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260322.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 22, 2026, Vol. 30, No. 81 Headlines 245 PARK 2017-245P: Fitch Affirms BBsf Rating on Cl. HRR Certs A&D MORTGAGE 2026-NQM2: Fitch Rates Class B1 Certs 'BBsf ABPCI DIRECT XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes AFFIRM MASTER 2026-2: DBRS Gives Prov. BB Rating on Class E Notes AIMCO CLO 27: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes AMERICREDIT AUTOMOBILE 2026-1: Fitch Rates Cl. E Notes 'BB(EXP)' ANTARES CLO 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes ARES COMMERCIAL 2026-AZURE: Fitch Rates Two Tranches 'B+(EXP)' ARES LXXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes ASPIRE MORTGAGE 2026-1: Fitch Rates Class B-2 Certs 'Bsf' AVIS BUDGET 2024-3: Moody's Assigns Ba1 Rating to Class D Notes AVIS BUDGET 2026-1: Moody's Assigns Ba2 Rating to Class D Notes AVIS BUDGET 2026-2: Moody's Assigns Ba2 Rating to Class D Notes BAIN CAPITAL 2026-1: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes BANK 2017-BNK9: Fitch Affirms 'B-sf' Rating on Two Tranches BAR 2026-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes BAYVIEW COMMERCIAL 2005-2: Moody's Ups Rating on M-1 Notes to Ba1 BBCMS MORTGAGE 2017-C1: Fitch Lowers Rating on Class C Certs to BB BGME TRUST 2021-VR: DBRS Confirms BB(high) Rating on HRR Certs BLACKROCK BAKER 2021-1: S&P Lowers E Notes Rating to 'CCC- (sf)' BLACKROCK DLF 2025-1: DBRS Finalizes B Rating on Class W Notes BRAVO RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B-2 Notes 'B-(EXP)' CAPTERIS EQUIPMENT 2026-1: DBRS Gives (P)BB(high) Rating on E Notes CARVANA AUTO 2026-1: Fitch Assigns 'BB(EXP)' Rating on Cl. N Notes CARVANA AUTO 2026-P1: S&P Assigns BB- (sf) Rating on Class N Notes CASTLELAKE AIRCRAFT 2026-1: Fitch Rates Series C Debt 'BB+sf' CHASE HOME 2026-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs CIFC FUNDING 2026-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes COLT 2026-2: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COMM 2014-CCRE17: Fitch Lowers Rating on 3 Tranches to 'BBsf' COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs CSWF TRUST 2018-TOP: DBRS Confirms BB(low) Rating on Class H Certs CWHEQ REVOLVING 2006-H: Moody's Ups Rating on Cl. 1-A Certs to Ba1 DRYDEN 98: S&P Assigns BB- (sf) Rating on Class E Notes EFMT 2026-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Certs ELMWOOD CLO 16: S&P Affirms B- (sf) Rating on Class F-R Notes EXETER AUTOMOBILE 2026-2: S&P Assigns (P) B (sf) Rating on N Notes FIDELIS MORTGAGE 2026-RTL1: DBRS Finalizes B(low) Rating on B Notes FIGRE TRUST 2026-HE2: DBRS Finalizes B Rating on Class F Notes FIGRE TRUST 2026-HE2: S&P Assigns B- (sf) Rating on Class F Notes FIGRE TRUST 2026-HF3: DBRS Gives Prov. B(low) Rating on F Notes FINANCE OF AMERICA 2026-HB1: DBRS Gives Prov. B Rating on M5 Notes FORTRESS CREDIT XXVIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes FORTRESS CREDIT XXXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes FREDDIE MAC 2026-DNA2: S&P Assigns BB+ (sf) Rating on B-1B Notes FREDDIE MAC 2026-MN13: DBRS Gives Prov. BB(low) Rating on M2 Notes GOLUB CAPITAL 87(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GS MORTGAGE 2026-AH1: DBRS Finalizes B Rating on Class B2 Notes GS MORTGAGE 2026-DAWN: DBRS Gives Prov. B(low) Rating on F Certs GS REFT 2026-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes HUNTINGTON BANK 2026-1: Moody's Assigns B3 Rating to Class D Notes IMSCI 2016-7: Fitch Affirms BB Rating on Class G Debt JP MORGAN 2026-ACES1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Certs JP MORGAN 2026-ACES1: Fitch Rates Cl. B2 Notes 'B-sf' KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes LCM 30 LTD: S&P Affirms BB- (sf) Rating on Class E-R Notes LIFE 2021-BMR: DBRS Confirms B(low) Rating on Class G Certs MAD COMMERCIAL 2019-650M: Fitch Affirms B Rating on Class A Notes MENLO CLO IV: Moody's Assigns (P)B3 Rating to $3.75MM Cl. F Notes MERIT 2026-1: Fitch Assigns 'B-(EXP)sf' Rating on Class F Notes METRONET INFRASTRUCTURE 2026-1: Fitch Rates C Notes 'BB-(EXP)' MFA 2026-NQM1: Fitch Assigns 'B-sf' Final Rating on Class B-2 Notes MLTI TRUST 2026-SF75: Fitch Rates Class HRR Certs 'B(EXP)sf' MORGAN STANLEY 2016-C29: Fitch Lowers Rating on 2 Tranches to 'Csf' MORGAN STANLEY 2016-PSQ: S&P Affirms CCC (sf) Rating on D Notes MORGAN STANLEY 2026-1: Fitch Rates Class B5 Debt 'B+(EXP)' MORGAN STANLEY 2026-1: Moody's Assigns (P)B3 Rating to B-5 Certs MORGAN STANLEY 2026-NQM3: DBRS Gives Prov. B Rating on B2 Certs MORGAN STANLEY 2026-NQM3: Moody's Assigns (P)B3 Rating to B-2 Certs MORGAN STANLEY 2026-RPL1: Fitch Assigns BB Rating on Cl. B1 Notes MOUNTAIN VIEW IX: Moody's Lowers Rating on $8.25MM E Notes to Ca NATIXIS COMMERCIAL 2018-OSS: S&P Lowers X Certs Rating to 'BB (sf)' NEUBERGER BERMAN 51: Fitch Affirms 'BB-sf' Rating on Cl. E-R Notes NEW RESIDENTIAL 2026-NQM4: Fitch Rates Class B2 Notes 'B-(EXP)' NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs OBX TRUST 2026-R1: DBRS Finalizes B(low) Rating on Class B2 Notes OCP CLO 2024-39: S&P Assigns BB- (sf) Rating on Class E Notes OCP CLO 2026-49: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT XVII: S&P Affirms B+ (sf) Rating on E-R2 Notes PARLIAMENT FUNDING IV: DBRS Confirms (P) BB(low) Rating on C Notes PLYM COMMERCIAL 2026-IND: Fitch Rates Cl. HRR Certs 'BB+sf' PRPM 2026-NQM1: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs RAD CLO 16: Fitch Affirms BB-sf Rating on Class E-R Debt RATE MORTGAGE 2026-J1: DBRS Gives Prov. B(low) Rating on B-5 Notes RATE MORTGAGE 2026-J1: Fitch Gives B(EXP) Rating on Class B-5 Notes RCKT MORTGAGE 2026-CES3: Fitch Gives 'B(EXP)sf' Rating on 5 Classes RR 25: Fitch Assigns 'BB-(EXP)s' Rating on Class D-R2 Notes RR 25: Fitch Assigns 'BB-sf' Final Rating on Class D-R2 Notes RR 43: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable SANTANDER MORTGAGE 2026-NQM3: S&P Assigns (P)B Rating on B-2 Notes SARANAC CLO VI: Moody's Cuts Rating on $17MM Class E Notes to Caa2 SEQUOIA MORTGAGE 2026-4: Fitch Rates Class B5 Certs 'B(EXP)' SEQUOIA MORTGAGE 2026-HYB1: Fitch Gives B(EXP) Rating on B2 Certs SG RESIDENTIAL 2026-2: S&P Assigns Prelim 'B-' Rating on B-2 Certs SIERRA TIMESHARE 2024-2: Fitch Affirms BB-sf Rating on Cl. D Notes SIERRA TIMESHARE 2026-1: Fitch Assigns 'BB-(EXP)' Rating on D Notes SOHO 2021-SOHO: DBRS Confirms B Rating on 2 Tranches SPRITE 2026-1: Fitch Assigns 'BBsf' Final Rating on Series C Notes SUMIT 2022-BVUE: DBRS Confirms B(low) Rating on 2 Tranches TAILWIND 2019-1 LTD: S&P Raises Class C Notes Rating to BB (sf) TCW CLO 2024-1: S&P Assigns B- (sf) Rating on Class F-R Notes TRINITAS CLO XXXV: Fitch Assigns 'BB+sf' Rating on Class E Notes UBS COMMERCIAL 2018-C13: Fitch Lowers Rating on E-RR Certs to 'Bsf' US BANK 2025-2: DBRS Confirms BB(high) Rating on Class E Notes US BANK 2026-1: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes VENTURE CLO 33: Moody's Cuts Rating on $28MM Class E Notes to B3 VERUS SECURITIZATION 2026-3: DBRS Finalizes BB Rating on B1 Notes VERUS SECURITIZATION 2026-3: Fitch Gives B-(EXP) on B-2 Notes WELLS FARGO 2018-C45: Fitch Lowers Rating on G-RR Debt to 'B-sf' WELLS FARGO 2026-5C8: Fitch Rates Class F-RR Certs 'B-sf' [] DBRS Confirms 18 Credit Ratings From 7 Flagship Credit Deals [] DBRS Confirms 21 Credit Ratings From 7 Prestige Auto Deals [] DBRS Reviews 248 Classes in 34 US RMBS Transactions [] Moody's Takes Rating Action on 10 Bonds from 7 US RMBS Deals ********* 245 PARK 2017-245P: Fitch Affirms BBsf Rating on Cl. HRR Certs -------------------------------------------------------------- Fitch Ratings has affirmed seven classes of 245 Park Avenue Trust 2017-245P (245 Park Avenue Trust 2017-245P) Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- 245 Park Avenue 2017-245P A 90187LAA7 LT AAAsf Affirmed AAAsf B 90187LAG4 LT AA-sf Affirmed AA-sf C 90187LAJ8 LT A-sf Affirmed A-sf D 90187LAL3 LT BBB-sf Affirmed BBB-sf E 90187LAN9 LT BBsf Affirmed BBsf HRR 90187LAQ2 LT BBsf Affirmed BBsf X-A 90187LAC3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS The affirmations and Stable Outlooks reflect the stable performance and continued positive leasing momentum since Fitch's last rating action. In addition, the new ownership/property manager, SL Green Realty Corp. (SL Green), continues to execute on its business plan to enhance and stabilize the property, which includes incorporating additional amenities such as a fitness club and wellness center, restaurant, and rooftop park and cafe. Fitch Net Cash Flow: Fitch's updated sustainable property NCF of $101.7 million is in line with Fitch's NCF at the last rating action and 1.8% below Fitch's issuance NCF of $103.5 million. Fitch's analysis incorporates leases in place per the September 2025 rent roll, with credit for near-term contractual rent steps, leases with expiring free rent periods, and tenants expected to take occupancy. Fitch's NCF also assumed a lease-up of the retail portion to an 85% occupancy from 52.3% at conservative below-market rents. Property occupancy has improved to an estimated 91.6% from 89.2% at the prior review. Office occupancy has increased to 93.3% from 91.2% at the prior review, attributed to the expansion of Houlihan Lokey onto the 22nd floor in the building. The servicer-reported September 2025 NCF debt service coverage ratio (DSCR) was 1.57x compared with 1.50x in 2024, 1.58x in 2023, 2.09x in 2022 and 2.08x in 2021 for the interest-only loan. The decline in NCF since 2022 can be attributed to several factors: (i) tenants entering free-rent periods; (ii) higher operating expenses; and (iii) the sharp reduction in expense reimbursements after JPMorgan Chase Bank (previously 45% of NRA) vacated at lease expiry in October 2022. In addition, several tenants that were subleasing, including Societe Generale and Houlihan Lokey, executed direct leases that reset the base year for expenses, further reducing reimbursements. Experienced Sponsorship and Property Management: The sponsorship is a joint venture between SL Green (50.1%; BB+/Positive) and a U.S. affiliate of Mori Trust Co., Ltd. (49.9%). SL Green sold a minority interest of the property in June 2023 at a gross asset valuation of $2.0 billion. SL Green is also managing the property. The loan previously transferred to special servicing in November 2021 after the loan's borrower, which was controlled by HNA of China, filed for bankruptcy in October 2021. After litigation with the previous sponsor surrounding the bankruptcy, SL Green, which held a preferred equity position, assumed a controlling interest in the property. The loan returned to the master servicer in November 2022. High-Quality Tenancy: Creditworthy tenants account for a large portion of the property's tenancy, including Societe Generale (29.5% of NRA; through October 2032; A-/F1/Stable) and Ares Management (20.3%; June 2043; A-/Stable). The property serves as the U.S. headquarters for Societe Generale. Other major tenants include Houlihan Lokey (12.4%; June 2034), Angelo Gordon (8.4%; February 2031), and EQT Partners (6.5%; 2041). Loan and Transaction Structure: The certificates follow a sequential-pay structure. The 245 Park Avenue Trust 2017-245P interests consist of a pari passu $380 million A-note (of an entire $1.08 billion A-note) and $120 million in subordinate B-notes. The trust loan has a debt of $676 per square foot (psf). The total debt package includes mezzanine financing in the amount of $568 million that is not included in the trust with a total debt of $996 psf. Full Term, Interest-Only Loan: The loan is interest-only for the 10-year term, maturing June 2027, with a fixed-rate coupon of 3.67%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupon. Fitch Leverage: The $1.2 billion mortgage loan ($676 psf) has a Fitch DSCR and LTV ratio of 1.00x and 88.5%, respectively, compared to the Fitch DSCR and LTV of 1.08x and 81.1%, respectively, at issuance and 1.00x and 88.4%, respectively, at the last rating action in 2025. Fitch maintained a cap rate of 7.5% from the last rating action, compared to 7.00% at issuance. High-Quality Asset; Prime Office and Retail Location: The loan is secured by a 44-story class A, LEED-Gold certified office building located on an entire block bound by Park Avenue, Lexington Avenue and 46th and 47th Streets in the Grand Central office submarket of Midtown Manhattan. Fitch assigned a property quality grade of 'A-' at issuance. The building holds a LEED-Gold designation, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if property NCF, occupancy, and/or market conditions deteriorate beyond Fitch's view of sustainable performance. This could happen if SL Green is not able to continue to execute its business plan, evidenced by limited leasing progress or new leases that are signed at significantly below market rates. Additionally, loan transfers to special servicing and accrued fees or losses could trigger a downgrade of Class HRR, which has no credit enhancement. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are unlikely given the single-asset/event risk and because the current ratings already reflect Fitch's view of sustainable performance. However, an upgrade could occur if leasing improves materially and is sustained, lifting the Fitch sustainable NCF, and if refinancing/payoff prospects are more certain. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations 245 Park Avenue 2017-245P has an ESG Relevance Score of '4' for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. A&D MORTGAGE 2026-NQM2: Fitch Rates Class B1 Certs 'BBsf -------------------------------------------------------- Fitch Ratings has assigned final ratings to A&D Mortgage Trust 2026-NQM2 (ADMT 2026-NQM2) Entity/Debt Rating Prior ----------- ------ ----- ADMT 2026-NQM2 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT NRsf New Rating NR(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 1,793 loans with a balance of $602,705,047.63 as of the cutoff date. This represents the 17th Fitch-rated ADMT transaction and the first Fitch-rated ADMT transaction of 2026. The transaction is expected to close on Feb. 27, 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (87.8%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D Mortgage (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 22.01% are designated as nonqualified mortgage (non-QM) loans, 29.6% safe harbor QM (SHQM) 3.41% are rebuttable presumption, and the remaining 44.98% are exempt from QM because they are investor loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificate is based on the lower of a fixed rate or the net WAC rate for the related distribution date. The class B-1 coupon will be determined at the time of pricing; it will be a per-annum rate equal to either the net WAC or a fixed rate coupon that is capped at the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,793 performing, fixed-rate and adjustable rate fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties, including attached and detached single family homes, planned unit developments (PUDs), condos, townhouses, two- to four-unit multifamily properties, mixed use, manufactured housing and 5-10 unit multi-family homes. totaling $602,705,047.63. The majority of the loans, 95.2%, are first liens while the remaining 4.8% are second liens. The loans are exempt from QM, safe harbor QM, rebuttable presumption QM or NQM loans, with the majority of the loans underwritten using 12-24 months of bank statements or DSCR-based guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months. The pool has a weighted average (WA) original FICO score of 747 which is indicative of high credit quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.56%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 75.53%. These strong collateral attributes are referenced in its analysis. This transaction has a Final PD of 43.09% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 46.51%. The expected loss in the 'AAAsf' rating stress is 20.04%. Structural Analysis (Mixed): Modified Sequential Structure with Limited Advancing of Delinquent P&I The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially first to the A-1A, A-1B, A-1FCF and A-1LCF classes, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in March 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after March 2030. Specifically, on any distribution date occurring on or after the distribution date in March 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after March 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially. Once the A-2 class is written off, the losses will write down A-1B first and once A-1B is written off A-1A will take losses. Operational Risk Analysis (Positive) Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. Counterparty and Legal Analysis (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 the transaction to be fully de-linked and structured as 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 this transaction 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 were 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 37.40% 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 analyses were 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) as prepared by Mission Global LLC, Maxwell Diligence Solutions, LLC and Clarifi. The third-party due diligence described in Form 15E focused on credit, compliance and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, and loans receiving a grade of A or B, the overall expected losses were reduced. Fitch applies a 5-bps z score reduction for each loan that receives a grade of A or B. 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 Mission Global, LLC, Clarifi and Maxwell Diligence Solutions, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. 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. ABPCI DIRECT XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-1L-S-R, A-2-R, B-R, C-R, D-R, and E-R debt from ABPCI Direct Lending Fund CLO XVI L.P., a CLO managed by AB Private Credit Investors LLC that was originally issued in December 2023. The preliminary ratings are based on information as of March 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 26, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. At that time, we expect to withdraw our ratings on the existing class A, A-L, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-1L-S-R, A-2-R, B-R, C-R, D-R, and E-R debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the existing debt and withdraw our preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-1L-S-R, A-2-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The non-call period will be extended to March 26, 2028. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The reinvestment period will be extended to May 1, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to May 1, 2039. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned ABPCI Direct Lending Fund CLO XVI L.P. Class A-1-R, $82.00 million: AAA (sf) Class A-1L-S-R loans, $150.00 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $30.00 million: AA (sf) Class C-R (deferrable), $28.00 million: A (sf) Class D-R (deferrable), $22.00 million: BBB- (sf) Class E-R (deferrable), $24.00 million: BB- (sf) Other Debt ABPCI Direct Lending Fund CLO XVI L.P. Subordinated notes, $49.44 million: NR NR--Not rated. AFFIRM MASTER 2026-2: DBRS Gives Prov. BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Affirm Master Trust Series 2026-2 (AFRMT 2026-2): -- $395,600,000 Class A Notes at (P) AAA (sf) -- $31,080,000 Class B Notes at (P) AA (sf) -- $27,720,000 Class C Notes at (P) A (sf) -- $21,510,000 Class D Notes at (P) BBB (sf) -- $24,090,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all (P) AAA (sf), (P) AA (sf), (P) A (sf), (P) BBB (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the AFRMT 2026-2 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2026-2 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2026-2 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2026-2 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2026-2 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2026-2 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a contract rate less than or equal to (i) 12%, if the related originating bank is Cross River Bank, Celtic Bank or Lead Bank or (ii) if the related originating bank is ALS, the greater of (A) 21% and (B) a contract rate equal to the quotient of (1) the sum of (a) the product of the portion of initial principal balance of the loan that is less than or equal to $1,000 and 36% plus (b) the product of the portion of the initial principal balance of the loan that is greater than $1,000 but less than or equal to $3,000 and 21% plus (c) the product of the portion of the initial principal balance of the loan greater than $3,000 and 15% divided by (2) the initial principal balance of the loan. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2026-2 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. AIMCO CLO 27: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AIMCO CLO 27, Ltd. Entity/Debt Rating ----------- ------ AIMCO CLO 27, 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 Notes LT NR(EXP)sf Expected Rating Transaction Summary AIMCO CLO 27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.39, 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 97.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'A-sf' for class D-1, and 'BBB+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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 27, 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. AMERICREDIT AUTOMOBILE 2026-1: Fitch Rates Cl. E Notes 'BB(EXP)' ---------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to AmeriCredit Automobile Receivables Trust (AMCAR) 2026-1. Entity/Debt Rating ----------- ------ AmeriCredit Automobile Receivables Trust 2026-1 A1 ST F1+(EXP)sf Expected Rating A2A LT AAA(EXP)sf Expected Rating A2B LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral and Concentration Risks— Consistent Credit Quality: The pool has consistent credit quality compared to recent pools based on the weighted average (WA) Fair Isaac Corp. (FICO) score of 588 and internal credit scores. Obligors with FICO scores of 600 and greater total 45.6%, down from 46.4% in 2025-1 but higher than 45.4% in 2024-1. Extended-term (61+ month) contracts total 95.4%, which is slightly higher than prior transactions. 2026-1 is the 12th AMCAR transaction to include 76- to 84-month contracts, at 40.0% of the pool, up from 34.0% in 2025-1 (NR) and the highest to date. Performance data for these contracts are relatively limited due to lack of seasoning, especially for performance during an economic downturn. However, these longer-term loans have obligors with stronger credit metrics; given this and initial performance observations, Fitch did not apply an additional stress to these loans. Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions in deriving the series loss proxy. Overall performance on GMF's managed portfolio and securitizations remains resilient, but static pool loss levels have increased with each vintage, beginning in 2021. Fitch accounted for the weaker performance of recent vintages when deriving the rating case cumulative net loss (CNL) proxy of 10.00%, which is higher than 9.00% for the last AMCAR transaction Fitch rated, 2023-2. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is slightly lower than 2025-1, totaling 32.09%, 25.59%, 17.45%, 9.60% and 6.75% for classes A, B, C, D and E, respectively. Excess spread is expected to be 9.22% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: Fitch rates GM 'BBB'/ Positive. In addition, Fitch currently rates GMF 'BBB'/'F2' with a Positive Outlook. GMF demonstrates adequate abilities as originator, underwriter and servicer as evidenced by historical portfolio and securitization performance. Fitch deems GMF capable of adequately servicing this series. 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 its "Global Economic Outlook - December 2025" and transaction-based forecast loss projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce CNL levels higher than the base case and would likely result in declines of CE and remaining 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. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the 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 increases of 1.5x and 2.0x to the CNL proxy, which represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the 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 Stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to two categories. 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 recomputation of certain characteristics with respect to 185 randomly selected sample loan contracts. 