, and inclusion of additional collateral during the pre-funding period. Moody's loss at a Aaa stress expectation for the NMEF 2026-A collateral pool is 32.0%, the same as that of the 2025-B transaction. Moody's cumulative net loss expectation and loss at a Aaa stress are based on Moody's analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including NMEF's managed portfolios and prior securitizations, the track-record, ability and expertise of NMEF to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction including the current inflationary environment, uncertainty surrounding tariffs and consumer demand. The classes of notes are paid sequentially. The Class A, Class B, Class C, Class D, and Class E notes benefit from approximately 38.15%, 31.05%, 24.35%, 16.65%, and 11.90% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except for the Class E), (2) over-collateralization (OC) of 10.90% of the initial adjusted discounted pool balance with an OC target of 15.70% of the outstanding adjusted discounted pool balance subject to a 0.50% OC floor, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure, target OC level, and non-declining reserve account result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the Class B, Class C, Class D, and Class E Notes if levels of credit enhancement are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected of the value of the equipment that secure the obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or a greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy or the condition of the trucking and transportation industries could also negatively affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the Class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. OBX TRUST 2026-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-INV1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (0.6% by balance) and GSE-eligible (99.4% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, who in turn acquires 50.0% of the loans aggregated by Bank of America, N.A. The pool was originated by multiple entities, including PennyMac Loan Services, LLC (PennyMac; 45.6% by loan balance) and Rocket Mortgage, LLC (Rocket Mortgage; 22.6%). PennyMac Loan Services, LLC ("PennyMac"), NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint") and Select Portfolio Servicing, Inc. ("SPS") are the servicers of the pool. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV1 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-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. 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 A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, 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, Class A-2A Loans, and Class A-3A Loans, assigned on February 11, 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 0.73%, in a baseline scenario-median is 0.43% and reaches 7.65% 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. OCP CLO 2024-31: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-1R, B-2R, C-R, D-1AR, D-1BR, D-2R, and E-R debt from OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC, a CLO managed by Onex Credit Partners LLC, that was originally issued in March 2024. The preliminary ratings are based on information as of Feb. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 10, 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-1, B-2, C, D, and E debt and assign ratings to the replacement class A-R, B-1R, B-2R, C-R, D-1AR, D-1BR, D-2R, 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-R, B-1R, C-R, D-1AR, D-2R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class B-2R and D-1BR debt is expected to be issued at a fixed coupon. -- The non-call period will be extended to March 10, 2028. -- The reinvestment period will be extended to April 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 20, 2039. -- No additional assets will be purchased on the March 10, 2026, refinancing date, and the target initial par amount will remain at $500 million. There will be 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 will be 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." Preliminary Ratings Assigned OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC Class A-R, $315.00 million: AAA (sf) Class B-1R, $57.00 million: AA (sf) Class B-2R, $8.00 million: AA (sf) Class C-R, $30.00 million: A (sf) Class D-1AR, $25.00 million: BBB- (sf) Class D-1BR, $5.00 million: BBB- (sf) Class D-2R, $3.75 million: BBB- (sf) Class E-R, $16.25 million: BB- (sf) Other debt OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC Subordinated notes, $50.19 million: NR NR--Not Rated OCTAGON INVESTMENT 49: S&P Affirms BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-RR, B-RR, C-1-RR and C-2-RR debt Octagon Investment Partners 49, Ltd./Octagon Investment Partners 49 LLC, a CLO managed by Octagon Credit Investors, LLC that was originally issued in January 2021 and underwent a partial refinancing in February 2024. S&P said, "At the same time, we withdrew our ratings on the previous class X, B-R, and C-R debt following payment in full on the Feb. 23, 2026, refinancing date. The class A-R notes were also refinanced, but are not currently rated by S&P Global Ratings. We also affirmed our ratings on the class D-1-R, D-2-R, 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. 23, 2027. -- The replacement class C-1-RR and C-2-RR debt is expected to be issued at a floating spread and fixed coupon, respectively, replacing the current floating spread class C-R. -- No additional assets were purchased on the Feb. 23, 2026 refinancing date, and the target initial par amount remains at $470mm. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 15, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-1-R, D-2-R, and E-R debt (which were not refinanced). However, we affirmed our 'BBB- (sf)' rating on the class D-1-R and D-2-R debt and 'BB- (sf)' on the class E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. However, if post-refi performance does not improve and/or metrics deteriorate, this could result in potential negative rating actions going forward." Replacement And Previous Debt Issuances Replacement debt -- Class X-RR, $3.22 million: Three-month CME term SOFR + 0.90% -- Class B-RR, $56.40 million: Three-month CME term SOFR + 1.55% -- Class C-1-RR (deferrable), $20.20 million: Three-month CME term SOFR + 1.95% -- Class C-2-RR (deferrable), $8.00 million: 5.60% Previous debt -- Class X, $3.22 million: Three-month CME term SOFR + 1.05% -- Class B-R, $56.40 million: Three-month CME term SOFR + 1.95% -- Class C-R (deferrable), $28.20 million: Three-month CME term SOFR + 2.40% -- Subordinated notes, $52.50 million: Not applicable 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 Octagon Investment Partners 49, Ltd. / Octagon Investment Partners 49, LLC Class X-RR, $3.22 million: AAA (sf) Class B-RR, $56.40million: AA (sf) Class C-1-RR (deferrable), $20.20 million: A (sf) Class C-2-RR (deferrable), $8.00 million: A (sf) Ratings Withdrawn Octagon Investment Partners 49, Ltd. / Octagon Investment Partners 49, LLC Class X to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Octagon Investment Partners 49, Ltd. / Octagon Investment Partners 49, LLC Class D-1-R: BBB- (sf) Class D-2-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Octagon Investment Partners 49, Ltd. / Octagon Investment Partners 49, LLC Class A-RR: NR Subordinated notes, $52.50 million: NR NR--Not rated. OFSI BSL XVI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OFSI BSL XVI CLO Ltd./OFSI BSL XVI CLO 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 OFS CLO Management III LLC, a subsidiary of OFS Capital Management. The preliminary ratings are based on information as of Feb. 20, 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 OFSI BSL XVI CLO Ltd./OFSI BSL XVI CLO LLC Class X, $3.00 million: AAA (sf) Class A-1, $180.00 million: AAA (sf) Class A-J, $12.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C-1 (deferrable), $16.00 million: A (sf) Class C-2 (deferrable), $2.