260315.mbx

260315.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 15, 2026, Vol. 30, No. 74 Headlines AB BSL 2: S&P Assigns BB- (sf) Rating on Class E-R Notes ABRY LIQUID 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ALEN 2021-ACEN: S&P Affirms CCC- (sf) Rating on Class F Certs ANCHORAGE CAPITAL 25: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ANTARES CLO 2026-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ANTHELION CLO 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes APIDOS CLO XXXI: Fitch Assigns 'BB+sf' Rating on Class E-R2 Debt ARES LOAN I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ASPIRE MORTGAGE 2026-1: S&P Assigns B+(sf) Rating in Cl. B-2 Certs BANK 2017-BNK4: Fitch Lowers Rating on Two Tranches to 'CCsf' BENCHMARK 2020-IG2: Fitch Affirms 'BB-sf' Rating on Class C Certs BENCHMARK 2026-V21: Fitch Assigns B-(EXP)sf Rating on Two Tranches BENEFIT STREET 47: S&P Assigns BB- (sf) Rating on Class E Notes BENEFIT STREET 48: S&P Assigns Prelim BB- (sf) Rating on E Notes BMO 2022-C1: DBRS Confirms B(low) Rating on Class 360E Certs BMO 2026-5C14: Fitch Assigns 'B-(EXP)sf' Rating on Class J-RR Certs BOYCE PARK: S&P Affirms 'BB- (sf)' Rating on Class E Notes BX COMMERCIAL 2026-VLT9: Fitch Assigns 'B+sf' Rating on HRR Certs CARMAX SELECT 2026-A: Fitch Assigns 'BBsf' Rating on Class E Notes CENTERBRIDGE CREDIT II: Moody's Ups Rating on Class E Notes to Ba2 CHASE HOME 2026-2: Fitch Assigns B-sf Final Rating on Cl. B5 Certs CHASE HOME 2026-3: DBRS Gives Prov. B(low) Rating on B-5 Certs CHASE HOME 2026-CINV1: Moody's Assigns (P)B3 Rating to B-5 Certs CHASE HOME 2026-CINV1: Moody's Assigns B3 Rating to Cl. B-5 Certs CHURCHILL MMSLF CLO-III: S&P Assigns BB-(sf) Rating on Cl. E Notes CIFC FUNDING 2020-II: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes COLLEGIATE FUNDING 2005-A: Fitch Cuts Rating on 2 Tranches to 'Bsf' COLT 2026-2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs COMM 2019-GC44: Fitch Affirms 'BBsf' Rating on Class D Certificates CROWN POINT 7: Moody's Cuts Rating on $21.825MM Cl. E Notes to B2 CSMC 2020-FACT: Moody's Downgrades Rating on Cl. D Certs to B3 FIDELIS MORTGAGE 2026-RTL1: DBRS Gives (P) B(low) Rating on B Notes FIDIUM LLC 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. C Notes FIGRE TRUST 2026-HE2: DBRS Gives Prov. B Rating on Class F Notes FREDDIE MAC 2026-DNA2: DBRS Gives (P) BB(low) Rating on 7 Tranches FREDDIE MAC 2026-DNA2: S&P Assigns (P) 'BB+' Rating on B-1AI Notes GAGE PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes GOLUB CAPITAL 87(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes GREEN TREE 1997-07: Moody's Upgrades Rating on M-1 Certs to Caa1 GS MORTGAGE 2026-AH1: DBRS Gives Prov. B Rating on Class B2 Notes GS MORTGAGE 2026-PJ2: DBRS Finalizes BB Rating on Class B4 Notes GS MORTGAGE 2026-PJ2: Fitch Assigns 'Bsf' Rating on Class B5 Notes HAWAII HOTEL 2025-MAUI: DBRS Confirms B Rating on 2 Cert. Classes INVESCO CLO 2021-1: Moody's Cuts Rating on $20MM Cl. E Notes to B1 JAMESTOWN CLO XI: Moody's Ups Rating on $21MM Class D Notes to Ba2 JP MORGAN 2018-WPT: DBRS Cuts Rating on 2 Cert. Classes to B JP MORGAN 2020-MKST: Moody's Lowers Rating on 2 Tranches to C JP MORGAN 2026-2: Fitch Assigns 'B-sf' Rating on Class B5 Certs JP MORGAN 2026-ACES1: S&P Assigns 'B- (sf)' Rating on B-2 Notes JPMBB 2015-C28: DBRS Confirms C Rating on 3 Cert. Classes JPMCC COMMERCIAL 2016-JP2: DBRS Cuts Rating on Cl. C Certs to Csf KAWARTHA BOREAL 2024-1: DBRS Confirms BB(high) Rating on E Notes LCM 39 LTD: Moody's Upgrades Rating on $1MM Class F-R Notes to B2 MAN CAPITAL 2021-2R: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes MANUFACTURED HOUSING: S&P Lowers Class A-7 Certs Rating to 'D(sf)' MOFT 2020-B6: DBRS Confirms B Rating on 2 Cert. Classes MONTAUK PARK: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes MORGAN STANLEY 2019-L2: Fitch Lowers Rating on 2 Tranches to 'B-' MORGAN STANLEY 2021-230P: S&P Affirms 'CCC (sf)' Rating on D Certs MORGAN STANLEY 2026-RPL1: Fitch Rates Class B1 Notes 'BB(EXP)' NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs NAVESINK CLO 5: S&P Assigns Prelim BB-(sf) Rating on Class E Notes NEW RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B2 Notes 'B-sf' NXPA REREMIC 2026-FRR1: DBRS Finalizes B(low) Rating on D Certs OBX TRUST 2026-R1: DBRS Gives Prov. B(low) Rating on Cl. B-2 Notes OCP CLO 2024-31: S&P Assigns BB- (sf) Rating on Class E-R Notes OCP CLO 2024-39: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OFSI BSL XVI: S&P Assigns BB- (sf) Rating on Class E Notes OHA CREDIT 14-R: Fitch Assigns 'BB-sf' Rating on Class E Notes PALMER SQUARE 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes PAWNEE EQUIPMENT 2022-1: DBRS Confirms B Rating on Class E Notes PMT LOAN 2026-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J2: DBRS Finalizes B(low) Rating on Class B5 Notes PMT LOAN 2026-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs PRET 2026-RPL1: Fitch Assigns 'Bsf' Final Rating on Class B2 Notes RCKT MORTGAGE 2026-CES2: Fitch Assigns 'Bsf' Rating on 5 Tranches SBNA AUTO 2024-A: Fitch Affirms 'BBsf' Rating on Class E Notes SDART 2026-1: Fitch Assigns 'BBsf' Final Rating on Class E Notes SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs SOUND POINT XXIV: Moody's Cuts Rating on $22.5MM E-R Notes to B1 SYCAMORE TREE CLO 2023-2: S&P Assigns BB-(sf) Rating on E-R2 Notes TCW CLO 2024-1: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes TRINITAS CLO XXXV: Moody's Assigns B3 Rating to $312,500 F Notes UBS COMMERCIAL 2018-C10: Fitch Lowers Rating on D-RR Debt to BB-sf VERUS SECURITIZATION 2026-3: DBRS Gives Prov. BB Rating on B1 Notes WELLS FARGO 2026-5C8: DBRS Finalizes BB Rating on Class FRR Certs [] DBRS Reviews 850 Classes From 48 US RMBS Transactions [] DBRS Reviews 99 Classes From 17 US RMBS Transactions [] Moody's Takes Rating Action on 8 Bonds from 6 US RMBS Deals [] Moody's Takes Rating Actions on 5 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 5 Bonds from 4 Scratch & Dent RMBS [] S&P Discontinues 'D(sf)' ratings on 20 Classes of Certificates ********* AB BSL 2: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt from AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC that was originally issued in May 2021. At the same time, S&P withdrew its ratings on the previous class A, B-1, B-2, C, D, and E debt and class A loans following payment in full. 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 A-R, B-1-R, B-2-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The non-call period was extended to March 5, 2028. -- The reinvestment period was extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2039. -- The target initial par remains at $400 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Class A-R, $252.000 million: AAA (sf) Class B-1-R, $36.000 million: AA+ (sf) Class B-2-R, $16.000 million: AA (sf) Class C-R (deferrable), $24.000 million: A (sf) Class D-1-R (deferrable), $20.000 million: BBB (sf) Class D-2-R (deferrable), $7.000 million: BBB- (sf) Class E-R (deferrable), $12.000 million: BB- (sf) Ratings Withdrawn AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Class A loans to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Subordinated notes, $42.885 million: NR NR--Not rated. ABRY LIQUID 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Abry Liquid Credit CLO 2026-3, Ltd. Entity/Debt Rating ----------- ------ Abry Liquid Credit CLO 2026-3, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Surbordinated LT NRsf New Rating Transaction Summary Abry Liquid Credit CLO 2026-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Abry Liquid Credit CLO Management LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.96, 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 76.57% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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 between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. 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 Abry Liquid Credit CLO 2026-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ALEN 2021-ACEN: S&P Affirms CCC- (sf) Rating on Class F Certs ------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from ALEN 2021-ACEN Mortgage Trust, 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 that is backed by a floating rate (SOFR plus a 3.08% spread), interest-only (IO) mortgage loan totaling $470.0 million, as of the Feb. 17, 2026, trustee remittance report. The loan is secured by the borrower's fee-simple interest in One Allen Center, a 34-story, about 1.0 million-sq-ft, 1972-built, office tower and Three Allen Center, a 50-story, 1.2 million-sq-ft, 1980-built, office tower in Houston, an adjacent six-story, 2,273-space parking garage, and The Downtown Club at the Met, a 154,743-sq-ft health club located on the top floor of the garage. 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 18.0% lower than the valuation we derived in our last review in September 2025, primarily due to declining net cash flow (NCF) and low occupancy at the property, which was 71.7%, after adjusting the Dec. 31, 2025, rent roll, for known tenant movements. The property's reported NCF in 2024 declined 6.6% from that of 2023. The annualized nine months ending Sept. 30, 2025 NCF is down 18.6% from that of 2024. We increased our capitalization rate assumption to reflect the potential additional volatility in NCFs and occupancy at the property." -- The property has had minimal new leasing activity, which is partly due to the office submarket continuing to experience elevated vacancy and availability rates (over 25%) for four-and five-star properties, with negative net absorption in each year since 2020 (except 2025). S&P believes the property's performance will be stagnant in the near term without significant capital investments. S&P's concern with the sponsor's ability to refinance the loan by its final extended maturity date in April 2026 if the property's performance does not materially improve or the borrower does not infuse additional capital. The master servicer reported a debt service coverage of 0.78x for the nine months ended Sept. 30, 2025. According to the master servicer, the borrower is currently exploring its refinancing options. The downgrade on class D and the affirmations on classes E and F in the 'CCC (sf)' category further reflect S&P's qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that these classes are vulnerable to default. S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the borrower's efforts to pay off the loan by its fully extended maturity date. If we receive information that differs materially from our expectations, including the loan transferring to special servicing or the master servicer advancing on the loan, 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 71.7% leased, after adjusting for known tenant movements, up slightly from the assumed 68.7% in our last review. However, the property faces concentrated tenant rollover in 2027 (7.7% of net rentable area; 13.8% of S&P Global Ratings' in-place gross rent), 2029 (11.9%; 18.3%), and 2031 (11.9%; 10.9%). According to CoStar, vacancy and availability rates remain high for four- and five-star properties in the CBD Houston office submarket, where the office property is situated. As of March 2026, the submarket average vacancy rate was 26.3%, the availability rate was 27.9%, and the market asking rental rate was $40.00 per sq ft. According to the December 2025 rent roll, the property had a vacancy rate of 28.3% and a gross rent of $37.26 per sq ft, as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported stagnant occupancy and declines in 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 $309.2 million (or $134 per sq ft), which was 56.1% below the issuance appraised value and an S&P Global Ratings' loan-to-value ratio of 152.0%. Based on our analysis, the S&P Global Ratings asset quality score is 3.0 and the S&P Global Ratings income stability score is 2.5." Table 1 Servicer-reported performance Nine months ending September 2025(i) 2024(i) 2023(i) Occupancy rate (%) 76.0 75.4 76.7 Net cash flow (mil. $) 20.7 33.9 36.3 Debt service coverage (x) 0.78 0.86 0.95 Appraisal value (mil. $)(ii) 704.3 704.3 704.3 (i)Reporting period. (ii)At issuance, as of September 2020. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2026)(i) (Sep 2025)(i) (March 2021)(i) Occupancy rate (%) 71.7 68.7 76.0 Net cash flow (mil. $) 27.1 31.1 35.8 Capitalization rate (%) 8.75 8.25 8.00 Value (mil. $) 309.2 377.1 450.7(ii) Value per sq ft ($) 134 163 195 Loan-to-value ratio (%) 152.0 124.6 104.3 (i)Review period. (ii)At issuance, included net add to value for the present value of future rent steps for investment grade rated tenants ($2.4 million) less free rent not reserved upfront (-$56,706). Ratings Lowered ALEN 2021-ACEN Mortgage Trust Class A to 'BBB- (sf)' from 'BBB+ (sf)' Class B to 'BB- (sf)' from 'BB+ (sf)' Class C to 'B- (sf)' from 'BB- (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed ALEN 2021-ACEN Mortgage Trust Class E: CCC (sf) Class F: CCC- (sf) ANCHORAGE CAPITAL 25: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 25, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 25, Ltd. X-R LT NRsf New Rating A-1R LT NRsf New Rating A-2 03329WAC1 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 03329WAE7 LT PIFsf Paid In Full AA+sf B-R LT AAsf New Rating C 03329WAG2 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 03329WAJ6 LT PIFsf Paid In Full BBB+sf D-1AR LT BBB-sf New Rating D-1BR LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Anchorage Capital CLO 25, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Anchorage Collateral Management, L.L.C. The transaction originally closed in February 2022. This will be the first refinancing. The CLO's existing notes will be refinanced in whole from proceeds of the new secured notes on Feb. 26, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $398.09 million of primarily first lien senior secured leveraged loans (excluding defaulted assets). 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 23.63, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.84% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than 6 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 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1R, and 'A-sf' for class D-2R 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 Anchorage Capital CLO 25, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ANTARES CLO 2026-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Antares CLO 2026-1 Ltd./Antares CLO 2026-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Antares Capital Advisers LLC, a subsidiary of Antares Holdings. The preliminary ratings are based on information as of March 10, 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 Antares CLO 2026-1 Ltd./Antares CLO 2026-1 LLC Class A, $260.00 million: AAA (sf) Class A-L loans, $30.00 million: AAA (sf) Class B, $57.50 million: AA (sf) Class C (deferrable), $32.50 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $30.00 million: BB- (sf) Subordinated notes, $59.00 million: NR NR--Not rated. ANTHELION CLO 2025-2: S&P Assigns BB- (sf) Rating on Class 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 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 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. APIDOS CLO XXXI: Fitch Assigns 'BB+sf' Rating on Class E-R2 Debt ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Apidos CLO XXXI reset transaction. Entity/Debt Rating ----------- ------ Apidos CLO XXXI A-R2 03767VAU2 LT NRsf New Rating B-R2 03767VAW8 LT AAsf New Rating C-R2 03767VAY4 LT Asf New Rating D-1-R2 03767VBA5 LT BBB-sf New Rating D-2-R2 03767VBC1 LT BBB-sf New Rating E-R2 03767XAE4 LT BB+sf New Rating F-R2 03767XAG9 LT NRsf New Rating Subordinated Notes 03767XAB0 LT NRsf New Rating X-R2 03767VAS7 LT NRsf New Rating Transaction Summary Apidos CLO XXXI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC. The original CLO closed in May 2019, refinanced in 2021, and was not rated by Fitch. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 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 96.41% first-lien senior secured loans and has a weighted average recovery assumption of 72.7%. 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 5.1-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 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' 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 Apidos CLO XXXI 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. ARES LOAN I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding I, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding I, Ltd. A-1 04018XAA7 LT PIFsf Paid In Full AAAsf X-R LT AAAsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-1R LT A+sf New Rating C-2R LT Asf New Rating D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Ares Loan Funding I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC which originally closed in September 2021. The existing secured notes will be redeemed in full on March 3, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $398 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.35 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.77% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.43% 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 7.5% 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 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 'AAAsf' for class X-R notes, between 'BBB+sf' and 'AA+sf' for class A-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'A-sf' for class C-1R notes, between 'B-sf' and 'BBB+sf' for class C-2R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, between less than 'B-sf' and 'BB+sf' for class D-2R 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 X-R and A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-1R notes, 'AAsf' for class C-2R notes, 'Asf' for class D-1R notes, 'A-sf' for class D-2R 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 Ares Loan Funding I, 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. ASPIRE MORTGAGE 2026-1: S&P Assigns B+(sf) Rating in Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its 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 qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM/higher-priced mortgage loan (HPML), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on Feb. 20, 2026, the sponsor resized the classes increasing the subordination credit enhancement for a few classes and keeping it unchanged for the remaining. Also, at pricing, class B-1 was priced to be a fixed-rate bond. 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 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." Ratings Assigned(i) Aspire Mortgage Trust 2026-1 Class A-1A, $265,660,000: AAA (sf) Class A-1B, $39,140,000: AAA (sf) Class A-1, $304,800,000: AAA (sf) Class A-2, $19,177,000: AA (sf) Class A-3, $33,846,000: A (sf) Class M-1, $13,499,000: BBB (sf) Class B-1, $8,803,000: BB (sf) Class B-2, $4,304,000: 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 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. BANK 2017-BNK4: Fitch Lowers Rating on Two Tranches to 'CCsf' ------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 10 classes of BANK 2017-BNK4 commercial mortgage pass-through certificates. The Rating Outlooks for classes A-S, B, C, D, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK4 A-3 06541FAZ2 LT AAAsf Affirmed AAAsf A-4 06541FBA6 LT AAAsf Affirmed AAAsf A-S 06541FBD0 LT AAAsf Affirmed AAAsf A-SB 06541FAY5 LT AAAsf Affirmed AAAsf B 06541FBE8 LT AA-sf Affirmed AA-sf C 06541FBF5 LT A-sf Affirmed A-sf D 06541FAJ8 LT BB-sf Affirmed BB-sf E 06541FAL3 LT CCCsf Downgrade B-sf F 06541FAN9 LT CCsf Downgrade CCCsf X-A 06541FBB4 LT AAAsf Affirmed AAAsf X-B 06541FBC2 LT A-sf Affirmed A-sf X-D 06541FAA7 LT BB-sf Affirmed BB-sf X-E 06541FAC3 LT CCCsf Downgrade B-sf X-F 06541FAE9 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 9.0% from 8.7% at Fitch's prior rating action. Eleven loans (37.3% of the pool) have been identified as Fitch Loans of Concern (FLOCs), including two specially serviced loans, D.C. Office Portfolio (8.2%) and Key Center Cleveland (4.0%). The downgrades on classes E, F, X-E and X-F reflect a greater certainty of loss driven by higher pool loss expectations, primarily attributable to office and hotel FLOCs, including the specially serviced D.C. Office Portfolio, One West 34th Street (7.2%) Pentagon Center (6.6%), The Davenport (6.0%), U.S Grant Hotel (5.0%), 2200 Renaissance Boulevard (2.6), and B.F. Saul Hotel Portfolio (1.9%). The Negative Outlooks indicate potential for future downgrades should performance and submarket fundamentals for these and other FLOCs fail to stabilize, specially serviced loan workouts become prolonged, and recoveries fall below expectations. The Outlooks also reflect the potential for downgrades if more loans than expected default at or prior to maturity, most of which occur in 1Q 2027. Additionally, there has been limited updated performance and workout information provided on the specially serviced loans. Largest Contributors to Loss: The largest contributor to overall pool loss expectations and largest increase since the prior review is the D.C. Office Portfolio loan, secured by a three-building office portfolio totaling 328,319 sf in the Golden Triangle area of the Washington, D.C. CBD. Tenancy is granular, with approximately 100 tenants. Largest tenants include New Venture Fund (4.2% of NRA; through Jan. 2030), Hightower Holding, LLC (2.3%; Dec. 2030) and National Hispanic Medical Association (2.0%; Jan. 2030). The loan transferred to special servicing in May 2025, and the loan is categorized as current but has been intermittently 30 days delinquent since the transfer. Limited updated information on the potential workout has been provided. Per the most recent rent roll provided by the special servicer as of YE 2025, portfolio occupancy has declined to 55%, from 58.4% at YE 2024, 70.7% at YE 2023 and 73.7% at YE 2022, driven by rollover of smaller tenants. Occupancy also declined in 2019-2020 following the departure of the prior largest tenant, Liquidity Services, Inc. (8.3%), which vacated in March 2020. Servicer-reported NOI DSCR deteriorated to 0.24x as of March 2025, compared with 0.81x at YE 2024, 1.07x at YE 2023, 1.04x at YE 2022 and 0.97x at YE 2021. The loan is currently cash managed and reported $823,343 ($2.50 psf) in total reserves as of January 2026. According to CoStar and as of 4Q25, the CBD office submarket of Washington, D.C. reported average asking rents of $55.19 psf and a vacancy of 19.3%. Fitch's 'Bsf' rating case loss of 42.8% (prior to concentration adjustments) reflects a 9.50% cap rate on the YE 2024 NOI and incorporates a higher probability of default due to transfer to special servicing. Fitch's rating case loss at the prior rating action was 35.4%. The second-largest contributor to overall loss expectations is the One West 34th Street loan, which is secured by a 215,205-sf office property in New York City, located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. Major tenants include CVS (ground-floor retail; 7.2% of NRA; lease through Jan. 2034), International Inspiration (4.2%; Nov. 2026) and Amazon (3.5%; Oct. 2026). Property occupancy declined to 59.9% as of the September 2025 servicer-provided rent roll from 74.5% at YE 2024, 78.3% at YE 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy declined between 2023 and 2024 following the departure of four tenants (combined 5.3% of NRA) at lease expiry. Servicer-reported NOI DSCR was 0.73x for the trailing nine months ended September 2025, compared with 0.97x at YE 2024, 1.05x at YE 2023, 0.87x at YE 2022 and 0.82x at YE 2021. The loan is currently cash managed and reported an excess cash flow reserve of $2.95 million, a tenant reserve balance of $1.93 million, and a replacement reserve of $225,179 as of January 2026. According to CoStar, the property is in the Penn Plaza/Garment Office Submarket of New York. As of 4Q25, average asking rents were $77.06 psf for the submarket and $64.27 psf for the broader market, with vacancy of 13.0% and 13.3%, respectively. Fitch's 'Bsf' rating case loss of 37.7% (prior to concentration adjustments) is based on a 9.25% cap rate and a 15% stress to YE 2024 NOI and incorporates a higher probability of default due to elevated maturity default risk. Fitch's prior rating action 'Bsf' case loss for this loan was 36.7%. The third largest contributor to overall loss expectations is the U.S. Grant Hotel loan, which is secured by a 270-room hotel located in San Diego, CA. The subject was built in 1910 and renovated in 2017 ($49,000/key). The subject is pet-friendly and contains 227 standard rooms and 43 suites within an 11-story building and offers a fitness center with personal trainer, a business center, a spa, 28,218 sf of meeting space containing 22 event spaces and four ballrooms, a fine art gallery, 24-hour concierge, and restaurant and a lounge. According to STR, property occupancy decreased slightly to 76.8% in 2025 compared to 77.3% in 2024 and ADR decreased to $305 compared to $313 at year end 2024. The RevPAR penetration index remained above the competitive set in 2025, 2024, and 2023. Fitch's 'Bsf' rating case loss of 10.6 % (prior to concentration adjustments) is based on a 10.75% cap rate and 15.0% stress to the TTM September 2025 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Increase in Credit Enhancement (CE): As of the February 2026 distribution date, the aggregate pool balance of the BANK 2017-BNK4 transaction has been reduced by 16.9%, since issuance. The transaction includes 13 loans (15.7% of the pool) that have fully defeased. Interest Shortfalls: The transaction has not incurred any realized principal losses. Interest shortfalls totaling $713,826 are impacting the non-rated class G and risk retention class RRI. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of the senior 'AAAsf'-rated classes are not expected given their high CE, senior position in the capital structure and the expectation of continued amortization and loan repayments; however, downgrades could occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. A downgrade of the junior 'AAAsf'-rated class with a Negative Outlook is possible if there is continued performance deterioration among the FLOCs, expected losses increase with limited to no improvement in class CE, and/or interest shortfalls occur or are expected to occur. Downgrades of classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly, driven by outsized losses on larger FLOCs and/or more loans than expected defaulting during the term and/or at or prior to maturity. Key FLOCs include D.C. Office Portfolio, One West 34th Street, The Davenport, U.S. Grant Hotel, and 2200 Renaissance Boulevard. Downgrades of classes with Negative Outlooks in the 'BBBsf', 'BBsf', and 'Bsf' categories are possible if losses exceed expectations due to continued underperformance of the FLOCs, particularly office loans with deteriorating performance, and/or as the certainty of losses increases. Downgrades of 'CCCsf' and 'CCsf'-rated classes would occur if additional loans transfer to special servicing and/or default, and/or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes rated in the 'AAsf' and 'Asf' categories may be possible with materially higher CE, coupled with stable-to-improving pool-level loss expectations and improved performance of the FLOCs. Upgrades of classes rated 'BB-sf' are not expected but could occur if the performance of the remaining pool is stable, recoveries on the FLOCs exceed expectations, and sufficient CE builds to support higher ratings. Upgrades of distressed classes are not likely but could be possible if recoveries on specially serviced loans are better than expected and/or FLOC values are materially higher than expected, resulting in meaningfully lower realized and/or expected losses. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-IG2: Fitch Affirms 'BB-sf' Rating on Class C Certs ----------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Benchmark 2020-IG2 Mortgage Trust, commercial mortgage pass-through certificates series 2020-IG2 (BMARK 2020-IG2). The Rating Outlooks for classes A-M, B, C and X-A remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BENCHMARK 2020-IG2 A-1 08162NAU0 LT AAAsf Affirmed AAAsf A-2 08162NAB2 LT AAAsf Affirmed AAAsf A-3 08162NAD8 LT AAAsf Affirmed AAAsf A-M 08162NAK2 LT AAAsf Affirmed AAAsf B 08162NAM8 LT A-sf Affirmed A-sf C 08162NAP1 LT BB-sf Affirmed BB-sf X-A 08162NAF3 LT AAAsf Affirmed AAAsf Transaction Summary The transaction consists of 10 fixed-rate commercial mortgage loans (down from 12 at issuance) secured by first-mortgage liens. Office properties represent approximately 96% of the collateral. Fitch performed an updated cash flow analysis for each loan factoring in recent and projected performance. Five of the 10 loans (1501 Broadway, Tower 333, City National Plaza, 525 Market Street and 55 Hudson Yards) received investment grade credit opinions at issuance. They are generally still performing in line with Fitch's expectations at issuance and maintain their investment grade credit opinions. KEY RATING DRIVERS Stable Fitch NCF; Recent Transfer to Special Servicing: The affirmations reflect stable overall performance and long-term sustainable net cash flow (NCF) assumptions for the remaining loans that are consistent with the prior rating action. The Negative Outlooks account for potential further downgrades of up to one category should NCF and/or submarket conditions deteriorate beyond Fitch's current view of sustainable performance. This deterioration could include limited leasing momentum and lack of property stabilization over the next one to two years for Moffett Towers Buildings A, B & C (Moffett Towers; 10.9% of the pool) and 525 Market (6.3%) and/or a liquidation of 225 Bush (4.7%) that is worse than expected. The Negative Outlooks also reflect the recent transfer to special serving of the 181 Madison loan (2.2%) and the potential for further value degradation. The Negative Outlooks reflect the potential for downgrades stemming from the Stonemont Net Lease Portfolio (11%) due to office property concentration and significant upcoming lease rollover concerns, including dark or subleased space. The borrower failed to pay off the trust loan and other non-trust components at its final extended maturity in January 2025. The special servicer is pursuing a deed-in-lieu of foreclosure, followed by a staged disposition of the collateral properties in the portfolio, which is likely to take several years to fully execute. Fitch Loans of Concern (FLOCs): The largest decline in Fitch sustainable NCF compared to the last rating action is 181 West Madison, secured by a 952,559-sf office building in Chicago, IL. The property's largest tenant, Northern Trust, was originally 42% of the NRA. It plans to reduce its footprint to 24%, with 2.3% of its space on a month-to-month basis. The remaining Northern Trust space is leased through December 2027. The second largest tenant (11% of NRA) recently executed a renewal through March 2032. As of YE 2024, NOI has declined 35% from the originator's underwritten NOI with a reported NOI DSCR of 1.50x. Following the downsizing of Northern Trust, cash flow is unlikely to cover debt service. The loan transferred to special servicing in February 2026 due to an imminent monetary default ahead of the December 2026 maturity. According to the servicer, the borrower does not plan to contribute additional capital to address projected 2026 budget shortfalls. This increases the likelihood of a payment default and the need for a workout solution. Fitch will continue to monitor updated values and workout discussions, including any forbearance or modification proposals, potential capital infusion, as well as the timing and feasibility of a collateral disposition, if applicable. The updated Fitch NCF of $11.0 million is 31.8% below Fitch's issuance NCF of $16.2 million, accounting for a higher vacancy assumption given the elevated submarket availability rates and the largest tenant's near-term lease expiration. According to Costar as of 4Q25, the submarket vacancy, availability rate and average asking rent were 28.7%, 33.5% and $35.60 psf, respectively. Fitch's analysis incorporated a capitalization rate of 9.50%, which resulted in a Fitch-stressed valuation decline approximately 69% below the issuance appraisal. The Stonemont Net Lease Portfolio loan is the largest FLOC. It transferred to special servicing in January 2025 for imminent maturity default when the borrower failed to pay off the trust loan and other non-trust components at its final extended maturity. The trust holds a $55 million senior fixed rate component, which is pari passu with $241.3 million non-trust senior fixed rate components. There are subordinate $351.3 million non-trust fixed rate and non-trust $17.1 million floating rate components outstanding. The portfolio consists of single-tenant NNN leased properties. The top five tenants by contribution to base rent represent approximately 42% of NRA and 52% of base rent. The portfolio was 99% leased overall as of September 2025. Six of the 23 bank branch properties are dark, and there are large blocks of dark space and spaces listed for sublease at the various office properties, resulting in estimated overall physical occupancy at approximately 50%. Fitch's analysis applied a 25% vacancy assumption and a stressed capitalization rate of 10.0%, up from 9% at issuance. Fitch's sustainable NCF is $39.3 million, which is 25% below the servicer-reported YE 2024 portfolio NCF and 37% below Fitch's issuance NCF. The second largest FLOC is the Moffett Towers loan, which is collateralized by three LEED Gold office buildings totaling 951,498 sf in Sunnyvale, CA. The property is part of a larger seven-building campus that includes 2.0 million-sf of office space, a 48,207-sf amenities facility, an outdoor common area space and four parking structures. The property is 100% leased to four tenants with Google leasing 85.7% of the NRA with staggered lease expirations from 2026 to 2030 and Comcast (rated A-) leasing 11.7% of the NRA with a lease expiration in 2027. However, Google will not be renewing its lease for Building A (317,166-sf; 33% of total NRA), which expires in June 2026; all of the remaining space leased to Google is dark and listed for sublease. A cash flow sweep (capped at $45/sf) has been triggered due to non-renewal of the lease in Building A. According to the servicer, Google has forfeited its remaining TI allowance for buildings B and C (totaling $35.7 million). Those funds are being held on deposit by the servicer, and $14.3 million of the reserve funds are being used to cure the lease sweep trigger requirement. The borrower reports that several tenants have expressed interest in leasing space with requirements ranging from 250,000sf to 400,000sf. In its analysis, Fitch assumed a higher vacancy of 15% due to the dark space, near-term lease rollover and to align with the submarket. As of 1Q25, CoStar reports a vacancy rate of 12% for similar quality assets in the Moffett Park submarket. Fitch also applied a stressed capitalization rate of 8.75% (up from 8% at issuance), resulting in a Fitch-stressed valuation decline approximately 50% below the issuance appraisal. This decline in value mirrors a similar decrease observed for another building (non-collateral Building D) within the Moffett Towers campus. The loan is scheduled to mature in February 2030. The 225 Bush loan is secured by a 579,987-sf office property in San Francisco, CA. The loan is flagged as a FLOC due to the declining occupancy since issuance, the sponsor's inability to backfill increasing vacancies and the loan's specially serviced status due to a failure to refinance at the November 2024 maturity. A court-approved receiver was appointed in August 2025, and the servicer reports that a note sale process has been initiated. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. Additionally, tenant Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration, causing occupancy to decline to 40% as of June 2024 compared to 47% at December 2023, 55% at December 2022 and 97.8% at issuance. However, there has been positive recent leasing activity at the property that is expected to increase occupancy to 55% at rental levels that are higher than previously expected. According to Costar as of 4Q25, the submarket reported vacancy at 29% and asking rents at $53.82 psf. These metrics have significantly worsened from 8.1% and $75.29 at the time of issuance. The updated Fitch NCF of $13.2 million is 11% above Fitch's NCF at the prior review but 43% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2025 rent roll also assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up to market rents and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's analysis incorporated a higher stressed capitalization rate of 9%, in line with the prior rating action and up from 7.75% at issuance, to factor increased office sector and submarket performance concerns. This results in a Fitch-stressed valuation decline approximately 75% below the issuance appraisal. The Fitch stressed value is slightly below the most recently reported appraised value of $153 million ($263.80 psf) as of January 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to the position in the capital structure but may occur if sustained performance declines occur and additional loans default. Downgrades of up to one category for the classes with Negative Outlooks are possible should property occupancy and/or net cash flow fail to improve and/or decline further, particularly for Moffett Towers, leading to a value decline. Additional factors that would lead to downgrades include the Stonemont Net Lease Portfolio senior components being unable to delever via asset sales or refinance, updated values for 181 West Madison that are significantly below Fitch's current assumption and/or if 225 Bush is liquidated at a level that is lower than current expectations. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades and Outlook revisions to Stable are possible with significant and sustained improvement in occupancy and net cash flow, particularly for the Moffett Towers and 181 West Madison, and stabilization of performance, including future lease up of vacancies at rates at or above Fitch's expectations and/or repayment from the liquidations of the Stonemont Net Lease Portfolio and 225 Bush loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2026-V21: Fitch Assigns B-(EXP)sf Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2026-V21 Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2026-V21 as follows: - $4,368,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $187,500,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $605,117,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $109,586,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $906,571,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $59,773,000 class B 'AA-(EXP)sf'; Outlook Stable; - $103,892,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $44,119,000 class C 'A-(EXP)sf'; Outlook Stable; - $37,003,000c class D 'BBB-(EXP)sf'; Outlook Stable; - $37,003,000b,c class X-D 'BBB-(EXP)sf'; Outlook Stable; - $21,348,000c class F 'BB-(EXP)sf'; Outlook Stable; - $21,348,000b,c class X-F 'BB-(EXP)sf'; Outlook Stable; - $14,232,000c class G 'B-(EXP)sf'; Outlook Stable; - $14 ,232,000b,c class X-G 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $15,655,000c class J; - $15,655,000b,c class X-J; - $39,849,797c class K; - $39,849,797b,c class X-K; - $39,049,459d class RR Interest; - $20,874,268d class RR certificates. (a) The initial certificate balances of classes A-2 and A-3 are unknown and are expected to be $792,617,000 in aggregate, subject to a 5% variance. The certificate balance will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0-$375,000,000 and the expected class A-3 balance range is $417,617,000-$792,617,000. The balances for class A-2 and class A-3 reflect the midpoints of the respective ranges. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Vertical Risk Retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 41 loans secured by 68 commercial properties having an aggregate principal balance of $1,198,474,524 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc. (32.3%), Goldman Sachs Mortgage Company (30.1%), German American Capital Corporation (15.1%), Barclays Capital Real Estate Inc (7.7%) and Bank of Montreal (4.3%). One co-originated loan was contributed to the trust by Goldman Sachs Mortgage Company, Citi Real Estate Funding Inc. and German American Capital Corporation (7.9%) and one co-originated loan was contributed to the trust by Goldman Sachs Mortgage Company and German American Capital Corporation (2.5%). The master servicer is expected to be KeyBank National Association, the primary servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be Torchlight Loan Services, LLC. The trustee is expected to be Computershare Trust Company, National Association. The Certificate Administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 81.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $711.2 million represents a 15.7% decline from the issuer's aggregate underwritten NCF of $843.6 million. Fitch Leverage: The pool's Fitch leverage is slightly lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.3% is slightly lower than the 2025 five-year multiborrower transaction average of 101.0% but greater than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.2% is higher than the 2025 average of 9.7% and in line with the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: Two loans representing 10.4% of the pool by balance received investment grade credit opinion. CityCenter (Aria & Vdara) (7.9% of pool) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. Torrey Heights (2.5% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2025 average of 10.7% and the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 105.4% and 9.3%, respectively, compared to the equivalent five-year multiborrower 2025 LTV and DY averages of 105.2% and 9.3%, respectively. Pool Concentration: The pool concentration is less concentrated than recently rated Fitch transactions. The top 10 loans make up 52.1%, which is lower than the 2025 five-year multiborrower average of 61.7% and the 2024 average of 60.2%. The pool's effective loan count of 27.3 is higher than the 2025 and 2024 10-year averages of 21.6 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly 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 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 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'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'BB-sf'/'CCC+sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'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. BENEFIT STREET 47: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO 47 Ltd./Benefit Street Partners CLO 47 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 BSP CLO Management LLC, a wholly-owned subsidiary of Franklin Templeton. 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 Benefit Street Partners CLO 47 Ltd./ Benefit Street Partners CLO 47 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $45.80 million: NR NR--Not rated. BENEFIT STREET 48: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 48 Ltd./Benefit Street Partners CLO 48 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 BSP CLO Management LLC, a wholly-owned subsidiary of Franklin Templeton. The preliminary ratings are based on information as of March 10, 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 Benefit Street Partners CLO 48 Ltd./ Benefit Street Partners CLO 48 LLC Class A-L, $165.775 million: AAA (sf) Class A, $154.225 million: AAA (sf) Class B, $60.000 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D-1 (deferrable), $30.000 million: BBB- (sf) Class D-2 (deferrable), $5.000 million: BBB- (sf) Class E (deferrable), $15.000 million: BB- (sf) Subordinated notes, $42.600 million: NR NR--Not rated. BMO 2022-C1: DBRS Confirms B(low) Rating on Class 360E Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the following classes of the 360 Rosemary Loan-Specific Certificates issued by BMO 2022-C1 Mortgage Trust: -- Class 360A at AA (low) (sf) -- Class 360X at AA (sf) -- Class 360B at A (low) (sf) -- Class 360C at BBB (low) (sf) -- Class 360D at BB (low) (sf) -- Class 360E at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying loan since Morningstar DBRS' previous credit rating action in March 2025, evidenced by the consistent occupancy rate and cash flows. The transaction is secured by the fee-simple interest in 360 Rosemary, a newly constructed, Class A office property in downtown West Palm Beach, Florida. The property includes 291,298 square feet (sf) of office space, 21,704 sf of retail space, and a parking garage. The property`s amenities include panoramic views of Palm Beach Island, outdoor space, and an Equinox-designed fitness center; additionally, the property is near shopping and entertainment attractions. The property benefits from proximity to I-95 and U.S. Route 1, providing access to coastal cities along the east coast of Florida and Palm Beach International Airport. The sponsor, The Related Companies, L.P., a global real estate firm, built the property in 2021 and at the time of issuance owned more than 1.4 million sf of office space in West Palm Beach. The $210.0 million whole loan was used to acquire the property and is composed of seven promissory notes: five senior A notes totaling $85.0 million, a $100.8 million junior B note (the 360 Rosemary Subordinate Companion Loan), and a $24.2 million junior C note. The subject transaction consists of two senior A notes totaling $45.0 million, which are pari passu with the other three senior A notes securitized in two transactions not rated by Morningstar DBRS. The fixed-rate loan has a 10-year loan term with scheduled maturity in February 2032. According to the June 2025 rent roll, the property was 100.0% occupied with an average rental rate of $84.68 per square foot (psf), in line with the September 2024 figures of 100.0% and $81.66 psf, respectively. The largest tenants include NewDay USA, Inc. (NewDay USA; 19.1% of the net rentable area (NRA), lease expiry in December 2032); the Goldman Sachs Group, Inc. (Goldman Sachs; 12.7% of the NRA, lease expiry in December 2032); and Comvest Advisors LLC (12.5% of the NRA, lease expiry in June 2033). NewDay USA and Goldman Sachs have termination options that must be triggered 12 months prior to January 2028 and April 2027, respectively. Two of the current tenants are investment-grade rated, namely: Goldman Sachs, rated A (high) with a Stable trend by Morningstar DBRS as of May 21, 2025, and JPMorgan Chase Bank, N.A. (4.1% of the NRA, lease expiry in August 2034), rated AA with Stable trend by Morningstar DBRS as of December 5, 2025. There is minimal tenant rollover risk, with only two tenants totaling 4.6% of the NRA, with leases scheduled to expire within the next 12 months. As per Reis, the West Palm Beach Downtown submarket reported a Q4 2025 vacancy rate of 10.6% and an average asking rent of $59.68 psf, compared with the Q4 2024 figures of 12.5% and $56.78, respectively. Given the high asset quality and desirable location, the subject property continues to outperform the submarket average. Annualizing the trailing six-month financials ended June 30, 2025, yields a net cash flow (NCF) of $15.4 million, compared with $13.1 million at YE2024 and the Morningstar DBRS issuance derived figure of $12.4 million. The June 2025 debt service coverage ratio was reported at 1.84 times (x), an improvement from 1.55x at YE2024. In April 2024, Morningstar DBRS derived an updated value of $171.1 million based on the Morningstar DBRS NCF of $12.4 million and capitalization rate of 7.25%, resulting in a Morningstar DBRS A note loan-to-value ratio (LTV) of 49.7% and a whole-loan LTV of 122.7%. Given the underlying loan continues to perform as expected, Morningstar DBRS did not update the LTV Sizing Benchmarks for the current review. The Morningstar DBRS Value represents a variance of -38.9% from the issuance appraised value of $280.0 million. In addition, Morningstar DBRS maintained positive qualitative adjustments to the LTV Sizing Benchmarks, totaling 6.75%, to reflect the minimal rollover, top-asset quality, and location in a desirable submarket. Notes: All figures are in U.S. dollars unless otherwise noted. BMO 2026-5C14: Fitch Assigns 'B-(EXP)sf' Rating on Class J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2026-5C14 Mortgage Trust commercial mortgage pass-through certificates, series 2026-5C14 as follows: - $7,717,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $250,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $278,939,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $536,656,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $91,998,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $36,416,000 class B 'AA-(EXP)sf'; Outlook Stable; - $23,613,000 class C 'A-(EXP)sf'; Outlook Stable; - $152,027,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $7,666,000c class D 'BBB+(EXP)sf'; Outlook Stable; - $7,666,000bc class X-D 'BBB+(EXP)sf'; Outlook Stable; - $9,929,000cd class E-RR 'BBB(EXP)sf'; Outlook Stable; - $7,666,000cd class F-RR 'BBB-(EXP)sf'; Outlook Stable; - $14,375,000cd class G-RR 'BB-(EXP)sf'; Outlook Stable; - $8,625,000cd class J-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: - $29,707,935cd class K-RR. Notes: (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown but will be $528,939,000 in aggregate, subject to a variance of plus or minus 5%. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0-$250,000,000 and the expected class A-3 balance range is $278,939,000-$528,939,000. The balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes E-RR, F-RR, G-RR J-RR and K-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 95 commercial properties having an aggregate principal balance of $766.7 million as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, German American Capital Corporation, BSPRT CMBS Finance, LLC, Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, Natixis Real Estate Capital LLC, UBS AG New York Branch and Societe Generale Financial Corporation. The master servicer is expected to be Midland Loan Services, and the special servicer is expected to be CWCapital Asset Management LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 83.6% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $81.8 million represents a 14.0% decline from the issuer's underwritten aggregate pool NCF of $95.1 million. Lower Fitch Leverage: The pool has lower leverage than recent U.S. private-label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 96.3% is below the 2025 average of 101.0% but slightly above the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: One loan, CityCenter (9.8% of the pool), received a standalone credit opinion of 'AAAsf*'. The pool's investment-grade credit opinion percentage is lower than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 101.3% and 9.7%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. Lower Pool Concentration: The pool is less concentrated than recent Fitch-rated transactions. The top 10 loans make up 55.9% of the pool, which is lower than the 2025 YTD and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 24.0 is higher than the 2025 and 2024 averages of 21.6 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCC+-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'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'AAsf'/'A+sf'/'Asf'/'BBB+sf'/'BBBsf'/'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) 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. BOYCE PARK: S&P Affirms 'BB- (sf)' Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R and C-R debt from Boyce Park CLO Ltd./Boyce Park CLO LLC, a CLO managed by Blackstone CLO Management LLC, that was originally issued in March 2022. At the same time, S&P withdrew its ratings on the previous class A-1 and C debt following payment in full on the March 10, 2026, refinancing date. S&P also affirmed its ratings on the class B-1, B-2, D, and E 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 Dec. 10, 2026. -- No additional assets were purchased on the March 10, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 21, 2026. -- No additional subordinated notes were issued on the refinancing date. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E debt and removed the rating from CreditWatch with negative implications after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $461.25 million: Three-month CME term SOFR + 1.00% -- Class A-2-R, $18.75 million: Three-month CME term SOFR + 1.25% -- Class C-R (deferrable), $45.00 million: Three-month CME term SOFR + 1.75% Previous debt -- Class A-1, $461.25 million: Three-month CME term SOFR + 1.29% -- Class A-2, $18.75 million: Three-month CME term SOFR + 1.45% -- Class C (deferrable), $45.00 million: Three-month CME term SOFR + 2.10% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Boyce Park CLO Ltd./Boyce Park CLO LLC Class A-1-R, $461.25 million: AAA (sf) Class C-R, $45.00 million: A (sf) Ratings Withdrawn Boyce Park CLO Ltd./Boyce Park CLO LLC Class A-1 to NR from 'AAA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Boyce Park CLO Ltd./Boyce Park CLO LLC Class B-1: AA (sf) Class B-2: AA (sf) Class D: BBB- (sf) Ratings Affirmed and Removed From CreditWatch Boyce Park CLO Ltd./Boyce Park CLO LLC Class E to 'BB- (sf)' from 'BB- (sf)'/Watch neg' Other Debt Boyce Park CLO Ltd./Boyce Park CLO LLC Class A-2-R, $18.75 million: NR Subordinated notes, $72.30 million: NR NR--Not rated. BX COMMERCIAL 2026-VLT9: Fitch Assigns 'B+sf' Rating on HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BX Commercial Mortgage Trust 2026-VLT9, Commercial Mortgage Pass-Through Certificates, Series 2026-VLT9 (BX 2026-VLT9) as follows: - $1,089,900,000 class A 'AAAsf'; Outlook Stable; - $233,000,000 class B 'AA-sf'; Outlook Stable; - $141,500,000 class C 'A-sf'; Outlook Stable; - $199,300,000 class D 'BBB-sf'; Outlook Stable; - $286,300,000 class E 'BB-sf'; Outlook Stable; - $102,700,000a class HRR 'B+sf'; Outlook Stable. (a) Horizontal risk retention interest representing 5.0% of the fair value of all classes. All classes, except class HRR, which is not offered, are privately placed and pursuant to Rule 144A. The ratings are based on information provided by the issuer as of Feb. 25, 2026. Transaction Summary BX 2026-VLT9 represents 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 is 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 were 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 closing costs of about $41.1 million. The loan was 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 the servicer and special servicer. Computershare Trust Company, National Association is the trustee and certificate administrator. The certificates will follow a sequential-pay structure. 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: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by CarMax Select Receivables Trust 2026-A (CMXS 2026-A). Entity/Debt Rating Prior ----------- ------ ----- CarMax Select Receivables Trust 2026-A A-1 ST F1+sf New Rating F1+(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2B LT AAAsf New Rating A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf The prior class A-2 notes have been split into class A-2A and class A-2B notes. KEY RATING DRIVERS Collateral — Subprime Credit Quality CMXS 2026-A has stronger credit quality than subprime peers, with a weighted-average (WA) FICO score of 612 and WA loan-to-value (LTV) ratio of 98.4%. Loans with original terms greater than 60 months total 89.4% of the collateral pool, higher than 86.2% for 2025-B. Like the prior CMXS transactions, the pool is primarily backed by used vehicles, with ValuMax collateral making up 36.4% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Loss performance for the non-prime portfolio peaked in 2016 after beginning originations in 2014 and experienced subsequent improvement in 2018. Although the 2019 and 2020 vintages of CBS's managed portfolio benefited from government stimulus, net losses on the 2021 through 2023 vintages are currently tracking higher compared with all prior vintages due to impacts from continuing economic headwinds. Fitch used 2007-2009 peer proxy data together with the 2006-2008 data from the lower credit quality segment of CAF's core portfolio as proxy recessionary managed portfolio data. To reflect recent performance, Fitch used 2022-2023 vintage data from CAF, together with 2016-2019 peer proxy data, to arrive at a forward-looking rating-case cumulative net loss (CNL) proxy of 10.00%, up from 9.25% in 2025-B and 9.00% in 2025-A and 2024-A. Payment Structure — Adequate Credit Enhancement (CE) Initial hard CE totals 27.15%, 21.10%, 12.55%, 5.60% and 3.50% for classes A, B, C, D and E, respectively. This is up or equal to all classes for 2025-B. Initial expected excess spread is 9.86%, which is higher than the 9.20% in 2025-B. Initial CE is sufficient to withstand Fitch's rating-case CNL proxy of 10.00% at the applicable rating loss multiples. Operational and Servicer Risk — Stable Origination/Underwriting/Servicing CBS demonstrates adequate abilities as underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch deems CBS as capable to service this series. Base Case Loss Expectation Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 9.00% based on Fitch's "Global Economic Outlook - December 2025" report and peer managed portfolio performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. In addition, Fitch conducts a 1.5x and 2.0x increase to the rating case CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CNL is 20% less than the projected rating case proxy, the expected ratings for the subordinate notes could be upgraded by up to five notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 125 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CENTERBRIDGE CREDIT II: Moody's Ups Rating on Class E Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Centerbridge Credit Funding II, Ltd.: US$26,650,000 Class A-2 Senior Secured Fixed Rate Notes due 2040, Upgraded to Aaa (sf); previously on January 20, 2022 Assigned Aa1 (sf) US$35,100,000 Class B Senior Secured Fixed Rate Notes due 2040, Upgraded to Aa1 (sf); previously on January 20, 2022 Assigned Aa3 (sf) US$15,000,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Upgraded to Aa3 (sf); previously on January 20, 2022 Assigned A3 (sf) US$17,800,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Upgraded to A3 (sf); previously on January 20, 2022 Assigned Baa3 (sf) US$22,400,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Upgraded to Ba2 (sf); previously on January 20, 2022 Assigned Ba3 (sf) Centerbridge Credit Funding II, Ltd., issued in January 2022, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the portfolio's weighted average life (WAL) since January 2022, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the deal will be exiting its reinvestment period in January 2027, which increases the likelihood that the deal will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposure to approximately 58.2% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.0%. No action was taken on the Class A-1 notes because its expected loss remain commensurate with its current rating, after taking into account the CBO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $317,690,197 Defaulted par: $2,000,000 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3184 Weighted Average Spread (WAS): 4.85% Weighted Average Coupon (WAC): 4.85% Weighted Average Recovery Rate (WARR): 34.59% Weighted Average Life (WAL): 6.25 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CHASE HOME 2026-2: Fitch Assigns B-sf Final Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2026-2 (Chase 2026-2). Entity/Debt Rating Prior ----------- ------ ----- Chase 2026-2 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf RR LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2026-2 (Chase 2026-2) as indicated above. The certificates are supported by 385 loans with a scheduled balance of $486 million as of the cutoff date. The closing date is Feb. 27, 2026. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor-qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index, and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime 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 credit risk and expected losses. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 773, a WA combined loan-to-value ratio (cLTV) of 72.2% and a WA debt-to-income ratio (DTI) of 33.81%. The WA liquid reserves amount to $803,066. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-2 has a final probability of default (PD) of 9.02% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.20%. The expected loss in the 'AAAsf' rating stress is 3.17%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.60% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the nonretained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). After class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata after class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (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. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 61.89% of the loans in the transaction (60.26% by loan count). Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that 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 impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects Chase 2026-2 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): 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 Chase 2026-2, and, 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.60% 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The third-party review was conducted on 61.89% (by balance)/60.26% (by loan count) of the pool. 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." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 61.89% (by balance)/60.26% (by loan count of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS layout data tape were reviewed by the due diligence companies, 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. CHASE HOME 2026-3: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-3: -- $478.6 million Class A-1 at (P) AAA (sf) -- $427.1 million Class A-2 at (P) AAA (sf) -- $320.3 million Class A-3 at (P) AAA (sf) -- $320.3 million Class A-3-A at (P) AAA (sf) -- $320.3 million Class A-3-B at (P) AAA (sf) -- $320.3 million Class A-3-X1 at (P) AAA (sf) -- $320.3 million Class A-3-X2 at (P) AAA (sf) -- $320.3 million Class A-3-X3 at (P) AAA (sf) -- $240.3 million Class A-4 at (P) AAA (sf) -- $240.3 million Class A-4-A at (P) AAA (sf) -- $240.3 million Class A-4-B at (P) AAA (sf) -- $240.3 million Class A-4-X1 at (P) AAA (sf) -- $240.3 million Class A-4-X2 at (P) AAA (sf) -- $240.3 million Class A-4-X3 at (P) AAA (sf) -- $80.1 million Class A-5 at (P) AAA (sf) -- $80.1 million Class A-5-A at (P) AAA (sf) -- $80.1 million Class A-5-B at (P) AAA (sf) -- $80.1 million Class A-5-X1 at (P) AAA (sf) -- $80.1 million Class A-5-X2 at (P) AAA (sf) -- $80.1 million Class A-5-X3 at (P) AAA (sf) -- $192.2 million Class A-6 at (P) AAA (sf) -- $192.2 million Class A-6-A at (P) AAA (sf) -- $192.2 million Class A-6-B at (P) AAA (sf) -- $192.2 million Class A-6-X1 at (P) AAA (sf) -- $192.2 million Class A-6-X2 at (P) AAA (sf) -- $192.2 million Class A-6-X3 at (P) AAA (sf) -- $128.1 million Class A-7 at (P) AAA (sf) -- $128.1 million Class A-7-A at (P) AAA (sf) -- $128.1 million Class A-7-B at (P) AAA (sf) -- $128.1 million Class A-7-X1 at (P) AAA (sf) -- $128.1 million Class A-7-X2 at (P) AAA (sf) -- $128.1 million Class A-7-X3 at (P) AAA (sf) -- $48.1 million Class A-8 at (P) AAA (sf) -- $48.1 million Class A-8-A at (P) AAA (sf) -- $48.1 million Class A-8-B at (P) AAA (sf) -- $48.1 million Class A-8-X1 at (P) AAA (sf) -- $48.1 million Class A-8-X2 at (P) AAA (sf) -- $48.1 million Class A-8-X3 at (P) AAA (sf) -- $51.5 million Class A-9 at (P) AAA (sf) -- $51.5 million Class A-9-A at (P) AAA (sf) -- $51.5 million Class A-9-B at (P) AAA (sf) -- $51.5 million Class A-9-X1 at (P) AAA (sf) -- $51.5 million Class A-9-X2 at (P) AAA (sf) -- $51.5 million Class A-9-X3 at (P) AAA (sf) -- $128.1 million Class A-10 at (P) AAA (sf) -- $128.1 million Class A-10-A at (P) AAA (sf) -- $128.1 million Class A-10-B at (P) AAA (sf) -- $128.1 million Class A-10-X1 at (P) AAA (sf) -- $128.1 million Class A-10-X2 at (P) AAA (sf) -- $128.1 million Class A-10-X3 at (P) AAA (sf) -- $106.8 million Class A-11 at (P) AAA (sf) -- $106.8 million Class A-11-X at (P) AAA (sf) -- $106.8 million Class A-12 at (P) AAA (sf) -- $106.8 million Class A-13 at (P) AAA (sf) -- $106.8 million Class A-13-X at (P) AAA (sf) -- $106.8 million Class A-14 at (P) AAA (sf) -- $106.8 million Class A-14-X at (P) AAA (sf) -- $106.8 million Class A-14-X2 at (P) AAA (sf) -- $106.8 million Class A-14-X3 at (P) AAA (sf) -- $106.8 million Class A-14-X4 at (P) AAA (sf) -- $64.1 million Class A-15 at (P) AAA (sf) -- $64.1 million Class A-15-A at (P) AAA (sf) -- $64.1 million Class A-15-B at (P) AAA (sf) -- $64.1 million Class A-15-X1 at (P) AAA (sf) -- $64.1 million Class A-15-X2 at (P) AAA (sf) -- $64.1 million Class A-15-X3 at (P) AAA (sf) -- $64.1 million Class A-16 at (P) AAA (sf) -- $64.1 million Class A-16-A at (P) AAA (sf) -- $64.1 million Class A-16-B at (P) AAA (sf) -- $64.1 million Class A-16-X1 at (P) AAA (sf) -- $64.1 million Class A-16-X2 at (P) AAA (sf) -- $64.1 million Class A-16-X3 at (P) AAA (sf) -- $64.1 million Class A-17 at (P) AAA (sf) -- $64.1 million Class A-17-A at (P) AAA (sf) -- $64.1 million Class A-17-B at (P) AAA (sf) -- $64.1 million Class A-17-X1 at (P) AAA (sf) -- $64.1 million Class A-17-X2 at (P) AAA (sf) -- $64.1 million Class A-17-X3 at (P) AAA (sf) -- $112.1 million Class A-18 at (P) AAA (sf) -- $112.1 million Class A-18-A at (P) AAA (sf) -- $112.1 million Class A-18-B at (P) AAA (sf) -- $112.1 million Class A-18-X1 at (P) AAA (sf) -- $112.1 million Class A-18-X2 at (P) AAA (sf) -- $112.1 million Class A-18-X3 at (P) AAA (sf) -- $478.6 million Class A-X-1 at (P) AAA (sf) -- $9.8 million Class B-1 at (P) AA (low) (sf) -- $9.8 million Class B-1-A at (P) AA (low) (sf) -- $9.8 million Class B-1-X at (P) AA (low) (sf) -- $5.8 million Class B-2 at (P) A (low) (sf) -- $5.8 million Class B-2-A at (P) A (low) (sf) -- $5.8 million Class B-2-X at (P) A (low) (sf) -- $3.8 million Class B-3 at (P) BBB (low) (sf) -- $2.3 million Class B-4 at (P) BB (low) (sf) -- $1.0 million Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 4.75% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 2.80%, 1.65%, 0.90%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 405 loans with a total principal balance of $528,955,584 as of the Cut-Off Date (March 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 55.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-CINV1: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 94 classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2026-CINV1, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of conforming residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The loans were either manually underwritten to the originator's guidelines (72.6% by balance) or are GSE-eligible (27.4% by balance). The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2026-CINV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-A, Assigned (P)Aaa (sf) Cl. A-3-B, Assigned (P)Aaa (sf) Cl. A-3-X1*, Assigned (P)Aaa (sf) Cl. A-3-X2*, Assigned (P)Aaa (sf) Cl. A-3-X3*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-4-B, Assigned (P)Aaa (sf) Cl. A-4-X1*, Assigned (P)Aaa (sf) Cl. A-4-X2*, Assigned (P)Aaa (sf) Cl. A-4-X3*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-5-B, Assigned (P)Aaa (sf) Cl. A-5-X1*, Assigned (P)Aaa (sf) Cl. A-5-X2*, Assigned (P)Aaa (sf) Cl. A-5-X3*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-6-B, Assigned (P)Aaa (sf) Cl. A-6-X1*, Assigned (P)Aaa (sf) Cl. A-6-X2*, Assigned (P)Aaa (sf) Cl. A-6-X3*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-7-B, Assigned (P)Aaa (sf) Cl. A-7-X1*, Assigned (P)Aaa (sf) Cl. A-7-X2*, Assigned (P)Aaa (sf) Cl. A-7-X3*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-8-B, Assigned (P)Aaa (sf) Cl. A-8-X1*, Assigned (P)Aaa (sf) Cl. A-8-X2*, Assigned (P)Aaa (sf) Cl. A-8-X3*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-B, Assigned (P)Aa1 (sf) Cl. A-9-X1*, Assigned (P)Aa1 (sf) Cl. A-9-X2*, Assigned (P)Aa1 (sf) Cl. A-9-X3*, Assigned (P)Aa1 (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-A, Assigned (P)Aaa (sf) Cl. A-10-B, Assigned (P)Aaa (sf) Cl. A-10-X1*, Assigned (P)Aaa (sf) Cl. A-10-X2*, Assigned (P)Aaa (sf) Cl. A-10-X3*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-14-X*, Assigned (P)Aaa (sf) Cl. A-14-X2*, Assigned (P)Aaa (sf) Cl. A-14-X3*, Assigned (P)Aaa (sf) Cl. A-14-X4*, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-A, Assigned (P)Aaa (sf) Cl. A-15-B, Assigned (P)Aaa (sf) Cl. A-15-X1*, Assigned (P)Aaa (sf) Cl. A-15-X2*, Assigned (P)Aaa (sf) Cl. A-15-X3*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-16-A, Assigned (P)Aaa (sf) Cl. A-16-B, Assigned (P)Aaa (sf) Cl. A-16-X1*, Assigned (P)Aaa (sf) Cl. A-16-X2*, Assigned (P)Aaa (sf) Cl. A-16-X3*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-A, Assigned (P)Aaa (sf) Cl. A-17-B, Assigned (P)Aaa (sf) Cl. A-17-X1*, Assigned (P)Aaa (sf) Cl. A-17-X2*, Assigned (P)Aaa (sf) Cl. A-17-X3*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-A, Assigned (P)Aaa (sf) Cl. A-18-B, Assigned (P)Aaa (sf) Cl. A-18-X1*, Assigned (P)Aaa (sf) Cl. A-18-X2*, Assigned (P)Aaa (sf) Cl. A-18-X3*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.43%, in a baseline scenario-median is 0.22% and reaches 5.07% 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. CHASE HOME 2026-CINV1: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 94 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2026-CINV1, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of conforming residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The loans were either manually underwritten to the originator's guidelines (72.6% by balance) or are GSE-eligible (27.4% by balance). The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2026-CINV1 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-3-A, Definitive Rating Assigned Aaa (sf) Cl. A-3-B, Definitive Rating Assigned Aaa (sf) Cl. A-3-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-B, Definitive Rating Assigned Aaa (sf) Cl. A-4-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-B, Definitive Rating Assigned Aaa (sf) Cl. A-5-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-B, Definitive Rating Assigned Aaa (sf) Cl. A-6-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-B, Definitive Rating Assigned Aaa (sf) Cl. A-7-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-B, Definitive Rating Assigned Aaa (sf) Cl. A-8-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-B, Definitive Rating Assigned Aaa (sf) Cl. A-10-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-A, Definitive Rating Assigned Aaa (sf) Cl. A-15-B, Definitive Rating Assigned Aaa (sf) Cl. A-15-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-16-A, Definitive Rating Assigned Aaa (sf) Cl. A-16-B, Definitive Rating Assigned Aaa (sf) Cl. A-16-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-A, Definitive Rating Assigned Aaa (sf) Cl. A-17-B, Definitive Rating Assigned Aaa (sf) Cl. A-17-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-18-A, Definitive Rating Assigned Aaa (sf) Cl. A-18-B, Definitive Rating Assigned Aaa (sf) Cl. A-18-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, 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 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 0.43%, in a baseline scenario-median is 0.22% and reaches 5.07% 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. CHURCHILL MMSLF CLO-III: S&P Assigns BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC, a CLO managed by Churchill Asset Management (an indirect subsidiary of Nuveen LLC, which, in turn, is a subsidiary of Teachers Insurance and Annuity Assn. of America), that was originally issued in January 2024. At the same time, S&P withdrew its ratings on the previous class X, A, B, C, D, and E debt following payment in full on the March 11, 2026, refinancing date. The replacement was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R, B-R, C-R, and E-R debt were issued at a lower spread over three-month CME term SOFR than the previous debt. -- The previous class A debt was split into replacement class A-1-R and A-2-R debt, which were issued at a lower spread over three-month CME term SOFR than the previous class A debt. -- The previous class D debt was split into replacement class D-1-R and D-2-R debt, which were issued at a lower spread over three-month CME term SOFR than the previous class D debt. -- The replacement class X-R debt is expected to be paid down using interest proceeds during the first 12 payment dates, beginning with the second payment date. -- The non-call period was extended to March 11, 2028. -- The reinvestment period was extended to April 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2038. -- 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 Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC Class X-R, $5.40 million: AAA (sf) Class A-1-R, $232.00 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $36.00 million: AA (sf) Class C-R (deferrable), $20.