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 hybrid and electric vehicles of approximately 2.45% and 1.89%, respectively, did not have an impact on Fitch's ratings analysis or conclusion on 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. ANTARES CLO 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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 Antares CLO 2026-1 Ltd./Antares CLO 2026-1 LLC Class A, $260.00 million: AAA (sf) Class A loans(i), $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 (i)The loans may not be converted into or exchanged for notes of any class. NR--Not rated. ARES COMMERCIAL 2026-AZURE: Fitch Rates Two Tranches 'B+(EXP)' -------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to ARES Commercial Mortgage Trust 2026-AZURE, Commercial Mortgage Pass-Through Certificates, Series 2026-AZURE: - $281,100,000 class A 'AAA(EXP)sf'; Outlook Stable; - $44,300,000 class B 'AA-(EXP)sf'; Outlook Stable; - $34,800,000 class C 'A-(EXP)sf'; Outlook Stable; - $49,000,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $65,800,000 class E 'BB-(EXP)sf'; Outlook Stable; - $20,000,000a class JRR 'B+(EXP)sf'; Outlook Stable; - $5,000,000a class KRR 'B+(EXP)sf'; Outlook Stable. (a) Classes JRR and KRR collectively comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $500 million, two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The loan will be secured by a first mortgage lien against the borrower's fee simple interests in a portfolio of 36 properties, comprising approximately 7.3 million sf located across 13 states and 18 distinct markets. Mortgage loan proceeds combined with sponsor equity of approximately $168.24 million are being used to acquire the portfolio for $650.15 million, pay $12.10 million in closing costs and fund upfront reserves of $5.99 million. The loan is expected to be co-originated by Wells Fargo Bank, National Association, Barclays Capital Real Estate Inc. and Bank of America, N.A. Trimont, LLC is expected to serve as the servicer with K-Star Asset Management LLC as special servicer. Computershare Trust Company, National Association will act as the trustee and Deutsche Bank National Trust Company will act as certificate administrator. BellOak LLC will act as operating advisor. The certificates will follow a pro rata paydown with respect to prepayments up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on March 31, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is $35.6 million. This is 7.8% lower than the issuer's NCF and 2.6% below YE2025 NCF. Fitch applied a 7.5% cap rate resulting in a Fitch value of $474.4 million. High Fitch Leverage: The $500 million trust loan equates to debt of $69 psf with a Fitch debt service coverage ratio (DSCR) of 0.84x, a loan-to-value ratio (LTV) of 105.4% and a debt yield of 7.1%. The loan represents about 68.0% of the aggregate "as-is" appraised value of the individual properties of $735.25 million. Geographic Diversity: The portfolio is well diversified, with 36 properties (7.3 million sf) located across 13 states and 18 MSAs. The three largest state concentrations by NRA are Illinois (1,574,188 sf; seven properties), Ohio (1,533,670 sf; six properties) and Kansas (723,841 sf; two properties). The three largest markets are Chicago (12.4% of NRA; 11.7% of allocated loan amount [ALA]), Cincinnati (9.4% of NRA; 10.2% of ALA) and Atlanta (7.4% of NRA; 9.6% of ALA). The portfolio has an effective MSA count of 13.9 and 36 unique tenants. Institutional Sponsorship: Ares is a global leader in alternative investments, and its real estate division oversees both equity and debt strategies. Founded in 1997, Ares has approximately 4,200 employees across more than 55 global offices. In 2021, Ares acquired Black Creek Group, bringing additional experience in real estate investments focusing on the industrial sector. As of September 2025, its industrial real estate division employs over 700 professionals across 44 global offices. 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','B+sf'; - 10% NCF Decline: 'AAsf','BBB+sf','BBB-sf','BBsf','Bsf','B-sf','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','B+sf'; - 10% NCF Increase: 'AAAsf','AA+sf','A+sf','BBB+sf','BB+sf','BBsf','BBsf'; USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ARES LXXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXIX CLO Ltd. Entity/Debt Rating ----------- ------ ARES LXXIX CLO 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 Subordinated LT NRsf New Rating Transaction Summary Ares LXXIX CLO Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.24, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.29% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.91% 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 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, '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 ARES LXXIX 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 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: Fitch Rates Class B-2 Certs 'Bsf' --------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Aspire Mortgage Trust 2026-1 (SPIRE 2026-1). Entity/Debt Rating Prior ----------- ------ ----- SPIRE 2026-1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 752 loans with a total balance of approximately $391.28 million as of the cutoff date. The pool consists of non-QM mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from The Loan Store, LLC and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a modified, sequential payment structure with three months of advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted average (WA) Fitch FICO of 754 and 31.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 69.6% mark-to-market combined LTV (cLTV). Overall, 43.0% of the pool loans are for primary residences, while the remainder are investor properties or second homes. In addition, 13.5% of the loans were underwritten to full documentation and 40.1% are DSCR loans. Since the publication of the expected ratings and Fitch's presale report, Fitch analyzed an updated pricing structure which saw the coupons coming in tighter by 5 bps-31 bps for the fixed-rate classes. The structure also saw a 7-bp increase in the weighted average excess spread. These shifts did not result in any changes from the expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SPIRE 2026-1 had a final probability of default (PD) of 35.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 42.5%. The expected loss in the 'AAAsf' rating stress was 15.1%. Structural Analysis: The mortgage cash flow and loss allocation in SPIRE 2026-1 was based on a modified sequential payment structure, whereby principal is distributed pro rata among the senior certificates (A-1A, A-1B, 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-1A classes, then sequentially to A-1B, A-2 and A-3 certificates until they are reduced to zero. Fitch analyzed 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 are derived from the asset analysis. Fitch applied 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 applied a 5-bpsz-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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. SPIRE 2026-1 is fully de-linked and a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SPIRE 2026-1; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Clayton, Consolidated Analytics, and Opus. 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 has applied an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AVIS BUDGET 2024-3: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the series 2024-3 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer).The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental, LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2024-3 Series 2024-3 Rental Car Asset Backed Notes, Class D, Assigned Ba1(sf) RATINGS RATIONALE The definitive rating on the series 2024-3 class D notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2024-3 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.25% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2024-3 class D notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2024-3 class D notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2026-1: Moody's Assigns Ba2 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental, LLC. Moody's also announced that the issuance of the Series 2026-1, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-1 Series 2026-1 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2026-1 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2026-1 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2026-1 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings on the series 2026-1 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-3 transaction, except for the share of program vehicles. Moody's increased program vehicle percentage to 5% from 2.5% due to the recent increase in the concentration of program vehicles in the fleet and the sponsor's 2026 forecast. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-1 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-1 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 13.80% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 18.0% and 12.0% of the outstanding balance of the series 2026-1 notes, respectively. The series 2026-1 notes have an expected final maturity of approximately 41 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-1 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-1 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2026-2: Moody's Assigns Ba2 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. Moody's also announced that the issuance of the Series 2026-2, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-2 Series 2026-2 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2026-2 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2026-2 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2026-2 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings on the series 2026-2 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-4 transaction, except for the share of program vehicles. Moody's increased program vehicle percentage to 5% from 2.5% due to the recent increase in the concentration of program vehicles in the fleet and the sponsor's 2026 forecast. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-2 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-2 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 18.0% and 12.0% of the outstanding balance of the series 2026-2 notes, respectively. The series 2026-2 notes have an expected final maturity of approximately 65 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-2 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-2 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2026-1: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2026-1, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2026-1, Limited 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 Bain Capital Credit CLO 2026-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit CLO Management III (DE), LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.56, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 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 between 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, 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-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, 'A-sf' for class D-1, 'BBB+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 Bain Capital Credit CLO 2026-1, Limited. 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. BANK 2017-BNK9: Fitch Affirms 'B-sf' Rating on Two Tranches ----------------------------------------------------------- Fitch Ratings has affirmed all classes of the BANK 2017-BNK8 Commercial Mortgage Pass-Through Certificates, series 2017-BNK8. The Outlook on classes A-S, B, C, D, E, X-B and X-D remains Negative. Fitch has also affirmed all classes of the BANK 2017-BNK9 Commercial Mortgage Pass-Through Certificates, series 2017-BNK9. The Outlook on classes A-S, B, C, D, X-B and X-D remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK9 A-4 06540RAE4 LT AAAsf Affirmed AAAsf A-S 06540RAH7 LT AAAsf Affirmed AAAsf A-SB 06540RAC8 LT AAAsf Affirmed AAAsf B 06540RAJ3 LT A-sf Affirmed A-sf C 06540RAK0 LT BBsf Affirmed BBsf D 06540RAU8 LT B-sf Affirmed B-sf E 06540RAW4 LT CCCsf Affirmed CCCsf F 06540RAY0 LT CCsf Affirmed CCsf X-A 06540RAF1 LT AAAsf Affirmed AAAsf X-B 06540RAG9 LT A-sf Affirmed A-sf X-D 06540RAL8 LT B-sf Affirmed B-sf X-E 06540RAN4 LT CCCsf Affirmed CCCsf X-F 06540RAQ7 LT CCsf Affirmed CCsf BANK 2017-BNK8 A-3 06650AAD9 LT AAAsf Affirmed AAAsf A-4 06650AAE7 LT AAAsf Affirmed AAAsf A-S 06650AAH0 LT AAAsf Affirmed AAAsf A-SB 06650AAC1 LT AAAsf Affirmed AAAsf B 06650AAJ6 LT A-sf Affirmed A-sf C 06650AAK3 LT BBB-sf Affirmed BBB-sf D 06650AAU1 LT Bsf Affirmed Bsf E 06650AAW7 LT CCCsf Affirmed CCCsf F 06650AAY3 LT CCsf Affirmed CCsf X-A 06650AAF4 LT AAAsf Affirmed AAAsf X-B 06650AAG2 LT A-sf Affirmed A-sf X-D 06650AAL1 LT Bsf Affirmed Bsf X-E 06650AAN7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 8.9% for BANK 2017-BNK8 and 10.6% in BANK 2017-BNK9 from 7.5% and 9.0%, respectively, at their last rating actions. The BANK 2017-BNK8 transaction includes eight Fitch Loans of Concern (FLOCs; 35.8% of the pool), including one specially serviced loan, Park Square (10.3%). The BANK 2017-BNK9 transaction has eight FLOCs (42.2%), including two specially serviced loans (12.9%). The affirmations for both transactions reflect sufficient credit enhancement (CE) levels relative to current pool performance. Due to the heightened concentration risk with the majority of loans scheduled to mature in 2027, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available CE. The Negative Outlooks for BANK 2017-BNK8 reflect elevated loss expectations and continued performance concerns related to the specially serviced Park Square (10.3%) and the 1235 South Clark Street (7.6%) office loans and the potential for downgrades if performance of these office FLOCs continues to deteriorate and/or if updated valuations of the specially serviced Park Square loan decline beyond expectations. Additionally, the office concentration in the pool is 51.4%. The Negative Outlooks for BANK 2017-BNK9 reflect the pool's elevated concentration of FLOCs (42.2%) and the potential for further downgrades should performance of the FLOCs continue to deteriorate, and recovery expectations decline for the specially serviced Park Square loan (7.7%) and REO BWI Airport Marriott asset (5.3%). Largest Increases in Loss: The largest increase in loss expectations since Fitch's last rating action in both the BANK 2017-BNK8 and BANK 2017-BNK9 transactions is the specially serviced Park Square loan (10.3% in BANK 2017-BNK8 and 7.7% in BANK 2017-BNK9). The loan, which is secured by a 515,776-sf office building located in Boston, MA, transferred to special servicing in September 2024 due to imminent monetary default. The property's occupancy declined in 2022 after WeWork (previously 27.2% of the NRA, lease expiration July 2032) terminated its lease and vacated the property. The termination included a payment of $2.7 million, which was deposited with the lender. The property's largest tenants include HNTB Corporation (5.9% of NRA, leased through December 2027), Anaqua Inc (5.1%, October 2026) and Hercules Capital Inc (3.5%, August 2031). According to a servicer update, Anaqua Inc. is not expected to renew its lease at the upcoming expiration. The property was 40.6% occupied as of the January 2026 servicer-provided rent roll, compared to 42.8% at YE 2024, 48.3% at YE 2023, 52.9% at YE 2022 and 86.1% at YE 2021. Near term lease rollover includes 8.5% of the NRA in 2026 and 10.5% of the NRA in 2027. The servicer-reported NOI DSCR was 0.12x as of YE 2024 compared to 0.30x at YE 2023, 1.10x at YE 2022, and 1.76x at YE 2021. The loan was reported as 90+ days delinquent as of the February 2026 remittance and reported $67,668 in total reserves for the same period. According to CoStar, the property lies within the Back Bay office submarket of Boston, MA. As of 1Q26, submarket asking rents averaged $63.36 psf and the vacancy rate was 15.2%, while the property has an availability of 84,837-sf (16.7% NRA). Fitch's 'Bsf' case loss of 49.0% (prior to a concentration adjustment) reflects a Fitch-stressed value of $185 psf, which compares with the appraisal value at issuance of $558 psf. Fitch's 'Bsf' rating case loss at the prior rating action was 40.0%. The second-largest contributor to loss expectations in the BANK 2017-BNK8 is the 1235 South Clark Street loan (7.7%), which is secured by a 384,906-sf office building located in Arlington, VA. The property's largest tenants include the Department of Defense (combined, 32.0% of NRA, with 17% leased through February 2032 and 15% leased through April 2027), Earth Treks Crystal City (9.1%, June 2031), and General Dynamics Information (5.5%, October 2028). The Department of Defense leases are guaranteed by the U.S. government (AA+/F1+/Stable). The property is currently 68.2% occupied as of the servicer-provided September 2025 rent roll. Occupancy declined from 97.4% at YE 2023 due to the second-largest tenant, International Justice Mission (previously 20.2% of NRA,) vacating the property upon lease expiry in March 2024. Near-term lease rollover includes 9.0% of leases in 2026 and 18.9% in 2027. The loan, which is currently cash managed, reported $5.94 million or approximately $15 psf in total reserves as of the February 2026 remittance. Fitch's 'Bsf' case loss of 10.3% (prior to concentration adjustments) is based on a 9.50% cap rate and 10% stress to the YE 2024 NOI and factors an increased probability of default due to the loan's heightened maturity default risk. The second-largest contributor to loss expectations in the BANK 2017-BNK9 is the specially serviced BWI Airport Marriott asset (5.3%), a 315-key, full-service hotel located in Linthicum Heights, MD. The loan transferred to the special servicer in November 2020 due to imminent monetary default as a result of the COVID-19 pandemic. A foreclosure sale in April 2023 resulted in the asset becoming real estate owned (REO). According to the servicer, a signed purchase contract expected to close in Q1 2026 was subsequently terminated. According to the T-6 June 2025 STR report, the hotel reported an occupancy, ADR and RevPAR of 85.0%, $146.35, and $124.4, respectively. Fitch's 'Bsf' case loss of 54.8% (prior to a concentration adjustment) is based on a 20% stress to the most recent September 2025 appraisal valuation, equating to a Fitch-stressed value of $93,968/key. The third-largest contributor to loss expectations in the BANK 2017-BNK9 is the Duane Morris Plaza loan (13.5%), also the largest loan in the pool. The loan, which is secured by a 617,476-sf office building located in downtown Philadelphia, PA., transferred to special servicing in January 2025 following the borrower's request for a loan modification to allow for the funding and execution of a lease modification with Duane Morris. According to the servicer, the amendment to the Duane Morris lease incorporates the tenant's downsizing from 241,022-sf (39% of the NRA) to 195,757-sf (32%) through March 2039. The total cost of the tenant improvements and leasing commissions is expected to be approximately $26.0 million, with the borrower funding $11.5 million. In addition, the maturity date of the loan was extended 24-months to November 2029 from November 2027, with one additional 12-month extension option through November 2030 subject to a debt yield test. Per the servicer-provided December 2025 rent roll, occupancy was reported at 92.7% with other major tenants including Guy Carpenter & Company (10.2%, April 2030), Convene (7.4%, June 2029), Volpe & Koenig (5.1%, February 2031), and RSM US, LLP (4.2%, May 2026) which is expected to vacate at lease expiration. The servicer-reported NOI DSCR was 2.29x as of YE 2024. Fitch's 'Bsf' case loss of 10.1% (prior to a concentration adjustment) is based on a 9.50% cap rate and 20% stress to the YE 2024 NOI. Increase in Credit Enhancement (CE): As of the February 2026 distribution date, the aggregate pool balances of the BANK 2017-BNK8 and BANK 2017-BNK9 transactions have been reduced by 14.6% and 26.0%, respectively, since issuance. The BANK 2017-BNK8 transaction includes six loans (16.4% of the pool) that have fully defeased. Six loans (8.5%) are fully defeased in BANK 2017-BNK9. Principal Loss and Interest Shortfalls: To date, the BANK 2017-BNK8 transaction has not incurred any realized principal losses. The BANK 2017-BNK9 transaction has incurred $7.54 million in realized losses which have been absorbed by the non-rated class G and risk retention class RRI. Cumulative interest shortfalls totaling $1.561 million are impacting classes E and F, the non-rated class G, and risk retention class RRI in the BANK 2017-BNK8 transaction. Cumulative interest shortfalls totaling $4.757 million are impacting classes D, E, and F, the non-rated class G, and risk retention class RRI in the BANK 2017-BNK9 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' classes, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes rated in the 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably Park Square in both transactions, 1235 South Clark Street in BANK 2017-BNK8, and BWI Airport Marriott and Duane Morris Plaza in BANK 2017-BNK9, deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. This includes Park Square in both transactions, 1235 South Clark Street in BANK 2017-BNK8, and BWI Airport Marriott and Duane Morris Plaza in BANK 2017-BNK9. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until later years in a transaction and only if the performance of the remaining pool is stable, but are limited based on sensitivity to adverse selection and concentrations to the aforementioned FLOCs and loans in special servicing. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAR 2026-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BAR 2026-FL1 Issuer LLC as follows: - $587,839,000a class A 'AAA(EXP)sf'; Outlook Stable; - $100,141,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $80,633,000a class B 'AA-(EXP)sf'; Outlook Stable; - $63,726,000a class C 'A-(EXP)sf'; Outlook Stable; - $40,316,000a class D 'BBB(EXP)sf'; Outlook Stable; - $20,809,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $41,617,000a class F 'BB-(EXP)sf'; Outlook Stable; - $26,010,000a class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $79,333,319ab income notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 7.625% of the notional amount of the notes. Transaction Summary The certificates represent the beneficial interests in the trust, the primary assets of which are 20 loans secured by 21 commercial properties having an aggregate principal balance of $1,040,424,319 as of the cutoff date. The loans were contributed to the trust by BAR 2026-FL1 Issuer LLC. The servicer is expected to be NewPoint Real Estate Capital LLC and the special servicer is expected to be Barings Real Asset Special Servicer LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 11 loans in the pool (57.9% by balance). Fitch's resulting aggregate net cash flow (NCF) of $44.6 million represents a 12.5% decline from the issuer's aggregate underwritten NCF of $51.0 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 136.2% is lower than both the 2025 and 2024 CRE CLO averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.9% is higher than both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool's diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 58.4% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages of 61.6% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 19.1, which is between the 2025 and 2024 CRE CLO averages of 20.4 and 16.9, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool comprises 100.0% of fully IO loans, based on fully extended loan terms. This is worse than both the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%, respectively. As a result, the pool is expected to have no principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'BB-sf' /' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAYVIEW COMMERCIAL 2005-2: Moody's Ups Rating on M-1 Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 11 notes issued by Bayview Commercial Asset Trust's series 2005-2, 2006-2 and 2008-4 notes. The notes are backed by a portfolio of loans secured primarily by small commercial real estate properties in the US owned by small businesses. Complete rating actions are as follows: Issuer: Bayview Commercial Asset Trust 2005-2 Cl. M-1, Upgraded to Ba1 (sf); previously on Nov 2, 2022 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Nov 2, 2022 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Nov 2, 2022 Upgraded to B1 (sf) Issuer: Bayview Commercial Asset Trust 2006-2 Cl. M-1, Upgraded to Baa2 (sf); previously on Jun 12, 2025 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Jun 12, 2025 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Jun 12, 2025 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Ba3 (sf); previously on Jun 12, 2025 Upgraded to B1 (sf) Cl. M-6, Upgraded to B1 (sf); previously on Jun 12, 2025 Upgraded to B2 (sf) Issuer: Bayview Commercial Asset Trust 2008-4 Cl. M-1, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Jun 29, 2023 Downgraded to Caa2 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily driven by stable performance and an increase in the credit enhancement supporting the notes from subordination, overcollateralization and a reserve fund, where applicable. For the Bayview Commercial Asset Trust 2008-4 transaction, the upgrades are also a result of note deleveraging due to the sequential pay structure. Moody's also considered loans with maturities in excess of the transaction maturity date, where applicable, which may introduce uncertainty in the final repayment of the bonds. In addition, Moody's took into account credit-related unpaid interest shortfalls, cumulative realized losses, stressed recoveries on the assets, and increasing pool concentrations. No rating actions were taken on the remaining rated tranches because there have been no material changes in collateral quality and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "SME Asset-backed Securitizations" published in June 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 expected losses could drive the ratings up. Moody's expectations of pool losses could decline as a result of a decrease in seriously delinquent loans or lower severities than expected on liquidated loans. As a primary driver of performance, positive changes in the US macro economy could also affect the ratings, as can changes in servicing practices. Reimbursement of interest shortfalls more rapidly than anticipated when applicable. For loans with maturities in excess of the transaction maturity date, levels of prepayments above expectations, or the further modification of those loans such that they mature prior to the transaction maturity date for their respective transactions. Down Levels of credit protection that are insufficient to protect investors against expected losses could drive the ratings down. Moody's expectations of pool losses could increase as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. As a primary driver of performance, negative changes in the US macro economy could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, and inadequate transaction governance. Reimbursement of interest shortfalls slower than anticipated when applicable. For loans with maturities in excess of the transaction maturity date, levels of prepayments below expectations, or the modification of additional loans such that they mature after the transaction maturity date for their respective transactions. BBCMS MORTGAGE 2017-C1: Fitch Lowers Rating on Class C Certs to BB ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes and affirmed five classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage pass-through certificates. Following their downgrades, Fitch assigned classes B, C and X-B Negative Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2017-C1 A-3 07332VBC8 LT AAAsf Affirmed AAAsf A-4 07332VBD6 LT AAAsf Affirmed AAAsf A-S 07332VBE4 LT AAAsf Affirmed AAAsf A-SB 07332VBB0 LT AAAsf Affirmed AAAsf B 07332VBF1 LT Asf Downgrade AA-sf C 07332VBG9 LT BBsf Downgrade BBB-sf D 07332VAA3 LT CCCsf Downgrade B-sf E 07332VAC9 LT CCsf Downgrade CCCsf F 07332VAE5 LT Csf Downgrade CCsf X-A 07332VBJ3 LT AAAsf Affirmed AAAsf X-B 07332VBH7 LT Asf Downgrade AA-sf X-D 07332VAL9 LT CCCsf Downgrade B-sf X-E 07332VAN5 LT CCsf Downgrade CCCsf X-F 07332VAQ8 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'B' Loss Expectations; Upcoming Maturities: Deal-level 'Bsf' rating case loss increased to 10% from 9.5% at the prior rating action. Seventeen loans (48.8% of the pool), including seven loans (13.2%) in special servicing, have been identified as Fitch Loans of Concern (FLOCs). Of the seven loans in special servicing, five multi-family loans (4.3%) have the same sponsor and transferred due to a partnership dispute. The downgrades reflect continued high loss expectations, most notably from the specially serviced 1166 Avenue of the Americas loan (7.9% of the pool and is the second largest in the transaction). Further value decline or higher expected losses are possible if loan exposure increases. The downgrades also reflect anticipated refinance challenges for the larger FLOCs, including Alhambra Towers (8.9%), and Center West (4.4%). All of the remaining loans mature between November 2026 and February 2027. The Negative Outlooks reflect the potential for further downgrades if the value of 1166 Avenue of the Americas deteriorates beyond Fitch's current expectations or if expected losses increase due to increasing fees and advances as the result of a prolonged resolution. Downgrades are also likely if losses on the other FLOCs increase or if additional loans experience performance declines. A downgrade to class A-S is likely if more loans than anticipated default at maturity and the class is no longer expected to be paid in full from these loans. The transaction also has a high concentration of office loans (42%). Given the pool's maturity concentration in 4Q26 and 1Q27, Fitch also performed a sensitivity and liquidation analysis. The analysis grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation. The rating actions also incorporate this analysis. FLOCs; Largest Contributors to Expected Loss: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations is the specially serviced 1166 Avenue of the Americas (7.9%). The loan is secured by floors two through six totaling 196,241-sf (11.1% of the building's total square footage) of an office property located in Midtown Manhattan built in 1974. The top three tenants at issuance were DE Shaw & Co (43.5% NRA; lease expiry in June 2024), Sprint (20%, January 2027) and Arcesium (20%, June 2024). Both DE Shaw & Co and Arcesium vacated upon their respective lease expirations causing occupancy to decline to 37%. The loan transferred to special servicing in July 2024 for imminent monetary default; as of September 2025, occupancy and DSCR were reported at 36% and 0.03x, respectively. The servicer is dual tracking negotiations with the borrower while also pursuing foreclosure. Fitch's 'Bsf' rating case loss of approximately 48.2% (prior to concentration add-ons) is based on a stress to the December 2025 appraised value, resulting in a Fitch stressed value of approximately $255 psf, which is 78% below the value at issuance. The Negative Outlooks consider the potential for higher losses due to increased expenses if the loan workout is prolonged and/or the loan becomes REO. The second largest contributor to expected loss is Center West (4.4%), which is secured by leasehold interest on a 351,789-sf office building located in Los Angeles, CA. Occupancy has remained below 35% for the past three years and was most recently reported at 32.4% as of October 2024 resulting in cash flow insufficient to cover debt service. The NOI DSCR has consistently remained below 1.0x, reaching 0.63x at YE 2023, down from 1.92x in 2020 and 2.15x at issuance. Fitch's 'Bsf' ratings case loss of 47% (prior to concentration add-ons) reflects an 10% cap rate, a 10% stress to the annualized September 2025 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns given the leasehold interest and low occupancy. The third largest contributor to expected loss is Alhambra Towers. The loan is secured by a 174,250-sf office property located in Coral Gables, FL. The largest tenants include Quest Workspaces 121 Alhambra,LLC (Quest) (12.9%; December 2034), American Tower (7.3%; April 2033) and the Allen Morris Company (6.8%, July 2028), which is a sponsor related tenant. In 2023, co-working tenant Quest backfilled the majority of space vacated by AerSale, the largest tenant at issuance (15.7% NRA; lease expired November 2021). Due to the new lease, occupancy and DSCR has improved to 91% and 1.54x, respectively, as of YE 2025 compared to 82% and 0.80x at YE 2023 and 78% and 1.21x at YE 2022. Despite the improved performance, Fitch has concerns with refinanceability given the exposure to a co-working tenant and office sector liquidity challenges. Fitch's 'Bsf' ratings case loss of 9.5% (prior to concentration add-ons) reflects a 9% cap rate applied to the YE 2025 NOI and factors an increased probability of default. Increase to Credit Enhancement: As of the February 2026 distribution date, the pool's aggregate principal balance has paid down by 19.9% to $685.7 million from $857.5 million.at issuance. Fifteen loans (13.7% of the pool) are fully defeased. There are 12 (49.1% of pool) full-term, interest-only loans; and 38 (50.9%) loans that are currently amortizing. Sixteen (26% of pool) loans have a maturity date in 4Q 2026, while the rest have a maturity date in 1Q 2027. Cumulative interest shortfalls are affecting class E through the non-rated classes H and RRI. 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 their high credit enhancement (CE), position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur. A downgrades of the junior A-S class (AAAsf/Negative) is likely if more loans than expected default at or prior to maturity, particularly Alhambra Towers, and the class is then no longer anticipated to pay off in the near term. A downgrade is also possible with further value deterioration of 1166 Avenue of the Americas, limited or no improvement in CE, or if interest shortfalls occur or are expected to occur. Downgrades to the 'Asf' and 'BBsf' rated categories are possible with higher than expected losses from underperformance of the FLOCs, including Center West and Anaheim Marriott Suites, and/or prolonged resolutions and greater certainty of losses on the specially serviced loans. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes 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 the 'Asf' and 'BBBsf' category rated class may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs, particularly 1166 Avenue of the Americas. However, upgrades would be limited based on sensitivity to future concentration and would only occur with sustained improved performance of the FLOCs and there is sufficient CE to the classes; Upgrades to the distressed 'CCCsf', 'CCsf' and 'Csf' rated classes are not likely but are possible with better-than-expected recoveries on specially serviced 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. BGME TRUST 2021-VR: DBRS Confirms BB(high) Rating on HRR Certs -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-VR issued by BGME Trust 2021-VR as follows: -- Class A at AAA (sf) -- Class B at A (high) (sf) -- Class C at BBB (high) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance since the previous credit rating action in March 2025. The transaction benefits from the collateral being fully leased to Meta Platforms, Inc. (Meta or the Company), an investment-grade tenant, pursuant to a long-term lease that expires at loan maturity in January 2033. The loan is secured by the borrower's fee-simple interest in Burlingame Point, a four-building Class A office and research property totaling 805,118 square feet (sf) in Burlingame, California. All four buildings are 100% occupied by Meta on a 12.5-year triple net lease, and the lease expiry is co-terminus with the loan's final maturity date in January 2033. The collateral is between Silicon Valley and downtown San Francisco and serves as the headquarters for Meta's Reality Labs division, which produces the Company's virtual reality hardware, Meta Quest (formerly known as Oculus). The whole loan amount of $620.0 million comprises $380.0 million of senior debt, of which $260.0 million is held within the subject transaction. There is also $240.0 million of junior debt, the entirety of which is held in the trust. An additional $130.0 million of mezzanine debt is held outside of the trust. The fixed-rate loan pays interest only (IO) and is structured with an anticipated repayment date in July 2030, after which the loan will amortize on a 30-year schedule and hyper-amortize if excess cash flow is available through the final maturity date in January 2033. The loan is sponsored by Kylli Inc. (Kylli), a subsidiary of Genzon Investment Group, a full-service real estate investment management company that focuses on acquiring, developing, and managing institutional-quality assets in the Western United States. It was noted at issuance that, since acquiring the property for $45.7 million in 2015, Kylli had spent approximately $757.0 million in full-scale renovations. According to the September 2025 rent roll, the collateral properties remained fully occupied by Meta. Per its lease terms, the Company has two eight-year renewal options at 95.0% of market rent. There are no contraction or termination options available during the lease term. Meta currently pays an average rental rate of $63.48 per sf (psf), compared with an average rental rate of $80.69 psf for Class A office properties within a five-mile radius of the subject, according to Reis Inc. (Reis) as of March 2026. Reis also cites average asking rental and vacancy rates for office properties within the larger Central San Mateo submarket at YE2025 at $55.76 psf and 23.3%, respectively, compared with YE2024 figures of $55.95 psf and 22.8%, respectively. During the previous credit rating action, Morningstar DBRS highlighted that Meta had made more than 500,000 sf of space across three nearby properties within the same submarket available for sublease. In January 2026, The New York Times reported that Meta planned to cut approximately 10% of the Reality Labs workforce, and in February 2026, CNBC reported that the division posted a $6.02 billion loss in Q4 2025. While no subleasing activity has been observed at the collateral and no direct impact on transaction has been identified, Morningstar DBRS recognizes that Meta's long-term commitment could be challenged if the Reality Labs division continues to struggle and/or the Company continues to downsize its office footprint across the firm. According to September 2025 financial reporting, the collateral generated an annualized net cash flow (NCF) for the trailing nine months ended September 30, 2025, of $50.7 million, corresponding with a debt service coverage ratio (DSCR) of 2.67 times (x), an improvement over YE2024 NCF of $49.1 million (DSCR of 2.58x) but still slightly below the Morningstar DBRS NCF of $51.19 million (DSCR of 2.74x) derived at issuance. Morningstar DBRS' NCF considers the 3.0% annual rent escalations in the Meta lease. For the purposes of this credit rating action, Morningstar DBRS maintained its valuation approach from the April 2024 review. Morningstar DBRS' concluded capitalization rate (cap rate) for the property was 7.25%, which resulted in a value of $706.0 million. Morningstar DBRS maintained a value adjustment of -$7.2 million from issuance as part of a conservative approach given the recent staff reductions and operating losses for the Reality Labs division housed at this property. The final concluded Morningstar DBRS Value for the property was $699.3 million, which implies a cap rate of 7.32% if applied to Morningstar DBRS NCF of $51.2 million and represents a -33.4% variance from the issuance appraised value of $1.05 billion (LTV of 107.26%). Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks, totaling 8.75%, to reflect the investment-grade tenancy, substantial capital investment made into the property, and the property's strong market position. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK BAKER 2021-1: S&P Lowers E Notes Rating to 'CCC- (sf)' ---------------------------------------------------------------- S&P Global Ratings took various rating actions on seven classes of debt from Blackrock Baker CLO 2021-1 Ltd., a U.S. collateralized loan obligation (CLO) managed by Blackrock Capital Investment Advisors LLC. S&P lowered its ratings on the class C, D, and E notes, and the rating on class E was also removed from CreditWatch with negative implications. S&P also affirmed its ratings on the class A-1, A-F, A-L, and B notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Feb. 5, 2026, trustee report. S&P said, "Since our December 2024 rating action, the class X notes were paid down in full, while the class A-1, A-F, and A-L debt had total paydowns of $10.33 million (pro rata between the classes) that reduced their outstanding balances to 94.12% of the original balances. The deal exited its reinvestment period in Jan. 2026 and while the senior tranche balances began to pay down, the more junior class C, D, and E debt have since deferred interest. Class C and E currently stand at 101.73% and 125.19%, respectively, of their original balances. Despite payment-in-kind (PIK) accrual, class D benefitted from a turbo feature in the interest proceeds waterfall, whereby excess spread that is available after class E interest is applied to class D principal, then class E interest, then class E PIK up to $300,000. This allowed class D to pay down to 83.10% of its original balance in July 2024, then re-accrue approximately 10% of its original balance in PIK to 90.39% outstanding." Following are the changes in the reported overcollateralization (O/C) ratios since the November 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio declined to 138.46% from 140.71%. -- The class C O/C ratio declined to 119.25% from 122.05%. -- The class D O/C ratio declined to 119.25% from 122.05%. -- The class E O/C ratio declined to 119.25% from 122.05%. Due to the turbo feature, the class C, D, and E O/C ratios are all calculated based on the class C O/C level; however, each has a differing test trigger of 122.72%, 124.29%, and 124.96%, respectively. All O/C ratios are below their respective test levels. Despite small paydowns, the decline in the O/C ratios and failure of O/C tests is primarily attributed to par loss that the CLO has incurred since the last rating action. The O/C test failures were not cured using principal proceeds (as allowed in the transaction documents) and subsequently the class C, D, and E have accrued deferred interest. In addition to affecting the subordination levels, the losses negatively affected the cash flows. Even though exposure to non-performing assets and obligors in the 'CCC' category declined since our last rating action, they were not adequate to offset the negative impact of the trading losses. As market conditions evolve, the excess spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support junior tranches and further contributing to the downward pressure on the ratings. On a more positive forward-looking note, the transaction exited its reinvestment period in January, and, if paydowns commence, that could eventually benefit both the subordination and the cash flows. However, as the transaction amortizes, the shrinking portfolio faces concentration risk due to larger obligor positions, and the class E debt currently does not pass the largest obligor test. Given the increasing concentration risks, our analysis and rating decisions also examined other metrics and qualitative factors in addition to the results of the cash flow analysis. The lowered ratings reflect the decrease in credit support available to the class C, D, and E notes due to the par loss and accruing PIK balances. Though cash flows indicated that class E was not passing at the 'CCC' rating category, our rating action considered the improved portfolio credit quality since our last rating action and the aggregate balance of assets backing the debt, including potential for equity positions held by the CLO to cover any future shortfalls, and hence we do not yet consider it to have a virtual certainty of default. However, any increase in defaults and/or further portfolio par loss could lead to potential negative rating actions on the debt in the future. The downgrade to 'CCC- (sf)' reflects our view that the class is currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus meets our definition of 'CCC' risk. Additionally, the cash flows on the class D debt were passing at the previous rating level, but S&P's rating action considered the decline in O/C and lower credit enhancement available to this tranche despite the benefit of the turbo feature, along with the increasing PIK balance. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered Blackrock Baker CLO 2021-1 Ltd. Class C, to 'BBB+ (sf)' from 'A- (sf)' Class D, to 'BB- (sf)' from 'BB+ (sf)' Class E, to 'CCC- (sf)' from 'B- (sf)/Watch Negative' Ratings Affirmed Blackrock Baker CLO 2021-1 Ltd. Class A-1, 'AAA (sf)' Class A-F, 'AAA (sf)' Class A-L, 'AAA (sf)' Class B, 'AA (sf)' BLACKROCK DLF 2025-1: DBRS Finalizes B Rating on Class W Notes -------------------------------------------------------------- DBRS, Inc. finalized the provisional credit ratings to the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class W Notes (together, the Secured Notes) issued by BlackRock DLF X CLO 2025-1, LLC (the Issuer). The Secured Notes are issued pursuant to the Note Purchase and Security Agreement, dated as of May 30, 2025, among the Issuer, Wilmington Trust, N.A., as Collateral Agent, Custodian, Collateral Administrator, Information Agent and Note Agent, and the Purchasers referred to therein: -- Class A-1 Notes from (P) AAA (sf) to AAA (sf) -- Class A-2 Notes from (P) AA (high) (sf) to AA (high) (sf) -- Class B Notes from (P) A (sf) to A (sf) -- Class C Notes from (P) BBB (sf) to BBB (sf) -- Class D Notes from (P) BB (sf) to BB (sf) -- Class W Notes from (P) B (sf) to B (sf) The credit ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest excluding the additional interest payable at the Post-Default Rate and the ultimate repayment of principal on or before the Stated Maturity of May 30, 2037. The credit ratings on the Class B Notes, the Class C Notes, the Class D Notes, and the Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of May 30, 2037. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025 https://dbrs.morningstar.com/research/466921). The Reinvestment Period is scheduled to end on May 30, 2029. The Stated Maturity is May 30, 2037. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of February 17, 2026, the transaction is in compliance with all performance metrics. In its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review. As of February 17, 2026, the transaction has reached the Diversity Score (the D Score) of 9 which is above the minimum level of 8 that is required for a rating finalization. Based on the current D Score and transaction performance, Morningstar DBRS finalized the credit ratings on the Secured Notes. In its analysis, Morningstar DBRS also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Loans to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Torch Credit Opportunities Fund III LP and Affiliates. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology The performance metrics that Morningstar DBRS considered during its analysis are presented below: Collateral Quality Tests: Minimum Weighted Average Spread: Subject to CQM; Actual 6.42%; Threshold 5.00% Maximum DBRS Risk Score Test: Subject to CQM; Actual 34.75%; Threshold 41.00% Minimum Weighted Average DBRS Recovery Rate Test: Subject to CQM; Actual 50.80%; Threshold 42.00% Minimum Diversity Score: Subject to CQM; Actual 9.00; Threshold 9.00 Maximum Weighted Average Life Test: Actual 5.13; Threshold 7.25 Coverage Tests: Class A Overcollateralization Ratio: current 0.00%; minimum 134.18% Class B Overcollateralization Ratio: current 0.00%; minimum 119.11% Class C Overcollateralization Ratio: current 0.00%; minimum 117.63% Class D Overcollateralization Ratio: currently 997.13%; threshold 112.76% Class A Interest Coverage Ratio: current 0.00%; threshold 150.00% Class B Interest Coverage Ratio: current 0.00%; threshold 140.00% Class C Interest Coverage Ratio: current 0.00%; threshold 120.00% Class D Interest Coverage Ratio: current 1,271.20%; threshold 110.00% Class W Interest Coverage Ratio: current 726.70%; threshold 100.00% This transaction is funded reverse sequentially, beginning with the Equity Notes and Class W Notes. As of the latest trustee report, the Class A, Class B, and Class C Notes remain undrawn, while approximately $4.1 million of the Class D Notes have been drawn. Accordingly, the Overcollateralization and Interest Coverage ratios for Classes A-C appear as 0%/ `Not Calculated,' reflecting their undrawn status. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Loans. Some challenges were identified: (1) the weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. As of the most recent trustee report on February 17, 2026, the transaction is performing according to the contractual requirements of the Loan Agreement, and there were no defaults registered in the underlying portfolio. Given sufficient diversification of collateral to date, Morningstar DBRS finalized its provisional credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Secured Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B-2 Notes 'B-(EXP)' ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-NQM3 (BRAVO 2026-NQM3). Entity/Debt Rating ----------- ------ BRAVO 2026-NQM3 A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 987 loans with a total balance of approximately $490 million as of the cutoff date. Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra), OCMBC, Inc. (OCMBC) and AmWest Funding Corp (AmWest) originated approximately 27.2%, 18.2% and 14.3% of the pool, respectively. All are considered 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Citadel, AmWest, Carrington Mortgage Services, LLC (Carrington) and Rocket Mortgage LLC, d/b/a Rushmore Servicing (Rushmore), will service 35.2%, 14.3%, 11.4% and 39.1% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM3 has a final probability of default (PD) of 44.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.6%. The expected loss in the 'AAAsf' rating stress is 18.2%. The pool consists of 987 primarily newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO of 744 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 69.6%. Fitch considers approximately 92% of the pool to be non-prime. About 10.1% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 36.8%), bank statement (34.7%) and other program (8.7%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 50.0% of borrowers are self-employed or have unknown employment status. In addition, approximately 9.5% of the loans were originated to foreign nationals (including individual taxpayer identification number [ITIN] borrowers) and are therefore subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM3 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 notes (specifically, the A-1FCF, A-1LCF, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100 bps, subject to the net WA coupon (WAC), starting on the March 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the March 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1, A-2 and A-3 notes. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest (P&I) advancing. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM3 to be a fully de-linked and bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.2% 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 the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: A 5% probability of default credit was applied at the loan level for all loans graded either A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CAPTERIS EQUIPMENT 2026-1: DBRS Gives (P)BB(high) Rating on E Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by Capteris Equipment Finance 2026-1, LLC (Capteris 2026-1 or the Issuer): -- $56,300,000 Class A-1 Notes rated (P) R-1 (high) (sf) -- $271,425,000 Class A-2 Notes rated (P) AAA (sf) -- $34,435,000 Class B Notes rated (P) AA (high) (sf) -- $26,123,000 Class C Notes rated (P) A (high) (sf) -- $23,748,000 Class D Notes rated (P) BBB (high) (sf) -- $24,936,000 Class E Notes rated (P) BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings on the Notes are based on Morningstar DBRS' review of the following analytical considerations: (1) Morningstar DBRS' respective stressed CNL hurdle rates of 25.14%, 22.13%, 18.23%, 11.35%, and 7.75% in the cash flow scenarios commensurate with the (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BB (high) (sf) ratings. Morningstar DBRS assessed the stressed CNL hurdle rates at each rating level by blending the stressed net loss assumptions for the concentrated portion of the collateral pool (comprising the 24 largest obligors) and the more granular portion of the collateral pool based on their share of the Securitization Value. -- Morningstar DBRS' stressed CNL hurdle rate for the concentrated portion of the collateral pool was derived using the Morningstar DBRS CLO Insight Model based on the opinions of the credit quality of the underlying obligors and a review of the obligor-specific expected recoveries in a recessionary scenario commensurate with the relevant target rating. -- Morningstar DBRS' stressed CNL assumption for the granular portion of collateral pool reflects the composition and characteristics of the underlying assets, the performance to date of the portfolio managed by Capteris, and the performance of comparable portfolios originated by other large-ticket lessors. Stressed CNL assumptions applicable to the granular portion of the collateral pool were derived by applying target multiples of 5.10 times (x), 4.60x, 3.70x, 2.60x, and 1.85x, respectively, to the base case CNL assumption of 5.00% in an (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BB (high) (sf) cash flow scenarios. (2) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments under three different default timing scenarios and during zero conditional prepayment rate (CPR) and five CPR prepayment environments. (3) The transaction's exposure to unguaranteed booked residuals (as discounted) is rather limited at 1.36% of the Aggregate Securitization Value as of the Initial Cut-off Date. Morningstar DBRS assigned credit to residual realization proceeds, with such credit ranging from 50% to 90% in its AAA (sf) to BB (high) (sf) cash flow scenarios, respectively, applied to the base case residual realization assumption of 103.06%. (4) The transaction's capital structure and form and sufficiency of available credit enhancement. The subordination, overcollateralization (OC), cash held in the Reserve Account, available excess spread and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of notes. (5) The initial overcollateralization (OC) as of the closing date will be equal to 8.00%, with a target OC of 12.00% of Securitization Value of the outstanding collateral, subject to a floor equal to 1.00% of the initial Securitization Value of collateral as of the Initial Cut-off Date. (6) The replenishable cash reserve account will be funded at 1.00% of the initial Securitization Value of collateral pool and will be required to remain at 1.00% of the Aggregate Securitization Value as of the Initial Cut-off Date for the life of the transaction. (7) The weighted-average (WA) yield for the collateral pool is approximately 8.66%. The Aggregate Securitization Value of the collateral pool is determined by discounting all leases and loans at either implied or actual applicable contract rate, thus creating excess spread that may be available to the transaction. (8) The transaction is the second 144A term securitization to be sponsored by Capteris, which has been operating since 2022. Nevertheless, the Company's senior management team has extensive experience in the equipment industry, originating, underwriting and managing credit to middle-market and large companies in the United States through multiple market cycles. In addition, the Company is majority owned by AAA Equipment L.P., a subsidiary of Athene Holdings Ltd. and Apollo Global Management. In addition, Capteris has minority investments from Wheels, LLC and MidCap Financial. (9) Morningstar DBRS performed an operational risk review and deems Capteris to be an acceptable originator and servicer of equipment-backed leases and loans. Capteris will be the Sponsor, Servicer and Administrator of this transaction. In addition, Morningstar DBRS performed an operational risk review of Vervent Inc. and deems them to be an acceptable backup servicer of equipment-backed leases and loans. Furthermore, ECS Financial remains engaged to provide sales and use tax compliance and property tax services, ensuring continuity in specialized tax filings. In addition, Capteris uses KSM for income tax and advisory services. (10) Approximately 43.45% of the collateral pool is serviced on a retained basis by predominantly high credit quality equipment lease and loan originators / fiscal agents. (11) Since inception, Capteris has been awarded more than $1.5 billion in transaction volume and has funded over $1.1 billion to date, with approximately $850 million of assets under management as of December 31, 2025. Originations are currently sourced through a diversified channel mix, with 56.22% generated through direct origination efforts and 43.78% through buy desk activity. Since inception, Capteris has experienced no credit losses. (12) The collateral pool exhibits relatively high obligor concentrations, with the largest, five largest and 10 largest obligors accounting for approximately 8.18%, 30.28% and 49.14% of the Aggregate Securitization Value as of the Cut-off Date. Morningstar DBRS deemed the credit quality of the largest obligors to be in the CCC (high) to BBB (low) range, based on public ratings and internal assessments. The financed assets are of essential use to the applicable obligor, with the value of such assets supported by third-party or internally developed appraisals. The largest obligor industries are represented by Data Processing, Hosting, and Related Services (approximately 10.83% of the Aggregate Securitization Value at closing), Landscaping Services (7.14%), Motor Vehicle Supplies and New Parts Merchant Wholesalers (6.34%), Power and Communication Line and Related Structures Construction (5.84%), Construction, Mining, and Forestry Machinery and Equipment Rental and Leasing (4.39%), Pharmaceutical Preparation Manufacturing (4.20%), and Offices of Dentists (4.04%). (13) The largest financed equipment categories comprise Technology-Hardware (12.26%), Transportation (11.34%), Vocational (7.88%), Manufacturing and Industrial (7.68%), Lab Equipment (7.40%), Pickup Truck (5.77%), Material Handling (MHE) (4.93%), Tank Trailer (4.45%), and Medical-Dental (4.04%). (14) The transaction is supported by an established structure and is consistent with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology. Legal opinions covering true sale and non-consolidation will also be provided. (15) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: December 2025 Update published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the Notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the principal amounts of and interest on the Class A-1, Class A-2, Class B, Class C, Class D and Class E Notes, including any unpaid interest from the prior month. Notes: All figures are in U.S. dollars unless otherwise noted. CARVANA AUTO 2026-1: Fitch Assigns 'BB(EXP)' Rating on Cl. N Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to Carvana Auto Receivables Trust 2026-P1 (CRVNA 2026-P1). Entity/Debt Rating ----------- ------ Carvana Auto Receivables Trust 2026-P1 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating N LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral — Prime Credit Quality: Carvana 2026-P1 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The Carvana 2026-P1 pool has a weighted average FICO score of 713, which is on the lower end relative to peer prime issuers. However, FICO scores above 750 total 34.3% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 95.9% of the pool, and loans with terms of more than 72 months formed 75.2% of the pool, both higher than most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 97.4% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used-car prices, which had a positive impact on pre-pandemic vintages with loans outstanding and the 2020 vintage originations. Performance began to deteriorate with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023 due to higher defaults and lower recoveries as used-vehicle values declined. At this stage, the 2024 and 2025 vintages show improvement, with losses lower than the 2023 vintage. Without a full cycle of detailed historical performance data, Fitch supplemented Carvana's managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch considered potential risks in the current economic environment and the state of the auto industry and wholesale vehicle market (WVM), as well as future expectations and their potential impact on the pool in deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.00%, down from 3.50% in 2025-P2. Payment Structure — Adequate CE: Initial hard CE totals 11.20%, 7.10%, 2.60%, 0.50% and 0.25% for class A, B, C, D, and N, respectively. Initial expected excess spread is 5.21%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.00% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf', 2.00x for 'BBBsf', and 1.50x for 'BBsf'. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. This is evident from the performance history of Carvana's managed portfolio, and the prior Carvana and DriveTime securitizations where Bridgecrest was the servicer. In addition, Vervent Inc. serves as a backup servicer in case Bridgecrest is unable to perform. Fitch views Carvana as an adequate originator and Bridgecrest as an adequate servicer for 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 2.75% based on Fitch's "Global Economic Outlook - December 2025" report and historical managed and 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 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 result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, 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. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate 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 Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to four notches. The class N notes could be upgraded by only one notch due to the applicable rating cap applied to excess spread notes per Fitch's Global Structured Finance Rating criteria. 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 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 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. CARVANA AUTO 2026-P1: S&P Assigns BB- (sf) Rating on Class N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2026-P1's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 16.51%, 12.90%, 8.72%, 5.89%, and 5.75% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.43x coverage of S&P's expected cumulative net loss of 2.85% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned(i)(ii) Carvana Auto Receivables Trust 2026-P1 Class A-1, $120.29 million: A-1+ (sf) Class A-2, $309.00 million: AAA (sf) Class A-3, $309.00 million: AAA (sf) Class A-4, $199.98 million: AAA (sf) Class B, $43.08 million: AA (sf) Class C, $47.28 million: A (sf) Class D, $22.07 million: BBB (sf) Class N(ii), $20.80 million: BB- (sf) (i)Class XS notes (unrated) were issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CASTLELAKE AIRCRAFT 2026-1: Fitch Rates Series C Debt 'BB+sf' ------------------------------------------------------------- Fitch Ratings has assigned Castlelake Aircraft Structured Trust 2026-1 final ratings. Entity/Debt Rating Prior ----------- ------ ----- Castlelake Aircraft Structured Trust 2026-1 Series A LT Asf New Rating A(EXP)sf Series B LT BBB+sf New Rating BBB+(EXP)sf Series C LT BB+sf New Rating BB+(EXP)sf Transaction Summary The notes issued by CLAS 2026-1 are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 37 passenger aircraft operated by third-party lessees. Proceeds from the notes will be used to acquire assets from the seller, fund the initial expense and maintenance reserve accounts, and pay transaction fees and expenses related to the offering. As servicer, Castlelake Aviation Holdings (Ireland) Limited (Castlelake) will be responsible for managing the aircraft including aircraft leasing, maintenance and disposition. This is the sixth public Fitch-rated Castlelake transaction, and the seventh public transaction serviced by Castlelake since 2018. KEY RATING DRIVERS Asset Quality and Tiering (Neutral): The pool is largely midlife with a weighted average (WA) age of 11.6 years. Aircraft models are in high demand; the age-adjusted tier percentages are 66.2%, 21.1% and 12.7% for Tier 1, 2 and 3, respectively, by maintenance-adjusted base value (MABV). A320-200s make up the largest portion of the pool by MABV (40.7%), followed by 737-800s (25.2%), A320neos (7.2%), A330-300s (6.4%), A330-200s (6.3%), B737-MAX8s (5.5%), A321neos (4.8%) and E195-E2s (4.0%). Pool Concentration (Positive): The 37-aircraft portfolio spans 22 countries with no single country exceeding 12% of the portfolio. This balanced regional distribution reduces the transaction's vulnerability to localized economic downturns or geopolitical events in any single market. Of the 31 unique lessees, no single lessee exceeds 8% of the portfolio value. This granular distribution of lessees reduces the transaction's exposure to any individual airline's credit deterioration or operational challenges. Lessee Credit Risk (Neutral): The pool comprises 31 lessees. By aircraft value, 7% are leased to 'BBB' category lessees, 19.3% are leased to 'BB' to 'B' category lessees, and the remaining 73.7% to 'CCC' to 'CC' credits. The WA credit rating by Fitch Value (FV) is approximately 'CCC+' which is similar, albeit on the lower side, to that of other aircraft ABS transactions. All the assets are on-lease and current. Operational and Servicing Risk (Neutral): Fitch has found Castlelake to be an effective servicer with a proven track-record in the areas of remarketing, underwriting, procuring and managing aircraft maintenance, and managing a portfolio. This is evidenced by the experience of the Castlelake team and its servicing of the managed fleet. Transaction Structure (Neutral): Leverage is acceptable at 72.0% for the class A note, 79.0% for the class B note and 84.5% for the class C note. Notes amortize on a straight-line basis over varying time frames, based on the aircraft age and note class. The transaction is structured with sequential pay with A note interest and principal senior to B note interest and principal, which are, in turn, senior to the C note interest and principal in the waterfall. Concentration risk toward the end of the transaction life is mitigated through a mechanism that results in a rapid amortization event if the aircraft count drops below eight. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, please refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria,". RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'B' credits. Fitch ran a sensitivity assuming future lessees are rated 'CCC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the commercial aviation industry. This analysis is intended to indicate the notes' rating sensitivity to lower assumed lessee credit quality, decreased gross cash flows due to increased downtime resulting from aircraft repossessions and remarketing, while expenses may also rise due to repossessions and transition costs. Value Stress Sensitivity: Fitch applied a 10% haircut to the starting FV of last-generation aircraft to test the performance of the transaction in a more stressed environment. This sensitivity accounts for the historical volatility and cyclicality of aircraft values, especially for models that have been replaced by newer technology. This analysis is intended to indicate the notes' rating sensitivity to decreased gross cash flows as the lower starting FV drives future lease rates and disposition proceeds lower. Combined Credit and Value Stress Sensitivity: Fitch ran the credit and value stress sensitivities simultaneously by decreasing both the aircraft values and future lessee credit rating. End of Lease (EOL) Sensitivity: Fitch relies on maintenance cash flow forecasts provided by Alton to evaluate maintenance-related collections and expenditures, including EOLs haircuts based on the cumulative probability of default associated with each lessee's respective credit ratings. Given the inherent volatility in the magnitude and timing of EOLs over long time horizons (through, for example, renegotiation of redelivery requirements, lease extensions that defer EOL payments and the general difficulty of forecasting precise aircraft maintenance condition at end of lease), Fitch ran an EOLs sensitivity. Under this sensitivity an additional 20% haircut was applied to the central scenario EOLs. (The magnitude of the EOL sensitivity haircut Fitch applies may vary by transaction, based on the ratio of reserve and EOL payers and the credit ratings of lessees, among other factors.) Sensitivity Results: All series of notes showed rating resilience across the stress sensitivities at their final assigned ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the 'Asf' rating cap, the class A notes would not be subject to an upgrade. If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade of the class B and C notes. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade. CRITERIA VARIATION Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the class B and C notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. An important consideration was the sensitivity to EOL payments, the magnitude and timing of which are highly variable and difficult to forecast. 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. CHASE HOME 2026-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2026-3 (Chase 2026-3). Entity/Debt Rating ----------- ------ Chase 2026-3 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2026-3 (Chase 2026-3) as indicated above. The certificates are supported by 405 loans with a scheduled balance of $528.96 million as of the cutoff date. The closing date is March 30, 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 collateral consists of 405 loans with a total unpaid balance of $538.96 million, with an average loan size of $1.3 million, and is seasoned for three months based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 774, a WA combined loan-to-value ratio (cLTV) of 74.75% (82.35% sustained LTV), and a WA debt-to-income ratio (DTI) of 33.92%. The WA liquid reserves amount to $1,148,042.33. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-3 has a final probability of default (PD) of 9.33% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.17%. The expected loss in the 'AAAsf' rating stress is 3.38%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-3 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. 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 0.75% 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 0.55% 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 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. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 59.75% 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 2026-3 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-3, 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 59.75% (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 fi rm and have a final grade of either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.75% (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. CIFC FUNDING 2026-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2026-I, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2026-I, Ltd. A-1 LT NR(EXP)sf Expected Rating A-1L LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2026-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.09% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.25% 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 effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'Bsf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'Asf' for class D-2 notes, and 'BBB+sf' for class E 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 2026-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. COLT 2026-2: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2026-2 Mortgage Loan Trust (COLT 2026-2). Entity/Debt Rating Prior ----------- ------ ----- COLT 2026-2 A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCFX 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 A1F LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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 71.8% 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. In addition, 100% of the loans are clean and current. Following the publication of the presale and expected ratings, the issuer provided final documentation that reflected the withdrawal of three classes: A-1FCF, A-1FCX and A-1LCF. In addition, a corresponding pricing structure was provided reflecting lower coupons between 6 bps and 30 bps for all fixed-rate classes. As a result, the WA excess increased by 35 bps from 146 bps to 181 bps. There were no changes to the credit enhancement and Fitch's expected ratings remain unchanged. The A-1FCF, A-1FCFX, and A-1LCF classes are no longer being issued and were cancelled by the issuer. These notes previously had expected ratings of 'AAA(EXP)sf'/Stable. 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 had a final probability of default (PD) of 46.