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB (sf) Class D-Ja (deferrable), $3.00 million: BBB- (sf) Class D-Jb, (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $8.25 million: BB- (sf) Subordinated notes, $23.29 million: NR NR--Not rated. OLYMPIC TOWER 2017-OT: Fitch Affirms 'Bsf' Rating on Cl. E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Olympic Tower 2017-OT Mortgage Trust Commercial Mortgage Pass-Through Certificates (Olympic Tower 2017-OT). The Rating Outlooks for classes A, X-A, B, X-B, and C have been revised to Stable from Negative. Classes D and E are Negative. Entity/Debt Rating Prior ----------- ------ ----- Olympic Tower 2017-OT Mortgage Trust A 68162MAA0 LT AAsf Affirmed AAsf B 68162MAG7 LT A-sf Affirmed A-sf C 68162MAJ1 LT BBB-sf Affirmed BBB-sf D 68162MAL6 LT BBsf Affirmed BBsf E 68162MAN2 LT Bsf Affirmed Bsf X-A 68162MAC6 LT AAsf Affirmed AAsf X-B 68162MAE2 LT A-sf Affirmed A-sf KEY RATING DRIVERS The affirmations and revisions of the Outlooks on five classes to Stable from Negative reflect continued stabilization in property performance, including improved occupancy and positive leasing momentum since Fitch's last rating action. The Negative Outlooks reflect the potential for downgrades driven by refinancing risk as the loan approaches its May 2027 maturity. Improving Occupancy and Fitch NCF: Overall property occupancy increased to 97.3% as of the September 2025 rent roll compared to 93.3% in September 2024, 90% in December 2023, 89.8% in December 2022 and 97.4% in December 2021. The office portion of the property was 96.9% leased and the retail portion was 98.6% leased. While retail tenants at the property account for 22% of the NRA, they comprise over 58% of the property's total base rent. The overall average retail in-place base rent has increased to $476 from $455 psf at the last rating action but remains below the $532 psf around the time of issuance. Fitch's updated sustainable property NCF of $58.7 million is 7.7% below Fitch's issuance NCF of $63.7 but 1.6% above Fitch's NCF of $57.8 million at the last rating action, reflecting Richemont North America expanding its office footprint within the building and better-than-anticipated sales volume for Skims which has a percentage rent component. Fitch's analysis incorporates additional stresses to subleased space and tenants with near-term lease expirations, as well as higher leasing cost assumptions. Richemont North America expanded its presence in the building by signing additional office leases on the 3rd, 4th, and 10th floors totaling approximately 49,000 sf, bringing its total office space to 185,500 sf. Richemont also extended the term of its remaining leases by 10 years, through 2038. Richemont now occupies 43% of the building's office space, while the NBA occupies 48%. Skims opened its flagship store in December 2024 after signing a five-year lease, with one five-year option, for the former Versace space at the property, totaling 20,000 sf (3.7% NRA), at a significantly below-market base rental rate of $155 psf, which is in excess of 75% below what Versace was initially paying at the time of issuance. The Skims lease also includes a percentage rent component that brought the total rent to approximately $410 psf. Jimmy Choo (0.3% NRA, 0.8% base rent, through 2028) has subleased its space to Bond No. 9 for the remainder of the lease term. Fitch's analysis factored in the sublease rental rate for this space. Furla (0.4% NRA, 5.1% base rent, through 2030) has subleased its space to Hublot of America for the remainder of the lease term as well. Fitch's analysis incorporated a 50% stress to the Furla rent to account for the unknown sublease rental rate. The servicer-reported September 2025 NCF debt service coverage ratio (DSCR) was 1.31x compared with 1.13x in 2024, 1.60x in 2023, 1.58x in 2022, 1.76x in 2021, 1.58x in 2020 and 1.68x in 2019 for the interest-only loan. High-Quality Asset; Prime Office and Retail Location: The property is a leasehold interest in the office and retail portions within 21 stories of a 52-story, high-end, mixed-use property and three adjacent buildings located on Fifth Avenue in Midtown Manhattan. The property consists of approximately 425,670 rentable sf of class A office space within the Plaza submarket and 117,215 rentable sf of retail space along Fifth Avenue, between East 51st and East 52nd Streets. The property's public spaces re-opened in early 2019 after a multi-million-dollar renovation. Fitch assigned the property a quality grade of 'A-' at issuance. The property is leased to a mix of office and retail tenants and serves as the U.S. headquarters for the NBA (37.6% of NRA, 22% base rent, through 2035), Richemont North America (34%, 15.1%, through September 2038) and as a flagship location for its subsidiary Cartier (10.1% NRA, 30.1% base rent, through July 2037). The property is also home to other luxury retailers, including Tag Heuer, Longchamp, Skims, Hublot, and Bond No. 9. Loan Structure: The loan is fixed-rate interest only for the 10-year term, maturing May 2027, with a fixed-rate coupon of 3.95%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupon. Fitch Leverage: The $760 million mortgage loan has a Fitch stressed DSCR and loan-to-value of 0.91x and 97.1%, respectively, and debt of $1,400 psf. The total debt package includes mezzanine financing in the amount of $240 million that is not included in the trust. Fitch maintained the stressed capitalization rate of 7.5% to factor office sector and submarket performance concerns. Experienced Sponsorship and Property Management: The sponsorship is a joint venture between OMERS Administration Corporation and Crown Acquisitions, Inc. Oxford Properties Group is the global real estate investment, development and management arm of OMERS, and had over $84 billion of assets under management, as of June 2024. Oxford manages a portfolio that totals approximately 145 million square feet of commercial space, over 3,300 hotel rooms, and nearly 9,300 residential units in Canada, Western Europe and the U.S. Crown Acquisitions ownership interests include over 50 properties located in major markets such as New York, Chicago, London and Miami. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible should property NCF, occupancy and/or market conditions deteriorate beyond Fitch's view of sustainable performance, including limited leasing progress, if new leases are signed at rates significantly below market rates, and/or with weaker-than-expected sales performance for Skims, which has a percentage rent lease component affecting overall retail rental revenue for the property. In addition, downgrades are possible or Outlooks may be revised to Negative without viable prospects for repayment as the loan approaches its May 2027 maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not likely given that Fitch's current ratings reflect a longer-term view of sustainable property performance. However, they may be possible with significant and sustained improvement in Fitch NCF from positive leasing momentum resulting in higher retail rental rates than expected, and if the prospect for refinance is more certain. 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. PALMER SQUARE 2024-1: Moody's Assigns Ba3 Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Palmer Square Loan Funding 2024-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$229,230,471 Class A-1-R Senior Secured Floating Rate Notes due 2032, Assigned Aaa (sf) US$66,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2032, Assigned Aaa (sf) US$33,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Aa3 (sf) US$19,250,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Baa2 (sf) US$19,250,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Ba2 (sf) US$5,500,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a static cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The Issuer previously issued one class of subordinated notes which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. This include: extensions of the stated non-call period 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: $404,374,019 Defaulted par: $656,656 Diversity Score: 73 Weighted Average Rating Factor (WARF): 2566 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.84% Weighted Average Coupon (WAC): 3.91% Weighted Average Recovery Rate (WARR): 46.42% Weighted Average Life (WAL): 4.2 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PALMER SQUARE 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2026-1 Ltd./Palmer Square CLO 2026-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Europe Capital Management LLC, an affiliate of Palmer Square Capital Management. The preliminary ratings are based on information as of Feb. 20, 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 Palmer Square CLO 2026-1 Ltd./Palmer Square CLO 2026-1 LLC Class A, $372.00 million: AAA (sf) Class B, $84.