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $10.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC Class X to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC Subordinated notes, $42.53 million: NR NR--Not rated. CIFC FUNDING 2020-II: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2020-II, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2020-II, Ltd. (Reset) A-1-R2 LT AAAsf New Rating A-L-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2020-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO). CIFC Asset Management LLC manages the CLO, which originally closed in August 2020 and first refinanced in September 2021. This second refinancing will refinance the existing notes in whole on Feb. 27, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.17 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.34% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 transactions structural features. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 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 'BBB+sf' and 'AA+sf' for class A-1-R2 notes/A-L-R2 loans, between 'BBB+sf' and 'AA+sf' for class A-2-R2 notes, between 'BB+sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'BBB+sf' for class C-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-1-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-2-R2 notes, and between less than 'B-sf' and 'B+sf' for class E-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R2 notes/A-L-R2 loans and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, 'AAsf' for class C-R2 notes, 'Asf' for class D-1-R2 notes, 'A-sf' for class D-2-R2 notes, and 'BBB+sf' for class E-R2 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2020-II, 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. COLLEGIATE FUNDING 2005-A: Fitch Cuts Rating on 2 Tranches to 'Bsf' ------------------------------------------------------------------- Fitch Ratings has affirmed all outstanding classes of Brazos Higher Education Authority Series 2011-2 (BHEA 2011-2) and Chase Education Loan Trust 2007-A (Chase 2007-A). The Rating Outlooks for these classes remain Stable. Fitch has downgraded Collegiate Funding Services Education Loan Trust 2005-A (CFS 2005-A) classes A-4 and B to 'Bsf' from 'BBsf'. The Rating Outlooks are Stable following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-A A-4 19458LBC3 LT Bsf Downgrade BBsf B 19458LBD1 LT Bsf Downgrade BBsf Brazos Higher Education Authority Series 2011-2 2011-II-A-3 10620NCL0 LT AA+sf Affirmed AA+sf 2011-II-B 10620NCM8 LT AA+sf Affirmed AA+sf Chase Education Loan Trust 2007-A A-4 16151UAD8 LT AA+sf Affirmed AA+sf B 16151UAG1 LT Asf Affirmed Asf Transaction Summary Brazos Higher Education Authority Series 2011-2: The class A-3 and B notes pass all credit and maturity stresses in cashflow modelling. The affirmations reflect stable collateral performance in line with Fitch's expectations since the last review. Chase Education Loan Trust 2007-A: The class A-4 and B notes pass all credit and maturity stresses in cashflow modelling. The rating for class B is constrained by the parity level under Fitch's criteria threshold of 101% at 'Asf'. The affirmations reflect stable collateral performance in line with Fitch's expectations since the last review. Collegiate Funding Services Education Loan Trust 2005-A: The current portfolio performance has worsened since the last review. The higher maturity risk (the risk of not being able to repay the principal due on the notes by legal final maturity) continues to weigh down Fitch's cashflow modelling results. Over the last 12 months the transaction experienced a decline in remaining term of just two months. The model-implied ratings of the class A-4 notes is 'CCCsf', one category lower than the ratings, as described by Fitch's "Federal Family Education Loan Program (FFELP) Rating Criteria," which gives credit to the legal final maturity dates of the notes in 2035. The 'Bsf' rating for the class B notes is constrained by the rating of the class A-4 notes. The affirmation is supported by qualitative factors, such as Navient Solutions, LLC's ability as the servicer to call the notes upon reaching 10% pool factor. Navient also established revolving credit agreements that allows it to purchase loans from the trust. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% FFELP loans. The loans are guaranteed by guarantors, and reinsurance is provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The notes' ratings are capped at the U.S. sovereign rating due to the reinsurance and Special Allowance Payments (SAP) provided by ED. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For all the transactions, Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, the claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AA+' case. BHEA 2011-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 21.00% under the base case scenario and a default rate of 63.00% under the 'AA+' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sustainable constant default rate (sCDR) of 3.30% and the sustainable constant prepayment rate (sCPR) of 9.80% in cash flow modelling. The trailing-twelve-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR) are 3.45% (3.57% at Dec. 31, 2024), 7.08% (6.91%) and 31.11% (28.46%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Both 31-60 delinquencies past due (DPD) and 91-120 DPD decreased and are currently 2.46% for 31 DPD and 0.61% for 91 DPD compared to 3.06% and 1.05% one year ago for 31 DPD and 91 DPD, respectively. CFS 2005-A: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 12.00% under the base case scenario and a default rate of 36.00% under the 'AA+' credit stress scenario. Fitch has maintained the sCDR at 2.25% and the (sCPR; voluntary and involuntary prepayments) at 8.00% in cash flow modelling to account for transaction's performance and future expectations. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 1.73% (2.20% on November 2024), 6.51% (7.44%) and 20.78% (17.87%), respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per Fitch's criteria. 31-60+ DPD decreased to 1.99% from 3.68%, while 90-120+ dpd also decreased to 0.66% from 0.85% yoy. Chase 2007-A: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 18.00% under the base case scenario and a default rate of 54.00% under the 'AA+' credit stress scenario. Fitch has maintained the sCDR at 3.00% and the sCPR at 10.00% in cash flow modelling to account for transaction's performance and future expectations. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 3.49% (3.55% on November 2024), 9.28% (10.22%) and 28.93% (25.09%), respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60+ and 90-120+ dpd decreased to 3.71% from 4.76% and 1.44% from 1.90%, respectively, from yoy. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the most recent distribution date, all trust student loans are indexed to SOFR and all notes are indexed to 90-day average SOFR plus the spread adjustment of 0.26161%. Fitch applies its standard basis and interest rate stresses to the transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization (OC) and for the class A notes, subordination provided by the class B notes. As of the latest distribution date, the reported total parity ratios are 107.79%, 105.30% and 100.55% for BHEA 2011-2, CFS 2005-A, and Chase 2007-A respectively. Liquidity support is provided by a reserve account currently sized at its floor of $2,180,364.2, $1,340,886.00 and $1,770,567.00 for BHEA 2011-2, CFS 2005-A, and Chase 2007-A respectively. The transactions are not currently releasing cash. Operational Capabilities: For BHEA 2011-2 day-to-day servicing is provided by Navient Solutions, LLC, Pennsylvania Higher Education Assistance Agency, and Nelnet Servicing. Fitch considers these to be acceptable servicers due to their extensive track record as servicers of student loans. For CFS 2005-A and Chase 2007-A servicing is provided by Navient Solutions, LLC. Fitch believes Navient is an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified Navient entered into a binding letter of intent on Jan. 29, 2024 that it will transition the student loan servicing to MOHELA. Fitch does not expect the transition to interrupt servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for most of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Brazos Higher Education Authority Series 2011-2 Current Model-Implied Ratings: class A and B 'AA+sf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'AA+sf'; - Default increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term increase 12 months: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term increase 24 months: class A 'AA+sf'; class B 'AA+sf'; Collegiate Funding Services Education Loan Trust 2005-A: Current Ratings: class A-4 'Bf'; class B 'Bsf' Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCf'. - Remaining Term increase 12 months: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 12 months: class A 'CCCsf'; class B 'CCCsf'. Chase Education Loan Trust 2007-A Current Model-Implied Ratings: class A and B 'AA+sf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'AA+sf'; - Default increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term increase 12 months: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term increase 24 months: class A 'AA+sf'; class B 'AA+sf'; Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Brazos Higher Education Authority Series 2011-2: No upgrade credit or maturity stress sensitivity is provided for the outstanding Fitch-rated notes since they are already at their highest achievable model-implied ratings. Chase Education Loan Trust 2007-A: No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Collegiate Funding Services Education Loan Trust 2005-A: "Credit Stress Rating Sensitivity - Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - Default decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.5%: class A 'AA+sf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'. - Remaining Term decrease 12 months class A 'AA+sf'; class B 'AA+sf'; - Remaining Term decrease 24 months class A 'AA+sf'; class B 'AA+sf'. 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. COLT 2026-2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by COLT 2026-2 Mortgage Loan Trust (COLT 2026-2). Entity/Debt Rating ----------- ------ COLT 2026-2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1FCFX LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 653 nonprime loans with a total balance of approximately $328.18 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are currently being serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 737 and 33.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.7% mark-to-market combined LTV (cLTV). Overall, 46.6% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 100% of the loans are clean and current. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-2 has a final probability of default (PD) of 46.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 43.8%. The expected loss in the 'AAAsf' rating stress is 20.2%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-2 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/ A-1LCF (sequentially), A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects COLT 2026-2 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to COLT 2026-2; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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 SitusAMC, Clarifii, Clayton, Consolidated Analytics, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and 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. COMM 2019-GC44: Fitch Affirms 'BBsf' Rating on Class D Certificates ------------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of COMM 2019-GC44 Mortgage Trust commercial mortgage pass-through certificates. Fitch has also revised the Rating Outlook to Stable from Negative for two of the affirmed classes. The Rating Outlooks are Negative for six of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- COMM 2019-GC44 A-2 12655TBH1 LT AAAsf Affirmed AAAsf A-3 12655TBK4 LT AAAsf Affirmed AAAsf A-4 12655TBL2 LT AAAsf Affirmed AAAsf A-5 12655TBM0 LT AAAsf Affirmed AAAsf A-M 12655TBP3 LT AAAsf Affirmed AAAsf A-SB 12655TBJ7 LT AAAsf Affirmed AAAsf B 12655TBQ1 LT AA-sf Affirmed AA-sf C 12655TBR9 LT BBB-sf Affirmed BBB-sf D 12655TAG4 LT BBsf Affirmed BBsf E 12655TAJ8 LT BB-sf Affirmed BB-sf F 12655TAL3 LT CCCsf Affirmed CCCsf G-RR 12655TAN9 LT CCsf Affirmed CCsf X-A 12655TBN8 LT AAAsf Affirmed AAAsf X-B 12655TAA7 LT AA-sf Affirmed AA-sf X-D 12655TAC3 LT BB-sf Affirmed BB-sf X-F 12655TAE9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has decreased since Fitch's prior rating action to 5.1% from 5.8%. The transaction has six Fitch Loans of Concern (FLOCs) (20.4% of the pool), including three loans (13.4%) in special servicing. The Outlook revision to Stable from Negative for classes A-M and X-A reflects the transaction's overall improvement since the prior review. The YoY reduction in loss expectations is primarily driven by improved occupancy and leasing performance at both 225 Bush (5.6% of the pool) and 55 Green Street (4.1%). Additionally, the Stable Outlooks reflect the repayment of the 180 Water loan, which was previously the pool's second-largest loan. The loan transferred to special servicing prior to the 2025 review and subsequently repaid and exited the pool later in the year. The Negative Outlooks reflect the office concentration in the pool of 29.8% and the continued elevated expected loss from the specially serviced 225 Bush and 55 Green Street loans, as well as limited performance stabilization on other FLOCs. The Negative Outlooks also incorporate an additional sensitivity scenario on the BOA Building Tulsa (1.7%) loan, which assumes a higher probability of default due to lease rollover concerns. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations is the 225 Bush loan, secured by a 579,987-sf office property in San Francisco, CA. The loan is flagged as a FLOC due to the declining occupancy since issuance, the sponsor's inability to backfill increasing vacancies and the loan's specially serviced status due to a failure to refinance at the November 2024 maturity. A court-approved receiver was appointed in August 2025, and the servicer reports that a note sale process has been initiated. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. Additionally, tenant Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration, causing occupancy to decline to 40% as of June 2024 compared with 47% at December 2023, 55% at December 2022 and 97.8% at issuance. However, there has been positive recent leasing activity at the property that is expected to increase occupancy to 55% at rental levels that are higher than previously expected. According to Costar as of 4Q25, the submarket reported vacancy at 29% and asking rents at $53.82 psf. These metrics have significantly worsened from 8.1% and $75.29 at the time of issuance. The updated Fitch NCF of $13.2 million is 11% above Fitch's NCF at the prior review but 43% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2025 rent roll also assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up to market rents and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's 'Bsf' rating case loss of 30.2% (prior to concentration adjustments) reflects a higher stressed capitalization rate of 9%, in line with the prior rating action and up from 7.75% at issuance, to factor increased office sector and submarket performance concerns. This results in a Fitch-stressed valuation decline approximately 75% below the issuance appraisal. The Fitch stressed value is slightly below the most recently reported appraised value of $153 million ($263.80 psf) as of January 2025. The second-largest contributor to overall loss expectations is the 55 Green Street loan, secured by a 54,414-sf office property located in San Francisco, CA. The loan transferred to special servicing in January 2024 after the sole tenant, Getaround, gave notice in October 2023 that they would be terminating its lease early. Getaround's initial lease expiration was March 2029. The loan started trapping cash once the tenant gave notice to vacate, and as of the February 2026 reporting, there was approximately $2.7 million in a reserve account, inclusive of a $2.1 million termination fee paid by Getaround. Per the January 2026 rent roll, the property was 83.4% occupied, up from 48.0% in April 2025 and 17% at 2Q24, down from 100% in 2023. As noted at the prior review, new tenants have been signing short-term leases, which has helped improve occupancy but also increase lease rollover risk. New tenants include Gridware Technologies (13.5%; joined in January 2026 through December 2027) and Twelve Labs (added 9,569-sf in September 2025 or 17.8% of NRA, through February 2030). Major tenants include Twelve Labs (35.4%; February 2030), Nexus Laboratories (17.6%; June 2026), and THG Beauty USA (16.9%; November 2027). One tenant (17.6% of NRA) is rolling in 2026 and two tenants (30.4%) in 2027. Fitch's 'Bsf' rating assumes a 28.9% loss case (prior to concentration adjustments). Fitch's analysis applies a 9.5% cap rate and a sustainable long-term cash flow that incorporates the leasing of vacant spaces to achieve 68.5% occupancy at rents of $50 psf. Fitch's analysis also factors in a heightened probability of default. The third-largest contributor to overall loss expectations is the BOA Building Tulsa loan, secured by a 299,342-sf office building located in Tulsa, OK. The property's largest tenants include: The Summit Corporation (12.8% of NRA, leased through December 2029), Pillars Financial (7.2%; January 2035), and Tulsa Community College (7.2%, December 2026). Per the August 2024 rent roll, the property was 79.7% occupied, compared with 87% at YE 2023, 91% at YE 2022, and 90% at YE 2021. The servicer-reported NOI DSCR was 1.46x at 3Q24, compared to 1.20x at YE 2023, 1.48x at YE 2022, and 1.47x at YE 2021. Occupancy declined after former largest tenant, Laredo Petroleum, Inc (31.6% of NRA) did not renew its lease at the property upon lease expiry in January 2023. Additionally, Bank of America, 6.3% of the NRA, vacated upon its April 2024 lease expiration. Upcoming lease rollover includes 11.4% of the NRA in 2025. Fitch's 'Bsf' rating case loss of 13.1% (prior to concentration adjustments) reflects a 10.5% cap rate, a 15% stress to the YE 2024 NOI, and factors a heightened probability of default. Fitch also performed an additional sensitivity scenario that reflects a 100% probability of default and resulted in a 26.3% 'Bsf' sensitivity loss (prior to concentration adjustments). This scenario contributed to the Negative Outlooks. Changes in Credit Enhancement (CE): As of the February 2026 distribution date, the pool's aggregate balance has been reduced by 22.1% to $897.5 million from $1.15 billion at issuance. Three loans (4.9%) have been fully defeased. The pool comprises 27 loans (69%) that are full-term interest-only (IO), and the remaining 31% is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' rated category could occur should performance of the FLOCs, most notably from 55 Green Street, 225 Bush, and BOA Building Tulsa, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to the 'CCCsf' and 'CCsf'' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated 'AAsf' may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs such as 55 Green Street, 225 Bush, and BOA Building Tulsa; - Upgrades to the 'BBBsf' rated category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' rated category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed 'CCCsf' and 'CCsf' ratings are not expected, but 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. CROWN POINT 7: Moody's Cuts Rating on $21.825MM Cl. E Notes to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Crown Point CLO 7 Ltd.: US$24,300,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on July 22, 2025 Upgraded to Aa2 (sf) US$25,875,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A2 (sf); previously on July 22, 2025 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$21,825,000 Class E Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B2 (sf); previously on November 3, 2023 Downgraded to B1 (sf) Crown Point CLO 7 Ltd., originally issued in October 2018 and partially refinanced in May 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2025. The Class A-R notes have been paid down by approximately 92.5% or $97.6 million since then. Based on Moody's calculations, the OC ratios for the Class C and Class D notes are currently 155.62% and 119.71%, versus July 2025 levels of 131.29%, and 115.09%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and the current level is 3422, compared to 3211 in July 2025. Additionally, based on trustee's February 2026 report[1], the OC ratio for the Class E notes is reported at 100.20% versus July 2025[2] level of 104.24%, failing the trigger level of 103.90%. No actions were taken on the Class A-R and Class B notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $143,623,153 Defaulted par: $1,435,433 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3422 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.99% Weighted Average Coupon (WAC): 12.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 2.85 years Par haircut in OC tests and interest diversion test: 7.10% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CSMC 2020-FACT: Moody's Downgrades Rating on Cl. D Certs to B3 -------------------------------------------------------------- Moody's Ratings has downgraded six classes in CSMC 2020-FACT, Commercial Mortgage Pass-Through Certificates, Series 2020-FACT as follows: Cl. A, Downgraded to A1 (sf); previously on Jul 16, 2025 Downgraded to Aa1 (sf) Cl. B, Downgraded to Baa2 (sf); previously on Jul 16, 2025 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Jul 16, 2025 Downgraded to Baa2 (sf) Cl. D, Downgraded to B3 (sf); previously on Jul 16, 2025 Downgraded to Ba2 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Jul 16, 2025 Downgraded to B2 (sf) Cl. F, Downgraded to C (sf); previously on Jul 16, 2025 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on six P&I classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio driven by a decline in cash flow as a result of lower occupancy and revenue combined with higher operating expenses. The property's occupancy declined to 73% as of September 2025 compared to 83% at securitization due to several tenants vacating and the property also faces additional lease rollover risk over the next 24 months. The property is located in the Long Island City office market which has faced softer market fundamentals. The lower cash flow combined with the increase in the floating interest rate since securitization caused the uncapped net cash flow (NCF) debt service coverage ratio (DSCR) on the mortgage debt to be less than 1.00X since 2023. The annualized September 2025 net operating income (NOI) was approximately 22% lower than the year-end 2024 NOI and the respective uncapped NCF DSCR was only approximately 0.61X. Absent substantial new leasing, the NCF will not materially improve and will hinder the ability of the property to cover its loan debt service payments. The loan transferred to special servicing in September 2025 due to maturity default ahead of its October 2025 final maturity date and was recently modified and returned to the master servicer. The downgrades on Cl. E and Cl. F also reflect the recently executed loan modification which, among other terms, allows for a discounted payoff of $223.0 million (the "Release Option") on or after February 1, 2028. If the Release Option is exercised this would result in a full loss to Cl. F and a partial loss of approximately 34% to Cl. E. The loan modification also included an initial maturity extension to October 2027 with a required Interest Rate Cap Agreement with a strike rate of 2.50% and an additional extension option to October 2028. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, an increase in realized and expected losses or increased interest shortfalls. DEAL PERFORMANCE As of the February 2026 distribution date, the transaction's certificate balance was $300 million, the same as at securitization. The interest only, floating rate loan transferred to special servicing in September 2025 due to maturity default ahead of its October 2025 final maturity date and was recently modified and returned to the master servicer. Terms of the modification included an initial extension of the maturity date to October 2027 with an additional one-year extension option to October 2028, a required Interest Rate Cap Agreement with a strike rate of 2.50%, borrower equity contribution and a discounted payoff option of $223.0 million on or after February 01, 2028. The loan is secured by the fee simple interest in The Factory, 1.1 million SF mixed-use office property located in Long Island City, NY. There is parking for up to 190 vehicles and the property benefits from a 15-year property tax abatement with nine years remaining. The property was 73% leased as of September 2025 compared to 83% at securitization due to several tenants vacating since 2024 and approximately 9% of NRA expires prior to the end of 2027. Over the last two years, several smaller new leases were executed (approximately 5% of total NRA, not including lease renewals), however the majority of these leases were signed at below market rents. The lower occupancy and revenue combined with a material increase in property operating expenses have caused the property's September 2025 net operating income (NOI) to be approximately 22% lower than 2024 levels and the lower cash flow combined with significantly higher floating interest rate since securitization has caused the loan's floating rate uncapped DSCR to remain below 1.00X. An updated appraisal value of $204.0 million (62% lower than the appraisal value from securitization) was reported in February 2026. The appraisal also cited leasing challenges in the Long Island City office market and the property is located in the Factory District office submarket and comprises a large portion of the Class A inventory located in its submarket. According to the February 2026 appraisal report, the Long Island City market had an availability rate of 20% and the Factory submarket had an availability rate of 11%. Due to the lower cash flow and occupancy, Moody's have adjusted Moody's NCF to $16.5 million. The first mortgage balance represents a Moody's LTV of 164% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 162% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.59X and there were minimal interest shortfalls and no realized losses as of the February 2026 remittance statement. FIDELIS MORTGAGE 2026-RTL1: DBRS Gives (P) B(low) Rating on B Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RTL1 (the Notes) to be issued by Fidelis Mortgage Trust 2026-RTL1 (FIDL 2026-RTL1 or the Issuer) as follows: -- $121.2 million Class A at (P) BBB (low) (sf) -- $111.6 million Class A-1 at (P) A (low) (sf) -- $9.6 million Class A-2 at (P) BBB (low) (sf) -- $10.1 million Class M-1 at (P) BB (low) (sf) -- $12.7 million Class B at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.60% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.20%, 12.50%, and 4.05% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 330 mortgage loans with a total principal balance of approximately $112,197,309, -- Approximately $37,802,691 in the Funding Account, and -- Approximately $750,000 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. FIDL 2026-RTL1 represents the third RTL securitization issued by the Sponsor, Fidelis Investors Mortgage Fund I, LP (Fidelis). Formed in 2020 and headquartered in Cranford, New Jersey, Fidelis Investors LLC (Fidelis Investors) is an alternative asset manager which serves the needs of institutional clients and specializes in investment opportunities in mortgage debt products, structured finance, asset-based lending, and real estate. Fidelis purchases or originates business purpose loans (BPLs) on residential properties, including short-term bridge and fix-and-flip loans (RTLs), long-term rental loans, and ground-up construction loans; transitional multi-family loans; and single family residential whole loans. Loans are purchased from, or originated through, partnerships with regional lenders, white label and table funding programs, broker referrals, and directly with borrowers through Fidelis' wholly owned subsidiary, Unitas Funding, LLC. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of 6 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 730. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 85.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ properties (the latter is limited to 3.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the FIDL 2026-RTL1 revolving portfolio, RTLs may be: A. Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an Interest Reserve Escrow Account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. B. Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Construction Draw Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the FIDL 2026-RTL1 eligibility criteria, unfunded commitments are limited to 50.0% of the portfolio by the unpaid principal balance (UPB) of the mortgage loans and amounts in the Funding Account (together, the assets of the issuer). Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in September 2028, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A, A-1, and A-2 Note amounts without duplication. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account, which, during the revolving period, is used to fund draws and purchase additional loans. The Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the revolving period, amounts held in the Funding Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 95.95%, which maintains a minimum credit enhancement (CE) of approximately 4.05% to the most subordinate rated class. FIDL 2026-RTL1 incorporates the maximum effective advance rate as a Trigger Event. During the revolving period (and prior to September 2028), if CE is not maintained for all tranches for three consecutive months, a Trigger Event will occur, leading to early amortization. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $750,000. On the payment dates occurring in April, May, and June 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated historical mortgage repayments relative to draw commitments for Fidelis' historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section the related presale report for more details. Other Transaction Features Discretionary Sales The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Optional Redemption On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Optional Repurchase of Delinquent Loans Similar to certain other issuers, the Issuer will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a Seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. U.S. Credit Risk Retention As the Sponsor, Fidelis, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class P Certificates) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. FIDIUM LLC 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Fidium, LLC Series 2026-1: Entity/Debt Rating ----------- ------ Fidium LLC, Secured Fiber Network Revenue Notes, Series 2026-1 2026-1 A2 LT A-(EXP)sf Expected Rating 2026-1 B LT BBB-(EXP)sf Expected Rating 2026-1 C LT BB-(EXP)sf Expected Rating Transaction Summary The Fidium, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 is a securitization managed by Fidium, LLC (Fidium) and Fidium Fiber Finance Holdco LLC under the master trust and follows the 2025-1, 2025-2, 2025-3, and 2025-4 issuances in 2025. The transaction is a securitization of subscription and contract payments derived from an existing enterprise and fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by fiber revenue generated from the operation of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of data (97.1% of monthly recurring revenue [MRR]) and voice (2.9%) services to residential (43.5%), commercial (29.4%) and wireless, wireline carrier (27.1%) customers. The fiber network serves 351,000 residential fiber broadband subscribers, passing approximately 1.5 million households. The company's operations extend across 21 states, with the largest markets in Maine (23.4% of MRR), New Hampshire (22.5%), Texas (11.3%) and Vermont (10.5%). These assets represented about 78% of the asset entities' revenue as of the month ended December 2025. The collateral does not include Fidium's copper assets. With the 2026-1 issuance, Fidium will contribute collateral assets from Minnesota and Illinois (representing a combined 13% of MRR), including 57,000 consumer fiber passings and approximately 20,000 subscribers. The expected ratings reflect Fitch's structured finance analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Condor Holdings LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's base case net cash flow (NCF) on the pool is $362.3 million, implying a 17.0% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.2x, versus the debt-to-issuer NCF leverage of 8.5x. Inclusive of the future cash flow required to draw upon the initial maximum (VFN) balance of $500 million, Fitch's NCF would be $416.6 million, implying a 18.1% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt-to-issuer NCF leverage of 7.7x. Based on the Fitch NCF and no additional revenue growth, and following the transaction's ARD, the notes would be repaid in 18.0 years from the closing date. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include the high quality of the underlying collateral networks, which are 100% fiber; low historical churn rates compared to peers; the geographic diversification of the collateral and low customer concentration; strong competitive positioning; seasoned markets with adequate operating history; the capability of the operator; lower penetration than peers; and the transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' due to the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. 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 will render the current transmission of data through fiber optic cables obsolete. That said, data providers continue to invest in and utilize this technology, given that fiber optic cable networks are currently the fastest, highest capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, customer churn, declining contract rates, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 17.0% 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 A-2 from 'A-sf' to 'BBBsf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, contract amendments, or lower expenses could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'BBB+sf'; class C from 'BB-sf' to 'BBsf'. Upgrades are unlikely, given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped in the 'Asf' category. 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. FIGRE TRUST 2026-HE2: DBRS Gives Prov. B Rating on Class F Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-HE2 (the Notes) to be issued by FIGRE Trust 2026-HE2 (FIGRE 2026-HE2 or the Issuer): -- $261.9 million Class A at (P) AAA (sf) -- $49.1 million Class AFCF at (P) AAA (sf) -- $16.4 million Class ALCF at (P) AAA (sf) -- $37.6 million Class B at (P) AA (high) (sf) -- $56.2 million Class C at (P) A (high) (sf) -- $29.8 million Class D at (P) BBB (high) (sf) -- $25.7 million Class E at (P) BB (sf) -- $18.2 million Class F at (P) B (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 35.10% of credit enhancement provided by subordinate notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 27.65%, 16.50%, 10.60%, 5.50%, and 1.90% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 6,077 loans (individual HELOC draws) that correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $504,473,504 and a total current credit limit of $542,808,352 as of January 31, 2026 (the Cut-Off Date). The portfolio, on average, is four months seasoned, though seasoning ranges from two to 18 months. All the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure or the Company) is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the Company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators have underwritten HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction, along with the Retaining Sponsor, TPG Mortgage Investment Trust, Inc. FIGRE 2026-HE2 is the 23rd rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC FEATURES In this transaction, all HELOCs are open HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 97.3% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. The Company leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. TRANSACTION COUNTERPARTIES Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the Company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Retaining Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: (1) It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; (2) Neither it nor any affiliate will sell, hedge, or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; (3) It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; (4) It will confirm its EU and UK Retained Interest in the SR Investor Report; and (5) It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior-lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged off. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,765,657 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in March 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in March 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holders will be required to use their own funds to reimburse the Servicer for any Net Draws. Nevertheless, the Servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holders. The Reserve Account's required amount will become $0 on the payment date in March 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover realized losses. Please see the Cash Flow Structure and Features section of the presale report for more details. NOTABLE STRUCTURAL FEATURES Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (February 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes (Class D, Class E, and Class F) that receive their principal payments after the pro rata classes (Class AFCF, Class ALCF, Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a Credit Event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than some of the prior FIGRE securitizations. OTHER TRANSACTION FEATURES For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2026-DNA2: DBRS Gives (P) BB(low) Rating on 7 Tranches ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional credit ratings to the Structured Agency Credit Risk (STACR) REMIC 2026-DNA2 Notes (the Notes) to be issued by Freddie Mac STACR REMIC Trust 2026-DNA2 (STACR 2026-DNA2 or the Trust): -- $253.6 million Class M-1 at (P) BBB (sf) -- $57.1 million Class M-2A at (P) BBB (low) (sf) -- $57.1 million Class M-2B at (P) BB (high) (sf) -- $69.8 million Class B-1A at (P) BB (high) (sf) -- $69.8 million Class B-1B at (P) BB (low) (sf) -- $114.1 million Class M-2 at (P) BB (high) (sf) -- $114.1 million Class M-2R at (P) BB (high) (sf) -- $114.1 million Class M-2S at (P) BB (high) (sf) -- $114.1 million Class M-2T at (P) BB (high) (sf) -- $114.1 million Class M-2U at (P) BB (high) (sf) -- $114.1 million Class M-2I at (P) BB (high) (sf) -- $57.1 million Class M-2AR at (P) BBB (low) (sf) -- $57.1 million Class M-2AS at (P) BBB (low) (sf) -- $57.1 million Class M-2AT at (P) BBB (low) (sf) -- $57.1 million Class M-2AU at (P) BBB (low) (sf) -- $57.1 million Class M-2AI at (P) BBB (low) (sf) -- $57.1 million Class M-2BR at (P) BB (high) (sf) -- $57.1 million Class M-2BS at (P) BB (high) (sf) -- $57.1 million Class M-2BT at (P) BB (high) (sf) -- $57.1 million Class M-2BU at (P) BB (high) (sf) -- $57.1 million Class M-2BI at (P) BB (high) (sf) -- $57.1 million Class M-2RB at (P) BB (high) (sf) -- $57.1 million Class M-2SB at (P) BB (high) (sf) -- $57.1 million Class M-2TB at (P) BB (high) (sf) -- $57.1 million Class M-2UB at (P) BB (high) (sf) -- $139.5 million Class B-1 at (P) BB (low) (sf) -- $139.5 million Class B-1R at (P) BB (low) (sf) -- $139.5 million Class B-1S at (P) BB (low) (sf) -- $139.5 million Class B-1T at (P) BB (low) (sf) -- $139.5 million Class B-1U at (P) BB (low) (sf) -- $139.5 million Class B-1I at (P) BB (low) (sf) -- $69.8 million Class B-1AR at (P) BB (high) (sf) -- $69.8 million Class B-1AI at (P) BB (high) (sf) Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-1R, B-1S, B-1T, B-1U, B-1I, B-1AR, and B-1AI are Modifiable and Combinable Notes (MACR Notes). Classes M-2A, M-2B, B-1A, and B-1B are Exchangeable Notes. Classes M-2I, M-2AI, M-2BI, B-1I, and B-1AI are interest-only (IO) MACR Notes. The (P) BBB (sf), (P) BBB (low) (sf), (P) BB (high) (sf), and (P) BB (low) (sf) ratings on the Notes reflect 2.000%, 1.775%, 1.550%, and 1.0000% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Federal Home Loan Mortgage Corporation (Freddie Mac or the Company)-guaranteed mortgage-backed securities (MBS). As of the Cut-Off Date, the Reference Pool consists of 73,437 greater-than-20-year fully amortizing first-lien fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. The mortgage loans were securitized by Freddie Mac between April 1, 2025, and June 30, 2025, were originated on or after January 1, 2025, and were acquired on or after January 1, 2025. On the Closing Date, the Trust will enter into a Collateral Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to make transfer amount payments. The Trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, a portion of the eligible investments held in the custodian account will be liquidated to make principal payments to the Noteholders and return amounts, if any, to Freddie Mac upon the occurrence of certain specified credit events and modification events. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Private Placement Memorandum (PPM) for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the trust will use the net investment earnings on the eligible investments together with Freddie's transfer amount payments to pay interest to the Noteholders. In this transaction, approximately 23.5% of the loans were originated using property values determined by using Freddie Mac's automated collateral evaluation (ACE) assessment or ACE with Property Data Report rather than a traditional full appraisal. Loans where the property values were determined by using ACE assessments generally have better credit scores and lower original LTV. Please see the PPM for more details about the ACE assessment. The minimum credit enhancement test--one of the three performance tests--for STACR 2026-DNA2 is set to pass at the Closing Date. Additionally, the nonsenior tranches are also entitled to supplemental reduction amount if the offered reference tranche percentage increases above 5.50%. The Notes are scheduled to mature on the payment date in March 2046 but are also subject to a mandatory redemption prior to the scheduled maturity date in the case of a termination of the CAA. Freddie Mac is the Sponsor, Aggregator, and Master Servicer of the transaction. Morningstar DBRS performed an operational risk review of Freddie Mac and believes the Company has robust seller and servicer approval and oversight processes and deems it to be an acceptable mortgage loan aggregator and master servicer for Morningstar DBRS-rated transactions. Citibank, N.A. (rated AA (low) with a Stable trend and R-1 (middle) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Exchange Administrator. The Bank of New York Mellon (rated AA (high) with a Stable trend and R-1 (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. Wilmington Trust National Association (rated A (high) with a Stable trend and R-1 (middle) with a Stable trend by Morningstar DBRS) will act as the Owner Trustee. The Reference Pool consists of approximately 6.0% of loans originated under the Home Possible program. Home Possible is Freddie Mac's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. In addition, twelve loans ( FREDDIE MAC 2026-DNA2: S&P Assigns (P) 'BB+' Rating on B-1AI Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR Remic Trust 2026-DNA2's (STACR 2026-DNA2) fixed-, floating-, and variable-rate notes. The note issuance is an RMBS securitization backed by residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Freddie Mac. These comprise fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, manufactured housing and cooperatives to mostly prime borrowers. The preliminary ratings are based on information as of March 5, 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 credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; The REMIC structure, which reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments, while pledging the support of Freddie Mac (a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and the noteholders in the transaction's performance, which enhances the notes' strength, in S&P's view; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying R&W framework; 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. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2026-DNA Class A-H(i), $25,902,685,229.86: NR Class M-1, $253,600,000.00: BBB+ (sf) Class M-1H, $13,438,002.00: NR Class M-2(ii), $114,100,000.00: BBB (sf) Class M-2A(ii), $57,050,000.00: BBB+ (sf) Class M-2AH, $3,033,550.00: NR Class M-2B(ii), $57,050,000.00: BBB (sf) Class M-2BH, $3,033,550.00: NR Class B-1(ii), $139,500,000.00: BB+ (sf) Class B-1A(ii), $69,750,000.00: BB+ (sf) Class B-1AH, $3,685,450.00: NR Class B-1B(ii), $69,750,000.00: BB+ (sf) Class B-1BH, $3,685,450.00: NR Class B-2H(i), $200,278,501.00: NR Class B-3H(i), $66,760,502.00: NR Class X-IO(iii), N/A: NR MACR exchangeable classes(iv) Class M-2R, $114,100,000.00: BBB (sf) Class M-2S, $114,100,000.00: BBB (sf) Class M-2T, $114,100,000.00: BBB (sf) Class M-2U, $114,100,000.00: BBB (sf) Class M-2I, $114,100,000.00(v): BBB (sf) Class M-2AR, $57,050,000.00: BBB+ (sf) Class M-2AS, $57,050,000.00: BBB+ (sf) Class M-2AT, $57,050,000.00: BBB+ (sf) Class M-2AU, $57,050,000.00: BBB+ (sf) Class M-2AI, $57,050,000.00(v): BBB+ (sf) Class M-2BR, $57,050,000.00: BBB (sf) Class M-2BS, $57,050,000.00: BBB (sf) Class M-2BT, $57,050,000.00: BBB (sf) Class M-2BU, $57,050,000.00: BBB (sf) Class M-2BI, $57,050,000.00(v): BBB (sf) Class M-2RB, $57,050,000.00: BBB (sf) Class M-2SB, $57,050,000.00: BBB (sf) Class M-2TB, $57,050,000.00: BBB (sf) Class M-2UB, $57,050,000.00: BBB (sf) Class B-1R, $139,500,000.00: BB+ (sf) Class B-1S, $139,500,000.00: BB+ (sf) Class B-1T, $139,500,000.00: BB+ (sf) Class B-1U, $139,500,000.00: BB+ (sf) Class B-1I, $139,500,000.00(v): BB+ (sf) Class B-1AR, $69,750,000.00: BB+ (sf) Class B-1AI, $69,750,000.00(v): BB+ (sf) (i) Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. (ii)The class M-2 noteholders may exchange all or part of that class for proportionate interests in the class M-2A and M-2B and vice versa. The class B-1 noteholders may exchange all or part of that class for proportionate interests in the class B1-A and B-1B and vice versa. The class M-2A, M-2B, B-1A, and B-1B noteholders may exchange all or part of those classes for proportionate interests in the classes of MACR notes as specified in the offering documents. (iii)The class X-IO interest will be an uncertificated interest issued by the issuer and held by Freddie Mac, representing the entitlement on any payment date to the excess, if any, of the amount payable in respect of the IO Q-REMIC interest for such payment date over the transfer amount for the related remittance date. (iv)See the offering documents for more detail on possible combinations. (v)Notional amount. NR--Not rated. N/A--Not applicable. IO--Interest only. MACR--Modifiable and combinable real estate mortgage investment conduit. Q-REMIC--Qualified real estate mortgage investment conduit. GAGE PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings upgraded the ratings on the class B notes for Gage Park LLC and affirmed the ratings on the class A, C, D and E notes. Fitch also assigned a Positive Outlook to the class B notes and revised the Outlook on the class C notes to Positive from Stable. The Outlooks on the other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Gage Park LLC A 36266UAS5 LT AAAsf Affirmed AAAsf B 36266UAW6 LT AA+sf Upgrade AAsf C 36266UAY2 LT Asf Affirmed Asf D 36266UBA3 LT BBB-sf Affirmed BBB-sf E 36266UBC9 LT BB-sf Affirmed BB-sf Transaction Summary Gage Park is an arbitrage collateralized loan obligation (CLO) managed by Eldridge Structured Credit Advisers, LLC. The transaction closed in September 2023. The CLO is secured primarily by first-lien, senior secured leveraged loans. The reinvestment period was originally scheduled to end on Oct. 28, 2028. However, the manager declared an early termination, which ended the reinvestment period on Dec. 10, 2025. KEY RATING DRIVERS Early Termination of Reinvestment Period and Note Amortization The upgrade to the class B notes and Positive Outlooks are driven by the note amortization of the class A notes after the early termination of the reinvestment period, which resulted in an increased credit enhancement levels and break-even default rate cushions against their relevant rating stress default levels. Following the early termination, an off-cycle payment date occurred on Dec. 19, 2025 for distribution of principal proceeds on deposit in the collection account. As of the January 2026 payment date, approximately 67% of the original class A note balance have amortized. The Positive Outlooks on the Class B and C notes are due to the expectation that further improvement in CE levels from future note amortization will outweigh increasing portfolio concentration and potential decline in the credit quality of the pool. Improved Credit Quality Amid Growing Portfolio Concentration The Fitch weighted average rating factor (WARF) improved to 29.9 ('B'/'B-' rating level) from 31.8 ('B-' rating level) at the last review in July 2025. Based on the portfolio balance provided in the January 2026 report, the portfolio has realized 0.8% loss of the initial target par amount due to trading losses and defaults. The total number of obligors has decreased to 32 from 43, increasing the concentration of the largest 10 obligors to 48.6% of the portfolio from 31.1% at last review. Exposure to issuers with a Negative Outlook has remained relatively stable at 12.1% compared to 12.2% last review, while issuers on Fitch's watchlist decreased to 13.7% from 17.0%. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook. The weighted average life of the portfolio was extended to the maximum covenant level allowed by indenture for potential maturity extensions. The rating actions for the class A notes is in line with its model implied rating (MIR), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria." Fitch upgraded the rating on the class B notes one notch below its MIR and affirmed the ratings on the class C, D and E notes two notches lower than their respective MIRs, given their sensitivities to lower recoveries and increasing portfolio concentration risks. The Stable Outlooks on the class A, D and E notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in portfolio credit quality in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio exceed those assumed at closing and the notes' credit enhancement is insufficient to compensate for the higher loss expectation. - A 25% increase in the mean default rate across all ratings, combined with a 25% decrease in the recovery rate across all rating levels for the current portfolio, would lead to downgrades of up to one notch, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, a 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five notches, based on the MIRs. 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 Fitch has checked the consistency and plausibility of the information it has received regarding the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. Overall, considering the assumptions above, Fitch's assessment of the information relied on for its rating analysis according to its applicable rating methodologies, indicates that the information is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Gage Park LLC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLUB CAPITAL 87(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 87(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 87(B), Ltd. A1 LT NR(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D1 LT BBB-(EXP)sf Expected Rating D2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Golub Capital Partners CLO 87(B), Ltd.; (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital Liquid Credit Advisors, 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 24.51 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 75.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 53% 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 between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 87(B), 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. GREEN TREE 1997-07: Moody's Upgrades Rating on M-1 Certs to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class M1 issued by Green Tree Financial Corporation MH 1997-07. The collateral backing this deal consists of manufactured housing mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Green Tree Financial Corporation MH 1997-07 M-1, Upgraded to Caa1 (sf); previously on May 5, 2025 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectation on the underlying pool and Moody's revised loss-given-default expectation for the bond. Principal Methodologies The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: 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-AH1: DBRS Gives Prov. B Rating on Class B2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-AH1 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-AH1 (GSMBS 2026-AH1): -- $240.1 million Class A-1A at (P) AAA (sf) -- $34.4 million Class A-1B at (P) AAA (sf) -- $16.0 million Class M-1 at (P) AA (sf) -- $16.2 million Class M-2 at (P) A (sf) -- $15.1 million Class M-3 at (P) BBB (sf) -- $13.4 million Class B-1 at (P) BB (sf) -- $6.0 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 20.25% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 15.60%, 10.90%, 6.50%, 2.60%, and 0.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed securities (the Notes). The Notes are backed by 2,407 loans with a total unpaid principal balance (UPB) of $362,293,688 and a total current credit limit of $423,015,013 as of the Cut-Off Date (January 31, 2026). The portfolio, on average, is five months seasoned, though seasoning ranges from one to 16 months. All the loans are current and 97.5% have never been 30+ days delinquent since origination. Most loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GSMBS 2025-AH1 represents the fourth securitization of 100% HELOCs by the Sponsor, Goldman Sachs Mortgage Company. The performance of the previous transactions to date has been satisfactory. HELOC Features In this transaction, all but two loans are open-HELOCs that have a draw period two, three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. Post the draw term and IO period, HELOC borrowers have a repayment period and are no longer allowed to draw. All the HELOCs in this transaction are floating-rate loans with five and 10-year interest-only (IO) payment periods, though some align with the shorter draw period. No loan requires a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes and 71.8% of the borrowers are self-employed. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate is approximately 95.3% after five months of seasoning on average. Transaction and Other Counterparties The HELOCs were originated by HomeBridge Financial Services, Inc (51.3%) and AmWest Funding Corp. (AmWest)(48.7%). Select Portfolio Servicing, Inc. will service all loans within the pool for a base servicing fee of 0.10% per year plus an incentive servicing fee which comprises a draw request fee and a fee based on collections with respect to each charged-off loan. Computershare Trust Company, N.A. will serve as the Collateral Trustee, Paying Agent, Trust Registrar, Rule 17g-5 Information Provider, and Custodian. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will fund draws from principal and interest collections received. If collections are insufficient, then the Servicer will be required to fund any additional net draws with its own funds and will be entitled to reimbursement. The Funding Interest Owner, initially and the Retained Interest Owner will reimburse the Servicer for their funded net draws. Goldman Sachs Bank USA (rated "A" (high) with a Stable trend by Morningstar DBRS) will act as the Initial Funding Interest Owner and the Retained Interest Owner. The Initial Funding Interest owner may transfer some or all of the funding interest to one or more parties that satisfy the related eligibility criteria. Any transferee must be a Qualified Funding Interest Owner with a long-term senior debt rating of at least "A" by Morningstar DBRS. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the Servicer. Rather, the analysis relies on the creditworthiness of the Initial Funding Interest Owner, Retained Interest Owner, and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described below in the report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be locked out from receiving principal payments. Additionally, the pro rata cash flow structure is subject to a Trigger Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Trigger Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Trigger Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment on or after the earlier of the payment date in February 2029 or the first payment date when the unpaid principal balance falls to or below 30% of the Cut-Off Date UPB, the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 5% of the aggregate pool balance as of the Cut-Off Date, the Master Servicer will have the option to purchase the mortgage loans and cause an early retirement of the notes. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ2: DBRS Finalizes BB Rating on Class B4 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ2 (the Notes) issued by GS Mortgage-Backed Securities Trust 2026-PJ2: -- $273.1 million Class A-1 at AAA (sf) -- $273.1 million Class A-2 at AAA (sf) -- $273.1 million Class A-3 at AAA (sf) -- $204.8 million Class A-4 at AAA (sf) -- $204.8 million Class A-5 at AAA (sf) -- $204.8 million Class A-6 at AAA (sf) -- $163.9 million Class A-7 at AAA (sf) -- $163.9 million Class A-8 at AAA (sf) -- $163.9 million Class A-9 at AAA (sf) -- $41.0 million Class A-10 at AAA (sf) -- $41.0 million Class A-11 at AAA (sf) -- $41.0 million Class A-12 at AAA (sf) -- $109.2 million Class A-13 at AAA (sf) -- $109.2 million Class A-14 at AAA (sf) -- $109.2 million Class A-15 at AAA (sf) -- $68.3 million Class A-16 at AAA (sf) -- $68.3 million Class A-17 at AAA (sf) -- $68.3 million Class A-18 at AAA (sf) -- $30.8 million Class A-19 at AAA (sf) -- $30.8 million Class A-20 at AAA (sf) -- $30.8 million Class A-21 at AAA (sf) -- $303.9 million Class A-22 at AAA (sf) -- $303.9 million Class A-23 at AAA (sf) -- $303.9 million Class A-24 at AAA (sf) -- $303.9 million Class A-25 at AAA (sf) -- $54.6 million Class A-27 at AAA (sf) -- $54.6 million Class A-28 at AAA (sf) -- $54.6 million Class A-29 at AAA (sf) -- $54.6 million Class A-30 at AAA (sf) -- $54.6 million Class A-31 at AAA (sf) -- $54.6 million Class A-32 at AAA (sf) -- $54.6 million Class A-33 at AAA (sf) -- $54.6 million Class A-34 at AAA (sf) -- $54.6 million Class A-35 at AAA (sf) -- $303.9 million Class A-X-1 at AAA (sf) -- $273.1 million Class A-X-2 at AAA (sf) -- $273.1 million Class A-X-3 at AAA (sf) -- $273.1 million Class A-X-4 at AAA (sf) -- $204.8 million Class A-X-5 at AAA (sf) -- $204.8 million Class A-X-6 at AAA (sf) -- $204.8 million Class A-X-7 at AAA (sf) -- $163.9 million Class A-X-8 at AAA (sf) -- $163.9 million Class A-X-9 at AAA (sf) -- $163.9 million Class A-X-10 at AAA (sf) -- $41.0 million Class A-X-11 at AAA (sf) -- $41.0 million Class A-X-12 at AAA (sf) -- $41.0 million Class A-X-13 at AAA (sf) -- $109.2 million Class A-X-14 at AAA (sf) -- $109.2 million Class A-X-15 at AAA (sf) -- $109.2 million Class A-X-16 at AAA (sf) -- $68.3 million Class A-X-17 at AAA (sf) -- $68.3 million Class A-X-18 at AAA (sf) -- $68.3 million Class A-X-19 at AAA (sf) -- $30.8 million Class A-X-20 at AAA (sf) -- $30.8 million Class A-X-21 at AAA (sf) -- $30.8 million Class A-X-22 at AAA (sf) -- $303.9 million Class A-X-23 at AAA (sf) -- $303.9 million Class A-X-24 at AAA (sf) -- $303.9 million Class A-X-25 at AAA (sf) -- $303.9 million Class A-X-26 at AAA (sf) -- $54.6 million Class A-X-27 at AAA (sf) -- $54.6 million Class A-X-28 at AAA (sf) -- $54.6 million Class A-X-30 at AAA (sf) -- $54.6 million Class A-X-31 at AAA (sf) -- $54.6 million Class A-X-33 at AAA (sf) -- $54.6 million Class A-X-34 at AAA (sf) -- $6.9 million Class B-1 at AA (low) (sf) -- $6.9 million Class B-X-1 at AA (low) (sf) -- $6.9 million Class B-1A at AA (low) (sf) -- $4.7 million Class B-2 at A (low) (sf) -- $4.7 million Class B-X-2 at A (low) (sf) -- $4.7 million Class B-2A at A (low) (sf) -- $2.7 million Class B-3 at BBB (low) (sf) -- $1.4 million Class B-4 at BB (sf) -- $803.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30, A-31, A-32, A-33, A-34, and A-35 are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-28, A-29, A-31, A-32, A-34, A-35, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-X-1, B-2, and B-X-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 5.40% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) credit ratings reflect 3.25%, 1.80%, 0.95%, 0.50%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 255 loans with a total principal balance of $321,285,451 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value ratio for the portfolio is 72.5%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule, subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (42.7%) and other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (46.5%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (34.4%), and PennyMac Loan Services, LLC (19.1%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of the Class A-1, A-2, and A-3 notes, respectively. These classes are issued in the form of loans made by the investor instead of notes purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ2: Fitch Assigns 'Bsf' Rating on Class B5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ2 (GSMBS 2026-PJ2). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2026-PJ2 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A30 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf AX10 LT AAAsf New Rating AAA(EXP)sf AX11 LT AAAsf New Rating AAA(EXP)sf AX12 LT AAAsf New Rating AAA(EXP)sf AX13 LT AAAsf New Rating AAA(EXP)sf AX14 LT AAAsf New Rating AAA(EXP)sf AX15 LT AAAsf New Rating AAA(EXP)sf AX16 LT AAAsf New Rating AAA(EXP)sf AX17 LT AAAsf New Rating AAA(EXP)sf AX18 LT AAAsf New Rating AAA(EXP)sf AX19 LT AAAsf New Rating AAA(EXP)sf AX2 LT AAAsf New Rating AAA(EXP)sf AX20 LT AAAsf New Rating AAA(EXP)sf AX21 LT AAAsf New Rating AAA(EXP)sf AX22 LT AAAsf New Rating AAA(EXP)sf AX23 LT AAAsf New Rating AAA(EXP)sf AX24 LT AAAsf New Rating AAA(EXP)sf AX25 LT AAAsf New Rating AAA(EXP)sf AX26 LT AAAsf New Rating AAA(EXP)sf AX27 LT AAAsf New Rating AAA(EXP)sf AX28 LT AAAsf New Rating AAA(EXP)sf AX3 LT AAAsf New Rating AAA(EXP)sf AX30 LT AAAsf New Rating AAA(EXP)sf AX31 LT AAAsf New Rating AAA(EXP)sf AX33 LT AAAsf New Rating AAA(EXP)sf AX34 LT AAAsf New Rating AAA(EXP)sf AX4 LT AAAsf New Rating AAA(EXP)sf AX5 LT AAAsf New Rating AAA(EXP)sf AX6 LT AAAsf New Rating AAA(EXP)sf AX7 LT AAAsf New Rating AAA(EXP)sf AX8 LT AAAsf New Rating AAA(EXP)sf AX9 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf BX1 LT AAsf New Rating AA(EXP)sf BX2 LT Asf New Rating A(EXP)sf Transaction Summary The GSMBS 2026-PJ2 certificates are supported by 255 prime, fixed-rate loans with a total balance of approximately $321.3 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-PJ2 has a final probability of default (PD) of 10.31% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.42%. The expected loss in the 'AAAsf' rating stress is 3.45%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies an approximate 5% PD reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ2 to be fully de-linked and serve as a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-PJ2; 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 37.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 Opus Capital Markets Consultants, LLC and Situs AMC. 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 applied an approximately 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. HAWAII HOTEL 2025-MAUI: DBRS Confirms B Rating on 2 Cert. Classes ----------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2025-MAUI (the Certificates) issued by Hawaii Hotel Trust 2025-MAUI (the Issuer): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class JRR at B (sf) -- Class KRR at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which is early in its life cycle, having closed in March 2025. This transaction is secured by the borrower's fee-simple interest in the Four Seasons Resort Maui at Wailea. The full-service luxury hotel features 383 guest rooms, with five food and beverage offerings, specialty retail outlets, and meeting space. The hotel operates under the Four Seasons flag via an agreement that expires in February 2040. Wailea exhibits exceptionally high barriers to entry given its limited available land for development and restrictive zoning laws. The sponsor is currently in the process of a comprehensive $103.0 million (approximately $269,000 per key) renovation, which is expected to be substantially completed by 2027. Morningstar DBRS maintains a positive view on the subject property given the collateral's prime beach location, excellent property quality, and continued capital investment. The $665.0 million floating-rate loan was used to refinance existing debt and is structured with an initial two-year term with three one-year extension options for an extended maturity date of March 2030. The extension options are conditional on the purchase of an interest rate cap agreement with a strike price equal to the greater of 4.5% and a strike rate that yields a minimum debt service coverage ratio (DSCR) of 1.10 times (x). The sponsor for this transaction is an affiliate of BDT & MSD Partners, a merchant bank and investment firm founded in 2023 which, at issuance, was invested in more than $16.0 billion of real estate, including more than $4.0 billion of luxury hotels. According to the trailing 12-month (T-12) financials for the period ended September 30, 2025, the collateral reported a net cash flow (NCF) of $51.0 million (DSCR of 1.13x), as compared with the issuer's underwritten figure of $61.6 million and the Morningstar DBRS NCF of $50.8 million. Per the October 2025 STR report, the subject property reported a T-12 occupancy rate, average daily rate, and revenue per available room (RevPAR) of 71.1%, $1,436, and $1,021, respectively, outperforming its competitive set with a RevPAR penetration rate of 175.8%. These figures compare favorably to the Morningstar DBRS issuance assumptions of 66.0%, $1,499, and $989, respectively. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $50.8 million. Additionally, Morningstar DBRS maintained a $21.0 million value adjustment, which gives a 50% credit to the $42.0 million in sponsor guaranteed capex. The resulting value of $721.4 million represents a variance of -39.1% from the issuance appraised value of $1.2 billion and corresponds to a Morningstar DBRS loan-to-value ratio (LTV) of 92.2%. Morningstar DBRS maintained positive qualitative adjustments of 8.75% to the LTV Sizing Benchmarks to account for the collateral's superior property quality, its strategic location within a market with numerous demand drivers and high barriers to entry, and historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. INVESCO CLO 2021-1: Moody's Cuts Rating on $20MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Invesco CLO 2021-1, Ltd.: US$20M Class E Deferrable Junior Secured Floating Rate Notes, Downgraded to B1 (sf); previously on Apr 27, 2021 Definitive Rating Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$315M Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 27, 2021 Definitive Rating Assigned Aaa (sf) US$10M Class A-2 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Apr 27, 2021 Definitive Rating Assigned Aaa (sf) US$55M Class B Senior Secured Floating Rate Notes, Affirmed Aa2 (sf); previously on Apr 27, 2021 Definitive Rating Assigned Aa2 (sf) US$27.5M Class C Deferrable Mezzanine Secured Floating Rate Notes, Affirmed A2 (sf); previously on Apr 27, 2021 Definitive Rating Assigned A2 (sf) US$32.5M Class D Deferrable Mezzanine Secured Floating Rate Notes, Affirmed Baa3 (sf); previously on Apr 27, 2021 Definitive Rating Assigned Baa3 (sf) Invesco CLO 2021-1, Ltd., issued in April 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Invesco CLO Equity Fund 3 L.P. The transaction's reinvestment period will end in April 2026. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration in over-collateralisation ratios and loss of par since the last review in May 2025. The affirmations on the ratings on the Class A-1, Class A-2, Class B, Class C and Class D 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 over-collateralisation ratios of the rated notes have declined since the last review in May 2025, reflecting an ongoing trend of deterioration observed during previous periods. According to the trustee report dated February 2026 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 127.37%, 118.77%, 110.00% and 105.22% compared to May 2025 [2] levels of 128.06%, 119.41%, 110.59% and 105.79%, respectively. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. 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: USD484m Defaulted Securities: USD0 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2841 Weighted Average Life (WAL): 4.72 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.84% Weighted Average Coupon (WAC): 4.61% Weighted Average Recovery Rate (WARR): 46.33% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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. 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. JAMESTOWN CLO XI: Moody's Ups Rating on $21MM Class D Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Jamestown CLO XI Ltd.: US$19.5M Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 7, 2025 Upgraded to Aa1 (sf) US$23.5M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Aug 7, 2025 Upgraded to Baa1 (sf) US$21M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba2 (sf); previously on Sep 11, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$260M (Current outstanding amount US$19,242,599) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 11, 2018 Definitive Rating Assigned Aaa (sf) US$44M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 7, 2025 Upgraded to Aaa (sf) US$8M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Aug 7, 2025 Downgraded to Caa3 (sf) Jamestown CLO XI Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Investcorp Credit Management US LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class B, Class C and Class D notes are 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 A-1, Class A-2 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 A-1 notes have paid down by approximately USD79.5 million (30.6%) since the last rating action in August 2025 and USD240.8 million (92.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated January 2026[1] the Class A, Class B, Class C and Class D OC ratios are reported at 180.8%, 149.9%, 124.3% and 107.8% compared to June 2025[2] levels of 148.5%, 133.4%, 118.8% and 108.2%, respectively. Moody's notes that the January 2026[1] principal payments are not reflected in the reported OC ratios. Class D OC ratio reported in the February 2026[3], which consider the principal payments are reported at 108.9%. 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. As per the February In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD144.3 million Defaulted Securities: USD1.1 million Diversity Score: 45 Weighted Average Rating Factor (WARF): 3302 Weighted Average Life (WAL): 2.8 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.1% Weighted Average Recovery Rate (WARR): 45.8% Par haircut in OC tests and interest diversion test: 3.3% 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 February 2026[3] trustee report was published at the time Moody's were completing Moody's analysis of the January 2026[1] 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: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. JP MORGAN 2018-WPT: DBRS Cuts Rating on 2 Cert. Classes to B ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-WPT issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT as follows: -- Class A-FL to BBB (high) (sf) from AAA (sf) -- Class A-FX to BBB (high) (sf) from AAA (sf) -- Class XA-FX to A (low) (sf) from AAA (sf) -- Class B-FL to BB (sf) from AA (low) (sf) -- Class B-FX to BB (sf) from AA (low) (sf) -- Class C-FL to B (sf) from A (low) (sf) -- Class C-FX to B (sf) from A (low) (sf) -- Class X-FL to CCC (sf) from BBB (low) (sf) -- Class XB-FX to CCC (sf) from BBB (low) (sf) -- Class D-FL to CCC (sf) from BB (high) (sf) -- Class D-FX to CCC (sf) from BB (high) (sf) -- Class E-FL to C (sf) from B (high) (sf) -- Class E-FX to C (sf) from B (high) (sf) -- Class F-FL to C (sf) from CCC (sf) -- Class F-FX to C (sf) from CCC (sf) -- Class G-FL to C (sf) from CCC (sf) -- Class G-FX to C (sf) from CCC (sf) Classes X-FL, XB-FX, D-FL, D-FX, E-FL, E-FX, F-FL, F-FX, G-FL, and G-FX have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. All other trends are Negative. At last review in March 2025, Morningstar DBRS changed the trends on all classes to Negative from Stable to reflect the portfolio's steady decline in performance. Since then, the portfolio has continued to show signs of distress. The credit rating downgrades with this review reflect Morningstar DBRS' increased loss expectations for the underlying loan, driven by the trust's worsening exposure as the loan continues to be in default and in special servicing as well as the decline in appraised value since the last review, which Morningstar DBRS anticipates will decline even further. The August 2025 appraisal valued the remaining properties at $1.24 billion, representing a 24.2% decrease from the issuance appraised value for the same properties of $1.61 billion. In addition to the decline in value, outstanding advances and shortfalls continue to accrue, increasing the whole loan exposure to $1.29 billion as of the February 2026 reporting. Given these factors, Morningstar DBRS considered a conservative liquidation scenario in the analysis for this review, the results of which suggest that losses may be incurred into Classes C-FX and C-FL at disposition. In its liquidation scenario, Morningstar DBRS applied a conservative 40.0% haircut to the August 2025 appraised value to provide cushion against the expected continued build of advances and the potential for further value decline. This resulted in a liquidation value of $744.0 million (a whole loan-to-value ratio (LTV) of 173.0% based on total exposure), implying a capitalization rate of 9.8% on the Q3 2025 annualized net cash flow (NCF) of $73.0 million, slightly more than the capitalization rate of 9.5% considered as part of the previous review. Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all current outstanding advances, Morningstar DBRS' liquidation scenario considers that whole loan exposure could reach approximately $1.37 billion. That scenario suggests relatively limited credit support for Classes A-FL, A-FX, B-FL, and B-FX, with losses contained to classes CFL and CFX, supporting the credit rating downgrades and maintenance of Negative trends. At issuance, the loan was secured by the fee and leasehold interests in a portfolio of 147 properties, consisting of nearly 9.9 million square feet of office and flex space. Four properties, which previously represented approximately 1.7% of the total allocated loan amount, have been released from the portfolio. Property releases are permitted upon the following provisions: a prepayment of 115.0% of the original allocated loan amount and a remaining portfolio LTV equal to or less than the issuance LTV or the LTV prior to the release. The mortgage loan was split into a floating-rate component with an original balance of $255.0 million and a fixed-rate loan totaling $1.02 billion, comprising the $850.0-million trust balance and three companion loans totaling $170.0 million. The companion loans are secured across three other Morningstar DBRS-rated transactions: BMARK 2018-B5, BMARK 2018-B6, and BMARK 2018-B7, as well as a fourth deal, BMARK 2018-B8, which Morningstar DBRS did not rate. As of the February 2026 remittance, the whole loan had a balance of $1.23 million, reflecting a 4.5% whole loan reduction since issuance, as a result of property releases and a principal curtailment million associated with a loan modification in July 2023, which extended the loan's maturity date by two years through July 2025. As a condition to the modification, the borrower paid down the loan by $25.0 million, contributed $15.0 million to tenant improvement/leasing commission and replacement reserves, and purchased a 24-month interest rate cap. Additionally, excess cash flow resulting from reserve deposits were applied to pay down the loan up to a cap of $10.0 million. The loan was transferred back to special servicing in November 2024 because of imminent nonmonetary default resulting from reported shortfalls in the cash management account and subsequently failed to repay at the extended maturity date in July 2025. The loan has missed payments since May 2025 and is now listed as nonperforming matured balloon. According to the servicer, foreclosure is actively being pursued, however Morningstar DBRS believes the process will be prolonged given the significant number of properties in the portfolio. Based on the September 2025 servicer reporting, portfolio occupancy was 75.0%, a steep decline from 95.0% at issuance, with leases representing approximately 2.0% of the portfolio's net rentable area expired or scheduled to roll during the remainder of 2026. According to the Q3 2025 reporting, the loan had an annualized NCF of $73.0 million (a debt service coverage ratio (DSCR) of 0.98 times (x)), down from $79.5 million at YE2024 (DSCR of 1.07x) and Morningstar DBRS' NCF of $101.9 million at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-MKST: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------- Moody's Ratings has affirmed four and downgraded two classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST, Commercial Mortgage Pass-Through Certificates, Series 2020-MKST as follows: Cl. A, Downgraded to C (sf); previously on Sep 23, 2025 Downgraded to Caa2 (sf) Cl. B, Downgraded to C (sf); previously on Sep 23, 2025 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Sep 23, 2025 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Sep 23, 2025 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Sep 23, 2025 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Sep 23, 2025 Affirmed C (sf) RATINGS RATIONALE The ratings on two P&I classes, Cl. A and Cl. B, were downgraded due to an increase in Moody's LTV and higher expected losses upon ultimate loan liquidation driven by the declining property performance trends and weaker office fundamentals in the Philadelphia Market West submarket. The downgrades also reflect the prolonged delinquency, accumulation of servicer advances and ongoing interest shortfalls caused by the significant appraisal reduction amount (ARA). Recent servicer commentary indicates the receiver continues management of the property and it has been listed for sale. Based on the outstanding trust balance and Moody's expectations of principal recovery value, Moody's anticipates a significant loss on the remaining loan balance. The ratings on four classes, Cl. C, Cl. D, Cl. E, and Cl. F were affirmed because the ratings are consistent with Moody's expected loss. The loan is last paid through its March 2024 payment date and no interest has been distributed to any of the outstanding classes since the master servicer made a non-recoverability determination in February 2025. As of the February 2026 remittance statement, the outstanding interest shortfalls totaled $47.0 million and there are cumulative advances (P&I and cumulative accrued unpaid advance interest) of $18.7 million. The property's net cash flow (NCF) significantly declined in recent years and was only $9.2 million for the trailing twelve-month period ending September 2025, compared to $16.8 million as of year-end 2024 and $23.6 million in 2020. The property's occupancy also continues to decline and the cash flow is expected to decline further in 2026 as tenants continue to vacate the property. As a result of the lower cash flow, the NCF DSCR has remained below 1.00X since 2021 and the most recent July 2025 appraisal valued the property 72% below the outstanding loan balance (including $7.6 million pari-passu portion not included in the trust). METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. DEAL PERFORMANCE As of the February 2026 distribution date, the transaction's certificate balance was $368 million, the same as at securitization. The interest only, floating rate loan has been in special servicing since August 2022, and a receiver was appointed in May 2023. The mortgage loan (approximately $376 million) consists of the trust loan of $368 million and approximately $7.6 million of the funded portion from the original non-trust note for pari passu future funding. The future advance loan is not an asset of the trust. At securitization, non-trust pari passu future funding up to $22 million was to be advanced in connection with lender-approved capital spending and leasing expenses, however, the future funding period has since expired. Moody's have considered the additional funded leverage of $7.6 million in Moody's analysis. The loan is secured by a fee simple interest in 1500 Market Street, a 1.8 million SF office building in downtown Philadelphia. The collateral for the loan was built in 1974 and primarily comprises two towers — the East Tower and the West Tower. The towers are connected by a three-story atrium. 1500 Market Street occupies an entire city block at 15th and Market Streets in Philadelphia's CBD, directly adjacent to City Hall. The subject features its own on-site subterranean parking garage with access to Philadelphia's SEPTA and New Jersey Transit's transportation networks. The Philadelphia CBD submarket fundamentals have significantly weakened since securitization and have remained elevated in recent quarters. According to CBRE, the Market West vacancy rate was 16% as of Q4 2025, significantly higher than 7% in 2019. The property was 55% leased as of the October 2025 rent roll but is expected to drop to below 25% by year-end 2026 due to lease expirations and expected tenant departures. The property's financials remain well below expectations at securitization with the net cash flow (NCF) for the trailing twelve-month period ending September 2025 having dropped to $9.2 million from $16.8 million in 2024 and $20.6 million in 2020. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's uncapped floating rate NCF DSCR remains well below 1.00X and was less 0.50X through September 2025. The aggregate outstanding interest shortfalls totaled $47.0 million (including $32.5 million of cumulative non-recoverable interest since the loan's non-recoverable determination) as of the February 2026 remittance statement and the loan has outstanding servicer advances (inclusive of accrued unpaid interest on advances) of $18.7 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The most reported appraisal value from July 2025 valued the property 72% lower than the total outstanding loan balance and resulted in an appraisal reduction amount of $315.5 million. Due to the significant cash flow and performance declines, Moody's value is now significantly below the outstanding certificate balance and Moody's LTV and Adjusted Moody's LTV are above 500% based on the first mortgage balance (including the non-trust pari passu balance of $7.6 million). No losses have been realized as of the current distribution date. JP MORGAN 2026-2: Fitch Assigns 'B-sf' Rating on Class B5 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2026-2 (JPMMT 2026-2). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-2 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch Ratings has rated the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2026-2 (JPMMT 2026-2), as indicated above. The certificates are supported by 291 loans with a scheduled balance of $403.70 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by United Wholesale Mortgage, LLC, CrossCountry Mortgage LLC, PennyMac Loan Services LLC, and MAXEX Clearing LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JPMCB, PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage LLC is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC) and the subordinate certificates are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first-lien residential mortgage loans with original terms to maturity of 30 years, and 66.3% of the loans are purchases, over 90% of the loans are single family/PUDs, and 100% of the loans are owner occupied or second homes. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 773, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 73.2%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 79.8%. This transaction has a final probability of default (PD) of 10.76% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.28%. The expected loss in the 'AAAsf' rating stress is 3.80%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in JPMMT 2026-2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.05% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (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% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-2 to be fully de-linked and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-2; therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.2%, in the 'Bsf' case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from SitiusAMC, Consolidated Analytics, Maxwell, and Opus, all assessed as 'Acceptable' TPR firms by Fitch. Fitch was proved Form 15E by the TPR firms. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. All the loans in the pool had a grade of "A" or "B." Fitch considered this information in its analysis and, as a result, Fitch applied an approximate 5-bp origination z-score credit for loans fully reviewed by the TPR firm that have a final grade of either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance (100.0% by loan count). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Maxwell, Opus, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape was reviewed by the due diligence companies, 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. JP MORGAN 2026-ACES1: S&P Assigns 'B- (sf)' Rating on B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2026-ACES1'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, condominiums, townhouses, and unknown housing properties. The pool has 73,912 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), non-QM/compliant, and QM rebuttable presumption. 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 originator; 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) J.P. Morgan Mortgage Trust 2026-ACES1 Class A1, $3,054,566,000: AAA (sf) Class A1A, $4,363,666,000: AAA (sf) Class A1B, $3,054,566,000: AAA (sf) Class A1C, $1,309,100,000: AAA (sf) Class A1D, $3,054,566,000: AAA (sf) Class A1DX, Notional(ii): AAA (sf) Class A1E, $3,054,566,000: AAA (sf) Class A1EX, Notional(ii): AAA (sf) Class A1-IO, Notional(ii): AAA (sf) Class A1F, $1,309,100,000: AAA (sf) Class A1-X, Notional(ii): AAA (sf) Class A2, $203,239,000: AA- (sf) Class A2A, $290,342,000: AA- (sf) Class A2B, $203,239,000: AA- (sf) Class A2C, $87,103,000: AA- (sf) Class A2-IO, Notional(ii): AA- (sf) Class A2F, $87,103,000: AA- (sf) Class A2-X, Notional(ii): AA- (sf) Class A3, $191,283,000: A- (sf) Class A3A, $273,262,000: A- (sf) Class A3B, $191,283,000: A- (sf) Class A3C, $81,979,000: A- (sf) Class A3-IO, Notional(ii): A- (sf) Class A3F, $81,979,000: A- (sf) Class A3-X, Notional(ii): A- (sf) Class A4, $3,257,805,000: AA- (sf) Class A4A, $4,654,008,000: AA- (sf) Class A4B, $3,257,805,000: AA- (sf) Class A4C, $1,396,203,000: AA- (sf) Class A4-IO, Notional(ii): AA- (sf) Class A4F, $1,396,203,000: AA- (sf) Class A4-X, Notional(ii): AA- (sf) Class A5, $3,449,088,000: A- (sf) Class A5A, $4,927,270,000: A- (sf) Class A5B, $3,449,088,000: A- (sf) Class A5C, $1,478,182,000: A- (sf) Class A5-IO, Notional(ii): A- (sf) Class A5F, $1,478,182,000: A- (sf) Class A5-X, Notional(ii): A- (sf) Class A6, $3,702,426,000: BBB- (sf) Class A6A, $5,180,608,000: BBB- (sf) Class A6B, $3,702,426,000: BBB- (sf) Class A6C, $1,731,520,000: BBB- (sf) Class M-1, $253,338,000: BBB- (sf) Class B-1, $207,793,000: BB- (sf) Class B-2, $176,483,000: B- (sf) Class B-3, $128,092,183: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class A-R, N/A: Not rated (i)The ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)The notional amount of class A-1DX, A-1EX, and A1-IO equals to the class principal balance of the class A1; for class A1-X equals to the class principal balance of the class A1F; for class A2-IO equals to the class principal balance of the class A2; for class A2-X equals to the class principal balance of the class A2F; for class A3-IO equals to the class principal balance of the class A3; for class A3-X equals to the class principal balance of the class A3F; for class A4-IO equals to the aggregate class principal balance of classes A1 and A2; for class A4-X equals to the aggregate class principal balance of classes A1F and A2F; for class A5-IO equals to the aggregate class principal balance of classes A1, A2, and A3; for class A5-X equals to the aggregate class principal balance of classes A1F, A2F, and A3F. The notional amount of classes A-IO-S and XS equals to the sum of the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period. IO--Interest only. N/A--Not applicable. JPMBB 2015-C28: DBRS Confirms C Rating on 3 Cert. Classes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by JPMBB Commercial Mortgage Securities Trust 2015-C28 as follows: -- Class C at A (low) (sf) -- Class X-C at A (sf) -- Class EC at A (low) (sf) -- Class D at B (high) (sf) -- Class X-D at BB (low) (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-E at C (sf) Classes E, F, and X-E have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The trends on the remaining classes are Stable. At the previous credit rating action in March 2025, Morningstar DBRS downgraded five classes to reflect the loss projections contributed by The Club Row Building (Prospectus ID#6, 38.5% of the current pool balance), which transferred to special servicing in January 2025. In addition, Morningstar DBRS had concerns regarding three larger retail loans (Walgreens Net Lease Portfolio III (Prospectus ID#9, 27.9% of the current pool balance), Walgreens Net Lease Portfolio IV (Prospectus ID#10, 27.0% of the current pool), and Shops at Waldorf Center (Prospectus ID#2, previously 28.7% of the pool)) for upcoming rollover and potential store closures. The credit rating confirmations and Stable trends with this review reflect the recoverability expectations for the remaining loans in the pool and the relatively unchanged credit outlook for the transaction since the prior credit rating action. While The Club Row Building loan remains in special servicing, the loan is current, as the borrower and lender are actively discussing a potential loan modification. Morningstar DBRS' liquidation scenario for the loan projects a total loss of $29.5 million, up from $22.0 million in March 2025, which would erode the entire Class F and nonrated class balances and approximately 10.0% of the Class E balance, supporting the credit rating confirmation at C (sf) for Class E. In addition, the Shops at Waldorf Center loan was repaid in full with the August 2025 remittance with no loss to the trust, while the Homewood Suites Indianapolis loan (Prospectus ID#26, 6.6% of the current pool balance) was transferred back to the master servicer as a corrected mortgage in November 2025 following a loan modification. Morningstar DBRS considered conservative stressed value scenarios for the non-specially serviced loans that indicate total value deficiencies would likely be contained to the Class E certificate, supporting the credit rating confirmations and Stable trends for Classes C and D. As of the January 2026 remittance, four loans remained in the pool with an aggregate principal balance of $116.8 million, a collateral reduction of 89.8% from issuance. Since the prior credit rating action, nine loan repayments contributed $140.8 million of principal paydown, fully repaying Classes A-S and B and approximately 85.0% of the outstanding Class C balance. Morningstar DBRS analyzed the remaining loans with conservative liquidation scenarios or value exercises to inform ultimate recoverability prospects. The specially serviced loan, The Club Row Building, is secured by a Class B office building in Midtown Manhattan that transferred to special servicing in January 2025 for maturity default. The property's physical occupancy rate has continuously declined year over year, most recently being reported at 55.7% as of the October 2025 rent roll. The loan's debt service coverage ratio (DSCR) was reported at 1.32 times as of YE2024 but has since declined to below breakeven during the trailing nine-month period ended September 30, 2025. Despite the low occupancy and declining DSCR, the loan remains current, and according to special servicer commentary, a loan modification has been conditionally approved. Morningstar DBRS, however, remains concerned about the property's leasing prospects as occupancy has declined every year since 2019. Given the subject's Class B construction and the declining demand for office space, Morningstar DBRS estimates the as-is value has fallen significantly from issuance, with a balloon loan-to-value ratio of significantly more than 100.0%. In the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a conservative 75% haircut to the $250.0 million issuance appraisal value, resulting in a total loss of $29.5 million and a 66.0% loss severity. Morningstar DBRS also has ongoing concerns regarding the two Walgreens-backed loans (Walgreens Net Lease Portfolio III & IV) that collectively represent 54.9% of the remaining pool balance. The loans are each secured by a portfolio of eight Walgreens locations across four states. Although the borrower continues to make timely debt service payments, the credit quality of Walgreens remains uncertain. The 15-year leases are structured with 12 five-year extension options, however Walgreens' parent company, Walgreens Boots Alliance, was acquired by private equity firm Sycamore Partners Inc. in August 2025 in an effort to overhaul performance. In addition, 1,200 store closures are expected over the next few years, including more than 500 closures in 2025. Following a collective principal curtailment of $1.1 million in March 2025, the loans are amortizing in accordance with the January 2025 anticipated repayment date. As a result of these developments and Walgreens' questionable future, Morningstar DBRS is concerned with refinance prospects. As such, Morningstar DBRS analyzed both loans with a stressed value analysis which included a 9.0% capitalization rate applied to the YE2024 net cash flow. The total projected value deficiency is $9.1 million. The Homewood Suites Indianapolis loan is secured by a 116-key extended-stay lodging property in Indianapolis. The loan transferred to special servicing in February 2025 after failing to repay prior to the loan's February 2025 loan maturity. Following an October 2025 loan modification, the loan was returned to the master servicer as a corrected mortgage in November 2025. Terms of the modification included a loan term extension to February 2027 with two one-year extension options and a borrower equity injection of $500,000 to pay down the loan balance. A $1.0 million principal curtailment was recorded with the September 2025 remittance. A drop in occupancy since YE2022 and an increase in operating expenses has caused the DSCR to fall below breakeven. The revenue per available room penetration rate was 96.3% as of the December 2025 STR report. The collateral was appraised for $8.1 million in April 2025, less than half of the $16.4 million appraised value at issuance. Morningstar DBRS analyzed the loan with a value exercise which included a 20% haircut to the April 2025 appraised value, resulting in a value deficiency of $1.2 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2016-JP2: DBRS Cuts Rating on Cl. C Certs to Csf ----------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2016-JP2 issued by JPMCC Commercial Mortgage Securities Trust 2016-JP2 as follows: -- Class X-A to A (high) (sf) from AA (high) (sf) -- Class A-S to A (sf) from AA (sf) -- Class X-B to B (high) (sf) from A (sf) -- Class B to B (sf) from A (low) (sf) -- Class C to C (sf) from BB (low) (sf) -- Class D to C (sf) from CCC (sf) -- Class X-C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class E at C (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes A-4, A-S, and X-A to Negative from Stable and maintained the Negative trends on Classes B and X-B. Classes C, D, E, F, and X-C have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. With this review, Morningstar DBRS also discontinued the credit rating on Class A-3 as the class was repaid with the February 2026 remittance report. The credit rating downgrades reflect the increased loss projections based on a recoverability analysis for the 26 remaining loans in the pool, including five loans that are in special servicing (26.3% of the pool) as well as several other loans with dwindling performance metrics. The pool is currently winding down, and, with the exception of one loan (1.0% of the pool), the remaining loans in the pool will mature by July 2026. In the analysis for this review, Morningstar DBRS analyzed each of the specially serviced loans with liquidation scenarios based on haircuts, ranging from 10% and 30%, to the most recent appraised values. As a result, projected liquidated losses have increased to $123.6 million, fully eroding Classes D, E, F, and the nonrated NR certificate balances, as well as nearly a fourth of the Class C certificate balance, significantly reducing the credit support for Classes A-S and B, thereby supporting the credit rating downgrades. Additionally, outside of the loans in special servicing, Morningstar DBRS has identified seven loans, representing about 14.0% of the pool, with elevated refinance risk because of declining occupancy and net cash flow (NCF) figures that could lead to more value stress and increase the likelihood of realized losses further up the capital stack. As of February 2026, interest shortfalls increased to $5.7 million, compared with $2.6 million at the last credit rating action. The Negative trends reflect Morningstar DBRS' persistent concern about the uncertain resolution timing for the specially serviced loans in the maturing pool, the potential for value deterioration and cash flow volatility for nonperforming loans, and the likelihood that interest shortfalls will continue to increase, eventually infringing upon the Morningstar DBRS tolerance for the respective credit rating categories. As of the February 2026 remittance, 26 of the original 47 loans remain in the trust, with an aggregate balance of $569.7 million, representing a collateral reduction of 39.4% since issuance. Five loans, with a balance of $132.8 million representing 23.3% of the pool, are fully defeased and compose nearly half of the Class A-4 balance, which is a primary driver of the credit rating confirmation for that certificate, along with healthy performance for an additional 10 loans (37.6% of the pool) that Morningstar DBRS expects to repay at their upcoming maturities. The largest contributor to Morningstar DBRS' projected losses is 100 East Pratt (Prospectus ID#5, 8.2% of the pool), a 662,708-square-foot (sf) Class A office building in downtown Baltimore, Maryland. The loan transferred to special servicing in May 2025 for imminent monetary default and is currently delinquent, having last paid in June 2025, and matures in April 2026. The transfer came with the departure of T. Rowe Price (formerly 66.9% of the net rentable area (NRA)) when it exercised an early termination option in 2024 ahead of its 2027 lease expiration. According to the most recent operating statement, this brought the YE2025 occupancy to 19.9% compared with the YE2024 occupancy of 90.4%. In addition, six tenants representing 10.7% of the NRA have leases that recently expired or are scheduled to expire in the next 12 months. The recent declines in occupancy have put significant pressure on cash flow as evidenced by the steep decline in NCF to $4.8 million as of YE2025 from $14.2 million as of YE2024, with the possibility of further declines in the near term. The most recent appraisal as of August 2025 valued the property at $31.5 million, 83.2% below the issuance appraised value of $187.8 million. Morningstar DBRS analyzed the loan under a liquidation scenario based on a 25% haircut to the most recent appraised value, resulting in an implied loss of $41.2 million and loss severity of 89%. The largest loan in special servicing is the Marriott Atlanta Buckhead loan (Prospectus ID#4, 8.7% of the pool), a 349-key, full-service hotel in Atlanta, Georgia. The loan transferred to special servicing in September 2024 for payment default. In 2008, the property underwent a $45.0 million renovation that transformed the subject from a Sheraton to a Marriott International (Marriott) flagship with the franchise agreement extending through December 2037. However, per the servicer, the Marriott franchise flag was terminated in December 2024 and the borrower executed a new Wyndham franchise agreement later that month for a 15-year term with no renewal options. The servicer confirmed that no property improvement plan was completed with the flag change. As of the most recent STR, Inc. report, for the trailing 12-month period (T-12) ended December 2024, the property reported an occupancy rate of 57.5%, average daily rate of $147.33, and revenue per available room (RevPAR) of $84.68, underperforming within its competitive set with a RevPAR penetration of 92.9%. An updated appraisal valued the property at $28.9 million as of October 2025, a 62.9% decline from the issuance appraised value of $78.0 million. Morningstar DBRS liquidated the loan from the pool with a 20% haircut to the most recent appraised value, resulting in an implied loss of $36.2 million and loss severity of 73%. Notes: All figures are in U.S. dollars unless otherwise noted. KAWARTHA BOREAL 2024-1: DBRS Confirms BB(high) Rating on E Notes ---------------------------------------------------------------- DBRS, Inc. confirmed the following credit ratings on the Senior Tranche, the Tranche B, the Tranche C, the Trance D, and the Tranche E (collectively, the Tranche Amounts) of Kawartha CAD Ltd. (the Issuer) pursuant to Schedule 1 of the executed Junior Loan Portfolio Financial Guarantee (the Financial Guarantee) dated April 15, 2024, between the Issuer as Guarantor and the Bank of Montreal (BMO) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO (rated AA with a Stable trend by Morningstar DBRS): -- Senior Tranche at AAA (sf) -- Tranche B at AA (low) (sf) -- Tranche C at A (sf) -- Tranche D at BBB (low) (sf) -- Tranche E at BB (high) (sf) The credit ratings on the Tranche Amounts address the likelihood of a reduction to the respective tranche notional amounts resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date. For obligors within the guaranteed portfolio, default events are limited to payment default, insolvency, and restructuring events. The credit ratings on the Tranche Amounts take into consideration only the creditworthiness of the reference portfolio. The credit ratings neither address counterparty risk nor the likelihood of any event of default or termination event under the agreement occurring. BMO bought protection under the Financial Guarantee for certain issued notes in respect of such Protected Tranche (as defined in the Financial Guarantee). The payment of principal and interest (the Guarantee Fee Amount, as defined in the Financial Guarantee) on the Notes is subject to additional counterparty credit risk associated with the Beneficiary's ability to pay such amounts. As a result, if Morningstar DBRS were to rate such Notes, even if they are pari passu with a related Tranche Amount, Morningstar DBRS' credit ratings on the Notes may be different than the credit ratings assigned to the related Tranche Amounts. Morningstar DBRS also confirmed the following credit rating on the Boreal 2024-1 Class E Notes (the Class E Notes) issued by Kawartha CAD Ltd. referencing the Financial Guarantee dated April 15, 2024, between the Issuer with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO: -- Class E Notes at BB (high) (sf) Morningstar DBRS' credit rating on the Class E Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the timely payment of interest (the Guarantee Fee Amount) and ultimate payment of principal on or before the Scheduled Termination Date. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025). Morningstar DBRS confirmed the credit ratings on the Tranche Amounts and on the Class E Notes as a result of the transaction's current performance. Kawartha CAD Ltd., Boreal 2024-1 is a synthetic risk transfer transaction with BMO as the Beneficiary. The Scheduled Termination Date is May 20, 2029. The Replenishment Period End Date is November 20, 2026. Morningstar DBRS analyzed the reference obligations in the reference pool as reported in the portfolio report on December 31, 2025. As of December 31, 2025, certain Replenishment Criteria were not met. Morningstar DBRS considered these failures in its analysis. Morningstar DBRS analyzed the transaction using its CMBS Insight Model and CLO Insight Model, based on certain reference portfolio characteristics, including Eligibility Criteria and Replenishment Criteria, as defined in the Financial Guarantee. The reference portfolio consists of well-diversified CRE secured loans across various obligors. The model-based analysis produced satisfactory results. Considering the transaction performance, as well as its legal aspects and structure, Morningstar DBRS confirmed its credit ratings on the Tranche Amounts and Notes. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Financial Guarantee, dated as of April 15, 2024. (2) The integrity of the transaction structure and the form and sufficiency of available credit enhancement. (3) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (4) The ability of the Tranche Amounts to withstand projected collateral loss rates under various stress scenarios. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. (6) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO. To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. Notes: All figures are in U.S. dollars unless otherwise noted. LCM 39 LTD: Moody's Upgrades Rating on $1MM Class F-R Notes to B2 ----------------------------------------------------------------- Moody's Ratings has assigned a rating to one class of CLO refinancing notes (collectively, the "Refinancing Notes") issued by LCM 39 Ltd. (the "Issuer"). Moody's rating action is as follows: US$276,750,000 Class A-1-R2 Senior Floating Rate Notes due 2034 (the "Class A-1R2 Notes"), Assigned Aaa (sf) Additionally, Moody's have taken rating action on the following outstanding notes originally issued by the Issuer on October 21, 2022 (the "Original Closing Date"): US$1,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2034 (the "Class F-R Notes"), Upgraded to B2 (sf); previously on October 25, 2024 Assigned B3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the rating is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. LCM EURO II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued six other classes of secured notes and 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. These include: extensions of the non-call period. The upgrade rating action on the Class F-R Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, the Notes benefited from a shortening of the weighted average life (WAL). 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: $442,443,413 Defaulted par: $1,737,392 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3200 Weighted Average Spread (WAS) : 3.20% Weighted Average Recovery Rate (WARR): 46.38% Weighted Average Life (WAL): 5.26 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. MAN CAPITAL 2021-2R: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Man Capital CLO 2021-2R Ltd. reset transaction. Entity/Debt Rating ----------- ------ Man Capital CLO 2021-2R Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1R LT AAsf New Rating B-FR LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Man Capital CLO 2021-2R Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Man Capital Management LLC. The transaction originally closed on November 4, 2021 and will be refinanced in whole on February 27, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.16, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.05% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.97% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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 between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R 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 Man Capital CLO 2021-2R 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. MANUFACTURED HOUSING: S&P Lowers Class A-7 Certs Rating to 'D(sf)' ------------------------------------------------------------------ S&P Global Ratings completed its review of its rating on Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-4's class A-7 certificates. As a result of its review, S&P lowered its rating on the class to 'D (sf)' from 'CC (sf)'. S&P subsequently withdrew its rating on the class. The transaction is a U.S. ABS transaction backed by manufactured housing loans. The downgrade on the class A-7 certificates followed the transaction's failure to make the full principal payment on the certificates' final scheduled distribution date in February 2026. MOFT 2020-B6: DBRS Confirms B Rating on 2 Cert. Classes ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-B6 issued by MOFT 2020-B6 Mortgage Trust as follows: -- Class A at BBB (high) (sf) -- Class B at BB (high) (sf) -- Class C at B (sf) -- Class D at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying collateral, which continues to benefit from full occupancy by a single investment-grade rated entity. The transaction is secured by the borrower's fee-simple interest in Moffett Place-Building 6, a 314,400-square-foot (sf) Class A, LEED Gold-certified office building in Sunnyvale, California. The property is one of six identical buildings that make up the Moffett Place campus. The campus is within the greater Moffett Park development, a 519-acre office park, which has been redeveloped over the past 15 years and includes world-leading software, technology, and creative tenants including Alphabet Inc., Amazon.com, Inc., Microsoft Corporation, Yahoo Inc., and Meta Platforms, Inc. The loan is sponsored by an affiliate of Jay Paul Company, a privately held real estate development firm with a focus on the acquisition and development of high-end office projects for large Silicon Valley technology firms. The $67.4 million subject transaction is part of a $200.0 million whole loan and consists of two junior notes, totaling $66.9 million and $0.5 million of senior debt. Seven senior pari passu notes, totaling $132.6 million, are securitized in the BMARK 2020-B20 and BMARK 2020-B19 transactions (not rated by Morningstar DBRS), and there is $49.0 million in mezzanine financing. The fixed-rate loan is interest only throughout the 10-year term and is scheduled to mature in August 2030. The building is 100.0% leased to Google LLC (Google), whose parent company, Alphabet Inc., is publicly rated investment grade by S&P Global Ratings and Moody's Ratings. While Google has made approximately 1.5 million sf of its space available for sublease across the Mountainview and Sunnyvale submarkets, including several buildings within the Moffet Place campus, Morningstar DBRS did not find any information showing the collateral being included in any publicly reported sublease listings. Google's lease is scheduled to expire in January 2029, prior to loan maturity in August 2030; however, the lease includes two, seven-year renewal options at 100.0% of fair-market rent. There is no lease termination option. Should Google fail to provide a renewal notice 20 months prior to lease expiration, the loan is structured with a cash flow sweep provision that is expected to generate $12.3 million (approximately $40.00 per square foot (psf)) for future re-leasing costs. Google's lease includes 2.0% annual rent steps that are higher than the $50.00 psf base rental rate it paid at issuance. Overall, Google's footprint across the Moffet Park campus exceeds 800,000 sf, and it continues to be one of the San Francisco Bay Area's largest corporate tenants. According to the financial reporting for the trailing six-month period ended June 30, 2025, the property generated annualized net cash flow (NCF) of $16.8 million, reflecting a debt service coverage ratio (DSCR) of 1.69 times (x). The NCF figure is higher than the YE2024 and issuance figures of $16.7 million (a DSCR of 1.67x) and $15.9 million (a DSCR of 3.50x), respectively. According to Reis, the Santa Clara/Sunnyvale office submarket reported a Q4 2025 vacancy rate of 22.9%. While the submarket vacancy rate continues to remain elevated, the average asking rental rate and effective rental rate for the same period was reported at $50.40 psf and $38.60 psf, respectively, indicating landlords may be offering concession packages to sign tenants. In the analysis for this review, Morningstar DBRS maintained the $14.6 million NCF assumption from issuance, in addition to the 7.25% capitalization rate (cap rate), which was increased by 75 basis points at the April 2024 credit rating action. The increased cap rate reflected the decreased demand for office space in the Sunnyvale submarket since transaction issuance. The resulting Morningstar DBRS Value of $200.9 million represents a -10.3% variance and a -44.0% variance from the respective Morningstar DBRS Value and appraised value derived at issuance. The Morningstar DBRS Value implies a loan-to-value (LTV) ratio of 99.5%, compared with the appraised LTV of 55.8% when excluding mezzanine debt. Morningstar DBRS' value analysis suggests the lower-rated Class B and C certificates are most susceptible to increased credit risk, should Google vacate the property at lease expiry and the value of the collateral declines at maturity. Morningstar DBRS maintained positive qualitative adjustments, totaling 7.0% in the LTV sizing benchmarks, to reflect the low cash flow volatility, Class A property quality, and general desirability of the Moffett Park development, which is conveniently located near major freeways, public mass transit options, and major attractions. Notes: All figures are in U.S. dollars unless otherwise noted. MONTAUK PARK: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Montauk Park CLO, Ltd. Entity/Debt Rating ----------- ------ Montauk Park CLO, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Montauk Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.93 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.2% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 49% 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 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 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-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-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Montauk Park CLO, 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. MORGAN STANLEY 2019-L2: Fitch Lowers Rating on 2 Tranches to 'B-' ----------------------------------------------------------------- Fitch Ratings has downgraded eight classes and affirmed five classes of Morgan Stanley Capital I Trust 2019-L2 commercial mortgage pass-through certificates, series 2019-L2 (MSC 2019-L2). Following their downgrades, class B, C, D, E, X-B and X-D were assigned Negative Rating Outlooks. The Outlook on class A-S was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSC 2019-L2 A-3 61768HAV8 LT AAAsf Affirmed AAAsf A-4 61768HAW6 LT AAAsf Affirmed AAAsf A-S 61768HAZ9 LT AAAsf Affirmed AAAsf A-SB 61768HAU0 LT AAAsf Affirmed AAAsf B 61768HBA3 LT Asf Downgrade AA-sf C 61768HBB1 LT BBBsf Downgrade A-sf D 61768HAC0 LT BBsf Downgrade BBBsf E 61768HAE6 LT B-sf Downgrade BBsf F-RR 61768HAG1 LT CCsf Downgrade CCCsf G-RR 61768HAJ5 LT Csf Downgrade CCsf X-A 61768HAX4 LT AAAsf Affirmed AAAsf X-B 61768HAY2 LT Asf Downgrade AA-sf X-D 61768HAA4 LT B-sf Downgrade BBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses increased to 7.65% from 5.5% at Fitch's prior rating action. Seven loans were flagged as Fitch Loans of Concern (FLOCs; 20.5% of the pool), including three loans (9.6%) in special servicing. The downgrades reflect increased pool loss expectations since Fitch's last rating action, primarily driven by higher expected losses on the One AT&T Center loan (7%). The increased loss expectations reflect the recent development that the single tenant is relocating its headquarters and will be vacating the property. Pool loss expectations also reflect elevated losses and increasing exposure for two specially serviced loans, State of Kentucky Portfolio (2.5%) and 199 Lafayette Street (2.4%). The Negative Outlooks reflect the potential for further downgrades without performance stabilization or with additional valuation declines of the aforementioned FLOCs, most notably for the One AT&T Center loan, which could see further valuation declines given the challenges to stabilization and increasing headwinds in the downtown Dallas office market. Largest Loss Contributors: The largest overall contributor and the largest increase in loss expectations since Fitch's prior rating action is the One AT&T Center loan, which is secured by a 965,800-sf office building located in Dallas, TX. The loan is designated as a FLOC due to heightened refinance risk stemming from reports that AT&T will vacate the subject property. Media reports indicate construction is underway on a new AT&T headquarters campus in Plano, TX and employee relocations could begin as early as 2028. AT&T's lease runs through December 2031, which is three years beyond loan maturity. The lease is guaranteed by AT&T Inc, which is rated 'BBB+'/Rating Watch Negative as of January 2026. Fitch's 'Bsf' rating case loss of approximately 31% (prior to concentration adjustments) reflects a 10% cap rate and a 25% stress to the YE 2024 NOI. Fitch also applied an increased probability of default due to the heightened maturity default risk. This results in a Fitch stressed value of $122 psf which is in line with Fitch's dark value of $117 psf at issuance and with comparable recent appraised values in the submarket. The second largest overall contributor to pool loss expectations is the State of Kentucky Portfolio (2.5%), which consists of five office properties in Frankfort, KY. The loan transferred to special servicing in August 2022 due to monetary default. According to servicer updates, the special servicer is in the process of taking title to the asset. Fitch's 'Bsf' rating case loss of approximately 74% is based on a haircut to the most recent appraisal value, which reflects a stressed value of $29 psf. The third largest contributor to overall pool loss expectations is the 199 Lafayette Street asset (2.4%), which is secured by a 20,000-sf retail building located in New York, NY. The loan transferred to special servicing in July 2020 due to monetary default due to the pandemic. According to servicer updates, foreclosure is being pursued. As of September 2025, the property was 91% occupied. Fitch's 'Bsf' rating case loss of approximately 43% is based on a haircut to the most recent appraisal value, which reflects a stressed value of $800 psf. Credit Enhancement: As of the January 2026 distribution date, the pool has paid down by 7.7% to $863.1 million from $934.9 million at issuance. Six loans (12.7%) have been fully defeased. 30 loans (68%) are full term interest-only. The transaction has $4.6 million in realized losses to date and interest shortfalls of $4.3 million are affecting classes F-RR, G-RR and H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to the junior 'AAAsf' rated class with a Negative Outlook could occur with continued downward pressure on the valuation of One AT&T Center, with outsized losses on the larger FLOCs of if additional loans default at or prior to maturity. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories may occur if losses exceed expectations due to continued underperformance of the FLOCs - particularly One AT&T Center - and from retail and office loans with deteriorating performance or exposure to single tenant rollover. Notable loans of concern include State of Kentucky Portfolio, 199 Lafayette Street, 97 2nd Avenue and 328 Bowery. Downgrades to classes rated in the 'BBsf' and Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs should additional loans transfer to special servicing or default and as losses are realized or become more certain. Downgrades to distressed ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' and 'BBBsf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilization of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in the transaction. This will occur only if the performance of the remaining pool is stable and recoveries on the FLOCs and special serviced loans and FLOCs are better than expected - primarily, One AT&T, the State of Kentucky Portfolio and 199 Lafayette Street. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans and/or significantly improved performance of the 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. MORGAN STANLEY 2021-230P: S&P Affirms 'CCC (sf)' Rating on D Certs ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2021-230P, a U.S. CMBS transaction. At the same time, S&P affirmed its rating on one other class from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by an unhedged, floating-rate (indexed to SOFR plus a 2.64% loan spread), interest-only (IO) mortgage loan totaling $670.0 million (as of the February 2026 trustee remittance report). The loan is secured by the borrower's fee-simple interest in 230 Park Avenue, a landmarked 1929-built, 34-story, 1.39 million sq. ft. class B+ office tower, also known as the Helmsley Building, in the Grand Central office submarket of midtown Manhattan. Rating Actions The downgrades on classes A, B, and C and affirmation on class D primarily reflect: -- S&P said, "Our net recovery value, which is 13.2% lower than the valuation we derived in our last reviews in July and September 2025, primarily due to stagnant net cash flow (NCF) and a low 55.8% occupancy at the property, as of the Sept. 30, 2025, rent roll, which is below our assumed 70.0%." -- The property's limited leasing activity despite stabilized fundamentals in its office submarket and its desirable location. S&P said, "We believe the sponsor needs to invest significant capital to improve the property's performance. We increased our capitalization rate assumption to reflect this as well as the potential for additional volatility in NCF and occupancy at the property." S&P's view that net recoveries to the bondholders may decline further due to increases in the advancing amount and continued protracted resolution timing. To date, $29.7 million has been advanced and accrued. The loan has been in special servicing since October 2023. There is uncertainty about whether the borrower and special servicer will be able to finalize a potential loan modification when the forbearance period ends on March 14, 2026. The affirmation on class D at 'CCC (sf)' further reflects S&P's qualitative consideration that the repayment is dependent on favorable business, financial, and economic conditions and that the class is vulnerable to default. The downgrade on the class X-EXT IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references class A. The loan transferred to special servicing on Oct. 19, 2023, due to imminent maturity default. The loan matured Dec. 8, 2023, and is currently unhedged. The special servicer has granted several forbearances to provide additional time for the borrower to resolve the special servicing transfer. The borrower is currently performing under a forbearance agreement that expires on March 14, 2026. According to the special servicer's comments, the borrower is given more time to raise additional funds pursuant to a potential loan modification. While the borrower has funded approximately $14.0 million to date as part of the prior forbearances, it is uncertain if the borrower will commit more capital to the transaction if the borrower's ability to raise additional funds is unsuccessful. It is our understanding that if a loan modification is not finalized, the special servicer will commence foreclosure proceedings. In addition, as of the February 2026 reporting period, there is approximately $15.9 million in reserves, a majority of which is held in the rollover reserve account. As of the February 2026 trustee remittance report, the $670.0 million loan had an exposure totaling $699.7 million, which primarily includes $26.7 million of cumulative tax and insurance advances, $2.7 million of accrued unpaid advance interest, and $325,232 of other expense advances. The loan exposure was $689.5 million and $698.4 million in our last reviews in July and September 2025, respectively. 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 resolve the special servicing transfer. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond those that we have already considered, lower appraisal value, accelerated increases in the advance amount, or resolution strategy that negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take further rating actions as we determined necessary." Property-Level Analysis Update As of the Sept. 30, 2025, rent roll, the property was approximately 55.8% occupied, which is below S&P's assumed 70.0% rate in its 2025 reviews. According to CoStar, the Grand Central office submarket, where the property is located, continues to outperform the overall New York City market. As of February 2026, the average market rents in the submarket are reportedly one of the highest, at around $83.00 per sq. ft. CoStar projects the vacancy rate to decline over the next couple of years to 13.3% in 2028 from 14.0% currently. According to the September 2025 rent roll, the property had a 44.2% vacancy rate and a gross rent of $79.96 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, we consider that the actual property performance has not materially changed from our last reviews and that the submarket conditions continue to improve and stabilize. As a result, similarly to our last reviews, we assumed a stabilized occupancy rate of 70.0% to arrive at an S&P Global Ratings' NCF of $30.1 million. Utilizing an 8.00% S&P Global Ratings' capitalization rate (up from 7.00% at our last reviews, which reflects our perceived higher risk premium because we anticipate additional time and capital to stabilize the property's performance and the risk of a prolonged resolution that may impact tenant demand and leasing at the property) and adding $6.0 million for the present value of the Industrial and Commercial Abatement Program real estate tax savings and deducting $13.8 million for net advances and accruals to date, we arrived at an S&P Global Ratings' net recovery value of $368.4 million, or $265 per sq. ft., which is 13.2% lower than our last reviews and 52.8% below the updated appraised value as of July 2025 of $780.0 million. Based on our revised value, S&P Global Ratings' loan-to-value ratio is 181.9%. Based on our analysis, the S&P Global Ratings asset quality score is 3.0, and the S&P Global Ratings income stability score is 2.5." Table 1 Servicer-reported collateral performance Nine months ending Sep 2025(i) 2024(i) 2023(i) Occupancy rate (%) 55.0 80.0 83.0 Net cash flow (mil. $) 20.6 37.1 38.4 Debt service coverage (x) 0.58 0.63 0.75 Appraisal value (mil. $)(ii) 780.0 770.0 1,250.0 (i)Reporting period. (ii)As of July 2025, October 2024, and September 2023 respectively. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2026)(i) (i)(ii) (Dec 2021)(i) Occupancy rate (%) 70.0 70.0 80.1 Net cash flow (mil. $) 30.1 29.9 37.4 Capitalization rate (%) 8.00 7.00 6.75 Net Add/Deduct to Value (mil. $)(iii) (7.8) (2.5) 40.5 Value (mil. $) 368.4 424.6 595.0 Value per sq. ft. ($) 265 305 427 Loan-to-value ratio (%) 181.9 157.8 112.6 (i)Review period. (ii)Based on the July and September 2025 reviews. (iii)In the current review, comprised of adding the NPV of ICAP real estate tax savings of $6.0 million and deducting the net loan exposure increase of $13.8 million. In the last reviews, this consisted of adding the NPV of ICAP real estate tax savings of $9.8 million and deducting net advances and accruals of $12.4 million. At issuance, this included adding the NPV of ICAP real estate tax savings of $25.6 million and the upfront tenant improvements/leasing commissions reserve credit of $15.0 million. NPV--Net present value. ICAP--Industrial and Commercial Abatement Program. Ratings Lowered Morgan Stanley Capital I Trust 2021-230P Class A to 'BB+ (sf)' from 'BBB (sf)' Class B to 'B (sf)' from 'BB (sf)' Class C to 'B- (sf)' from 'B (sf)' Class X-EXT to 'BB+ (sf)' from 'BBB (sf)' Rating Affirmed Morgan Stanley Capital I Trust 2021-230P Class D: CCC (sf) MORGAN STANLEY 2026-RPL1: Fitch Rates Class B1 Notes 'BB(EXP)' -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-RPL1 (MSRM 2026-RPL1). Entity/Debt Rating ----------- ------ MSRM 2026-RPL1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating M LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating RPT LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-RPL1 (MSRM 2026-RPL1) as indicated above. The notes are supported by 2,533 seasoned performing and reperforming loans (RPLs) that had a balance of $357.39 million as of the cutoff date. The transaction is expected to close on March 6, 2026. The notes are secured by a pool of re-performing and performing fixed-rate and adjustable-rate mortgage (ARM) loans. The majority of the loans are fully amortizing with a small portion of loans being balloon loans. All the loans are seasoned and secured by first liens on one- to four-family residential properties, planned unit developments (PUDs), condominiums, townhouses, vacant land and manufactured housing (together with any such properties acquired by the issuer through foreclosure or grant of a deed in lieu of foreclosure after the cutoff date). In the pool, 100% of the loans are seasoned over 12 months and have a weighted average (WA) loan age of 228. In all, 93.6% of the loans have been modified. Select Portfolio Servicing (SPS) will service all the loans in the pool. SPS is rated 'RPS1-'/Stable by Fitch. The majority of the loans in the collateral pool comprise fixed-rate mortgages, though ARM loans are in the pool. All loans that previously referenced LIBOR now reference applicable Secured Overnight Financing Rate (SOFR) term rates. None of the classes have floating or inverse floating rates. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming Mortgage Assets (Mixed): RMBS transactions is directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have moderate credit profiles, with a Fitch-determined WA FICO score of 677 and a Fitch-determined debt-to-income ratio (DTI) of 42.4%. The borrowers also have relatively low leverage, consistent with seasoned transactions, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 84.9% and a Fitch determined current mark-to-market loan to value (LTV) of 53.3%, resulting in a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 60.7%. Of the loans, 93.6% have been modified. The vast majority of the loans are performing, with 83.9% being current and 16.1% being 30 days delinquent as of the cutoff date. In all, 60.6% of the loans have been paying for at least the past 12 months, with 50.6% of the pool paying continuously for the past 24 months. MSRM 2026-RPL1 has a final probability of default (PD) of 46.29% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 33.58%. The expected loss in the 'AAAsf' rating stress is 15.54%. Structural Analysis of Sequential Mortgage Cash No Delinquent P&I Advancing (Mixed): The transaction utilizes a sequential payment structure with no advancing of delinquent principal and interest (P&I) payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfalls. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which supports class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The class A-1, A-2 and M-1 notes have a coupon based on a fixed rate that is capped at the net WA coupon (WAC) prior to March 2030. On and after March 2030, these classes will have a coupon based on the fixed rate plus 1.0% and the net WAC rate. The class M-2 and B-1 notes have a coupon based on the lower of the fixed rate or the net WAC. The class B-2, B-3, B-4 and B-5 notes will have coupons based on the net WAC. Losses are allocated to classes reverse sequentially starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses. The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration with a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For RPL transactions credit is not given to loans with a due diligence grade of 'A' or 'B'. The loans are penalized for having 'C' and 'D' grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects MSRM 2026-RPL1 to be a fully de-linked and bankruptcy remote special purpose vehicle. 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 MSRM 2026-RPL1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.08% at 'AAAsf'. 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics and AMC. The third-party due diligence described in Form 15E focused on compliance review, servicing comment review, payment history review, tax and title review and a data integrity review. All reviews were consistent with Fitch's scope outlined in the US RMBS Rating Criteria. Fitch considered this information in its analysis and, as a result, losses were increased. The TPR firms indicated 299 reviewed loans, or about 11.8% of the total pool, were found to have a material defect and, therefore, assigned a final compliance grade of 'C' or 'D'. Of the 299 loans with grades of 'C' or 'D', Fitch applied a due diligence hit that increased the LS on 264 loans as they had material issues noted with no mitigating factors. In the pool, 248 loans had a missing or indeterminate HUD-1. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending, in which the statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. There were 16 loans in the pool with potential high-cost issues that involved federal or state high-cost issues or state or federal predatory issues or the loans were Texas cashout loans. Fitch did not make any adjustments for the five loans with ATR issues noted due to there being no assignee liability, the statute of limitations having expired or there being mitigating factors noted. The tax and title review found that there were four mortgage loans for which a prior lien was discovered on title that was excepted on Schedule B of the applicable title policy. These four loans were included in the mortgage pool due to certain mitigating factors noted in the servicer's records, the age of the prior lien and the performance history of each such mortgage loan. There were nineteen additional mortgage loans for which a prior lien was discovered; however, a respective title policy confirmed the applicable mortgage loans to be in first-lien position. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made, as a result. Although the title report showed loans in the pool to not be in a first lien position, the servicer confirmed that they are in a first lien status and that they will follow standard servicing practices to maintain the lien position disclosed in the tape. Due to the servicer confirmation of the lien status and that the servicer is monitoring the lien status and will follow standard servicing practices to maintain the first lien, Fitch was comfortable considering all loans in the pool to be first liens, as was indicated on the loan tape. A tax and title search conducted by AMC found outstanding liens that pre-date the mortgage. The tax review noted 97 mortgage loans with delinquent taxes, which are expected to be paid by the servicer as part of its regular servicing procedures. There are six mortgage loans with outstanding municipal liens and 115 mortgage loans with outstanding HOA liens. It was confirmed the majority of these liens are retired and nothing is owed. There is approximately $25,000 in potentially superior post-origination recorded liens/judgments in the pool. The trust will be responsible for this amount. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicer this amount. The amount of the adjustment was not material and had no impact on the expected losses or the LS. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100.0% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged AMC and Consolidated Analytics to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do materially affect the overall credit risk of the loans; please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, 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. NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ALXA issued by Natixis Commercial Mortgage Securities Trust 2018-ALXA: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since last review, as the collateral continues to benefit from being predominantly occupied by the investment-grade tenant Amazon.com, Inc. (Amazon), on a triple-net lease that extends to September 2033. In addition, the loan's anticipated repayment date (ARD) structure will bring an estimated 23.8% amortization of the principal balance through the final maturity date in 2033 if the loan is not repaid at the 2027 ARD. The loan is collateralized by the fee interest in a 356,909-square-foot (sf) condominium portion of Centre 425 Bellevue, a Class A office building in downtown Bellevue, Washington, approximately 10 miles east of Seattle. The condominium interest includes 98.3% of the leasable square footage within the 16-story structure in addition to an eight-level underground parking garage. The 10-year fixed-rate interest-only mortgage loan has an ARD in October 2027 and final loan maturity in October 2033. The $124.5 million trust balance includes a $10.0 million piece of a split pari passu senior loan and a $114.5 million subordinate B note. A pari passu piece of the senior loan is held in the CSAIL 2017-CX10 Commercial Mortgage Trust transaction, also rated by Morningstar DBRS. Additional debt consists of a $57.6 million mezzanine loan, which is coterminous with the trust mortgage loan. The loan is sponsored by RFR Holdings LLC and Tristar Capital LLC, whose principals serve as guarantors for the transaction. The property continues to report a 100% occupancy rate as of the June 2025 rent roll, with Amazon accounting for 99.4% of the net rentable area, paying a base rental rate of $39.77 per sf (psf), subject to annual rent escalations of 2.25%. Per the lease agreement, Amazon's initial lease expiry is scheduled for September 30, 2033, with three five-year extension options and no extension options available. The lease is also guaranteed by Amazon, subject to a cap of $190.0 million for the first five years, which drops by $19.0 million each year thereafter. According to a February 2026 article published by The Seattle Times, Amazon announced layoffs that affected more than 1,400 employees, which included about 630 in the Bellevue area. Although noteworthy, that figure only represents 11.7% of the approximate 12,000 Amazon employees based in downtown Bellevue. Furthermore, a January 2026 article from the Downtown Bellevue Network states that Amazon has filed permits with the City of Bellevue to move forward with construction of multiple office tower developments, signaling its continued long-term commitment to the Bellevue submarket. According to Reis, office properties in the Bellevue submarket reported an average vacancy rate of 17.7% and average asking rents of $49.61 psf in Q4 2025. The servicer's March 2025 site inspection showed recent investment in a near-final build-out for a ground floor cafe for Amazon employees, with an anticipated opening in early April 2025. The inspector did not note any dark space at the time of the visit. According to the December 2025 financial report, the annualized net cash flow (NCF) for the trailing six months ended June 30, 2025, was $17.1 million with a debt service coverage ratio (DSCR) of 4.33 times (x), in line with the YE2024 figures of $17.1 million and 4.30x, respectively. The Morningstar DBRS Value considered for this review was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $15.9 million, which was based on a stress to the servicer-reported YE2022 NCF figure. Morningstar DBRS maintained this approach from the prior review given the stable performance over the past year. Morningstar DBRS maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV) Sizing Benchmarks totaling 6.75% to reflect the property's quality, Amazon's long-term lease and its investment-grade credit profile, and Amazon's ongoing expansion activity in the Bellevue submarket. The Morningstar DBRS concluded value of $219.8 million represents a variance of -30.4% from the issuance appraised value of $316.0 million and implies a whole-loan LTV of 121.0%. Notes: All figures are in U.S. dollars unless otherwise noted. NAVESINK CLO 5: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Navesink CLO 5 Ltd./Navesink CLO 5 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 ZAIS Leveraged Loan Master Manager LLC, a subsidiary of ZAIS Group LLC. The preliminary ratings are based on information as of March 11, 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 Navesink CLO 5 Ltd./Navesink CLO 5 LLC Class A-1, $240.0 million: AAA (sf) Class A-2, $24.0 million: AAA (sf) Class B-1, $26.0 million: AA (sf) Class B-2, $14.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Senior subordinated notes, $7.5 million: NR Junior subordinated notes, $22.5 million: NR NR--Not rated. NEW RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B2 Notes 'B-sf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM3 (NRMLT 2026-NQM3). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM3 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 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. 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-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 rates 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'. 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. NXPA REREMIC 2026-FRR1: DBRS Finalizes B(low) Rating on D Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2026-FRR1 (the Certificates) issued by NXPA Re-REMIC Trust 2026-FRR1 (the Issuing Trust): -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by all or a portion of the beneficial interests in one class of commercial mortgage-backed pass-through certificates from one underlying transaction: FREMF 2017-K62 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K62 (FREMF 2017-K62). Morningstar DBRS' credit ratings on the Certificates are dependent on the performance of the underlying transactions. The Certificates are collateralized by the beneficial interests in the Class D (principal-only) multifamily mortgage-backed pass-through certificates issued by FREMF 2017-K62. The principal balances of the underlying Class D certificates total approximately $108.3 million, all of which is being contributed to the Trust. The Class D certificates are the most subordinate principal-only class in the underlying transaction. The FREMF 2017-K62 underlying transaction collateral currently comprises 66 loans secured by 66 multifamily properties, including 47 garden-style properties, five age-restricted properties, four mid-rise apartment complexes, four student housing properties, three manufactured housing communities, two independent-living properties, and one townhome-style community. Seventeen loans, comprising 24.3% of the current pool balance, are defeased as of January 2026. One additional loan was securitized as part of the underlying transaction but paid off prior to January 2026. All the loans in the pool are fixed-rate with a 10- or 11-year term. Of the non-defeased loans, 38 loans (67.0% of the total current pool balance) are partial interest only (IO), seven loans (9.2% of the total current pool balance) are full-term IO, and four loans (6.4% of the total current pool balance) amortize on a 30-year schedule. Morningstar DBRS analyzed the FREMF 2017-K62 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) of the current pool (excluding defeased and paid-off loans) was 72.9%, and the current pool is scheduled to amortize to a Morningstar DBRS Weighted-Average (WA) Balloon LTV of 65.4% based on the A note balances at maturity. About 81.5% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Morningstar DBRS applied additional stress to the default rate of three loans that are on Freddie Mac's watchlist as of the January 2026 underlying monthly reports due to a decrease in debt service coverage ratio (DSCR), comprising 3.3% of the current pool balance. No loans are delinquent as of the January 2026 underlying monthly reports. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2026-R1: DBRS Gives Prov. B(low) Rating on Cl. B-2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-R1 (the Notes) to be issued by OBX 2026-R1 Trust (the Issuer) as follows: -- $336.9 million Class A-1A at (P) AAA (sf) -- $49.2 million Class A-1B at (P) AAA (sf) -- $386.1 million Class A-1 at (P) AAA (sf) -- $24.6 million Class A-2 at (P) AA (high) (sf) -- $36.4 million Class A-3 at (P) A (high) (sf) -- $21.4 million Class M-1 at (P) BBB (high) (sf) -- $17.0 million Class B-1 at (P) BB (low) (sf) -- $4.9 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable note while Classes A-1A and A-1B are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 21.50% of credit enhancement provided by the subordinated Notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 16.50%, 9.10%, 4.75%, 1.30%, and 0.30% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,143 loans with a total principal balance of approximately $491,816,311 as of the Cut-Off Date (February 1, 2026). The mortgage pool consists of loans from collapsed previously issued OBX transactions. The pool is, on average, 43 months seasoned with 100.0% of the pool seasoned for more than 24 months. Select Portfolio Servicing, Inc. will service approximately 76.1% of the loans; AmWest Funding Corp. (AmWest) will service 16.5% of the loans; and NewRez LLC doing business as Shellpoint Mortgage Servicing will service 7.4% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 98.4% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method. Approximately 89.9% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. Approximately 16.5% of the mortgage loans by balance were originated by AmWest and the remainder of the mortgage loans were originated by various mortgage lending institutions, individually comprising less than 10% of the overall mortgage loans. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 61.8% of the loans by balance are designated as non-QM. Approximately 38.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 0.1% of the pool is designated as QM Safe Harbor, and there are no loans under QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest (P&I) on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes (other than the Class R Notes) to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The Depositor may, at its option, on any Payment Date on or after the date that is the earlier of (1) three years after the Closing Date or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional termination price described in the transaction documents. The transaction's cash flow structure is similar to that of traditional non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the senior-most notes before being applied sequentially to amortize the balances of the more subordinated notes. Class A-1 is an exchangeable note and can be exchanged with the Class A-1A and Class A-1B Notes as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A Notes and M-1 Notes. Of note, the Class A-1A, A-1B, A-2, and A-3 Note coupon rates step up by 100 basis points on and after the payment date in March 2030. Interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Notes Cap Carryover Amounts after the Class A coupons step up. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2024-31: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-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, a subsidiary of Onex Corp., that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the March 10, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-1R, C-R, D-1AR, D-2R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class B-2R and D-1BR debt were issued at a fixed coupon. -- The non-call period was extended to March 10, 2028. -- The reinvestment period was extended to April 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2039. -- No additional assets were purchased on the March 10, 2026, refinancing date, and the target initial par amount remains at $500 million. There are no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA+ (sf)' Class B-2 to NR from 'AA+ (sf)' Class C (deferrable) to NR from 'A+ (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other debt OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC Preference shares, $31.368 million: NR Subordinated notes, $18.822 million: NR NR--Not Rated OCP CLO 2024-39: 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-1R, D-2R, and E-R debt from OCP CLO Aegis 2024-39 Ltd./OCP CLO Aegis 2024-39 LLC, a CLO managed by Onex Credit Partners LLC, a subsidiary of Onex Corp., that was originally issued in December 2024. The preliminary ratings are based on information as of March 11, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 13, 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-1, D-2, and E debt and assign ratings to the replacement class A-R, B-1R, B-2R, C-R, D-1R, 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, B-2R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a lower spread or coupon than the existing debt. -- The stated maturity and reinvestment period will be extended by 1.25 years. -- The non-call period will be extended to March 13, 2027. 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 16, 2026. -- The required minimum overcollateralization ratios at the class E-R level 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. "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 OCP CLO Aegis 2024-39 Ltd./OCP CLO Aegis 2024-39 LLC Class A-R, $280.00 million: AAA (sf) Class B-1R, $40.00 million: AA+ (sf) Class B-2R, $4.00 million: AA+ (sf) Class C-R (deferrable), $20.00 million: A+ (sf) Class D-1R (deferrable), $16.00 million: BBB+ (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt OCP CLO Aegis 2024-39 Ltd./OCP CLO Aegis 2024-39 LLC Preference shares, $36.86 million: NR Subordinated notes, $0.00 million: NR NR--Not rated. OFSI BSL XVI: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. OHA CREDIT 14-R: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 17-R, Ltd reset transaction. Entity/Debt Rating ----------- ------ OHA Credit Funding 17-R, Ltd. X LT AAAsf New Rating A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT Asf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OHA Credit Funding 17-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Oak Hill Advisors, L.P. The transaction originally closed in February 2024. This will be the first refinancing. The CLO's existing notes will be refinanced in whole from proceeds of the new secured notes on March 2, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450.0 million of primarily first-lien senior secured leveraged loans (excluding defaulted assets). 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 23.65 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.48% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Funding 17-R, 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. PALMER SQUARE 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 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 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. PAWNEE EQUIPMENT 2022-1: DBRS Confirms B Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. reviewed its credit ratings on six classes of notes issued by two Pawnee Equipment Receivables LLC transactions. Of the six classes reviewed, Morningstar DBRS upgraded three credit ratings and confirmed three credit ratings. Pawnee Equipment Receivables (Series 2021-1) LLC Class D AAA (sf) Upgraded Class E BBB (sf) Confirmed Pawnee Equipment Receivables (Series 2022-1) LLC Class B Notes AAA (sf) Upgraded Class C Notes AA (sf) Upgraded Class D Notes BBB (high) (sf) Confirmed Class E Notes B (sf) Confirmed Credit rating rationale includes the key analytical considerations. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. As of the February 2026 payment date. Series 2021-1 has amortized to a pool factor of 4.85%. Losses are tracking above Morningstar DBRS' initial base case, but has moderated over the past year. The current level of hard credit enhancement (CE) is sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings. -- Series 2022-1 has amortized to a pool factor of 14.21% and has a current CNL to date of 9.26%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation. Consequently, the revised base-case loss expectation was increased for this analysis. -- As of February 2026 payment date, the current CE for Class B, C and D have increased relative to initial levels. While CNL is tracking above the initial expectation, the Class B Notes, Class C Notes, and Class D Notes have benefited from deleveraging and have sufficient credit enhancement commensurate with the current credit ratings. -- For the Class E Note in 2022-1, current CE is 4.61%, down from its initial amount of 8.35% at closing, which is sufficient credit enhancement commensurate with the current credit rating. -- The transactions' assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). PMT LOAN 2026-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV3, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. Issuer: PMT Loan Trust 2026-INV3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-34X*, Assigned (P)Aaa (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.44% and reaches 7.32% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-J2: DBRS Finalizes B(low) Rating on Class B5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-J2 (the Notes) to be issued by PMT Loan Trust 2026-J2 (PMTLT 2026-J2 or the Trust) as follows: -- $264.1 million Class A-1 at AAA (sf) -- $264.1 million Class A-2 at AAA (sf) -- $158.5 million Class A-3 at AAA (sf) -- $158.5 million Class A-4 at AAA (sf) -- $198.1 million Class A-5 at AAA (sf) -- $198.1 million Class A-6 at AAA (sf) -- $66.0 million Class A-7 at AAA (sf) -- $66.0 million Class A-8 at AAA (sf) -- $211.3 million Class A-9 at AAA (sf) -- $211.3 million Class A-10 at AAA (sf) -- $39.6 million Class A-11 at AAA (sf) -- $39.6 million Class A-12 at AAA (sf) -- $13.2 million Class A-13 at AAA (sf) -- $13.2 million Class A-14 at AAA (sf) -- $52.8 million Class A-15 at AAA (sf) -- $52.8 million Class A-16 at AAA (sf) -- $105.6 million Class A-17 at AAA (sf) -- $105.6 million Class A-18 at AAA (sf) -- $22.1 million Class A-19 at AAA (sf) -- $22.1 million Class A-20 at AAA (sf) -- $286.2 million Class A-21 at AAA (sf) -- $286.2 million Class A-22 at AAA (sf) -- $132.0 million Class A-23 at AAA (sf) -- $132.0 million Class A-23X at AAA (sf) -- $198.1 million Class A-24 at AAA (sf) -- $198.1 million Class A-24X at AAA (sf) -- $286.2 million Class A-X1 at AAA (sf) -- $264.1 million Class A-X2 at AAA (sf) -- $158.5 million Class A-X4 at AAA (sf) -- $198.1 million Class A-X6 at AAA (sf) -- $66.0 million Class A-X8 at AAA (sf) -- $211.3 million Class A-X10 at AAA (sf) -- $39.6 million Class A-X12 at AAA (sf) -- $13.2 million Class A-X14 at AAA (sf) -- $52.8 million Class A-X16 at AAA (sf) -- $105.6 million Class A-X18 at AAA (sf) -- $22.1 million Class A-X20 at AAA (sf) -- $286.2 million Class A-X22 at AAA (sf) -- $14.8 million Class B-1 at AA (sf) -- $4.0 million Class B-2 at A (sf) -- $2.5 million Class B-3 at BBB (high) (sf) -- $1.7 million Class B-4 at BB (low) (sf) -- $466.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit rating on Class A-1A Loans initially contemplated in the offering documents, as it was not issued at closing. Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, and A-24X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, and A-24X are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, and A-24 are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 15.00% of credit enhancement provided by subordinated Notes. The AA (sf), A (sf), BBB (high) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.85%, 1.05%, 0.50%, and 0.35% of credit enhancement, respectively Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2026-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-J2, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (65.1% by balance) and GSE-eligible (34.9% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-J2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on February 18, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.36%, in a baseline scenario-median is 0.16% and reaches 5.17% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRET 2026-RPL1: Fitch Assigns 'Bsf' Final Rating on Class B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRET 2026-RPL1 Trust. Entity/Debt Rating Prior ----------- ------ ----- PRET 2026-RPL1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT AAsf New Rating AA(EXP)sf A4 LT Asf New Rating A(EXP)sf A5 LT BBBsf New Rating BBB(EXP)sf B LT NRsf New Rating NR(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,827 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a balance of $401.35 million, including deferred balances, as of the cutoff date. The transaction closes on Feb. 27, 2026. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first and second liens, primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, land and multifamily homes. All of the loans are SPLs or RPLs. Selene Finance LP (Selene) will service 66.09% of the loans in the pool and NewRez LLC (dba Shellpoint Mortgage Servicing) will service 33.91% of the loans in the pool. A majority of the loans in the collateral pool comprise fixed-rate mortgages, although 5.8% are step-rate loans or loans with an adjustable rate. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming 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. The borrowers in this pool have relatively strong credit profiles, with a Fitch-determined weighted average (WA) FICO score of 718, and a 38.8% Fitch-determined debt-to-income ratio (DTI). The borrowers also have relatively low leverage, consistent with seasoned transactions: an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 75.5% and a current mark-to-market LTV of 54.9%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 60.8%. Of the loans, 43.8% have been modified. The vast majority of the loans are performing, with 87.1% being current and 12.9% being 30-day delinquent as of the cut-off date. In all, 54% of the loans have been paying for at least the past 12 months with 40.6% of the pool paying continuously for the past 24 months. PRET 2026-RPL1 has a final PD of 52.95% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 31.98%. The expected loss in the 'AAAsf' rating stress is 16.93%. Structural Analysis (Mixed): Sequential Mortgage Cash Flow in PRET 2026-RPL1 with No DQ P and I Advancing The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, class A-2, class M-1 and class M-2 Notes on any payment date up to but excluding the payment date in March 2030 and for the related accrual period will be a per annum rate equal to the lesser of (i) the fixed rate for such class set forth in the table above and (ii) the net WAC rate (as defined herein) for such payment date. Beginning on the payment date in March 2030 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, class A-2, class M-1 and class M-2 notes will be a per annum rate equal to the lesser of (a) the net WAC rate for such notes and (ii) 1.000%. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the net WAC rate; such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses. The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For RPL transactions, credit is not given to loans with a due diligence grade of A or B. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. PRET 2026-RPL1 is a fully de-linked and bankruptcy remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRET 2026-RPL1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.5%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 ProTitle, Consolidated Analytics, Opus, Selene, and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A portion of the loans received 'C' or 'D' grades, mainly due to missing documentation that resulted in the ability to test for certain compliance issues, potential high-cost issues, or ATR Risk/Fail issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses. A ProTitle search found outstanding liens that predate the mortgage. It was confirmed that a majority of these liens are retired and nothing is owed. There were 59 loans with a clean title search, for which potentially superior post-origination liens/judgments were found totaling $281,548.45. In addition, 105 mortgage loans indicated potentially superior post-origination liens/judgments totaling $2,336,751.58. Based on the transaction documents, the trust will be responsible for $840,000 in these liens. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicers for this amount. The amount of the adjustment was not material and had no impact on the expected losses. The ProTitle search noted less than 10 loans not in a first lien position. Fitch received confirmation from the servicers that these loans are in a first lien position. The servicers are monitoring for liens that could take priority over the first lien status of the mortgages in the pool and will advance, per standard servicing practices, to maintain the first lien position of the mortgages in the pool. As a result, Fitch considered 100% of the loans in the pool to be in the first lien position. Fitch received confirmation from the servicers on the current lien status of the loans in the pool. The servicers regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicers monitoring the lien status, Fitch treated 100% of the pool as first liens or second liens as stated in the tape. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. As a result, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicers confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC, Opus, Selene, and Consolidated Analytics to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans. Please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicers that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, 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. RCKT MORTGAGE 2026-CES2: Fitch Assigns 'Bsf' Rating on 5 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES2 (RCKT 2026-CES2). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES2 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1A LT BBBsf New Rating BBB(EXP)sf M1B LT BBB-sf New Rating BBB-(EXP)sf B2 LT Bsf New Rating B(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B3 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf B2A LT Bsf New Rating B(EXP)sf BX2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 7,504 closed-end second lien (CES) loans, with a total balance of approximately $707 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES2 has a final probability of default (PD) of 19.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.2%. The expected loss in the 'AAAsf' rating stress is 18.8%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES2 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.0% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES2 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5% 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. SBNA AUTO 2024-A: Fitch Affirms 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of four classes of SBNA Auto Receivables Trust (SBAT) 2024-A and upgraded two classes. The ratings of the class C and D notes were upgraded and assigned Positive Rating Outlooks. The class E notes were affirmed with a Positive Rating Outlook. The remaining classes have Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- SBNA Auto Receivables Trust 2024-A Class A-3 78437PAC7 LT AAAsf Affirmed AAAsf Class A-4 78437PAD5 LT AAAsf Affirmed AAAsf Class B 78437PAE3 LT AAAsf Affirmed AAAsf Class C 78437PAF0 LT AA+sf Upgrade Asf Class D 78437PAG8 LT A+sf Upgrade BBBsf Class E 78437PAH6 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations and upgrade of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking inside the initial rating case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks for the 'AAAsf' rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. As of the January 2026 collection period, 60+ day delinquencies were 4.05%. Cumulative net losses (CNL) were 4.54%, tracking below Fitch's initial rating case of 9.00%. The lifetime CNL proxy considers the transaction's remaining pool factor, pool composition, and performance to date. Furthermore, the proxy considers current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case proxy. For this review, Fitch lowered the rating case CNL proxy to 8.50% from 9.00% in the prior review. Under the revised lifetime CNL loss proxy, cash flow modelling continues to support multiples consistent with or in excess of 3.25x for 'AAAsf', 3.00x for 'AA+sf', 2.42x for 'A+sf' and 1.50x for 'BBsf'. Fitch's base case credit loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 7.0%, based on Fitch's Global Economic Outlook - December 2025, historical securitization performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy and affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of its rating case loss expectation. To date, the transaction has exhibited stable performance and losses within Fitch's initial expectations. The transaction continues to build hard CE supportive of adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have a potential negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the rating case proxy, the subordinate notes could be upgraded by up to one category. 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. SDART 2026-1: Fitch Assigns 'BBsf' Final Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2026-1. Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2026-1 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2026-1 is backed by collateral that is consistent with that of prior SDART series, with a weighted average (WA) Fair Isaac Corporation (FICO) score of 604 and an internal WA loan funded score (LFS) of 532. The WA FICO and WA LFS score remains consistent with that of prior transactions over the past five years. WA seasoning is 5.08 months, a decrease from 5.61 months for 2025-4. New vehicles total 25.9% of the pool, down from 26.7% in 2026-1. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 91.2%, and greater-than-72-month term loans total 26.5% up from 21.0%, in 2025-4. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2026-1, representing through-the-cycle performance. While performance has deteriorated for 2022, 2023, and 2024 originations, the 2025 vintage has shown early signs of slightly improved performance. Fitch's rating case cumulative net loss (CNL) proxy for 2026-1 is 15.00%. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) totals 37.10%, 28.30%, 19.10%, 8.95%, and 3.20% for classes A, B, C, D and E, respectively, all down from 2025-4. This is a continuing trend of the declining hard CE over the past several transactions. Excess spread is expected to be 10.66% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: SC has adequate abilities as the originator and underwriter and SBNA as the servicer, as evidenced by their historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/ Stable/'F1'. Fitch deems SBNA capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00% based on Fitch's "Global Economic Outlook - December 2025" report, historical transaction performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions ESG Considerations The concentration of plug-in hybrid and electric vehicles, at 0.78% and 2.26% respectively, did not have an impact on Fitch's ratings analysis or conclusion for this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-OVA issued by SLG Office Trust 2021-OVA as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance, as the collateral office building, which benefits from its prime location and prestige as one of New York's best-in-quality trophy assets, demonstrated a high occupancy rate of 100.0% and healthy financial performance, which is in line with Morningstar DBRS' expectations. The $3.0 billion mortgage loan is secured by the borrower's fee-simple interest in One Vanderbilt, a 1.6 million-square-foot (sf) Class A office high-rise trophy asset in Midtown Manhattan, New York. In addition to more than 1.5 million sf of luxury office space, the property includes a 67,000-sf observation deck (the Summit) and approximately 32,000 sf of high-end commercial space and is directly adjacent to Grand Central Terminal. The property was developed by the sponsor, SL Green Realty Corp., which owns 71.0% of the property. The remaining 29.0% is owned by the National Pension Service of Korea, one of the largest pension funds in the world, and Hines Interests Limited Partnership, one of the largest privately held real estate investors. The fixed-rate loan is interest only (IO) throughout its 10-year loan term and matures in July 2031. According to the September 2025 rent roll, the property was 100.0% occupied with minimal tenant rollover risk in the near term. The subject benefits from long-term investment-grade tenancy, including the two largest tenants, TD Bank and Securities (11.7% of the net rentable area (NRA), lease expires in July 2041) and Carlyle Investment Management (11.8% of NRA, lease expires in September 2036). The property reported an average rental rate of $130.37 per square foot (psf), up from the September 2024 figure of $124.57 psf. According to Reis, the Q4 2025 average vacancy rate and asking rental rate for office properties in the Grand Central submarket were 11.2% and $78.90 psf, respectively. For the trailing nine-month period ended September 30, 2025, the loan reported an annualized net cash flow (NCF) of $199.7 million compared with the YE2024 NCF of $196.3 million and the Morningstar DBRS NCF of $179.0 million. Morningstar DBRS straight-lined several tenants' rent over the loan term as those tenants were considered long-term credit tenants. With this review, Morningstar DBRS maintained the valuation approach from its April 2024 review, which was based on the Morningstar DBRS NCF of $179.0 million and a capitalization rate of 6.25%. The resulting value was $2.9 billion, a variance of -42.7% from the issuance appraised value of $5.0 billion and an implied a loan-to-value ratio (LTV) of 104.8%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV sizing benchmarks, which total 11.25%, to reflect the subject's exceptional quality, desirable location, and limited cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. SOUND POINT XXIV: Moody's Cuts Rating on $22.5MM E-R Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO XXIV, Ltd.: US$45,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on November 1, 2021 Assigned Aa2 (sf) US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2034, Upgraded to Aa1 (sf); previously on November 1, 2021 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$22,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on November 1, 2021 Assigned Ba3 (sf) Sound Point CLO XXIV, Ltd., originally issued in September 2019 and refinanced in November 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2026. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of the improved credit quality of the portfolio. Based on the trustee's February 2026 report[1], the weighted average rating factor (WARF) is currently 2571, compared to 2661 in February 2025[2]. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's February 2026 report[3], the total collateral par balance, including recoveries from defaulted securities, is $484.5 million, or $15.4 million less than the $500 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[4] is 3.16% compared to 3.41% in February 2025[5]. No actions were taken on the Class A-R, Class C-1-R, Class C-2-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in " Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $484,558,279 Defaulted par: $0 Diversity Score: 84 Weighted Average Rating Factor (WARF): 2599 Weighted Average Spread (WAS): 2.91% Weighted Average Recovery Rate (WARR): 45.7% Weighted Average Life (WAL): 4.75 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SYCAMORE TREE CLO 2023-2: S&P Assigns BB-(sf) Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 debt from Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC, a CLO managed by Sycamore Tree CLO Advisors L.P., that was originally issued in February 2023 and underwent a refinancing in February 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the March 11, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The class A‑R notes were divided into the class A-1‑R2 and A-2‑R2 notes, with no change to the overall balance. -- The non-call period was extended to Sept. 11, 2027. -- No additional assets were purchased on the March 11, 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. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R2, $246.60 million: Three-month CME term SOFR + 1.15% -- Class A-2-R2, $9.40 million: Three-month CME term SOFR + 1.35% -- Class B-R2, $48.00 million: Three-month CME term SOFR + 1.65% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.10% -- Class D-R2 (deferrable), $20.00 million: Three-month CME term SOFR + 3.90% -- Class E-R2 (deferrable), $16.00 million: Three-month CME term SOFR + 7.25% Previous debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.68% -- Class B-R, $48.00 million: Three-month CME term SOFR + 2.35% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.75% -- Class D-R (deferrable), $20.00 million: Three-month CME term SOFR + 4.50% -- Class E-R (deferrable), $16.00 million: Three-month CME term SOFR + 7.68% -- Subordinated notes, $44.47 million: N/A N/A--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 Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC Class A-1-R2, $246.60 million: AAA (sf) Class A-2-R2, $9.40 million: AAA (sf) Class B-R2, $48.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-R2 (deferrable), $20.00 million: BBB- (sf) Class E-R2 (deferrable), $16.00 million: BB- (sf) Ratings Withdrawn Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC Subordinated notes, $44.47 million: NR NR--Not rated. TCW CLO 2024-1: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, A-R, A-L1R, A-L2R, B-R, C-1R, C-FR, D-R, and E-R debt and proposed new class F-R debt from TCW CLO 2024-1 Ltd./TCW CLO 2024-1 LLC, a CLO managed by TCW Asset Management Co. LLC that was originally issued in February 2024. The preliminary ratings are based on information as of March 11, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 17, 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 X, A-1, A-J, B-1, B-F, C-1, C-F, D-1, D-F, D-J, and E debt and assign ratings to the replacement class X-R, A-R, A-L1R, A-L2R, B-R, C-1R, C-FR, D-R, and E-R debt and proposed new class F-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class X-R, A-R, A-L1R, A-L2R, B-R, C-1R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The stated maturity, reinvestment period, and non-call period will be extended by approximately two years. -- The non-call period will be extended to March 17, 2028. -- The reinvestment period will be extended to April 16, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 16, 2039. -- New class F-R debt will be issued on the refinancing date. This debt is deferrable and will be junior-most in the capital structure. -- 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 TCW CLO 2024-1 Ltd./TCW CLO 2024-1 LLC Class X-R, $6.00 million: AAA (sf) Class A-R, $15.50 million: AAA (sf) Class A-L1R loans, $75.00 million: AAA (sf) Class A-L2R loans, $165.50 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-1R (deferrable), $20.00 million: A (sf) Class C-FR (deferrable), $4.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $17.00 million: BB- (sf) Class F-R (deferrable), $3.50 million: B- (sf) Other Debt TCW CLO 2024-1 Ltd./TCW CLO 2024-1 LLC Subordinated notes, $34.40 million: NR NR--Not rated. TRINITAS CLO XXXV: Moody's Assigns B3 Rating to $312,500 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Trinitas CLO XXXV, Ltd. (the Issuer or Trinitas CLO XXXV): US$310,000,000 Class A-1 Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$312,500 Class F Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Trinitas CLO XXXV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Trinitas Capital Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3050 Weighted Average Spread (WAS): 2.80% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. UBS COMMERCIAL 2018-C10: Fitch Lowers Rating on D-RR Debt to BB-sf ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 11 classes of Wells Fargo Commercial Mortgage Trust 2018-C44 (WFCM 2018-C44). The Rating Outlook for class A-S has been revised to Stable from Negative. The Outlooks for affirmed classes B, C, D, E-RR, X-B and X-D remain Negative. Fitch has also downgraded three and affirmed 10 classes of UBS Commercial Mortgage Trust 2018-C10 (UBS 2018-C10). Class D-RR was assigned a Negative Rating Outlook following the downgrade. The Rating Outlooks for affirmed classes B, C, D, X-B, and X-D have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C10 A-3 90276FAV6 LT AAAsf Affirmed AAAsf A-4 90276FAW4 LT AAAsf Affirmed AAAsf A-S 90276FAZ7 LT AAAsf Affirmed AAAsf A-SB 90276FAU8 LT AAAsf Affirmed AAAsf B 90276FBA1 LT AAsf Affirmed AAsf C 90276FBB9 LT A-sf Affirmed A-sf D 90276FAC8 LT BBB-sf Affirmed BBB-sf D-RR 90276FAE4 LT BB-sf Downgrade BBB-sf E-RR 90276FAG9 LT CCCsf Downgrade Bsf F-RR 90276FAJ3 LT Csf Downgrade CCCsf X-A 90276FAX2 LT AAAsf Affirmed AAAsf X-B 90276FAY0 LT AAsf Affirmed AAsf X-D 90276FAA2 LT BBB-sf Affirmed BBB-sf WFCM 2018-C44 A-4 95001JAW7 LT AAAsf Affirmed AAAsf A-5 95001JAX5 LT AAAsf Affirmed AAAsf A-S 95001JBA4 LT AA-sf Affirmed AA-sf A-SB 95001JAV9 LT AAAsf Affirmed AAAsf B 95001JBB2 LT A-sf Affirmed A-sf C 95001JBC0 LT BBB-sf Affirmed BBB-sf D 95001JAC1 LT BB-sf Affirmed BB-sf E-RR 95001JAE7 LT B-sf Affirmed B-sf F-RR 95001JAG2 LT CCsf Downgrade CCCsf G-RR 95001JAJ6 LT Csf Downgrade CCCsf X-A 95001JAY3 LT AAAsf Affirmed AAAsf X-B 95001JAZ0 LT A-sf Affirmed A-sf X-D 95001JAA5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.3% for WFCM 2018-C44 and 8.9% for UBS 2018-C10 which compares with deal-level ratings case losses of 9.4% and 5.5%, respectively at the prior rating action. There are 13 Fitch Loans of Concern (FLOCs; 48.7% of the pool) in WFCM 2018-C44, including four specially serviced loans (14.3%), and 13 FLOCs (45.5%) in UBS 2018-C10, with four (12.0%) in special servicing. The downgrades of distressed classes in WFCM 2018-C44 reflect increased certainty of pool loss expectations since Fitch's prior rating action, primarily driven by loans becoming REO and continued performance declines on specially serviced loans. These include Dulaney Center (6.3%) and Spring & Alameda (1.9%), as well as Prince and Spring Street Portfolio (4.4%) and 1442 Lexington Ave (1.7%), both REO assets with elevated exposure and significantly lower appraisal valuations since issuance. The Negative Outlooks for WFCM 2018-C44 reflect the high concentration of office FLOCs in the top 15 loans, with seven office loans representing 31.8% of the pool (excluding defeased loans) including Dulaney Center, RE/Max Plaza, 2M Office Portfolio, and Marnel Corporate Center. Downgrades are possible if performance of office FLOCs does not stabilize or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. The revision of Class A-S to Stable from Negative reflects increasing credit enhancement to the class and the expectation for repayment based on recovery estimates of performing loans in the pool. The downgrades in UBS 2018-C10 reflect increased loss expectations since Fitch's prior rating action primarily driven by specially serviced loans exposure increasing to 14.3% from 8.6% at the prior review. The specially serviced loans/assets include REIT Mixed-Use Portfolio (7.9%), Port Atwater Parking (3.1%), 93 Grand Street (0.6%), and CVS Goshen (0.5%). NYC REIT Mixed-Use Portfolio, the pool's largest loan, transferred to special servicing in March 2025 and became REO in October 2025. The Negative Outlooks for UBS 2018-C10 reflect the high office concentration in the top 15 loans, with five office loans representing 26.1% of the pool. The Negative Outlook also indicates the potential for further downgrades if performance on office FLOCs, 175 Park Avenue, RE/Max Plaza, and Premier Rochester Office Portfolio, fails to stabilize, deteriorates further, and/or transfers to the special servicer. Loan maturities in both transactions are concentrated in April and May 2028. Due to the near-term maturities, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and perceived likelihood of repayment and/or loss expectation. The rating actions incorporate this analysis. Largest Contributors to Expected Loss: The largest contributor to overall loss expectations in WFCM 2018-C44 is the Dulaney Center loan, which is secured by a 316,348-sf, two-building suburban office center located in Towson, MD, approximately eight miles north of the Baltimore CBD. The loan returned to the master servicer in October 2024 after the borrower declined a loan modification but was transferred back to special servicing in October 2025 due to imminent monetary default at the borrower's request. The special servicer is evaluating all options. Occupancy and cash flow have been declining since 2019. The YE 2024 NOI is 17.1% below the Fitch's issuance NCF and as of June 2025 the property was 66% occupied compared to 86% at YE 2020 and 90% at issuance. Per the December 2025 rent roll, the third largest tenant, US Fertility LLC (6.0% NRA) expires in May 2026. The fourth and fifth largest tenants, LifeBridge Health Inc. (5.2% NRA) and Merrill Lynch (5.0% NRA), expire in March and August 2027 respectively. The servicer reported NOI DSCR was 1.03x and the occupancy was 66% as of June 2025. Fitch's 'Bsf' rating case loss of 30.6% (prior to concentration add-ons) reflects the YE 2024 NOI with a 20% stress and an 10% cap rate as well as a heightened probability of default. The second largest contributor to overall pool loss expectations in WFCM 2018-C44 is the 1442 Lexington Ave, which is a 16-unit, seven story multifamily property located in New York, on the Upper East Side. The subject is located three blocks east of the Guggenheim and Central Park. The loan transitioned to REO in December 2024 with a projected sale in 2026. The property's performance was significantly impacted by the pandemic and has not recovered. Per the servicer, NOI DSCR was 0.59x as of June 2025 compared to 0.04x at YE 2023, -0.14x at YE 2022, 0.32x at YE 2020, and 1.18x at YE 2018). Occupancy was 94% as of June 2025 compared to 88% at YE 2023, 88% at YE 2022, 76% at YE 2020, and 100% at YE 2018. Fitch's 'Bsf' rating case loss of 88.9% (prior to concentration add-ons) reflects a stress to the most recent May 2025 reported appraisal value which equates to a recovery value of $445,000 per unit. Total exposure for the loan is $17.4 million. The third largest contributor to overall pool loss expectations in WFCM 2018-C44 is the Prince and Spring Street Portfolio which consists of three mixed-use retail/multifamily properties totaling 36, 260-sf, in the NoLita neighborhood of Manhattan, just east of SoHo. The loan became REO in September 2025. Cashflow has remained insufficient to cover debt service reporting an NOI DSCR 0.59x as of March 2025 which compares with NOI DSCR of 0.26 as of YE 2023. Most recently reported occupancy was 98% as of March 2025, which compares with 95% as of YE 2023. Fitch's 'Bsf' rating case loss of 27.9% (prior to concentration add-ons) reflects a stress to the most recent August 2025 reported appraised value and equates to a recovery value of approximately $1,262 per/sf. Total exposure for the loan is $38.2 million. The largest contributor to loss and the largest increase in loss since the prior rating action in UBS 2018-C10 is the NYC REIT Mixed-Use Portfolio (7.9%), which consists of two properties totaling 120,225 -sf located in New York, NY. The properties consist of four commercial condominium units: three units totaling 58,750-sf across ground floor, second floor and four sub-grade levels on the Upper East Side and one unit comprising a 61,475-sf parking garage on the Upper West Side. The loan transferred to special servicing in March 2025 for imminent monetary default and became REO in November 2025. The second largest tenant and largest contributor to rent, Cornell University, vacated their space upon the September 2024 lease expiration. Per the servicer's comments, the borrower has been unable to secure new leases and expressed interest in transferring title to the lender. The reported June 2025 occupancy was 76% and NOI DSCR was 0.23x. Fitch's 'Bsf' rating case loss of 35.1% (prior to concentration add-ons) is based on a 20% stress to YE 2023 NOI, a 9.25% cap rate and factors an increased probability of default. The second largest contributor to overall pool loss expectations in UBS 2018-C10 is the Port Atwater Parking property, which is a seven-level parking garage structure containing 1,086 spaces located in downtown Detroit, MI, adjacent to the Renaissance Center. The loan transferred to special servicing in September 2024 due to a monetary default and became REO in February 2026. Performance was significantly impacted by the pandemic and has yet to recover. Cash flow has remained insufficient to cover debt service reporting an NOI DSCR of 0.06x as of YE 2024. Fitch's 'Bsf' rating case loss of 51.3% (prior to concentration add-ons) reflects a stress to the most recent November 2025 reported appraised value. The third largest contributor to overall pool loss expectations in UBS 2018-C10 is the 175 Park Avenue loan, which is secured by a 270,000-sf office building, located in Madison, NJ. The loan was flagged as a FLOC due to the single tenant listing a significant portion of its space for sublease. According to Costar, all three floors (270,000sf) are available for sublease. The tenant, Anywhere Real Estate (fka Realogy), has a lease expiration in 2029. NOI DSCR has been stable and was 1.53x as of September 2025. Fitch's 'Bsf' rating case loss of 17.2% (prior to concentration add-ons) is based on a 10% stress to YE 2023 NOI, a 10% cap rate and increased probability of default given concerns with a default prior to or at maturity. Increased Credit Enhancement (CE): As of the January 2026 remittance report, the aggregate pool balances of WFCM 2018-C44 and UBS 2018- C10 have been reduced by 10.1% and 13.1%, respectively, since issuance. Both transactions each have six defeased loans, representing 8.3% of the pool in WFCM 2018-C44 and 6.4% in UBS 2018-C10. Cumulative interest shortfalls of $4.4 million are affecting the rated class G-RR and non-rated NR-RR class in WFCM 2018-C44 and $2.2 million are affecting the non-rated class NR-RR in UBS 2018-C10. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, most notably for classes with Negative Outlooks, may occur if performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Dulaney Center, 181 Fremont Street, Re/Max Plaza, 2M Office Portfolio, and Marnell Corporate Center, in WFCM 2018-C44. NYC REIT Mixed-Use Portfolio, 175 Park Avenue, Re/Max Plaza, and Premier Rochester Office Portfolio, in UBS 2018-C10. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particular those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. 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 improved performance on the FLOCs. Upgrades to the 'BBBsf', and 'BBsf', categories, would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be 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. VERUS SECURITIZATION 2026-3: DBRS Gives Prov. BB Rating on B1 Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-3 (the Notes) to be issued by Verus Securitization Trust 2026-3 (Verus 2026-3 or the Trust) as follows: -- $200.4 million Class A-1A at (P) AAA (sf) -- $31.1 million Class A-1B at (P) AAA (sf) -- $231.5 million Class A-1 at (P) AAA (sf) -- $173.6 million Class A-1FCF at (P) AAA (sf) -- $57.9 million Class A-1LCF at (P) AAA (sf) -- $51.4 million Class A-1F at (P) AAA (sf) -- $51.4 million Class A-1IO1 at (P) AAA (sf) -- $51.4 million Class A-1IO2 at (P) AAA (sf) -- $51.4 million Class A-1IO at (P) AAA (sf) -- $38.0 million Class A-2 at (P) AA (high) (sf) -- $64.2 million Class A-3 at (P) A (high) (sf) -- $33.8 million Class M-1 at (P) BBB (sf) -- $17.6 million Class B-1 at (P) BB (sf) -- $8.6 million Class B-2 at (P) B (high) (sf) Class A-1 and Class A-1IO are exchangeable notes while Classes A-1FCF, Class A-1LCF, A-IO1, and A-IO2 are exchange notes. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 25.50% of credit enhancement provided by the subordinated Notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 20.00%, 10.70%, 5.80%, 3.25%, and 2.00% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,318 mortgage loans with a total principal balance of $690,540,985 as of the Cut-Off Date (March 1, 2026). (The collateral description and disclosure on the mortgage loans in this report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified.) Through various entities, Invictus Capital Partners, LP (Invictus) began acquiring loans in 2015, and Verus 2026-3 represents the 84th rated securitization issued from the Verus shelf. Various originators originated less than 10.0% of the mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint, will service 61.5% of the loans and Cornerstone Servicing will service 38.5% of the loans. Computershare Trust Company, N.A. will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 99.5% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 31.5% of the loans by balance are designated as non-QM. Approximately 46.1% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 21.1% of the pool are designated as QM Safe Harbor, and 1.3% are QM Rebuttable Presumption (by unpaid principal balance). The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical interest, which represents at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Additionally, as of the Closing Date, the Sponsor is expected to initially retain 100% of the Class A-1IO1, Class A-1IO2, Class B-3, Class A-IO-S, and Class XS Notes. On or after the earlier of (1) the Payment Date occurring in March 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Optional Redemption Right Holder's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts; and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate-owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either more than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The transaction's cash flow structure is generally similar to that of other recent non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B Notes, and separately the Class A-1FCF and Class A-1LCF Notes, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost Notes before being applied sequentially to amortize the balances of the more subordinated Notes. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior Notes. Class A-1 is an exchangeable certificate and can be exchanged with Class A-1FCF and Class A-1LCF as specified in the offering documents. The senior fixed-rate coupons step up by 1.00% on and after the accrual period in March 2030. Interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Notes. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2026-5C8: DBRS Finalizes BB Rating on Class FRR Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5C8 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2026-5C8 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class X-E at BBB (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (sf) All trends are Stable. Classes X-D, X-E, D, E, and F-RR will be privately placed. The collateral for the Trust consists of 29 fixed-rate loans secured by 40 commercial and multifamily properties with an aggregate cut-off date balance of $766.2 million. One loan, representing 9.8% of the total pool balance, is shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default (POD) within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.64 times (x) including the shadow-rated loan and 1.43x excluding the shadow-rated loan. Of the 29 loans, 14 loans, representing 45.5% of the pool, exhibited a Morningstar DBRS Issuance DSCR of less than 1.31x, a threshold that typically indicates a higher likelihood of midterm default. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) is 60.2% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 60.4% at maturity based on the A note balances. Excluding the shadow-rated loan, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 62.8% and a Morningstar DBRS WA Balloon LTV of 63.0%. Six loans, comprising 26.9% of the total pool, exhibit a Morningstar DBRS Issuance LTV above 67.6%, a threshold that typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. The largest loan in the pool, CityCenter (Aria & Vdara), representing 9.8% of the total pool balance, exhibited credit characteristics consistent with a shadow rating of AA. Fourteen loans, representing 51.7% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is moderately low at 60.2% (62.8% excluding the one shadow-rated loan) and the Morningstar DBRS WA Balloon LTV is 60.4% (63.0% excluding the shadow-rated loan). Six loans, representing 26.9% of the pool, have Morningstar DBRS Issuance LTVs above 67.6%, but only one loan comprising 5.2% of the pool has a Morningstar DBRS Issuance LTV above 75.7%, a threshold that has historically correlated with the highest rate of default. The Morningstar DBRS WA DSCR of 1.64x (1.43x excluding the shadow-rated loan) is relatively high for a conduit transaction, particularly when compared with the current interest rate environment where DSCRs have been severely constrained, as debt service payments have nearly doubled since mid-2022. Only two loans, comprising 6.0% of the pool, have a Morningstar DBRS DSCR below 1.10x, and no loans have a Morningstar DBRS DSCR below 1.00x. Four loans, representing 11.3% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, eight loans, comprising 31.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Thirteen loans, representing 35.7% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs, while only two loans, representing 3.2% of the pool, are in Morningstar DBRS MSA Group 1, the worst-performing group. The 29-loan pool results in a Herfindahl (Herf) score of 18.0, with the top 10 loans representing 67.4% of the transaction by cut-off date trust balance and the largest loan representing 9.8% of the cut-off date trust balance. While the Herf score for the subject transaction is higher than the Herf score for the WFCM 2025-5C7 transaction (17.2) and the WFCM 2025-5C6 transaction (16.4), it is lower than the Herf scores of most of the other recent multi-borrower conduits rated by Morningstar DBRS, including BANK5 2026-5YR20 (18.3), BANK5 2025-5YR19 (24.1), and BANK5 2025-5YR17 (24.1). In addition, the pool has a slightly elevated concentration of loans in California, with nine loans comprising 28.6% of the pool balance, meaning that changes in California government policy or economic trends could negatively affect more than a quarter of the pool. Twenty-three loans, representing 88.8% of the pool balance, are being used to refinance existing debt, a higher concentration than seen in most of the recent multi-borrower conduits rated by Morningstar DBRS. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Twenty-eight of the 29 loans in the pool, representing 99.2% of the pool balance, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The pool has a relatively high concentration of loans secured by office and retail properties at 14 loans, comprising 40.3% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. Four loans, representing 20.1% of the total pool balance, were regarded as having Average - property quality, while one loan, representing 2.3% of the pool balance, was determined to have Below Average property quality. This is a higher concentration of lower-quality properties than seen in many of the recent multi-borrower conduit transactions rated by Morningstar DBRS. Lower-quality properties may have difficulty attracting new tenants/guests and retaining their current tenants/guests, and therefore may exhibit less stable performance. The transaction includes six loans, representing 32.5% of the pool, that were assigned a Morningstar DBRS sponsor strength of Weak or Bad (Litigious), which increases the POD in Morningstar DBRS' model. This designation was generally applied to sponsors who had low net worth and liquidity, a recent history of defaults or foreclosures, a complex borrower structure, and/or a lack of commercial real estate experience. There are two loans (11.8% of the pool) with a Weak sponsor and four loans (20.6% of the pool) with a Bad (Litigious) sponsor. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 850 Classes From 48 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 850 classes from 48 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 48 transactions reviewed, 17 are classified as prime mortgage transactions, 15 are classified as reperforming mortgages, eight are classified as synthetic RMBS, six are classified as ReREMICs of legacy RMBS, and two are classified as agency credit-risk transfer transactions. Of the 850 classes reviewed, Morningstar DBRS confirmed its credit ratings on 752 classes, upgraded its credit ratings on 95 classes and discontinued its credit rating on three classes. The Affected Ratings are available at https://tinyurl.com/52w3uepf The Issuers are: RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2 PSMC 2018-2 Trust GCAT 2019-RPL1 Trust BCAP LLC 2008-RR2 Trust Legacy Mortgage Asset Trust 2020-RPL1 Agate Bay Mortgage Trust 2015-3 Agate Bay Mortgage Trust 2015-5 Agate Bay Mortgage Trust 2015-1 Agate Bay Mortgage Trust 2015-6 Agate Bay Mortgage Trust 2015-4 Agate Bay Mortgage Trust 2015-2 MetLife Securitization Trust 2019-1 MetLife Securitization Trust, 2017-1 J.P. Morgan Mortgage Trust 2019-6 J.P. Morgan Mortgage Trust 2020-6 J.P. Morgan Mortgage Trust 2022-5 Shellpoint Asset Funding Trust 2013-1 Mill City Mortgage Loan Trust 2017-2 Mill City Mortgage Loan Trust 2018-1 Citigroup Mortgage Loan Trust 2025-2 Mill City Mortgage Loan Trust 2018-3 Mill City Mortgage Loan Trust 2019-1 Mill City Mortgage Loan Trust 2018-2 Mill City Mortgage Loan Trust 2017-3 Mill City Mortgage Loan Trust 2018-4 Mill City Mortgage Loan Trust 2019-GS1 Mill City Mortgage Loan Trust 2019-GS2 Freddie Mac STACR REMIC Trust 2023-DNA1 Morgan Stanley Re-securitization Trust 2015-R2 Connecticut Avenue Securities, Series 2024-R02 GS Mortgage-Backed Securities Trust 2024-PJ3 GS Mortgage-Backed Securities Trust 2024-PJ4 GS Mortgage-Backed Securities Trust 2025-PJ3 Mello Mortgage Capital Acceptance 2018-MTG1 Mello Mortgage Capital Acceptance 2021-MTG2 J.P. Morgan Re-securitization Trust, Series 2010-1 Mill City Mortgage Loan Trust 2016-1 Mill City Mortgage Loan Trust 2017-1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS3 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit ratings reflect the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 99 Classes From 17 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 99 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 17 transactions reviewed, two are classified as securitization of a revolving portfolio of residential transition loans (RTLs), and the remaining 15 deals are classified as non-qualified mortgage (non-QM) transactions. Of the 99 classes reviewed, Morningstar DBRS upgraded its credit ratings on 29 classes and confirmed its credit ratings on the remaining 70 classes. The Affected Ratings are available at https://tinyurl.com/4fb7h3h4 The Issuers are: MFA 2021-NQM1 Trust RUN 2022-NQM1 Trust MFA 2022-INV1 Trust PRPM 2024-NQM1 Trust Visio 2021-1R Trust CIM Trust 2023-I1 A&D Mortgage Trust 2023-NQM3 Verus Securitization Trust 2021-2 Verus Securitization Trust 2021-4 Mill City Mortgage Loan Trust 2023-NQM2 Roc Mortgage Trust 2025-RTL1 Grove Funding III Trust 2024-1 Verus Securitization Trust 2023-5 Toorak Mortgage Trust 2025-RRTL1 Verus Securitization Trust 2021-R3 Starwood Mortgage Residential Trust 2021-2 Verus Securitization Trust 2024-INV1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and an increase in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Takes Rating Action on 8 Bonds from 6 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds and downgraded the ratings of one bond from six US residential mortgage-backed transactions (RMBS), backed by manufactured housing mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Conseco Finance Securitization Corp. Series 2002-2 Class M-2, Upgraded to Ca (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-2 Cl. A-5, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Apr 29, 2025 Upgraded to Ca (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-4 Cl. A-5, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-6, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-5 Cl. A-6, Upgraded to Ca (sf); previously on Apr 29, 2025 Downgraded to C (sf) Cl. A-7, Upgraded to Ca (sf); previously on Apr 29, 2025 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-6 Cl. A-5, Upgraded to Baa3 (sf); previously on Mar 30, 2009 Downgraded to Caa1 (sf) Issuer: Deutsche Financial Capital Securitization LLC, Series 1998-I Class B-1, Downgraded to C (sf); previously on Apr 29, 2025 Upgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating actions on all but one of the impacted bonds also reflect the correction of certain errors. The rating upgrades for Conseco 2002-2 (Class M-2), 2000-2 (Classes A-5 & A-6), 2000-4 (Classes A-5 & A-6), and 2000-5 (Classes A-6 & A-7), are primarily driven by a correction to the total loss expectation for each of the affected bonds. In Moody's prior analysis, the total loss expectation, including the current level of undercollateralization, was overstated for each bond. Following additional discussion and clarification regarding undercollateralization calculations, revised loss assessments indicate that expected losses are lower than previously estimated, supporting the upgrade actions for these transactions. The downgrade for Class B-1 of Deutsche 1998-I also reflects a correction to Moody's loss expectations for the transaction. In the prior rating action, Moody's expected loss analysis was based on incorrect data that understated periods of realized losses experienced by the transaction, resulting in an understatement of total losses to the Class B-1. The updated and substantial realized loss supports the downgrade action for this class. The significant rating upgrade for Class A-5 of Conseco 2000-6 reflects the rapid principal amortization since Moody's last review in 2025. This has resulted in credit enhancement to the Class A-5 growing from 33% to 43% over the past 10 months. This growth in credit enhancement has led to a significant increase in loss coverage, supporting the updated rating. Each of the bonds experiencing a rating change, other than the Class A-5 from Conseco 2000-6, has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Actions on 5 Bonds from 5 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds and downgraded the rating of one bond from five US residential mortgage-backed transactions (RMBS), backed by Scratch & 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-RP1 Cl. A, Upgraded to Ba1 (sf); previously on May 5, 2025 Upgraded to B2 (sf) Issuer: GMACM Mortgage Loan Trust 2003-GH2 Cl. B, Upgraded to Caa1 (sf); previously on May 6, 2025 Upgraded to Caa2 (sf) Issuer: GMACM Mortgage Loan Trust 2004-GH1 Cl. M-2, Upgraded to Aa2 (sf); previously on May 6, 2025 Upgraded to A1 (sf) Issuer: MASTR Specialized Loan Trust 2006-03 Cl. A, Upgraded to Aa1 (sf); previously on May 13, 2025 Upgraded to A1 (sf) Issuer: PPT ABS LLC Asset-Backed Certificates, Series 2004-1 Cl. A, Downgraded to Caa1 (sf); previously on May 16, 2025 Downgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Credit enhancement grew by 1.07x over the past 12 months. The rating downgrade of Cl. A from PPT ABS LLC Asset-Backed Certificates, Series 2004-1 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 5 Bonds from 4 Scratch & Dent RMBS ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds from four US residential mortgage-backed transactions (RMBS), backed by Scratch & Dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GSAMP Trust 2006-SD3 Cl. A, Upgraded to Ba1 (sf); previously on May 5, 2025 Upgraded to B1 (sf) Issuer: GSRPM Mortgage Loan Trust 2007-1 Cl. A, Upgraded to B1 (sf); previously on May 5, 2025 Upgraded to Caa1 (sf) Issuer: RAAC Series 2005-RP3 Trust Cl. M-2, Upgraded to Aa1 (sf); previously on Jul 8, 2024 Upgraded to Aa2 (sf) Issuer: Structured Asset Securities Corporation 2007-GEL2 Cl. A3, Upgraded to Aaa (sf); previously on May 6, 2025 Upgraded to Aa2 (sf) Cl. M1, Upgraded to Ca (sf); previously on Mar 5, 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. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.11x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some of the shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Discontinues 'D(sf)' ratings on 20 Classes of Certificates ----------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 20 classes of commercial mortgage pass-through certificates from nine U.S. CMBS transactions: BB-UBS Trust 2012-TFT, CF 2019-CF1 Mortgage Trust, CG-CCRE Commercial Mortgage Trust 2014-FL2, COMM 2013-LC13 Mortgage Trust, HMH Trust 2017-NSS, J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8, J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9, JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10, and Wells Fargo Commercial Mortgage Trust 2016-BNK1. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We previously lowered the ratings on these classes to 'D (sf)' because of accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Ratings Discontinued BB-UBS Trust 2012-TFT Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' Class E to NR from 'D (sf)' CF 2019-CF1 Mortgage Trust Class 65B to NR from 'D (sf)' Class 65X1 to NR from 'D (sf)' CG-CCRE Commercial Mortgage Trust 2014-FL2 Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' COMM 2013-LC13 Mortgage Trust Class D to NR from 'D (sf)' HMH Trust 2017-NSS Class A to NR from 'D (sf)' Class B to NR from 'D (sf)' Class C to NR from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 Class G to NR from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 Class F to NR from 'D (sf)' Class G to NR from 'D (sf)' JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' Class E to NR from 'D (sf)' Class F to NR from 'D (sf)' Wells Fargo Commercial Mortgage Trust 2016-BNK1 Class C to NR from 'D (sf)' Class X-B to NR from 'D (sf) NR--Not rated. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. 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