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $22.50 million: BB- (sf) Subordinated notes, $57.35 million: NR NR--Not rated. PLYM COMMERCIAL 2026-IND: Fitch Gives BB+(EXP) Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Ratings Outlooks to PLYM Commercial Mortgage Trust 2026-Ind Commercial Mortgage Pass-Through Certificates, Series 2026-IND. Entity/Debt Rating ----------- ------ PLYM 2026-IND 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 HRR LT BB+(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Ratings Outlooks as follows: - $945,400,000a class A 'AAA(EXP)sf'; Outlook Stable; - $123,400,000a class B 'AA(EXP)sf'; Outlook Stable; - $147,800,000a class C 'A(EXP)sf'; Outlook Stable; - $173,250,000a class D 'BBB-(EXP)sf'; Outlook Stable; - $73,150,0000ab class HRR 'BB+(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.463 billion, two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 145 primarily industrial properties comprised of 227 buildings. The portfolio comprises approximately 32.1 million sf located across 11 states and 11 markets and was acquired via separate transactions since 2010. Borrower sponsorship is a joint venture between affiliates of Makarora Management LP (Makarora) and Ares Alternative Credit Funds (Ares), which completed the acquisition of Plymouth Industrial REIT, Inc. (Plymouth) in an all-cash transaction valued at approximately $2.1 billion on January 27, 2026. Plymouth shareholders received cash contributions of $22.0 per share. The sponsor contributed $660.0 million of cash equity to facilitate the acquisition. The proceeds of the Mortgage Loan will be used to pay off the existing balance sheet debt, which was originated on Jan. 26, 2026 in connection with the sponsor's acquisition, and pay $81.0 million in estimated closing costs inclusive of $4.8 million of outstanding free rent and unfunded tenant improvements and leasing commissions. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $124.7 million. This is 7.6% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $1.7 billion. This equates to a 25.9% value decline relative to the appraiser's concluded "as is" value for the portfolio. Low Fitch Leverage: The $1.463 billion whole loan equates to debt of approximately $45 psf with a Fitch stressed debt yield (DY), debt service coverage ratio (DSCR), and loan-to-value ratio (LTV) of 8.5%, 1.0x, and 88.0%, respectively. The loan represents approximately 65.2% of the "as-is" appraised value of $2.2 billion. Fitch decreased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio is well diversified, with 145 properties (32.1 million sf) located across 11 states and 11 MSAs. The three largest state concentrations are Ohio (36.9% ALA, 38.7% of NRA, 12,427,555 sf, 60 properties, 76 buildings); Tennessee (15.4% ALA, 18.7% of NRA, 6,016,111 sf, 25 properties, 58 buildings); and Indiana (12.4% ALA, 14.8% of NRA, 4,752,169 sf, 23 buildings). The three largest MSAs are Cleveland-OH (16.5% of NRA, 17.7% of UW NOI); Memphis-TN/MS (19.8% of NRA, 15.5% of UW NOI); and Cincinnati - OH/KY (14.6% of NRA, 13.8% of UW NOI). The portfolio also exhibits significant tenant diversity, as it features over 500 distinct tenants, with no tenant representing more than 2.0% of NRA, and 1.0% of Fitch base rent. Below Market Rents: The top five markets of Cleveland, Memphis, Cincinnati, Jacksonville, and Atlanta account for 70.6% of Fitch Base Rent. According to CoStar, 4Q25 average rental rates averaged $6.61 per sf across the five markets. The portfolio's weighted average in-place rents across those same five markets averaged $5.95 per SF as of the February 2026 rent roll, suggesting in-place rents are 10.0% below market. Institutional Sponsorship: Makarora is a New York-based investment management firm established in 2024 and led by senior professionals with extensive experience through global property market cycles. Makarora was founded by Chad Pike, who spent 25 years at Blackstone, including in roles as Co-Head of the Real Estate Group and Co-Founder of Tactical Opportunities. Ares Management Corporation (NYSE: ARES) is a leading global alternative investment manager offering clients complementary primary and secondary investment solutions across the credit, real estate, private equity and infrastructure asset classes. Plymouth's team is expected to continue to manage the properties. Plymouth's asset management strategy focuses on tenant experience and long-term property value. Its team is primarily located in Boston, but also has regional offices in Atlanta, Columbus, Jacksonville and Memphis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch-defined NCF: - Note classes: A/B/C/D/HRR; - Original ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf/'BB+sf; - 10% NCF decline: 'AAsf'/'Asf'/'BBB-sf'/'BBsf'/'BB-sf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Note classes: A/B/C/D/HRR; - Original ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf/'BBsf; - 10% NCF increase: 'AAAsf'/'AAAsf'/'AA-sf/'BBB+sf'/'BBBsf. 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 a comparison and re-computation of certain characteristics with respect to the mortgage loan. . 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. SG RESIDENTIAL 2026-1: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2026-1's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 694 loans. S&P said, "After we assigned preliminary ratings on Feb. 10, 2026, the issuer decided not to issue the class A-1FCF, A-1FCX, and A-1LCF certificates on the closing date. Therefore, we did not assign ratings to the class A-1FCF, A-1FCX, and A-1LCF certificates. In turn, the certificate amounts of classes A-1A and A-1B were increased to $303.690 million from $216.618 million and to $45.092 million from $32.164 million, respectively, and the certificate amount from the corresponding class A-1 was increased to $348.782 million from $248.782 million. The resized bonds did not change the credit enhancement on the transaction. After analyzing the final coupons and the updated structure, we assigned ratings to the classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending; -- 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, and is updated, if necessary, when these projections change materially. S&P said, "On Feb. 6, 2026, we updated the home price index (HPI) and over-/under-valuations used in our Weighted Average Foreclosure Frequency and Loss Engine (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--1.010x 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, and we did not re-run the pool." Ratings Assigned SG Residential Mortgage Trust 2026-1(i) Class A-1A, $303,690,000: AAA (sf) Class A-1B, $45,092,000: AAA (sf) Class A-1, $348,782,000: AAA (sf) Class A-2, $20,743,000: AA (sf) Class A-3, $44,415,000: A (sf) Class M-1, $17,134,000: BBB- (sf) Class B-1, $9,695,000: BB- (sf) Class B-2, $6,088,000: B- (sf) Class B-3, $4,058,255: not rated Class A-IO-S, notional(ii): not rated Class XS, notional(ii): not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. SILVER ROCK III: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C-1, C-2, D, and E debt following payment in full on the Feb. 25, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-1-R, and E-R floating-rate debt was issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class C-2-R fixed-rate debt was issued at a lower coupon than the existing debt. -- The replacement class D-1-R and D-2-R debt was issued at a fixed coupon, replacing the current class D floating-rate debt. -- 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, 2038. -- No additional assets were purchased on the Feb. 25, 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 April 20, 2026. -- New class X-R debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first seven payment dates, beginning with the second payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 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) Ratings Withdrawn Silver Rock CLO III Ltd./Silver Rock CLO III LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Silver Rock CLO III Ltd./Silver Rock CLO III LLC Subordinated notes, $43.40 million: NR NR--Not rated. SOUND POINT XVI: Moody's Affirms B3 Rating on $40MM Class E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Sound Point CLO XVI, Ltd.: US$40M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Aug 7, 2025 Affirmed A2 (sf) Moody's have also affirmed the ratings on the following notes: US$88M (Current outstanding amount US$13,631,693) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 7, 2025 Affirmed Aaa (sf) US$48M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 7, 2025 Affirmed Aaa (sf) US$40M (Current outstanding amount US$40,071,649 incl. deferred interest amounts) Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B3 (sf); previously on Aug 7, 2025 Downgraded to B3 (sf) Sound Point CLO XVI, Ltd., originally issued in June 2017 and partially refinanced in March 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmations on the ratings on the Class B-R, Class C-R and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class B-R notes have paid down by approximately USD55.9 million (63.5%) since the last rating action in August 2025 and USD74.4 million (84.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class D notes. According to the trustee report dated January 2026[1] the Class D OC ratios are reported at 128.36%, compared to August 2025[2] levels of 124.29% respectively. Moody's notes that the January 2026 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The 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: USD149.8m Defaulted Securities: USD2.9m Diversity Score: 40 Weighted Average Rating Factor (WARF): 4180 Weighted Average Life (WAL): 2.61 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.6% Weighted Average Recovery Rate (WARR): 46.26% Par haircut in OC tests and interest diversion test: 9.38% 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, such as account bank using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SPRITE 2026-1: Fitch Assigns 'BB-(EXP)sf' Rating on Series C Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings to the notes issued by Sprite 2026-1 Limited, Sprite 2026-1 US LLC (Sprite 2026-1): - $370,000,000 series A notes 'A(EXP)sf'/Outlook Stable; - $55,000,000 series B notes 'BBB(EXP)sf'/Outlook Stable; - $70,000,000 series C notes 'BB-(EXP)sf'/Outlook Stable. Transaction Summary The notes, co-issued by Sprite 2026-1 Limited (Sprite Ireland) and Sprite 2026-1 US LLC (Sprite USA), are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 30 commercial aircraft, consisting of 28 converted freighter aircraft and two passenger aircraft that have not yet been converted 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, World Star Aviation Limited (World Star) will be responsible for managing the aircraft including aircraft leasing, maintenance and disposition. This is the first public Fitch-rated Sprite transaction, and the third public transaction to be serviced by the World Star team. It is also the first public aviation securitization backed by a collateral pool comprised almost entirely of converted freighter aircraft. KEY RATING DRIVERS Asset Quality and Tiering (Neutral): The Sprite 2026-1 pool is comprised almost entirely of converted 737-800NG freighter aircraft. Based on the initial appraised value, 94.5% (28 aircraft) are 737-800 converted (or, in the case of the aircraft with MSN 30728, expected to be converted) freighter aircraft while the remaining 5.5% (2 aircraft) are 737-800 passenger aircraft. The pool has a weighted average (WA) age of 22.3 years based on date of manufacture. However, from a freighter-use perspective the collateral is relatively young: The WA time since conversion/entry into freighter configuration for the relevant assets is 3.5 years, reflecting that the converted freighter aircraft were all converted in 2018 or later. Aircraft models are desirable. Based on the initial appraised values, the age-adjusted tier distribution is 94.5% in Tier 2 and 5.5% in Tier 3. For each aircraft, the initial appraised value was set as the lesser of the mean and median half-life base values and the half-life current market values, in each case derived from the three appraisers. Fitch uses these initial appraised values throughout this commentary for collateral composition and concentration metrics. Fitch uses a Fitch Value (FV) derived from the lower of the mean and median (LMM) of half-life base value (HLBV) for its related modeling. 737-800SFs make up the largest portion of the pool by initial appraised value (66.7%), followed by 737-800BCFs (20.7%), 737-800BDSFs (7%), and 737-8FEs (5.5%). Pool Concentration (Neutral): Developed Europe, with 15 aircraft, accounts for the highest share (47.3% of initial appraised value) followed by emerging Europe (20.7%), emerging Africa and Middle East (7.7%), emerging Asia-Pacific (7.1%), developed Middle East and Africa (7%), developed Asia-Pacific (6.4%), and developed North America (3.8%). Lessee concentration is diversified, with Amazon representing 22.2% of the pool (seven aircraft). The next largest exposure (AirExplore) represents 10.2% (three aircraft). As of Feb. 6, 2026, one aircraft, approximately 3.9% of initial appraised value, was not owned by the transferors. A purchase agreement to acquire the asset has not been executed but the aircraft is subject to an executed letter of intent (LOI). Failure to acquire the assets would impact pool concentration. Lessee Credit Risk (Neutral): There are 17 lessees in the pool. By initial appraised value, 25.4% are leased to credits that Fitch considers investment grade, 13.5% are leased to 'B' category lessees and the remaining 61.2% are leased to 'CCC' to 'CC' credits. The WA credit rating is between 'B' and 'B+', similar to other aircraft ABS transactions. All of the owned assets are on lease and current. Operational and Servicing Risk (Neutral): Fitch has found World Star 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 its team, servicing of its managed fleet and performance of their prior securitizations. Transaction Structure (Neutral): Leverage is acceptable, at 72.4% for the class A note, 83.1% for the class B note, and 96.8% for the class C note. Notes amortize mortgage style over 10 years for the A and B notes and over 14 years for the C note. The transaction has a sequential pay structure, with A note interest and principal senior to B note interest and principal. Concentration risk toward the end of the transaction is mitigated through 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 'CCC' credits. Fitch ran a sensitivity assuming future lessees are rated 'CC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the air cargo industry. This analysis assesses the notes' rating sensitivity to weaker assumed lessee credit quality, lower gross cash flows from increased downtime due to aircraft repossessions and remarketing, and potentially higher expenses related to repossessions and transition costs. Value Stress Sensitivity: Fitch applied a 10% haircut to the starting FV for all aircraft in the portfolio to test the performance of the transaction in a more stressed environment. This sensitivity accounts for the historical volatility and cyclicality of aircraft values. This analysis indicates the notes' rating sensitivity to decreased gross cash flows as the lower starting FV drives future lease rates and disposition proceeds lower. Combined Credit Stress and Gross Rental Cash Flow Sensitivity: Fitch ran the credit and value stress sensitivities simultaneously by decreasing both the aircraft values and future lessee credit rating. End-of-lease (EOL) Sensitivity: Given that this portfolio has minimal exposure to EOLs, the EOL sensitivity was not run. Sensitivity Results: The series A and B notes showed rating resilience across stress sensitivities. Both series of notes stayed within the same rating category across all sensitivities. The series C note maintained its rating under the credit sensitivity, experienced a one-notch downgrade in the value sensitivity and a two-notch downgrade in the combined sensitivity. 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. CRITERIA VARIATION Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the class B notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness.the rating decision. SV RNO 1: Fitch Assigns 'BB(EXP)' LongTerm IDR, Outlook Stable -------------------------------------------------------------- Fitch Ratings has assigned SV RNO Property Owner 1, LLC (SV RNO or the issuer) a 'BB(EXP)' expected Long-Term Issuer Default Rating (IDR). Fitch has also assigned SV RNO's proposed up to $3.88 billion senior secured notes an expected 'BB(EXP)' rating. The Rating Outlook is Stable. RATING RATIONALE The 'BB(EXP)' rating on SV RNO reflects Fitch's view that the 200 MW data center project in Storey County, Nevada faces elevated completion risk. While the construction scope is relatively straightforward, the project is still at an early stage and the construction price has not yet been fully locked in, leaving it exposed to potential cost escalation. Although the management team at sponsor Fleet Data Centers has relevant experience, the company's limited record of building data centers and managing equipment supply chain heightens execution risk. Cost escalation risk till the finalization of the guaranteed maximum price (GMP) for construction is mitigated by the ability to rentalize up to 20% of initial estimated cost through a yield-on-cost mechanism. In addition, the lenders' technical advisor (LTA) considers contingency levels adequate, the overall budget reasonable, and long-lead procurement well advanced. These factors support schedule achievability and help partly mitigate completion risks. Tenant termination rights due to delayed construction are triggered only in March 2031, providing an additional mitigant for construction delays. The project faces power supply risk as the required power infrastructure has not yet been constructed. In addition, the energy services agreement (ESA) has yet to be finalized, although Reno Power NR 1 LLC holds a broader master contract for 1.2GW with the utility, of which 200MW has been allocated to the project. The ratings also reflect the issuer's capacity to raise additional debt, which is mitigated by restrictions, such as a maintenance of a loan-to-cost limit broadly consistent with the current issuance, but without a incurrence test based on debt service coverage (DSCR) or rating agency confirmation. Debt protections are relatively weak, with restricted payments permitted under some baskets at a 1.0x DSCR and others subjected at 1.10x DSCR. Offsetting these risks, the ratings incorporate a strong contractual framework that should support stable operating cash flows under a 197-month lease with an investment-grade tenant. However, the project is expected to run at a low power usage efficiency (PUE), which is aggressive compared to peers and Fitch will closely monitor this metric during the operating phase as it could impact the power available for critical IT purposes. Debt is structured to fully amortize over the initial lease term, reducing renewal risk. Projected DSCR and project life coverage ratio (PLCR) are commensurate with the rating level, supported by predictable triple-net lease payments from a strong offtaker. The IDR is equalized with the debt facility ratings given their pari passu seniority and the absence of structurally subordinated liabilities. KEY RATING DRIVERS Completion Risk - Midrange The assessment reflects elevated completion risk due to the absence of a fixed-price contract at this stage and the project's early construction phase. While the construction scope is considered relatively straightforward for a data center, and the contractor, Clark Construction Group, LLC, is experienced, execution risk is heightened by Fleet Data Centers' relatively limited development and equipment procurement track record, despite the relevant experience of its management team. The absence of GMP at this stage is mitigated by the lease's yield-on-cost mechanism, which allows recovery of total capex through higher rent. The current construction budget is based on an initial estimate of $17.3 million/MW, which the LTA considers robust and well-cushioned. The lease permits up to a 20% increase in the initial construction budget (to $20.7 million/MW) prior to GMP finalization, with any increase compensated through higher base rent. In addition, the borrower's debt sizing scenarios are based on higher cost assumptions of $19.4 million/MW (11.9% above the initial estimate), providing headroom against cost escalation risk before the GMP is finalized. Additionally, 89% of the major components have been locked in by Fleet Data Centers I LP, limiting the scope of significant cost overrun, though some risks remain until costs are fully locked-in. Further, the initial budget includes substantial developer contingencies, mitigating cost escalation risk. From a schedule perspective, the LTA has concluded that the timeline is within market benchmarks and they do not identify timely completion as a concern. The LTA did not identify completion within this timeline as a concern. Further the tenant has limited termination rights, which are only exercisable if (a) ready-for-service (RFS) is not achieved for 10 tranches or (b) the building does not have 100MW of power by March 2031. Under the preliminary schedule, 10 tranches are expected to be completed by January 2028, providing an approximately 38-month cushion before termination rights could be triggered. While the tenant has rent abatement rights, these are subject to a 60-day grace period and are capped at six months of base rent for the affected tranche. The financing structure also includes an upfront funded debt service reserve account (DSRA) sized at six months of interest and amortization, in addition to capitalized interest through June 2028, providing additional protection against delay-related cash flow stress. Supply Risk - Weaker The project is exposed to electricity supply risk because the data center campus depends on NV Energy's delivery of new utility infrastructure. NV Energy is responsible for constructing and installing the Mackay substation and, concurrently, a 1.5mile transmission line connecting the Mackay substation to the customer substation. The Mackay substation is expected to be completed in September 2027 and the customer substation in October 2027, which aligns with the lease's contracted RFS dates and provides roughly three months of headroom between substation energization and the contractual RFS milestones. However, there is limited visibility on NV Energy's completion timelines, constraining the supply risk assessment. Under the lease, the issuer and the tenant have agreed to achieve an accelerated delivery schedule based on the bridging behind-the-meter (BTM) solution while the utility service is being brought online. The temporary on-site BTM generation is expected to supply up to 86 MW, with an option to expand to 115 MW. The project could still achieve the accelerated RFS timeline even with a six-month delay to the BTM schedule, alongside timely commissioning of utility power. In addition, the lease provides protection against rent credits for delays beyond the contractual RFS dates in case of power related delays. The project has executed a 200 MW high voltage distribution (HVD) agreement, which allocates capacity under Reno Power NR 1 LLC's broader master planned community (MPC) arrangement with NV Energy that contemplates up to 1,215 MW of utility supply for the overall campus. The project is targeting a very low PUE, which is an aggressive assumption relative to many peers. If this is not achieved, the project could need more power to fully meet the requirements of the computing equipment than the current HVD allocation. However, 1,215 MW MPC framework and BTM availability provides flexibility to meet the project's power requirement in case of shortfall. The project is also negotiating an ESA with NV Energy that it expects to be executed by March 2026. The ESA is expected to have an initial 10-year term with renewal thereafter, and pricing subject to review. Power costs are fully passed through to the tenant, reducing the project's exposure to electricity price risk. Revenue Risk - Stronger The facility is in Storey County, Nevada, an emerging data center market supported by strong fiber connectivity, competitive West Coast power pricing, tax incentives, and low-latency access to the Bay Area. Revenue is fully contracted under a 197-month triple-net lease with the investment-grade tenant with two optional 10-year extensions. Fitch expects the debt to fully amortize within the initial lease term, limiting reliance on renewals and supporting a 'Stronger' revenue risk assessment. Base rent is set using a yield-on-cost structure equal to 9.5% of total capex. While the GMP has not yet been finalized, the lease includes a robust true-up mechanism under which cost increases of up to 20% above the initial estimate are incorporated into total capex prior to GMP finalization. Costs associated with tenant-caused delays and construction force majeure are reimbursed by the tenant, either through additional rent or an upfront cost-plus payment. Once the GMP is finalized, remaining cost increases (other than tenant delay and construction force majeure) are borne by the project. All costs associated with the BTM solution are passed through to the tenant. Operation Risk - Stronger The assessment reflects the project's triple-net lease, which passes through essentially all operating costs, including utilities/power, taxes, and insurance, to the tenant, which materially reduces the project's exposure to cost inflation. The lease structure includes robust performance standards, with provisions entitling the tenant to outage credits in the form of rent abatement for certain service interruptions or violations of service levels. The project is expected to run at a very low PUE, which is aggressive versus many peers and if not met, could increase the likelihood of triggering power-related service-level agreement (SLA) credits. While SLA underperformance does not give the tenant termination rights, service credits would still be payable if performance standards are not met. Project-level electrical, mechanical, and cooling redundancies should help limit the severity of temporary operational disruptions. While Fleet Data Centers' management team is experienced, the company's limited operating history increases execution risk in consistently meeting these stringent performance requirements. Infrastructure Development & Obsolescence Risk - Neutral Upon completion, the facility will be newly constructed with a total critical IT load of 200 MW and is expected to demonstrate limited maintenance requirements in the near and medium term, as all systems and components will be new. Most major mechanical and electrical components in a data center have useful lives exceeding 17 years, with significant replacements anticipated only after the debt repayment period. This reduces the need for a major maintenance reserve during the tenor of the debt. Where earlier replacement is required, such as for batteries, which are expected to need replacement within eight to 10 years, the Fitch rating case incorporates capital expenditure assumptions to account for these costs. Technological obsolescence risk is limited, as the debt will be fully amortized within the initial 16.4-year (197 months) lease term. Debt Structure - 1 - Weaker The proposed senior secured notes are due in 2031. The notes feature mandatory amortization of 2.5% commencing after all data center tranches achieve commencement operations date. While the project is exposed to refinancing risk in year five, the remaining debt is sized to fully amortize over the residual 13-year lease term, without reliance on lease renewals. Debt service liquidity includes a DSRA funded on the issue date, sized to approximately six months of debt service, in addition to funded interest during construction. The structure anticipates a fixed interest rate. The issuer is required to operate as a special-purpose entity (SPE) limited to the development and operation of the project, with covenants restricting commingling of assets with the parent, guaranteeing parent obligations, or forming subsidiaries. Lease payments flow through a cash waterfall and are applied first to de minimis operating expenses, then to scheduled debt service on the notes, then to DSRA replenishment, before any other uses. Fitch views certain provisions in the project documentation as atypical and weaker than standard project finance structures. However, the risks pertaining to some of these provisions are mitigated. Although the documentation allows for additional debt (including project-related debt, subject to a loan-to-cost cap of 85% for pari passu debt and 95% for non-pari passu debt) and includes baskets such as a 50% of NOI basket and an available retained excess cash flow basket, the overall additional debt capacity is constrained by the basket limits. In addition, the issuer is permitted to undertake mergers and consolidations, but such actions are subject to a rating confirmation test, or enter into JVs, which is limited by leverage tests. However, debt protections are relatively weak, with restricted payments permitted under some baskets at a 1.0x DSCR and others at 1.10x DSCR. Financial Profile Fitch's base and rating cases assess cash flows over the initial 197 months lease term and consistent with the debt amortization schedule outlined in the sponsor case. Additional stresses are applied to operational costs and maintenance capex. Further, a 100bps stress is applied to the refinancing rate. Under these assumptions, the Fitch rating case results in a PLCR of 1.18x in 2031, which is the maturity date of the notes. The average DSCR is 1.16x through the maturity of the notes in 2031. The project benefits from six months upfront DSRA, and there will be additional liquidity in form of excess cash flow available before distribution. PEER GROUP Cipher Compute LLC (BB-/Stable) is a comparable publicly rated peer developing a 300 MW (phase 1 with 244 MW plus phase 2 expansion with 56 MW) data center at Barber Lake, Texas. The project faces elevated completion risk because, despite having a relatively straightforward scope of work, the project is in the early construction phase without a fully locked in price with contractor Quanta Infrastructure Solutions Group, LLC (a subsidiary of Quanta Services, Inc.; BBB/Stable), exposing it to cost escalation risks. The Cipher Compute project benefits from a 10-year initial lease term with Fluidstack and a Google backstop mechanism during the operating phase to cover Fluidstack's obligations under the lease. Cipher Compute's operating phase financial profile is strong, with an average DSCR of 1.40x over the initial lease term (2026-2036) and a PLCR at maturity (2030) of 1.60x under Fitch's rating case, which incorporates stressed operating costs and escalation. Google's backstop, together with a fully funded six-month debt service reserve, provides additional credit enhancement. While these metrics are consistent with a higher rating, the rating remains constrained by completion risk, lack of an operational track record in relation to high-performance computing data centers and the project's ability to raise additional debt for an expansion or additional project. WULF Compute LLC (BB/Stable) is also a comparable rating and project. It is developing a 450 MW data center at the Lake Mariner campus in western New York state. The rating is constrained by completion risk and a limited operating track record, with additional risks from the absence of a fixed-price construction contract and an aggressive schedule. The project has a modified gross + electricity (MG+E) lease with Fluidstack for 10 years, with two five-year extension options, and benefits from Google's backstop during the operating phase, which is expected to cover Fluidstack's lease obligations or termination payments sufficient to repay outstanding debt in the event of a Fluidstack default or bankruptcy. WULF has three sites with staggered completion, each with its own backstop. WULF has an average DSCR 1.26x over the initial debt term (2026-2036) and a PLCR at maturity (year five) of 1.60x under Fitch's rating case, which incorporates stressed operating costs and escalation. SV RNO has a completion risk profile broadly similar to Cipher and Wulf, as the project remains in an early construction phase and does not have a fixed-price contract. However, SV RNO and WULF have tighter restrictions on incurring incremental debt to fund expansion projects - whereas Cipher has greater flexibility to raise additional indebtedness. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Significant delay in finalizing GMP or construction delays - including delays in the availability of electrical utility infrastructure, such as substations - that result in increased unavoidable costs not covered by either contingencies or debt service reserve; - Degradation of the financial performance leading to sustained DSCR below 1.10x Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Satisfactory commissioning of all the tranches in line with the lease terms, coupled with sustained operational and financial performance with DSCR above 1.18x TRANSACTION SUMMARY SV RNO, an indirect wholly owned subsidiary of Fleet Data Centers I, LP, will issue senior secured notes to fund construction of a 200 MW (20 tranches of 10MW each) critical IT load data center in Storey County, Nevada. Total budgeted project cost is around $4.5 billion and is funded at debt-to-cost ratio of 90% with debt of $3.88 billion. The equity of $416 million will be upfront funded at financial close. Fleet Data Centers I, LP has provided a completion guarantee. The notes have a five-year tenor through 2031, a fixed coupon and a first-priority lien on substantially all issuer assets, contracts and cash flows. The DSRA will be funded at closing and sized to around six months of post-construction debt service and capitalized interest during construction. All capacity is pre-leased under a 197-month triple-net to the investment-grade tenant. The lease has two 10-year extension options. All lease payments are paid into a lockbox and agent-controlled accounts, with a waterfall that prioritizes operating expenses, mandatory amortization and debt service. The final ratings are contingent upon the receipt by Fitch of final documents conforming to information already received and reviewed as well as the final pricing of the bonds. SECURITY - Substantially all asset assets of the issuer, including data center land, buildings, machinery and equipment, the project accounts, excess property and a pledge of 100% of the issuer's equity interests. - The infrastructure supporting the BTM solution, the substation and the adjacent property are collateral, but can be released at the issuer's option, provided that the substation cannot be released if the property would be without power. Date of Relevant Committee 12-Feb-2026 Climate Vulnerability Signals The results of its Climate.VS screener did not indicate elevated risk for SV RNO Property Owner 1 LLC. 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. Entity/Debt Rating ----------- ------ SV RNO Property Owner 1, LLC LT IDR BB(EXP) Expected Rating SV RNO Property Owner 1, LLC/Issuer Default Rating/1 LT LT BB(EXP) Expected Rating TOWD POINT 2026-CES2: S&P Assigns B- (sf) Rating on Cl. B2BX Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Towd Point Mortgage Trust 2026-CES2's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties. The pool has 3,602 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), non-QM/compliant loans, QM rebuttable presumption loans, and ability-to-repay-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregators and originators; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. S&P said, "On Feb. 6, 2026, we updated the house price index and over-/under-valuations used in our WAFFLE model. The credit impact of these changes, which affects loss severity, depends on the pool's geographic distribution and the valuation dates of the properties backing the loans. Since we are already assuming 100% loss severity for these second-lien loans, we determined the impact of the update to be non-material to our analysis. As a result, there is no change in the final ratings from the preliminary ratings. See the Related Research section for the house price index and over-/under-valuation assessments used in our analysis for this transaction." Ratings Assigned Towd Point Mortgage Trust 2026-CES2(i) Class A1A, $311,505,000: AAA (sf) Class A1B, $12,460,000: AAA (sf) Class A2, $16,938,000: AA- (sf) Class M1, $14,407,000: A- (sf) Class M2, $13,628,000: BBB- (sf) Class B1, $8,372,000: BB-(sf) Class B2, $6,425,000: B- (sf) Class B3, $5,646,088: NR Class A1, $323,965,000: AAA (sf) Class A2A, $16,938,000: AA- (sf) Class A2AX, $16,938,000: AA- (sf) Class A2B, $16,938,000: AA- (sf) Class A2BX, $16,938,000: AA- (sf) Class A2C, $16,938,000: AA- (sf) Class A2CX, $16,938,000: AA- (sf) Class A2D, $16,938,000: AA- (sf) Class A2DX, $16,938,000: AA- (sf) Class M1A, $14,407,000: A- (sf) Class M1AX, $14,407,000: A- (sf) Class M1B, $14,407,000: A- (sf) Class M1BX, $14,407,000: A- (sf) Class M1C, $14,407,000: A- (sf) Class M1CX, $14,407,000: A- (sf) Class M1D, $14,407,000: A- (sf) Class M1DX, $14,407,000: A- (sf) Class M2A, $13,628,000: BBB- (sf) Class M2AX, $13,628,000: BBB- (sf) Class M2B, $13,628,000: BBB- (sf) Class M2BX, $13,628,000: BBB- (sf) Class M2C, $13,628,000: BBB- (sf) Class M2CX, $13,628,000: BBB- (sf) Class M2D, $13,628,000: BBB- (sf) Class M2DX, $13,628,000: BBB- (sf) Class B1A, $8,372,000: BB-(sf) Class B1AX, $8,372,000: BB-(sf) Class B1B, $8,372,000: BB-(sf) Class B1BX, $8,372,000: BB-(sf) Class B2A, $6,425,000: B- (sf) Class B2AX, $6,425,000: B- (sf) Class B2B, $6,425,000: B- (sf) Class B2BX, $6,425,000: B- (sf) Class XS1, notional(ii): NR Class XS2, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts (net weighted average coupon shortfalls). (ii)Notional amount. NR--Not rated. TRINITAS CLO XXXV: Fitch Assigns BB+(EXP)sf Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Trinitas CLO XXXV, Ltd. Entity/Debt Rating ----------- ------ Trinitas CLO XXXV, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Trinitas CLO XXXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category and denotes a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.7% first-lien senior secured loans and has a weighted average recovery assumption of 74.37%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' 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. ESG Considerations Fitch does not provide ESG relevance scores for Trinitas CLO XXXV, 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. VERTICAL BRIDGE 2026-1: Fitch Assigns 'Bsf' Rating on Class M Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to VB-S1 Issuer, LLC's Secured Tower Revenue Notes, Series 2026-1. Additionally, Fitch has affirmed the ratings of VB-S1 Issuer, LLC's Secured Tower Revenue Notes, Series 2024-1 and Series 2022-1. Entity/Debt Rating Prior ----------- ------ ----- Vertical Bridge 2026-1 C-2 LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf M LT Bsf New Rating B(EXP)sf Vertical Bridge 2024-1 C-2 91823ABC4 LT Asf Affirmed Asf D 91823ABE0 LT BBB-sf Affirmed BBB-sf F 91823ABG5 LT BB-sf Affirmed BB-sf Vertical Bridge 2022-1 C-1 LT Asf Affirmed Asf C-2-I 91823AAU5 LT Asf Affirmed Asf C-2-II 91823AAW1 LT Asf Affirmed Asf D 91823AAY7 LT BBB-sf Affirmed BBB-sf F 91823ABA8 LT BB-sf Affirmed BB-sf Transaction Summary Vertical Bridge secured tower revenue notes, series 2026-1 is an issuance of notes out of a master trust backed by mortgages representing 90.7% of the annualized run rate net cash flow (ARRNCF) on the tower sites and are guaranteed by the direct parent of the borrower issuer. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the issuer's direct subsidiaries, which own or lease 10,022 wireless communication sites, including 10,425 towers and other structures. The new notes were issued pursuant to a supplement to the third amended and restated indenture dated as of the closing of the series 2022-1 transaction, as amended on the closing of the series 2024-1 and further amended as of the closing of the 2026-1 transaction. At closing, note proceeds were used to fund upfront reserves, refinance existing debt and fund general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Vertical Bridge REIT LLC (Vertical Bridge). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $270.4 million, implying a 4.9% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 14.2x versus the debt/issuer NCF leverage of 13.5x. Inclusive of the prefunding, the Fitch NCF on the pool is $277.0 implying a 5.2% haircut to issuer NCF. Based on the Fitch NCF and assumed annual revenue growth consistent with the weighted average (WA) escalator of the tower portfolio, and following the transaction's ARD, the notes would be repaid 17.8 years from closing and the investment-grade-rated notes would be repaid 14.1 years from closing. Credit Risk Factors: The primary factors informing Fitch's cash flow assessment and rating-specific MPL include the large and diverse collateral pool, creditworthy customer base with limited historical churn, market position of the operator, capability of the operator, limited operational requirements, high barriers to entry, strong transaction structure, and growth potential. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of wireless signals through cellular sites — will be developed. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. Fitch has assigned ratings as high as 'AAAsf' to transactions with exceptionally strong tenant/payor, collateral, portfolio, sponsorship, amortization and transaction attributes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher site expenses or lease churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades; - Fitch's NCF was 4.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class C from 'Asf' to 'BBBsf', class D from 'BBB-sf' to 'BBsf', class F from 'BB-sf' to 'Bsf' and class M from 'Bsf' to 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt, increasing leverage without the benefit of additional collateral. Upgrades may also be limited given the ratings are capped at 'Asf', given the risk of technological obsolescence; - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class C from 'Asf' to 'Asf', class D from 'BBB-sf' to 'BBBsf', class F from 'BB-sf' to 'BBsf' and class M from 'Bsf' to 'B+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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to the portfolio of wireless communication sites and related tenant leases in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations Vertical Bridge 2022-1, 2024-1, and 2026-1 have an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors including the issuer's ability to issue additional notes, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. 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. VERUS SECURITIZATION 2026-2: Fitch Rates Class B-2 Notes 'B-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-2 (Verus 2026-2). Entity/Debt Rating Prior ----------- ------ ----- VERUS 2026-2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1F LT AAAsf New Rating AAA(EXP)sf A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1FCX LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-1IO1 LT AAAsf New Rating AAA(EXP)sf A-1IO2 LT AAAsf New Rating AAA(EXP)sf A-1IO LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,617 loans with a balance of $851.6 million as of Feb. 12, 2026. The transaction is scheduled to close on Feb. 13, 2026. The notes are secured by mortgage loans originated by various originators and acquired by the sellers. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans, where the P&I advancing party will advance delinquent P&I for up to 90 days. There is no servicer advancing for second lien loans. Primary residence loans constitute 51.5% of the Verus 2026-2 transaction pool, followed by second home and investor loans at 48.5%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 33.1%, while 30.1% were originated to a bank statement program, 17.7% are a CPA P&L product, 11.2% are full documentation or a tax return product, and the remaining 7.9% were underwritten to a written verification of employment (WVOE) or asset underwriting product. There were slight changes to the collateral since the publication of the presale. Seven loans were removed and loan balances were rolled to Feb. 1 balances (versus Feb. 1 estimated balances cutoff date for presale). Overall, the collateral composition of the final pool remained similar to the preliminary pool and losses decreased between 1 bps and 4 bps for all stresses. After receiving the post-pricing structure on Feb. 5, bond balances were updated and coupons decreased between 2 bps and 40 bps for all classes except the A-1F and B-2 classes, which increased the excess spread to approximately 190 bps, a 55-bps increase from the previous excess spread of 135. There are no changes to Fitch's proposed ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-2 has a final probability of default (PD) of 45.3% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.0%. The expected loss in the 'AAAsf' rating stress is 19.0%. Structural Analysis: Verus 2026-2 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration with a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch confirms 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 have been satisfied to fully de-link the transaction from any other entities. Verus 2026-2 is fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-2 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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, Canopy, Clarifii, Clayton, Evolve and Selene. 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 adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. DATA ADEQUACY The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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. VIBRANT CLO XI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. D-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the Vibrant CLO XI, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Vibrant CLO XI, Ltd. (2026 Reset) X LT AAA(EXP)sf Expected Rating A-1RR LT NR(EXP)sf Expected Rating A-2RR LT AAA(EXP)sf Expected Rating A-2R2 LT AA(EXP)sf Expected Rating B-RR LT A(EXP)sf Expected Rating C-1RR LT BBB-(EXP)sf Expected Rating C-2RR LT BBB-(EXP)sf Expected Rating D-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary The Vibrant CLO XI, Ltd. (the issuer) reset transaction is an arbitrage cash flow collateralized loan obligation (CLO) managed by Vibrant Credit Partners, LLC that originally closed in August 2019 and first refinanced in September 2021. The existing notes will be refinanced in whole on the 2026 refinancing date. 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 23.66 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.44% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class A-2R2, between 'B+sf' and 'BBB+sf' for class B-RR, between less than 'B-sf' and 'BB+sf' for class C-1RR, and between less than 'B-sf' and 'BB+sf' for class C-2RR and between less than 'B-sf' and 'B+sf' for class D-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-2RR 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 A-2R2, 'AA+sf' for class B-RR, 'A+sf' for class C-1RR, and 'A-sf' for class C-2RR and 'BBB+sf' for class D-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 Vibrant CLO XI, 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. [] Moody's Upgrades Ratings on 4 Bonds from 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from three US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B Cl. M-3, Upgraded to Aaa (sf); previously on May 5, 2025 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on May 5, 2025 Upgraded to Ca (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust, Series 2004-A Cl. B-1, Upgraded to Aaa (sf); previously on May 5, 2025 Upgraded to Aa2 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-1 Cl. M-4, Upgraded to Ca (sf); previously on Apr 24, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating upgrade is the result of the improving performance of the related pools, and an increase in credit enhancement available to the bond. Credit enhancement grew by 1.6x over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 638 Classes From 202 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 638 ratings from 202 U.S. RMBS transactions issued between 1997 and 2007. The review yielded 182 upgrades, 365 affirmations, 20 downgrades, 58 withdrawals, and 13 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/3yrcnn55 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Available subordination and/or overcollateralization; -- Historical and/or outstanding missed interest payments or interest shortfalls; -- Assessment of reduced interest payments due to loan modifications and other credit-related events; -- Loan modifications; -- Principal write-downs; -- Payment priority; -- Interest-only criteria; -- Principal-only criteria; -- Expected duration; and -- A small loan count. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The upgrades primarily reflect the classes' increased credit support and expected shorter duration. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections." The downgrades primarily reflect an erosion of credit support, failed base-case loss stresses and assessment of reduced interest payments due to loan modifications and other credit-related events. S&P said, "We withdrew our ratings on 58 classes from 16 transactions due to the small remaining loan count on the related structures. Once a pool has declined to a de-minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our interest-only and principal-only criteria on five of the withdrawals. "We discontinued our ratings on 13 classes from 12 transactions as either the classes were paid-down or unlikely to be upgraded to a rating higher than 'D (sf)' in the future under the relevant criteria." ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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