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 43.8%. The expected loss in the 'AAAsf' rating stress was 20.2%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-2 were based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (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 and then sequentially to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzed 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 considered 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 had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either A or B. Counterparty and Legal Analysis: All relevant transaction parties conformed with the requirements as described in Fitch's "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. In addition, all legal requirements were satisfied to fully de-link the transaction from any other entity. COLT 2026-2 is fully de-linked and serves as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers aligned 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 did not apply to COLT 2026-2; as such, Fitch was 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 incorporated 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 incorporated 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 applied 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 2014-CCRE17: Fitch Lowers Rating on 3 Tranches to 'BBsf' ------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed two classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE17 Mortgage Trust (COMM 2014-CCRE17). The Rating Outlook for class D remains Negative. Following their downgrades, classes B, C, PEZ and X-B were assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-CCRE17 B 12631DBE2 LT A-sf Downgrade AA-sf C 12631DBG7 LT BBsf Downgrade BBBsf D 12631DAG8 LT B-sf Affirmed B-sf E 12631DAJ2 LT CCCsf Affirmed CCCsf F 12631DAL7 LT Csf Downgrade CCsf PEZ 12631DBF9 LT BBsf Downgrade BBBsf X-B 12631DAA1 LT BBsf Downgrade BBBsf X-C 12631DAC7 LT Csf Downgrade CCsf KEY RATING DRIVERS Pool Concentration; Adverse Selection; Interest Shortfalls: Deal-level 'Bsf' rating case losses for the COMM 2014-CCRE17 transaction is 24.5%, lower from 27.9% at Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise all remaining six loans (100%), each of which are in special servicing. The downgrades to classes B, C, F, PEZ, X-B, and X-C are driven by elevated pool losses with increasing adverse selection and diminishing credit support due to the distressed status or underperformance of the remaining collateral. In addition, interest shortfalls are affecting all remaining classes in the transaction including senior class B. The transaction is not receiving monthly interest due to advance non-recoverability determinations. Increased principal expected losses are largely attributable to declining appraisal values for specially serviced loans with increasing total exposures and ongoing performance deterioration, particularly among office and regional mall FLOCs in special servicing including 25 Broadway (48.9% of the pool), and Cottonwood Mall (32.5%). The Negative Outlooks in the transaction reflect the pool's full concentration of loans in special servicing (100%) and ongoing performance and ultimate recovery concerns. Further downgrades may occur if performance weakens beyond current expectations, property values decline further, specially serviced loans face prolonged workout timelines, or loans take longer than expected to refinance or are unable to refinance at their modified maturity dates, which can impair recoveries upon disposition. In addition, class B may be downgraded if loan dispositions, which are expected within the next 12 months, do not occur and pay principal and interest recovery. Due to the concentrated nature of the transaction with all remaining loans in specially serviced loans that were unable to refinance or pay off at maturity, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. Largest Contributor to Loss Expectations: The largest contributor to loss expectations in the transaction is the 25 Broadway loan (48.9% of the pool), which transferred to special servicing in March 2024 due to maturity default. The loan is secured by a 23-story, 952,985 sf office building in the Financial District in Manhattan, NY. Overall property occupancy has remained relatively stable; however, cash flow remains below issuance. The loan has continued to perform under the forbearance agreement executed in July 2024. The forbearance included an extension to July 8, 2026 and the borrower is anticipated to exercise the last available six-month extension to January 2027. The borrower has also contributed $11 million in principal reduction, $5.72 million of which has been used to paydown the balance of this note. The servicer-reported occupancy is 89% as of September 2025 with a year-to-date reported net operating income (NOI) debt service coverage ratio (DSCR) of 1.29x. The largest tenant is a private school, Leman Manhattan Preparatory School (20.1% of the NRA). The school is now current on their past due rent obligations as part of an amendment that includes multiple rent reduction periods and an extension through June 2037. Fitch's loss expectations of 17.6% (prior to concentration add-ons) reflect the most recent appraisal value, which is approximately 23% below issuance, equating to a stressed value of $209 psf. The second largest contributor to loss expectations in the transaction is the Cottonwood Mall loan (32.5%), which is secured by 410,452 sf of a 1.05 million sf super regional mall in Albuquerque, NM. Non-collateral anchors include Dillard's and JCPenney, as well as a vacant box previously occupied by Sears, which vacated in 2018. Major collateral tenants include Regal Cinemas (17.9% of collateral NRA) and Old Navy (3.6%). Collateral occupancy was approximately 94.5% as of the September 2025 servicer reporting, which compares to 97% as of September 2022, 93% at YE 2021 and pre-pandemic levels of 88.6% as of September 2019. The servicer-reported NOI DSCR has dropped to 1.03x as of September 2025, down from 1.29x as of YE 2022 and pre-pandemic levels of 1.58x as of YE 2019. The loan transferred to special servicing in June 2021 due to the borrower filing for bankruptcy. According to the servicer, a receiver was appointed in February 2022, and the lender continues to work with the receiver on leasing efforts and evaluating the optimal strategy and timing for a potential loan/asset disposition. Fitch's loss expectations of 20.1% (prior to concentration add-ons) reflect the most recent appraisal, which is approximately 47% below issuance, equating to a stressed value of $168 psf. Increased Interest Shortfalls; Realized Losses: As of the February 2026 remittance report, the pool's aggregate balance has been reduced by 78.7% to $253.9 million. All loans have passed their initial scheduled maturity dates. Cumulative interest shortfalls of $12.7 million are currently affecting classes B, C, D, E, F, and the non-rated classes G and H. Realized losses of $17.9 million are affecting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'Asf' rated class are likely if interest shortfalls are no longer expected to be recovered due to extended workout periods and/or with an increase in pool-level losses from further value degradation and performance deterioration of the specially serviced loans, namely 25 Broadway, Cottonwood Mall, and Crowne Plaza Houston River Oaks. Downgrades to 'BBsf' and 'Bsf' rated classes are likely with higher-than-expected losses from continued underperformance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed classes 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 are not expected given the concentration of specially serviced assets, non-recoverability of advances and continued interest shortfalls. Although unlikely, upgrades to 'Asf' category rated classes are possible with full recovery of past-due interest shortfalls and increased certainty of paydown or payoff timing, as well as stable to improved pool-level loss expectations and performance stabilization of remaining FLOCs. Classes would not be upgraded above 'Asf' if interest shortfalls persist. Upgrades to the 'BBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentration or the potential for future concentration. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not likely but are possible with better-than-expected recoveries or significantly higher values on the specially serviced 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. COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-LC17 issued by COMM 2014-LC17 Mortgage Trust as follows: -- Class E at CCC (sf) -- Class F at CCC (sf) -- Class G at C (sf) Classes E, F, and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Classes D and X-C were discontinued as the classes were repaid in full with the February 2026 remittance. The credit rating confirmations on Classes F and G reflect Morningstar DBRS' sustained loss projections for the two loans in special servicing. As the pool continues to wind down, Morningstar DBRS analyzed the recoverability of the remaining four loans in the pool, including liquidation scenarios with conservative haircuts to the most recently appraised property values. The analysis suggests losses would nearly erode the entirety of Class G, which also supports the credit rating confirmations. The credit rating confirmation on Class E at CCC (sf) is reflective of the adverse selection of the pool and the increased propensity for interest shortfalls. Although total interest shortfalls declined to $4.5 million as of the February 2026 remittance compared with $5.3 million at the last review, in May 2025, and shortfalls on Class E were repaid in June 2025, this was due to the proceeds from the liquidation of Paradise Valley (Prospectus ID#26) being used to repay outstanding advances. As a result, a loss of $3.0 million was reported on the nonrated Class H at the time. Given the potential for future interest shortfalls to affect the class considering the ongoing performance decline on the largest loan in the pool, the credit rating confirmation) is supported. Since the last credit rating action, three loans were liquidated from the trust with no losses reported and proceeds from the liquidations being used to repay some of the ongoing interest shortfalls as noted above. Morningstar DBRS previously analyzed those loans under a liquidation scenario with a cumulative loss estimate of $3.5 million. As of the February 2026 remittance, the current trust balance was $62.5 million, representing a collateral reduction of 95.0% from issuance. The remaining two loans that are not specially serviced, U-Haul Pool 4 (Prospectus ID#9, 15.4% of the current pool balance) and Highwoods Portfolio (Prospectus ID#24, 20.3% of the current pool balance) have extended maturity dates in September 2029 and continue to perform in line with Morningstar DBRS' expectations. The largest specially serviced loan, Parkway 120 (Prospectus ID#5, 60.8% of the current pool balance) is secured by a 221,664-square-foot, five-story suburban office building in central New Jersey. The loan failed to repay at its initial maturity date in September 2024 and was subsequently transferred to the special servicer later that month. A foreclosure was being pursued but the borrower was granted a forbearance effective August 2025. Specific terms of the forbearance were not made available but the borrower received a 24-month maturity extension. According to the December 2025 rent roll, the subject property was 93.4% occupied, a slight increase from 91.2% at YE2024 but generally remaining in line with historical figures. The largest tenants include K. Hovnanian (27.5% of net rentable area (NRA), lease expiry in June 2028), Fragomen, Del Ray, Bernsen (20.5% of NRA, lease expiry in August 2026), and Redefine Management LLC (10.7% of NRA, lease expiry in March 2031). Over the next 12 months, there is a significant tenant rollover concern as leases representing approximately 28.5% of the NRA are scheduled to expire, including the second-largest tenant. As of the February 2025 reserve report, there was a total of $1.5 million held across all reserve accounts. Financial performance continues to decline; according to the most recent financial reporting as of YE2024, the loan reported a debt service coverage ratio (DSCR) of 1.18 times (x), compared with the YE2023 and YE2022 figures of 1.25x and 1.33x, respectively. At issuance, the subject property was valued at $60.0 million, which declined to $30.4 million as of November 2024 and $29.6 million as of August 2025, representing a 51% decline from the issuance appraisal. Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 25% haircut to the August 2025 value. Inclusive of the outstanding advances and estimated servicer expenses, the resulting loan loss severity was approaching 48% or approximately $18.1 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-2400 issued by COMM 2021-2400 Mortgage Trust, as follows: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has remained in line with Morningstar DBRS' expectations since issuance. The transaction is secured by a 592,476-square-foot (sf) building in Philadelphia, of which approximately 500,000 sf is Class A office space, 80,000 sf is retail space, and 9,500 sf is storage space. Initial loan proceeds of $220.0 million and $1.8 million of sponsor equity refinanced existing debt, funded upfront reserves, and covered closing costs. The loan sponsors are Ira Lubert and Dean Adler, who co-founded Lubert-Adler, L.P., a Philadelphia-based real estate developer that has invested more than $20.0 billion in real estate since its founding. The sponsors converted the property in 2019 into a Class A office building from a warehouse for approximately $235.0 million ($391 per sf). The floating-rate mortgage loan is interest only (IO) throughout its five-year fully extended loan term with a final maturity date in December 2026, which included an initial two-year term and three one-year extension options. The extensions are subject to meeting predetermined requirements, including no events of default, the purchase of a replacement interest rate cap agreement with a strike rate of 2.0%, and a minimum debt yield of 7.25%. In December 2023, a principal paydown of $14.6 million was made to the trust in order to meet the debt yield hurdle and exercise the extension option at the time. The outstanding trust balance decreased to $205.4 million as a result and no additional principal payments have been made since that time. As of the October 2025 rent roll, the property reported an occupancy rate of 99.0%, which has remained unchanged since issuance. The property's two largest tenants, Aramark Services, Inc. (50.1% of net rentable area (NRA)) and Fitler Club, LLC (13.6% of NRA), are on long-term leases with expiration dates in October 2034 and July 2036, respectively. Fitler Club, LLC occupies the retail space at the property and operates a private club that offers coworking space, as well as a gym, an indoor pool, and socializing space for members. According to the financials for the trailing nine-month period ended September 30, 2025, the property reported an annualized net cash flow (NCF) of $17.0 million, above the YE2024 and Morningstar DBRS NCF at issuance figures of $16.2 million and $12.5 million, respectively. Although NCF has been trending upward since issuance and the underlying collateral has historically maintained strong occupancy, the upcoming December 2026 loan maturity and the loan's full IO structure could contribute to elevated refinance risk amid persistent challenges in the current office market environment. In the analysis for this review, Morningstar DBRS maintained its valuation approach from the previous credit rating action, which was based on the Morningstar DBRS NCF of $12.5 million and a capitalization rate of 7.5%. The resulting Morningstar DBRS Value of $166.2 million represents a -47.6% variance from the issuance appraised value and reflects a loan-to-value ratio of 123.6%. Morningstar DBRS maintained positive qualitative adjustments totaling 3.5% to reflect the portfolio's generally low cash flow volatility and good property quality. 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. COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs -------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-HC issued by COMM 2022-HC Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the underlying collateral's continued performance improvements since issuance, driven by increased occupancy rates, the end of rent abatement periods, and a lower operating expense ratio. The loan is scheduled to mature in January 2027, and there are no built-in extension options available. Given the steady improvements in performance, the property's location within a desirable submarket, and limited rollover scheduled through the near term, Morningstar DBRS expects the sponsor, which contributed almost $600 million to close the acquisition financing in 2022, will be incentivized to secure a replacement loan. Although the Morningstar DBRS Loan-to-Value Ratio (LTV) of 88.6% on the total debt stack is high, the LTV on the investment-grade portion of the capital stack is more moderate, at 82.1%. The loan is secured by the borrower's fee-simple interest in Hudson Commons, a 26-story, 697,960-square-foot (sf), Class A LEED Platinum certified office tower, in the Penn Station submarket of New York. The property was built in 1962 and renovated between 2012 and 2018 by the previous owner for more than $800.0 million, which included constructing an additional 17-story, 304,301-sf glass office tower directly above the existing nine-story building. The original nine stories and the additional 17 stories include two separate condominium units that both serve as collateral for the loan. The transaction is sponsored by a joint venture between CommonWealth Partners LLC and the California Public Employees' Retirement System. The $507 million whole-loan balance comprises the $467 million trust balance and $40 million in a senior pari passu note held in the BMO 2022-C1 transaction, not rated by Morningstar DBRS. The trust balance consists of five senior A notes with an aggregate principal balance of $265 million and a $202 million junior B note. The fixed-rate loan is interest only (IO) throughout its five-year term with a scheduled maturity date in January 2027. The loan does not have any extension options. As of the December 2025 rent roll, the property was around 82.0% occupied, unchanged from YE2024, but an improvement from the YE2023 and issuance figures of 77.7% and 72.7%, respectively. The largest tenants are Peloton Interactive, Inc. (Peloton; 48.1% of the net rentable area (NRA)) and Lyft, Inc. (Lyft; 14.4% of the NRA), with scheduled lease expirations in December 2035 and November 2029, respectively. None of the remaining tenant roster occupies more than 5.0% of the NRA. Of the $33.5 million leasing reserves collected at issuance, $12.8 million remained in reserve as of the September 2025 reporting period. Both Peloton and Lyft have termination or contraction options in their leases. Beginning in December 2026, Lyft may terminate its entire space with 18 months' notice and a termination fee of $6.5 million ($65.0 per square foot (psf)). The servicer has confirmed the option has not been exercised yet. If the option is exercised during the loan term, a cash flow sweep will be initiated, with funds swept to build a reserve equal to $100 psf for the Lyft space. Peloton's first contraction option is in December 2030, beyond the loan's maturity; the tenant can terminate portions of its lease with 15 to 27 months' notice and a termination fee equal to the amount of principal remaining unpaid at a rate of 10% per year compounding monthly. According to the September 30, 2025, financial reporting, the property generated an annualized trailing nine-month net cash flow (NCF) of approximately $43.0 million (a debt service coverage ratio (DSCR) of 2.39 times (x)), exceeding the YE2024 figure of $38.3 million (a DSCR of 2.11x) and the Morningstar DBRS NCF of $40.0 million (a DSCR of 2.22x). The increase in the property's in-place revenues has primarily been driven by the ongoing reduction of rent abatements, in addition to the increased occupancy rate since issuance. In its analysis for this review, Morningstar DBRS maintained the valuation approach from the April 2024 credit rating action, which was based on a capitalization rate of 7.0% and the Morningstar DBRS NCF figure noted above. The Morningstar DBRS Value represents a -44.9% variance from the issuance appraised value of $1.04 billion and results in an LTV of 88.6%, compared with the LTV of 48.8% based on the appraised value at issuance. Morningstar DBRS maintained positive qualitative adjustments to its LTV Sizing Benchmarks totaling 5.75% to reflect the low cash flow volatility, favorable property quality, and strong market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. CSWF TRUST 2018-TOP: DBRS Confirms BB(low) Rating on Class H Certs ------------------------------------------------------------------ DBRS, Inc. confirmed the credit rating on the Commercial Mortgage Pass-Through Certificates, Series 2018-TOP issued by CSWF Trust 2018-TOP as follows: -- Class H at BB (low) (sf) The trend is Stable. The credit rating confirmation is reflective of Morningstar DBRS' ultimate recoverability expectations for the underlying loan, which is secured by two single-tenant office properties in Tempe, Arizona, and Tampa, Florida. The underlying loan transferred to the special servicer for maturity default in August 2023, and a loan modification was approved to extend the loan term to August 2024. The borrower failed to repay the loan at the extended maturity date, and the most recent servicer commentary notes the properties are expected to become real estate owned in early 2026. The underlying loan funded the collateral portfolio's acquisition and recapitalization for the sponsor, TPG Real Estate's TPG Real Estate Partners Fund II. At issuance, the loan collateral included a portfolio composed of the fee-simple and leasehold interests in a portfolio of 15 mostly single-tenant Class A office properties totaling 3.1 million square feet (sf), located across 11 states. All but two properties, totaling about 250,000 sf, have been released to date, with commensurate paydown for the trust in accordance with the release provisions, which resulted in all releases since April 2021 requiring a paydown equal to 115.0% of the allocated loan amount (ALA) and a sequential pay structure for the transaction certificates. The largest asset by ALA, Eisenhower Campus, consists of one office building, 4931 George Road (at securitization, the property consisted of two buildings, but the 4904 Eisenhower Boulevard building was released in May 2022) in Tampa totaling about 130,000 sf of net rentable area (NRA). The building's sole tenant, E.R. Squibb and Sons, LLC, previously occupying the entirety of the building's footprint, vacated upon lease expiration in December 2025. A December 2025 appraisal valued the property, as-is at $16.1 million, a decline of 54.3% from the February 2024 appraisal value of $35.2 million. The other remaining property is a 124,000-sf office building in Tempe that is fully occupied by Amazon.com Services LL on a lease through July 2029. The property was previously under contract after a buyer was identified; however, the special servicer noted that the sale ultimately fell through. A February 2024 appraisal valued the property at $21.2 million. As part of the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a haircut to the most recent appraisal values for each of the properties. The liquidation scenario factors in current outstanding advances, projected future advances, and expected liquidation expenses. The results of that scenario suggested the aggregate appraisal value for the two remaining properties of $37.3 million could withstand a haircut of more than 40.0% before the Class H certificate would incur a loss, given the remaining $21.2 million cushion in the Class HRR first loss piece as of the February 2026 remittance. Given these factors, which provide cushion against further value deterioration for the two remaining properties, the credit rating confirmation was supported. Although Class H is expected to be fully recovered, the BB (low) (sf) credit rating considers the possibility that interest shortfalls could be a factor over the remainder of the workout period given the value volatility and adverse selection factors the servicer would likely consider. Notes: All figures are in U.S. dollars unless otherwise noted. CWHEQ REVOLVING 2006-H: Moody's Ups Rating on Cl. 1-A Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating of Class 1-A issued by CWHEQ Revolving Home Equity Loan Trust, Series 2006-H. The collateral backing this deal consists of second lien 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: CWHEQ Revolving Home Equity Loan Trust, Series 2006-H Cl. 1-A, Upgraded to Ba1 (sf); previously on May 14, 2025 Upgraded to B1 (sf) RATINGS RATIONALE The rating upgrade reflects the increased levels of credit enhancement available to the bond, the recent performance, and Moody's updated loss expectations on the underlying pools. Credit enhancement grew by 1.4x over the past 12 months. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in 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. DRYDEN 98: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-1-R, and C-R debt from Dryden 98 CLO Ltd./Dryden 98 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in March 2022. At the same time, we withdrew our ratings on the previous class A, B-1, and C debt following payment in full on the March 12, 2026, refinancing date. We also affirmed our ratings on the existing class 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 Sept. 12, 2026. -- No additional assets were purchased on the March 12, 2026, refinancing date, and the target initial par amount remains the same. There is 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. In February 2026, we placed the class D and E debt on CreditWatch with negative implications due to declining credit support and weakened cash flow results. While the refinancing is viewed as net positive for the CLO structure--modestly improving cash flow results, including for tranches currently on CreditWatch--we intend to monitor post-refinance performance metrics before resolving the CreditWatch placements and taking further rating action on the affected tranches. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $352.00 million: Three-month CME term SOFR + 1.02% -- Class B-1-R, $58.50 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $33.00 million: Three-month CME term SOFR + 1.90% Previous debt -- Class A, $352.00 million: Three-month CME term SOFR + 1.30% -- Class B-1, $58.50 million: Three-month CME term SOFR + 1.75% -- Class C (deferrable), $33.00 million: Three-month CME term SOFR + 2.05% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dryden 98 CLO Ltd./Dryden 98 CLO LLC Class A-R, $352.00 million: AAA (sf) Class B-1-R, $58.50 million: AA (sf) Class C-R, $33.00 million: A (sf) Ratings Withdrawn Dryden 98 CLO Ltd./Dryden 98 CLO LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Dryden 98 CLO Ltd./Dryden 98 CLO LLC Class B-2: AA (sf) Class D: BBB- (sf)/Watch Neg Class E: BB- (sf)/Watch Neg Other Debt Dryden 98 CLO Ltd./Dryden 98 CLO LLC Subordinated notes, $52.25 million: NR NR--Not rated. EFMT 2026-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2026-NQM3 mortgage pass-through certificates, series 2026-NQM3 (EFMT 2026-NQM3). Entity/Debt Rating ----------- ------ EFMT 2026-NQM3 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1FCX LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B1A LT BB-(EXP)sf Expected Rating B1X LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT BBB-(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 1,192 loans with a balance of $509,581,436.67 as of the cutoff date. This will be the 17th EFMT transaction rated by Fitch and the second non-qualified mortgage (non-QM, or NQM) EFMT transaction in 2026 that has a Fitch rating. The certificates are secured mainly by non-QMs, as defined by the Ability to Repay Rule (the Rule), and include investment properties and other loans that are not subject to the Rule. The loans were originated by The Loan Store, Inc. (TLS; 11.11%), LendSure Mortgage Corp. (LendSure; 30.62%) and American Heritage (14.77%), with the remaining 43.5% originated by various third-party originators who contributed. Cornerstone Home Lending, Inc., Rocket Mortgage LLC (d/b/a Rushmore) and PennyMac Loan Services, LLC will service the loans. Rocket Mortgage LLC will be the master servicer for the transaction. While a majority of the loans in the collateral pool comprise fixed-rate mortgages, 4.89% of the pool loans have an adjustable rate. All ARM loans are based on the 30-day Secured Overnight Financing Rate. Classes A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3 are fixed rate with a step-up coupon on or after April 2030 and are capped at the net weighted average coupon (WAC). Class A-1F will be a floating-rate class and the A-1IO will be an inverse floating-rate class. Classes M-1 and B-1 are fixed rated and capped at the net WAC. Classes B-2 and B-3 will have an interest rate equal to the net WAC. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,192 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes and planned unit developments), condos/condotels, townhouses, two- to four-unit multifamily properties and five- to 10-unit multifamily properties) totaling $509,581,436.67. The pool does include cross-collateralized loans, and fewer than 0.5% of loans are to foreign nationals. The loans are mainly exempt from QM or are NQM loans, with the majority of the loans being underwritten to 12-24 months of bank statements or debt service coverage ratio underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned four months on average. The pool has a weighted average (WA) original FICO score of 743, indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio of 73.08%, as determined by Fitch, translates to a sustainable loan-to-value ratio of 80.94%. This transaction has a final probability of default (PD) of 42.13 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 45.85. The expected loss at the 'AAAsf' rating stress is 19.31. Structural Analysis (Mixed): EFMT 2026-NQM3 has a modified-sequential structure with limited advancing of delinquent principal and interest (P&I) and excess spread. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-1F, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially: first, to classes A-1A, A-1B, A-1FCF, A-1LCF and A-1F, and then to A-2 and A-3 until they are reduced to zero. Class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in April 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1F, A-1FCF, A-1FCX, A-1LCF, A-1IO, A-2 and A-3 classes on and after April 2030. Specifically, on any distribution date occurring on or after the distribution date in April 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF, A-1LCF, A-1IO, and A-1F certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after April 2030, since classes A-1A, A-1B, A-1F, A-1FCF, A-1LCF, A-1IO, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is there is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. In addition to subordination, the transaction has excess spread to protect the classes from losses, should they occur. Losses are allocated reverse sequentially, starting with the B-3 class. Once the A-2 class is written off, losses will be allocated on a pro rata basis (based on the aggregate class balance of the class A-1A and A-1B certificates, the class A-1FCF and A-1LCF certificates, and the class A-1F certificates, in each case, on such distribution date), (i) sequentially, to the class A-1B and A-1A certificates, in that order, until their respective class balances have been reduced to zero, (ii) concurrently, to the class A-1FCF and A-1LCF certificates, pro rata (based on the respective class balance of each such class of certificates), until their respective class balances have been reduced to zero, and (iii) to the class A-1F certificates, until the class balance thereof has been reduced to zero. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to arrive at a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the third-party review (TPR) firm and that have a final grade of either A or B. All of the loans had a due diligence review conducted; however, only 99.9% of the loans in the pool received the 5-bps z-score credit, while the single C grade loan did not receive the credit. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects EFMT 2026-NQM3 to be fully de-linked and have a bankruptcy-remote SPV transaction structure. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to EFMT 2026-NQM3; therefore, Fitch is comfortable rating the transaction at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms which are all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm that have a final grade of either A or B. One loan graded C did not receive the PD credit. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms, all of which Fitch assesses as 'Acceptable'. The third-party due diligence described in Form 15E focused on three areas: compliance, credit, and valuation review. Fitch received a loan tape in the ASF format and used it for its analysis. Fitch considers the data provided robust for its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELMWOOD CLO 16: S&P Affirms B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-1RR, and D-2RR debt from Elmwood CLO 16 Ltd./Elmwood CLO 16 LLC, a CLO managed by Elmwood Asset Management LLC that was originally issued in May 2022 and underwent a refinancing in March 2024. S&P said, "At the same time, we withdrew our ratings on the previous class A-R, B-R, C-R, and D-R debt following payment in full on the March 12, 2026, refinancing date. We also affirmed our ratings on the class E-R and F-R debt, which were not refinanced." The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to March 12, 2027. -- 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-R and F-R debt. However, we affirmed our 'B+ (sf)' rating on the class E-R debt and our 'B- (sf)' rating on the class F-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class F-R debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," criteria Oct. 1, 2012. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-RR, $480.00 million: Three-month CME term SOFR + 1.11% -- Class B-RR, $90.00 million: Three-month CME term SOFR + 1.45% -- Class C-RR, $45.00 million: Three-month CME term SOFR + 1.90% -- Class D-1RR (deferrable), $37.50 million: Three-month CME term SOFR + 3.50% -- Class D-2RR (deferrable), $7.50 million: Three-month CME term SOFR + 4.70% Previous debt -- Class A-R, $480.00 million: Three-month CME term SOFR + 1.53% -- Class B-R, $90.00 million: Three-month CME term SOFR + 2.00% -- Class C-R (deferrable), $45.00 million: Three-month CME term SOFR + 2.50% -- Class D-R (deferrable), $45.00 million: Three-month CME term SOFR + 3.80% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO 16 Ltd./Elmwood CLO 16 LLC Class A-RR, $480.00 million: AAA (sf) Class B-RR, $90.00 million: AA (sf) Class C-RR, $45.00 million: A (sf) Class D-1RR, $37.50 million: BBB- (sf) Class D-2RR, $7.50 million: BBB- (sf) Ratings Withdrawn Elmwood CLO 16 Ltd./Elmwood CLO 16 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)' Ratings Affirmed Elmwood CLO 16 Ltd./Elmwood CLO 16 LLC Class E-R: B+ (sf) Class F-R: B- (sf) Other Debt Elmwood CLO 16 Ltd./Elmwood CLO 16 LLC Subordinated notes, $61.15 million: NR NR--Not rated. EXETER AUTOMOBILE 2026-2: S&P Assigns (P) B (sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 17, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.88%, 50.61%, 42.14%, 31.69%, 25.43%, and 23.29% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, E, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, 1.20x, and 1.10x coverage of S&P's expected cumulative net loss of 21.00% for classes A, B, C, D, E, and N, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and N notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2026-2 Class A-1, $65.00 million: A-1+ (sf) Class A-2, $149.65 million: AAA (sf) Class A-3, $156.22 million: AAA (sf) Class B, $82.21 million: AA (sf) Class C, $85.23 million: A (sf) Class D, $110.62 million: BBB (sf) Class E, $75.39 million: BB- (sf) Class N(i), $14.85 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. FIDELIS MORTGAGE 2026-RTL1: DBRS Finalizes B(low) Rating on B Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Fidelis Mortgage Trust 2026-RTL1 (FIDL 2026-RTL1 or the Issuer) as follows: -- $121.2 million Class A at BBB (low) (sf) -- $111.6 million Class A-1 at A (low) (sf) -- $9.6 million Class A-2 at BBB (low) (sf) -- $10.1 million Class M-1 at BB (low) (sf) -- $12.7 million Class B at B (low) (sf) The A (low) (sf) credit rating reflects 25.60% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and 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: 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. 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 credit rating 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. FIGRE TRUST 2026-HE2: DBRS Finalizes B Rating on Class F Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the following Mortgage-Backed Notes, Series 2026-HE2 (the Notes) issued by FIGRE Trust 2026-HE2 (FIGRE 2026-HE2 or the Trust): -- $327.4 million Class A at AAA (sf) -- $37.6 million Class B at AA (high) (sf) -- $56.2 million Class C at A (high) (sf) -- $29.8 million Class D at BBB (high) (sf) -- $25.7 million Class E at BB (sf) -- $18.2 million Class F at B (sf) Morningstar DBRS has withdrawn its credit ratings on Class AFCF and ALCF Notes initially contemplated in the offering documents, as they were not issued at closing. The AAA (sf) credit rating on the Class A Notes reflects 35.10% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and 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 classes in this transaction. The Notes are backed by 6,077 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $504,473,504 and a total current credit limit of $542,808,352 as of the Cut-Off Date (January 31, 2026). 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 (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction, 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 month of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It 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 its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holders. The Reserve Account's required amount will become $0 on the payment date in 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 any realized losses. Please see the Cash Flow Structure and Features section of the related 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 amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class 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. Notes: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2026-HE2: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to FIGRE Trust 2026-HE2's residential mortgage-backed notes. The note issuance is an RMBS transaction backed by first- and subordinate-lien, simple-interest, fixed-rate, fully amortizing residential mortgage loans that are open-ended HELOCs. The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 6,077 HELOCs mortgage loans plus 439 subsequent draws (total of 6,516 draws), which are all ability-to-repay-exempt. After S&P assigned its preliminary ratings on Feb. 27, 2026, it was determined at the time of pricing that the class AFCF and ALCF notes would not be issued. As a result, the class A note amount increased to $327.403 million from $261.922 million. The respective credit enhancement of the classes remained the same. After analyzing the final coupons and the updated structure, its ratings remain unchanged from the preliminary ratings. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) FIGRE Trust 2026-HE2 Class A, $327,403,000: AAA (sf) Class B, $37,583,000: AA- (sf) Class C, $56,249,000: A- (sf) Class D, $29,764,000: BBB- (sf) Class E, $25,728,000: BB- (sf) Class F, $18,161,000: B- (sf) Class G, $9,585,503: NR Class XS, notional(ii): NR Class FR, (iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover/net WAC shortfall amounts. (ii)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate-owned properties as of the first day of the related collection period, initially $504,473,503. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. NR--Not rated. N/A--Not applicable. FIGRE TRUST 2026-HF3: DBRS Gives Prov. B(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-HF3 (the Notes) to be issued by FIGRE Trust 2026-HF3 (FIGRE 2026-HF3 or the Issuer) as follows: -- $164.3 million Class A1A at (P) AAA (sf) -- $32.4 million Class A1B at (P) AAA (sf) -- $27.6 million Class B at (P) AA (low) (sf) -- $20.9 million Class C at (P) A (low) (sf) -- $18.5 million Class D at (P) BBB (low) (sf) -- $13.6 million Class E at (P) BB (low) (sf) -- $9.3 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A1B Notes reflects 33.60% of credit enhancement provided by subordinate notes. 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 24.30%, 17.25%, 11.00%, 6.40%, and 3.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization of recently originated junior-lien revolving home equity lines of credit (HELOCs) is funded by the issuance of the Notes. The Notes are backed by 2,879 loans (individual HELOC draws), which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $296,306,884 and a total current credit limit of $335,712,517 as of the Cut-Off Date (February 28, 2026). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to five 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), which 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 originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction; FIGRE 2026-HF3 is the 24th 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 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 10 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 and subsequent draws in this transaction are adjustable rate with rates resetting monthly and indexed to Prime. 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 utilization rate by current line amount of approximately 95.4% after two 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. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including 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. It 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 specially 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 Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A1A, A1B, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the 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 to 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 $1,037,074 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in April 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 April 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holders will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have the 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 April 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 WAC Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related 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 (April 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro -rata pay structure amongst all rated notes, this transaction includes rated classes--Class D, E, and F--that receive their principal payments after the pro rata classes (Class A1A, A1B, B, and 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. FINANCE OF AMERICA 2026-HB1: DBRS Gives Prov. B Rating on M5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2026-HB1 (the Notes) to be issued by Finance of America HECM Buyout 2026-HB1 as follows: -- $308.2 million Class A at (P) AAA (sf) -- $28.7 million Class M1 at (P) AA (low) (sf) -- $20.9 million Class M2 at (P) A (low) (sf) -- $19.5 million Class M3 at (P) BBB (low) (sf) -- $19.0 million Class M4 at (P) BB (low) (sf) -- $12.9 million Class M5 at (P) B (sf) The (P) AAA (sf) credit rating reflects 21.7% of credit enhancement. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 14.4%, 9.1%, 4.2%, -0.7%, and -3.9% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes that may be issued in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association (HOA) dues if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date, January 31, 2026, the collateral consisted of approximately $393.67 million in unpaid principal balance (UPB) from 1,100 performing and nonperforming HECM reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. Of the total loans, 801 have a fixed-rate interest (75.70% of the balance) with a weighted-average coupon (WAC) of 5.042%. The remaining 299 loans are adjustable rate (24.30% of the balance) with a WAC of 6.732%, bringing the entire collateral pool to a WAC of 5.453%. As of the Cut-Off Date, the loans in this transaction are both performing and nonperforming (i.e., inactive). There are 427 performing loans comprising 39.93% of the total UPB. As for the 673 nonperforming loans (NPLs), 273 loans are referred for foreclosure (29.40% of the balance), 57 are in bankruptcy status (4.32%), 128 are called due and payable following recent maturity (11.02%), 84 are real estate owned (7.36%), and the remaining 131 are in default (7.98%). However, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses in regard to uninsured loans. Because HUD insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 57.98% for the loans in this pool. To calculate the WA LTV, Morningstar DBRS divides the UPB by the maximum claim amount (MCA) and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. The Class M Notes are not entitled to any payments of principal prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event occurs. Prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event, if any, has occurred, Available Funds that would otherwise be available to pay principal on the Class M Notes after the Class A Notes have been paid in full will instead be deposited into the Redemption Account, until the amount on deposit therein is equal to the Redemption Account Required Amount. Amounts will be deposited to and withdrawn from the Redemption Account and paid in accordance with the priority described in the definition of Redemption Account in the offering documents and in the Priority of Payments. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amount, Cap Carryover Amount, and Note Amount. Notes: All figures are in U.S. dollars unless otherwise noted. FORTRESS CREDIT XXVIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Fortress Credit BSL XXVIII Limited. Entity/Debt Rating ----------- ------ Fortress Credit BSL XXVIII Limited A-1 34966UAA2 LT NRsf New Rating A-2 34966UAC8 LT AAAsf New Rating B 34966UAE4 LT AAsf New Rating C-1 34966UAG9 LT Asf New Rating C-2 34966UAN4 LT Asf New Rating D-1 34966UAJ3 LT BBB-sf New Rating D-2 34966UAL8 LT BBB-sf New Rating E 34967KAA3 LT BB-sf New Rating Subordinated Notes 34967KAC9 LT NRsf New Rating Transaction Summary Fortress Credit BSL XXVIII Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by FC BSL Management LLC Series V. 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 24.84 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 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 between 'BBB-sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Fortress Credit BSL XXVIII. 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. FORTRESS CREDIT XXXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities XXXIII CLO LLC's fixed- and 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 FCOD CLO Management LLC, a subsidiary of Fortress Investment Group LLC. This is a CLO take-out of an existing warehouse transaction of the same name and where S&P currently has ratings on the debt issued out of that warehouse. The preliminary ratings are based on information as of March 17, 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; -- The transaction's legal structure, which is expected to be bankruptcy remote; and -- The rating requirements of Natixis, New York Branch, as the class A-1R loan holder, as well as the rating requirements of any future class A-1R loan holder(s). 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 Fortress Credit Opportunities XXXIII CLO LLC Class A-1R(i)(ii)(iii), $65.00 million: AAA (sf) Class A-1T, $113.00 million: AAA (sf) Class A-1L(ii), $50.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C-T (deferrable), $26.00 million: A (sf) Class C-F (deferrable), $6.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $44.64 million: NR (i)Revolving tranche. (ii)Issued in loan form. (iii)The preliminary rating on the class A-1R loans addresses the full and timely payment of principal and the referenced interest amount (i.e. interest rate cap), and it does not consider any capped amounts above this referenced interest amount. NR--Not rated. FREDDIE MAC 2026-DNA2: S&P Assigns BB+ (sf) Rating on B-1B Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR Remic Trust 2026-DNA2's (STACR 2026-DNA2's) 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 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." 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), not applicable: 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. IO--Interest only. MACR--Modifiable and combinable real estate mortgage investment conduit. Q-REMIC--Qualified real estate mortgage investment conduit. FREDDIE MAC 2026-MN13: DBRS Gives Prov. BB(low) Rating on M2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Freddie Mac Multifamily Structured Credit Risk Notes, Series 2026-MN13 (the Notes) to be issued by Freddie Mac MSCR Trust MN13 (the Trust): -- Class M-1 at (P) BBB (low) (sf) -- Class M-2 at (P) BB (low) (sf) All trends are Stable. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of commercial mortgage loans held in various Federal Home Loan Mortgage Corporation (Freddie Mac) guaranteed mortgage-backed securities and loans owned by Freddie Mac. The transaction consists of the applicable reference obligation percentage of each of 842 mortgage loans, including 675 fixed-rate mortgage loans; 142 floating-rate mortgage loans; and 25 hybrid adjustable-rate mortgage loans, which have a fixed rate for an initial period and an adjustable rate thereafter. The loans are secured by 855 multifamily properties. Morningstar DBRS rolled up five groups of loans in which the loans are cross-collateralized and cross-defaulted, including a group of 17 loans, a group of eight loans, a group of three loans, and two groups of two loans. Morningstar DBRS also rolled up two loans, a tax-exempt loan (TEL) and taxable tail, which are on the same property. All Morningstar DBRS commentary will refer to the pool as an 814-loan pool, as Morningstar DBRS treated each group of related loans as a single loan. The aggregate reference pool balance is approximately $20,660,543,441. The pool consists of underlying mortgage loans secured by one or more multifamily properties originated through Freddie Mac's K-Series Structured Pass-Through Certificates (SPCs), Multi PC, or small balance (SB) programs. Representing 51.6% of the total reference pool balance, 366 loans were originated through the K-Series SPCs; 284 loans (including the five groups of cross-collateralized loans and one TEL and related taxable tail, each treated as a single loan), representing 46.1% of the total pool balance, were originated through Multi PC; and 164 loans, representing 2.3% of the total pool balance, were originated through SB. Morningstar DBRS estimates that Freddie Mac originated the mortgage loans between April 22, 2019, and December 10, 2025. On the closing date, the trust will enter into a collateral administration agreement and a capital contribution agreement with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to pay to the trust any transfer amount, return reimbursement amount, and capital contribution amount. 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, on each payment date, the trust is expected to pay interest on the Notes from the investment earnings on the eligible investments. Freddie Mac has strong origination practices, and its programs exhibit strong historical loan performance. Freddie Mac maintains solid approval and monitoring procedures and focused lender quality and loan quality control processes for its counterparties to effectively manage the credit risk and performance of its portfolio. Loans on Freddie Mac's balance sheet, which it originates according to the same policies as those for securitization, had an extremely low delinquency rate of 0.44% as of December 2025. This compares favorably with the delinquency rate of approximately 6.64% for commercial mortgage-backed securities (CMBS) multifamily loans over the same period. The pool is highly diverse based on loan count and size, with an average Morningstar DBRS cut-off date balance of $25,381,503, a concentration profile equivalent to that of a transaction with 282.2 equal-size loans, and a top 10 loan concentration of 11.7%. Increased pool diversity helps insulate the higher-rated classes from event risk. The pool exhibits Morningstar DBRS weighted-average (WA) Issuance Loan-to-Value Ratios (LTVs) and Balloon LTVs of 65.4% and 63.4%, respectively, both of which are in line with recent Freddie Mac transactions rated by Morningstar DBRS. Furthermore, 186 loans, comprising 18.2% of the pool balance, exhibit Morningstar DBRS Issuance LTVs of less than 60.9%, resulting in a decreased probability of default. Given its overall credit metrics, the pool has a WA expected loss (EL) of 1.3%. While this is slightly higher than the EL seen in Freddie Mac transactions rated by Morningstar DBRS in 2025, it is generally lower than the EL seen in Freddie Mac transactions rated by Morningstar DBRS throughout 2024 and 2023, and substantially lower than that of the general multiborrower CMBS universe. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. GOLUB CAPITAL 87(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital CLO 87(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital CLO 87(B), Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Golub Capital 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 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. GS MORTGAGE 2026-AH1: DBRS Finalizes B Rating on Class B2 Notes --------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following Mortgage-Backed Notes, Series 2026-AH1 (the Notes) issued by GS Mortgage-Backed Securities Trust 2026-AH1 (GSMBS 2026-AH1): -- $240.1 million Class A-1A at AAA (sf) -- $34.4 million Class A-1B at AAA (sf) -- $16.0 million Class M-1 at AA (sf) -- $16.2 million Class M-2 at A (sf) -- $15.1 million Class M-3 at BBB (sf) -- $13.4 million Class B-1 at BB (sf) -- $6.0 million Class B-2 at B (sf) The AAA (sf) credit rating on the Class A Notes reflects 20.25% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BB (sf), and 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-DAWN: DBRS Gives Prov. B(low) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-DAWN (the Certificates) to be issued by GS Mortgage Securities Corporation Trust 2026-DAWN: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (low) (sf) All trends are Stable. GS Mortgage Securities Corporation Trust 2026-DAWN is a single-asset/single-borrower (SASB) transaction secured by the borrower's fee-simple and leasehold interest in a portfolio of 13 shopping centers, including 12 enclosed malls and one open-air center, across nine states and 12 markets, with the largest concentrations in Texas (41.2% of the allocated loan amount (ALA)), North Carolina (16.5% of ALA), and Pennsylvania (11.0% of ALA). The collateral malls are generally in tertiary markets, in or around small cities with lower population density. However, these malls are the dominant retail centers within 20-mile radii and serve as the main retail destinations in their respective cities. The top three malls account for 47.8% of Morningstar DBRS NCF, including Hanes Mall (16.7% of NCF), Mall del Norte (16.3% of NCF), and Sunrise Mall (14.8% of NCF). Per the December 2025 rent roll provided, the portfolio was 91.8% occupied based on collateral sf and 88.7% occupied based on total sf. Temporary tenants (temp tenants) represent 13.5% of collateral sf, as of the December 2025 rent roll. The portfolio averaged 92.0% occupancy from 2019 through 2025, and occupancy did not fall below 89.9% over this period. The portfolio has a diverse tenant base, with no tenant comprising more than 3.3% of Morningstar DBRS gross rent. The portfolio's top three tenants include Bath & Body Works, Victoria's Secret / PINK, and American Eagle, leases which collectively comprise 9.2% of the Morningstar DBRS In-Place Total Rent. The portfolio has more than 400 unique tenants across more than 1,000 leases. The portfolio's comparable tenant ( GS REFT 2026-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GS REFT 2026-FL1 Issuer, Ltd. as follows: - $619,500,000a class A 'AAA(EXP)sf'; Outlook Stable; - $120,750,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $73,500,000a class B 'AA-(EXP)sf'; Outlook Stable; - $57,750,000a class C 'A-(EXP)sf'; Outlook Stable; - $35,437,000a class D 'BBB(EXP)sf'; Outlook Stable; - $17,063,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $32,812,000 class F 'BB-(EXP)sf'; Outlook Stable; - $21,000,000 class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $72,188,000b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,050,000,000 and does not include future funding. The expected ratings are based on information provided by the issuer as of March 11, 2026. Transaction Summary The certificates represent the beneficial interests in the trust, the primary assets of which are 23 loans secured by 32 commercial properties having an aggregate principal balance of $1,050,000,000 as of the cutoff date. The pool does not include ramp-up collateral interests. The ramp period lasts for six months from settlement, and the reinvestment period lasts for 30 months from settlement. The pool does not include $60.9 million of expected future funding. The loans were contributed to the trust by GS REFT CLO Seller, LLC. The servicer and special servicer are expected to be Trimont, LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans in the pool (100.0% by balance). Fitch's resulting aggregate net cash flow (NCF) of $49.7 million represents a 9.8% decline from the issuer's aggregate underwritten NCF of $55.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 140.01% is lower than both the 2025 and 2024 CRE CLO averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 55.4% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages 61.2% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.1. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool comprises of 100.0% interest-only (IO) loans, based on fully extended loan terms. This is worse than both the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%, respectively. As a result, the pool is expected to have 0.0% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf' /'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 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. HUNTINGTON BANK 2026-1: Moody's Assigns B3 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the notes issued by Huntington Bank Auto Credit-Linked Notes, Series 2026-1 (HACLN 2026-1). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by The Huntington National Bank (HNB, senior unsecured A3). HACLN 2026-1 is the fifth credit linked notes transaction issued by HNB to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by HNB. The complete rating actions are as follows: Issuer: Huntington Bank Auto Credit-Linked Notes, Series 2026-1 Class B-1 Notes, Definitive Rating Assigned A3 (sf) Class B-2 Notes, Definitive Rating Assigned A3 (sf) Class C Notes, Definitive Rating Assigned Ba2 (sf) Class D Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The notes are floating-rate, with the exception of the Class B-1 notes which are fixed-rate. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be HNB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. Thus, the notes are unsecured obligations of HNB and Moody's capped the ratings of the notes at HNB's senior unsecured rating (A3 negative). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure seen in US auto loan securitizations. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience of HNB as the servicer, and the creditworthiness of HNB as reflected in its credit rating. Moody's median cumulative net loss expectation for the 2026-1 reference pool is 0.75% and the loss at a Aaa stress is 5.25%. Moody's based Moody's cumulatives net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of HNB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B-1 notes, Class B-2 notes, Class C notes, and Class D notes benefit from 2.85%, 2.85%, 2.40%, and 1.35% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B-1, Class B-2, Class C, and Class D notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could also upgrade the Class B-1 and B-2 notes if HNB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Moody's could also downgrade the notes if HNB's senior unsecured rating is downgraded. IMSCI 2016-7: Fitch Affirms BB Rating on Class G Debt ----------------------------------------------------- Fitch has upgraded all classes of the Institutional Mortgage Securities Canada Inc. (IMSCI) IMSCI 2015-6 Mortgage Trust. Following the upgrades, classes F and G were assigned Stable Rating Outlooks. Fitch has also upgraded two classes and affirmed five classes of IMSCI 2016-7 Mortgage Trust. Following the upgrade, class D was assigned a Stable Outlook and class E was assigned a Positive Outlook. Following the affirmations, the Outlooks for classes F and G were revised to Stable from Negative. The Outlooks for classes A-2, B, C, and D remain Stable. All currencies in this rating action commentary are denominated in Canadian dollars (CAD). Entity/Debt Rating Prior ----------- ------ ----- Institutional Mortgage Securities Canada Inc. 2015-6 F 45779BDJ5 LT Asf Upgrade BBsf G 45779BDK2 LT BBBsf Upgrade Bsf IMSCI 2016-7 A-2 45779BEB1 LT AAAsf Affirmed AAAsf B 45779BED7 LT AAAsf Affirmed AAAsf C 45779BDX4 LT AAAsf Affirmed AAAsf D 45779BDY2 LT AAAsf Upgrade AA-sf E 45779BDZ9 LT Asf Upgrade A-sf F 45779BDU0 LT BBB-sf Affirmed BBB-sf G 45779BDV8 LT BBsf Affirmed BBsf KEY RATING DRIVERS Improved Performance and 'Bsf' Loss Expectations; Increasing CE: Both transactions have experienced significant paydown from loan payoffs since issuance. The IMSCI 2015-6 transaction has 10 loans remaining in the pool and has been paid down by 96.7% since issuance and 73.1% since the prior review, while the IMSCI 2016-7 transaction has 11 loans remaining in the pool and has been paid down by 83.4% since issuance and 48.9% since the prior review. The upgrades in IMSCI 2015-6 reflect increased credit enhancement (CE) from scheduled amortization and better-than-expected recoveries from loans paying off at maturity, along with favorable maturity outcomes for retail FLOCs including the payoff of South Hill Shopping Centre (38.2% of the pool), which was the largest contributor to loss expectations in the prior rating action. The composition of IMSCI 2015-6 includes 10 self-storage loans that are fully amortizing through January 2035 and have had stable collateral performance expectations. The Stable Outlooks for classes F and G reflect the likelihood of all remaining loans being paid off, supported by the performance of the 10 cross-collateralized self-storage loans that are fully amortizing through 2035. Fitch's current ratings incorporate a 'Bsf' rating case loss of 1.0%, compared with 7.8% at the prior rating action. There are no FLOCs or loans in special servicing. The classes were not upgraded at the last review because the pool included five retail loans backed by single-tenant grocers, which presented binary risk given upcoming loan maturities and lease expirations, as well as inconsistent and outdated reporting that increased uncertainty around lease renewals and refinancing prospects. However, subsequent payoffs drove meaningful paydowns and resulted in multiple classes being paid in full simultaneously. The upgrades in IMSCI 2016-7 and Positive Outlook for class E reflect increased CE from better-than-expected recoveries from loans paying off at maturity, along with favorable maturity outcomes for previous FLOCs including payoffs for Place La Citiere and Sobeys Brantford, which were the second and third largest contributors to loss expectations, respectively, in the prior rating action. The Stable Outlooks for classes A-2, B, C, D, F, and G reflect lower pool loss expectations on the remaining loans from the prior review due to recent payoffs and/or performance improvements, provided that the remaining loans in the pool continue to perform as scheduled with ongoing amortization. Fitch has identified one loan (20.2% of the pool) as a FLOC, with no loans in special servicing. Due to the concentration of upcoming loan maturities and concerns surrounding refinancing, Fitch performed a sensitivity and liquidation analysis on both transactions that grouped the remaining loans based on their current status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. The upgrades and Positive Outlooks reflect this analysis and reliance on proceeds from performing loans to repay these classes. Loan Attributes/Recourse: The ratings reflect strong Canadian commercial real estate loan performance including a low delinquency rate and low historical losses, as well as positive loan attributes such as short amortization schedules, additional guarantors and recourse to the borrowers. All remaining loans in the IMSCI 2015-6 transaction are non-recourse. In the IMSC 2016-7 transaction, three loans comprising 36.6% of outstanding principal balance have full or partial recourse to the borrower/sponsor. Change to Credit Enhancement: As of the February 2026 distribution date, the transactions' pool balances have been reduced significantly since issuance, ranging from 83.4% in IMSCI 2016-7 to 96.7% in IMSCI 2015-6. Cumulative interest shortfalls of $607 are affecting the non-rated class H in IMSCI 2015-6 and $4,664 for the non-rated class H in the IMSCI 2016-7 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf', 'AAsf' and 'Asf' category rated classes are not likely but could occur if deal-level expected losses increase significantly or if interest shortfalls are likely to impact the 'AAAsf' rated classes. Downgrades to 'BBBsf' and 'BBsf' category rated classes are possible with higher expected losses if loans are unable to refinance and default at maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While not expected due to increasing concentrations and adverse selection, upgrades to 'AAsf' and 'Asf' category rated classes are possible with increased credit enhancement resulting from amortization and paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there is the likelihood of interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations of the pools, including maturity dates. 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. JP MORGAN 2026-ACES1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2026-ACES1, (JPMMT 2026-ACES1). Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- JPMMT 2026-ACES1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1C LT AAA(EXP)sf Expected Rating A1D LT AAA(EXP)sf Expected Rating A1D-X LT AAA(EXP)sf Expected Rating A1E LT AAA(EXP)sf Expected Rating A1E-X LT AAA(EXP)sf Expected Rating A1-IO LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1-X LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A2A LT AA(EXP)sf Expected Rating A2B LT AA(EXP)sf Expected Rating A2C LT AA(EXP)sf Expected Rating A2-IO LT AA(EXP)sf Expected Rating A2F LT AA(EXP)sf Expected Rating A2-X LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating A3A LT A(EXP)sf Expected Rating A3B LT A(EXP)sf Expected Rating A3C LT A(EXP)sf Expected Rating A3-IO LT A(EXP)sf Expected Rating A3F LT A(EXP)sf Expected Rating A3-X LT A(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A4A LT AA(EXP)sf Expected Rating A4B LT AA(EXP)sf Expected Rating A4-IO LT AA(EXP)sf Expected Rating A4C LT AA(EXP)sf Expected Rating A4F LT AA(EXP)sf Expected Rating A4-X LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A5A LT A(EXP)sf Expected Rating A5B LT A(EXP)sf Expected Rating A5C LT A(EXP)sf Expected Rating A5-IO LT A(EXP)sf Expected Rating A5F LT A(EXP)sf Expected Rating A5-X LT A(EXP)sf Expected Rating A6 LT BBB(EXP)sf Expected Rating A6A LT BBB(EXP)sf Expected Rating A6B LT BBB(EXP)sf Expected Rating A6C LT BBB(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 XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2026-ACES1 (JPMMT 2026-ACES1), as indicated above. The certificates are supported by 73,912 loans with a scheduled balance of $5,692,976,183 as of the cutoff date. The pool consists of prime-quality, fixed-rate seasoned second-lien mortgages originated by Discover Bank and Discover Home Loans (Discover). The loans were acquired by JPMCB from Capital One, National Association. The servicer of the loans is Dovenmuehle Mortgage, Inc. (DMI). The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC),. The M-1, B-1, and B-2 certificates are based on the fixed rate and capped at the net WAC and the B-3 certificates are based on the net WAC. The A and M classes have a step-up feature whereby the rate increases by 1.000% on and after March 2031, but the classes are still capped at the net WAC. The B-2 class recovered 97% in the B- backloaded benchmark rating stress scenario. This is a highly conservative stress and is unlikely to occur. The class recovered 100% under the other five rating stresses Fitch ran. Per Fitch's criteria, a class does not need to pass every stress scenario to be assigned a given rating. The committee was comfortable assigning a 'B-sf' rating to B-2 because it recovered 97% under the most conservative stress (with the shortfall occurring in period 107) and 100% recovery in the other rating stresses. KEY RATING DRIVERS Credit Risk of High-Quality, Prime, CES 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. The pool consists of fixed-rate, seasoned, second-lien residential mortgage loans with original terms to maturity of 30 years. Based on Fitch's analysis of the pool, 96% of the loans are cash-out refinances and 4% are rate-term refinances (per the transaction documents 94% are cash-out and 2% are unknown; Fitch treats unknown as cash-out in its analysis). More than 96.6% of the loans are single-family/PUDs, and 100% of the loans are owner-occupied homes. The loans are seasoned at an average of 28 months. Fitch determined the pool has a weighted average (WA) original FICO score of 739 (with a 722 updated FICO), indicative of very high-credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 71.3%, as determined by Fitch with a MTM CLTV as determined by Fitch of 65.6%, which translates to a sustainable loan-to-value ratio (sLTV) of 74% based on Fitch's analysis of the pool. This transaction has a final probability of default (PD) of 22.7% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.9%. The expected loss in the 'AAAsf' rating stress is 22.2%. Structural Analysis: Sequential Structure with 180-Day Chargeoff Feature/Best Execution and No DQ P&I Advancing (Positive): The transaction features a sequential structure with a 180-day charge-off feature/best execution and no delinquent (DQ) P&I advancing. The proposed structure is a sequential structure in which principal is distributed first to the A-1 and A-1F classes pro rata, and then sequentially to the A-2 and A-2F pro rata, A-3 and A-3F pro rata, M-1, B-1, B-2 and B-3 classes. If there is not interest in the interest water fall to pay interest on the notes, interest is paid through the principal waterfall and is senior to principal. Any unpaid interest is paid before any principal payments are made. The transaction generates monthly excess cash flow, which is used to cover realized losses and then to pay any unpaid cap carryover interest shortfalls. A realized loss will occur if, after applying the principal remittance amount and monthly excess cash flow on a distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the notes. Realized losses are allocated on a reverse-sequential basis:, losses are applied first to class B-3. After class A-2 and A2F are written off, any further losses are allocated pro rata to class A-1 and A-1F. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. For any mortgage loan that becomes 180 days MBA delinquent, the servicer will review the loan and may charge it off at the direction of the controlling holder—based on an equity analysis—if the review indicates that no significant recovery is likely. The controlling holder will determine if the loan is written of at 180 days MBA delinquent or is liquidated. Fitch views the use of an equity analysis to determine the optimal liquidation strategy for severely delinquent loans as a credit positive, as it reflects actions by the servicer and controlling holder to limit losses for certificate holders. A charge-off at 180 days compares favorably with a delayed liquidation scenario, where losses are realized later in the transaction when less cash flow may be available. Accordingly, Fitch's cash flow analysis assumes loans are written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. The servicer will not be advancing delinquent (DQ) P&I; therefore, principal may be used to pay bond interest, which could add stress to the structure. 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 a sample of loans. The overall pool had a sample size of 13%. Due to the sampling and the due diligence findings on the overall sample, Fitch did not give credit to loans that have a grade of 'A' or 'B'. All loans that had due diligence in the final pool had a grade of 'A' or 'B'. Fitch applied loss assumption adjustments for loans with underwriting findings based on the due diligence findings. 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-ACES1 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-ACES1, 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's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction may be exposed or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the MVDs in the 'Bsf' case, which is 10.91%. As shown in the following table, the analysis indicates there is some potential rating migration with higher MVDs compared with the model projection. 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 were 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 engaged AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on two areas for Consolidated Analytics: compliance review, and credit review. AMC's review focused on tax/title, credit, compliance, and valuations, date integrity, collection comment review, and payment review. Fitch considered this information in its analysis and, as a result, made negative adjustments to its analysis based on the findings. All the loans in the pool that were part of the due diligence review received an 'A' or 'B' grade. However, Fitch did not apply the typical 5bps z-score reduction for 'A' or 'B' grade loans due to (i) issues identified in the non- 'A' and 'B' grade loan findings, (ii) the DTI miscalculation issues that were discovered and corrected, and (iii) the limited sample size reviewed. Fitch received confirmation from the servicer that the lien status and the payment history reported in the tape are accurate. Fitch also used data files made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and considers the data to be comprehensive. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by engaged AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on two areas for Consolidated Analytics: compliance review and credit review. AMC's review focused on tax/title, credit, compliance, and valuations, date integrity, collection comment review, and payment review. Fitch considered this information in its analysis and, as a result, made negative adjustments to its analysis based on the findings. All the loans in the pool received an 'A' or 'B' grade. However, Fitch did not apply the typical 5bps z-score reduction for 'A' or 'B' grade loans due to (i) issues identified in the non- 'A' and 'B' grade loan findings, (ii) the DTI miscalculation issues that were discovered and corrected, and (iii) the limited sample size reviewed. Fitch received confirmation from the servicer that the lien status and the payment history reported in the tape are accurate. Fitch also used data files made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and considers the data to be comprehensive. 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: Fitch Rates Cl. B2 Notes 'B-sf' ----------------------------------------------------- Fitch Ratings has assigned final ratings to J.P.Morgan Mortgage Trust 2026-ACES1, (JPMMT 2026-ACES1) Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-ACES1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1C LT AAAsf New Rating AAA(EXP)sf A1D LT AAAsf New Rating AAA(EXP)sf A1D-X LT AAAsf New Rating AAA(EXP)sf A1E LT AAAsf New Rating AAA(EXP)sf A1E-X LT AAAsf New Rating AAA(EXP)sf A1-IO LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1-X LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A2A LT AAsf New Rating AA(EXP)sf A2B LT AAsf New Rating AA(EXP)sf A2C LT AAsf New Rating AA(EXP)sf A2-IO LT AAsf New Rating AA(EXP)sf A2F LT AAsf New Rating AA(EXP)sf A2-X LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf A3A LT Asf New Rating A(EXP)sf A3B LT Asf New Rating A(EXP)sf A3C LT Asf New Rating A(EXP)sf A3-IO LT Asf New Rating A(EXP)sf A3F LT Asf New Rating A(EXP)sf A3-X LT Asf New Rating A(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A4A LT AAsf New Rating AA(EXP)sf A4B LT AAsf New Rating AA(EXP)sf A4C LT AAsf New Rating AA(EXP)sf A4-IO LT AAsf New Rating AA(EXP)sf A4F LT AAsf New Rating AA(EXP)sf A4-X LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A5A LT Asf New Rating A(EXP)sf A5B LT Asf New Rating A(EXP)sf A5C LT Asf New Rating A(EXP)sf A5-IO LT Asf New Rating A(EXP)sf A5F LT Asf New Rating A(EXP)sf A5-X LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf A6A LT BBBsf New Rating BBB(EXP)sf A6B LT BBBsf New Rating BBB(EXP)sf A6C LT BBBsf New Rating BBB(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 73,912 loans with a scheduled balance of $5,692,976,183 as of the cutoff date. The pool consists of prime-quality, fixed-rate seasoned second-lien mortgages originated by Discover Bank and Discover Home Loans (Discover). The loans were acquired by JPMCB from Capital One, National Association. The servicer of the loans is Dovenmuehle Mortgage, Inc. (DMI). The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC),. The M-1, B-1, and B-2 certificates are based on the fixed rate and capped at the net WAC and the B-3 certificates are based on the net WAC. The A and M classes have a step-up feature whereby the rate increases by 1.000% on and after March2031, but the classes are still capped at the net WAC. Since the presale was published, the transaction priced. Fitch ran the post pricing structure and found that the B-2 class passed all six of the 'B-sf' stress scenarios. The B-2 did not take any losses in any of Fitch's 'B-sf' rating stresses and full principal and interest were paid. The other Fitch rated classes also passed their previously assigned rating stresses. As a result, there are no changes to the final ratings from the expected ratings previously assigned. KEY RATING DRIVERS Credit Risk of High-Quality, Prime, CES 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. The pool consists of fixed-rate, seasoned, second-lien residential mortgage loans with original terms to maturity of 30 years. Based on Fitch's analysis of the pool, 96% of the loans are cash-out refinances and 4% are rate-term refinances (per the transaction documents 94% are cash-out and 2% are unknown; Fitch treats unknown as cash-out in its analysis). More than 96.6% of the loans are single-family/PUDs, and 100% of the loans are owner-occupied homes. The loans are seasoned at an average of 28 months. Fitch determined the pool has a weighted average (WA) original FICO score of 739 (with a 722 updated FICO), indicative of very high-credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 71.3%, as determined by Fitch with a MTM CLTV as determined by Fitch of 65.6%, which translates to a sustainable loan-to-value ratio (sLTV) of 74% based on Fitch's analysis of the pool. This transaction has a final probability of default (PD) of 22.7% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.9%. The expected loss in the 'AAAsf' rating stress is 22.2%. Structural Analysis: Sequential Structure with 180-Day Charge off Feature/Best Execution and No DQ P&I Advancing (Positive): The transaction features a sequential structure with a 180-day charge-off feature/best execution and no delinquent (DQ) P&I advancing. The proposed structure is a sequential structure in which principal is distributed first to the A-1 and A-1F classes pro rata, and then sequentially to the A-2 and A-2F pro rata, A-3 and A-3F pro rata, M-1, B-1, B-2 and B-3classes. If there is not interest in the interest water fall to pay interest on the notes, interest is paid through the principal waterfall and is senior to principal. Any unpaid interest is paid before any principal payments are made. The transaction generates monthly excess cash flow, which is used to cover realized losses and then to pay any unpaid cap carryover interest shortfalls. A realized loss will occur if, after applying the principal remittance amount and monthly excess cash flow on a distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the notes. Realized losses are allocated on a reverse-sequential basis:, losses are applied first to class B-3. After class A-2 and A2F are written off, any further losses are allocated pro rata to class A-1 and A-1F. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. For any mortgage loan that becomes 180 days MBA delinquent, the servicer will review the loan and may charge it off at the direction of the controlling holder—based on an equity analysis—if the review indicates that no significant recovery is likely. The controlling holder will determine if the loan is written of at 180 days MBA delinquent or is liquidated. Fitch views the use of an equity analysis to determine the optimal liquidation strategy for severely delinquent loans as a credit positive, as it reflects actions by the servicer and controlling holder to limit losses for certificate holders. A charge-off at 180 days compares favorably with a delayed liquidation scenario, where losses are realized later in the transaction when less cash flow may be available. Accordingly, Fitch's cash flow analysis assumes loans are written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. The servicer will not be advancing delinquent (DQ) P&I; therefore, principal may be used to pay bond interest, which could add stress to the structure. 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 a sample of loans. The overall pool had a sample size of 13%. Due to the sampling and the due diligence findings on the overall sample, Fitch did not give credit to loans that have a grade of 'A' or 'B'. All loans that had due diligence in the final pool had a grade of 'A' or 'B'. Fitch applied loss assumption adjustments for loans with underwriting findings based on the due diligence findings. 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-ACES1 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-ACES1, 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's analysis incorporates a sensitivity analysis to demonstrate how the ratings wouldreact to steeper MVDs than assumed at the MSA level. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction may be exposed or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the MVDs in the 'Bsf' case, which is 10.91%. As shown in the following table, the analysis indicates there is some potential rating migration with higher MVDs compared with the model projection. 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 were 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 engaged and Consolidated Analytics. The third-party due diligence described in Form 15Efocused on two areas for Consolidated Analytics: compliance review, and credit review. AMC's review focused on tax/title, credit, compliance, and valuations, date integrity, collection comment review, and payment review. Fitch considered this information in its analysis and, as a result, made negative adjustments to its analysis based on the findings. All the loans in the pool that were part of the due diligence review received an 'A' or 'B' grade. However, Fitch did not apply the typical 5bps z-score reduction for 'A' or 'B' grade loans due to (i) issues identified in the non- 'A' and 'B' grade loan findings, (ii) the DTI miscalculation issues that were discovered and corrected, and (iii) the limited sample size reviewed. Fitch received confirmation from the servicer that the lien status and the payment history reported in the tape are accurate. Fitch also used data files made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and considers the data to be comprehensive. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by engaged AMC and Consolidated Analytics. The third-party due diligence described in Form 15Efocused on two areas for Consolidated Analytics: compliance review and credit review. AMC's review focused on tax/title, credit, compliance, and valuations, date integrity, collection comment review, and payment review. Fitch considered this information in its analysis and, as a result, made negative adjustments to its analysis based on the findings. All the loans in the pool received an 'A' or 'B' grade. However, Fitch did not apply the typical5bps z-score reduction for 'A' or 'B' grade loans due to (i) issues identified in the non- 'A' and 'B' grade loan findings, (ii) the DTI miscalculation issues that were discovered and corrected, and (iii) the limited sample size reviewed. Fitch received confirmation from the servicer that the lien status and the payment history reported in the tape are accurate. Fitch also used data files made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and considers the data to be comprehensive. 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. KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 11 Ltd.: US$14.62M Class D-1-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jul 3, 2025 Upgraded to A3 (sf) US$19.78M Class D-2-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jul 3, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$357.5M (Current outstanding amount US$25,221,844) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 3, 2025 Affirmed Aaa (sf) US$57.75M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 3, 2025 Affirmed Aaa (sf) US$30.25M Class C-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 3, 2025 Upgraded to Aaa (sf) US$27.5M Class E-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jul 3, 2025 Affirmed B1 (sf) KKR CLO 11 Ltd., originally issued in May 2015 and refinanced in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrades on the Class D-1-R and D-2-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2025. The affirmations on the ratings on the Class A-R, B-R, C-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD77.0 million (21.5%) since the last rating action in July 2025 and USD332.3 million (92.9%) 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-R/B-R, Class C-R, Class D-R and Class E-R OC ratios are reported at 222.26%, 162.88%, 124.92% and 105.30% compared to May 2025[2] levels of 165.28%, 139.00%, 117.71% and 104.87%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD192.4m Defaulted Securities: USD1.6m Diversity Score: 43 Weighted Average Rating Factor (WARF): 3194 Weighted Average Life (WAL): 3.30 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.13% Weighted Average Recovery Rate (WARR): 46.71% Par haircut in OC tests and interest diversion test: 4.42% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of USD11.6m of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. LCM 30 LTD: S&P Affirms BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R and C-R notes from LCM 30 Ltd. and removed them from CreditWatch positive, where S&P placed them with positive implications in February 2026. At the same time, S&P affirmed its ratings on the class A-R, D-R, and E-R notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the February 2026 trustee report. The transaction has paid down $203.51 million collectively to the class A-R notes since our June 2021 rating actions. The trustee-reported overcollateralization (O/C) ratios have changed from the May 2021 trustee report, which we used for our previous rating actions: -- The class A/B O/C ratio improved to 178.08% from 133.63%. -- The class C O/C ratio improved to 135.03% from 121.39%. -- The class D O/C ratio improved to 115.96% from 114.27%. -- The class E O/C ratio deteriorated to 104.92% from 109.49%. The higher coverage tests for classes A/B, C, and D indicate increases in their credit support due to a lower senior note balance. While senior O/C ratios improved, the class E O/C declined since S&P's last rating action and is now below its minimum requirement of 105.60%. Though par losses and defaults contributed to the decline, the excess 'CCC' haircut is the primary reason for the deterioration. As per the February 2026 trustee report, collateral obligations with ratings in the 'CCC' category have increased, with $21.0 million reported, up from $18.7 million reported as of the May 2021 trustee report. While the dollar increase does not seem significant, the portfolio has been amortizing, so the exposure to 'CCC' assets as a percentage of the assets now stands at 12.09%. This is above the minimum, leading the trustee to haircut the O/C numerator as per terms of the document. S&P estimates the class E O/C ratio to be close to 109% without these haircuts. The paydowns have helped the senior classes offset such haircuts, and the upgrades reflect the improved credit support available to those debt at the prior rating levels. Although the results of the cash flow analysis indicated a higher rating on the class D-R debt, S&P's action reflects our qualitative consideration of the results of extra sensitivity analysis that it ran given the portfolio's exposure to 'CCC'-rated collateral and to some assets with low market values. The affirmations reflect adequate credit support at the current rating levels. On a standalone basis, the cash flow analysis results point to a lower rating for the class ER notes than the rating action would suggest. S&P said, "However, our decision considers its actual overcollateralization level without any haircuts, the CLO's relatively low exposure to the more risky 'CCC' and 'CCC-' rated obligors, and no exposure to long-dated assets (i.e., assets maturing beyond the CLO's stated maturity), which limits the risk of future structural deterioration. In addition, the CLO has been consistently paying down its notes, and, if this continues, the credit support and cash flows results could improve, assuming no significant increase in defaults or additional par losses. Based on these qualitative considerations, we affirmed class E-R's rating, but any deterioration in the credit support available to the debt could result in rating changes." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive LCM 30 Ltd. Class B-R to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-R to 'AA- (sf)' from 'A (sf)/Watch Pos' Ratings Affirmed LCM 30 Ltd. Class A-R: AAA (sf) Class D-R: BBB-(sf) Class E-R: BB- (sf) LIFE 2021-BMR: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BMR issued by LIFE 2021-BMR Mortgage Trust: -- Class C at AAA (sf) -- Class D at AA (high) (sf) -- Class E at A (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' outlook for the transaction, which has paid down by 70.2% since issuance because of 11 property releases, two of which (representing 5.2% of the allocated loan amount (ALA) at issuance)) have been released since the previous credit rating action in March 2025. During the previous credit rating action, Morningstar DBRS upgraded Classes B, C, D, and E to reflect the increased credit enhancement resulting from collateral reduction. Since that time, two additional properties, 58 Charles Street and 65 Grove Street, were released from the transaction resulting in the full prepayment of the Class B certificate and a significant reduction in the Class C balance to $15.4 million from $101.2 million. At issuance, the transaction was secured by a portfolio of 17 properties totaling approximately 2.4 million square feet (sf) of Class A office and laboratory space in the most prominent life-sciences hubs: Cambridge, Massachusetts; San Diego; and San Francisco. Since issuance, 11 properties, totaling 64.7% of net rentable area (NRA; 1.55 million sf), have been released from the portfolio. The $2.0 billion underlying loan is interest only (IO) and structured with a floating rate, with an interest rate cap of 3.5%. The loan had a partial pro rata structure that allows for paydowns on the first 30.0% of the principal balance and switched to a sequential pay structure for the remaining balance. The loan had an initial maturity in March 2023 with three one-year extension options and a final maturity date in March 2026. Based on the most recent reporting for the trailing-12-month (T-12) period ended September 30, 2025, the remaining six properties reported a net operating income (NOI) of $34.9 million compared with the NOI at issuance of $39.1 million. This decline in NOI is reflective of the occupancy decline since issuance. According to the September 2025 rent roll, the consolidated occupancy rate for the remaining six properties declined to 73.1%, compared with the December 2024 occupancy rate of 87.0%. The decline in occupancy is primarily related to major tenants vacating upon their respective lease expiration dates at 320 Charles Street (14.8% of ALA; 0.0% occupancy rate), 50 Hampshire Street (34.1% of ALA; 58.2% occupancy rate), and 210 Broadway (6.1% of ALA; 32.0% occupancy rate). In addition, the servicer confirmed that the former second-largest tenant at 50 Hampshire Street, RELX Inc. (16.6% of the property's NRA; 4.0% of the portfolio NRA), vacated upon its lease expiration in December 2025, suggesting the physical occupancy rate at that property is 41.6%. The portfolio also has considerable upcoming tenant rollover for the remaining two tenants at 210 Broadway (32.0% of the property's NRA; 2.5% of the portfolio NRA), both of which have lease expirations in September 2026. In light of recent tenant departures, upcoming lease expirations and softening submarket fundamentals, Morningstar DBRS considered a blended approach for this review. The three properties exhibiting occupancy concerns were evaluated under a stressed scenario, while the values previously derived were maintained for the three fully leased assets with no near-term rollover. This stressed analysis resulted in an updated Morningstar DBRS Value of $507.7 million for the remaining six properties. The stressed analysis incorporates a dark-value assessment for the predominantly vacant properties at 320 Charles Street and 210 Broadway. These dark values are derived from an estimated stabilized cash flow, (net of the projected costs required to re-lease the assets to a stabilized occupancy level of 80.0%) and a capitalization rate of 8.0%. The average rental rate of $85 per square foot (psf) and vacancy rate of 20.0% were based on a Q4 2025 Cushman & Wakefield Boston Life Sciences MarketBeat report for the Cambridge submarket with consideration given to the subject properties' proximity to major medical institutions. Tenant improvements for the vacant space were estimated at $100 psf. Morningstar DBRS also elected to update its NCF assumption for the 50 Hampshire Street property to reflect the recent tenant rollover by applying a 10% haircut to the borrower's reported T-12 NCF figure for the period ended September 30, 2025. The resulting consolidated Morningstar DBRS Value for the remaining six assets represents a variance of -59.6% from the issuance appraised value of $1.3 billion and implies Morningstar DBRS loan-to-value ratio (LTV) of 117.9%. The Morningstar DBRS credit ratings assigned to Classes E and F are lower than the results implied by the LTV sizing benchmarks by three or more notches. Given the recent and upcoming tenant rollover as the loan approaches maturity, the variances are warranted. Notes: All figures are in U.S. dollars unless otherwise noted. MAD COMMERCIAL 2019-650M: Fitch Affirms B Rating on Class A Notes ----------------------------------------------------------------- Fitch Ratings has affirmed two classes of MAD Commercial Mortgage Trust 2019-650M. The Rating Outlook for Class A remains Stable. Entity/Debt Rating Prior ----------- ------ ----- MAD 2019-650M A 55283JAA8 LT Bsf Affirmed Bsf B 55283JAC4 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS The affirmations reflect overall performance in-line with Fitch's expectations from the prior rating action. The Stable Outlook reflects limited near-term rollover and the expectation of lease-up because of the collateral quality and position of the building in the submarket, supported by substantial leasing reserves. Return to Master Servicing; Updated Appraisal Value: The loan transferred to special servicing in September 2025 due to payment default but was returned to the master servicer in January 2026 after the borrower brought the loan current and funded leasing and shortfall reserves. As of February 2026, $18.7 million has been collected in reserves, equating to $33 psf across the collateral. The most recently reported appraisal value of $950 million in October 2025 reflects a 21% decline from the appraisal value at issuance. Fitch's updated stressed value reflects a 23% decline from the Fitch stressed value at issuance. Fitch Net Cash Flow: The updated sustainable Fitch NCF of $42.1 million remains in-line with the prior rating action but is 20% below Fitch's issuance NCF of $52.7 million. The analysis reflects leases-in-place as of the January 2026 rent roll, with credit given to near-term contractual rent escalations. Fitch's sustainable long-term occupancy assumption of 88.0%, which is in-line with the submarket occupancy, reflects the strong collateral quality and position in the market with unobstructed views of Central Park on floors 15 through 27 of the property. Lease-up rates reflect the recently executed lease renewal of Ralph Lauren on the lower floors of the building and higher rates achieved on the upper floors. According to CoStar and as of 4Q25, the submarket vacancy, availability rate and average asking rent were 12.4%, 12.1% and $102 psf, respectively. Occupancy and NOI Declines: The servicer-reported YE 2024 NOI is down 3% from YE 2023 and is 23% below YE 2020. Correspondingly, NOI DSCR declined to 1.75x at YE 2024 from 1.81x at YE 2023 and remains below the 2.29x level reported at YE 2020. As of January 2026, reported collateral occupancy was 65.3%, which is consistent with Fitch's expectations for occupancy decline following the Ralph Lauren downsizing in 2025. High-Quality Office Collateral in Prime Location: The 650 Madison Avenue property is a 27-story, class A office building in Midtown Manhattan, that is LEED-Gold certified, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. Originally constructed in 1957 as an eight-story base building, the property's significant expansion in 1987 added 19 additional stories with views of Central Park. Fitch assigned the property a quality grade of 'A' at issuance. High Fitch Leverage: The $800.0 million mortgage loan has a Fitch-stressed DSCR and LTV of 0.64x and 137.7%, respectively, compared with 0.82x and 106.3% at issuance. The mortgage debt is $1,332 psf. The sponsor acquired the property in 2013 for $1.3 billion ($2,165 psf). Fitch utilized a 7.25% cap rate, above the cap rate of 7.0% at issuance, to reflect comparable properties in the market. Institutional Sponsorship: Vornado (BB+/Positive) is one of the largest owners and managers of commercial real estate in the U.S. with a portfolio of office, retail and other commercial space, primarily located in New York City. Oxford Properties Group is the global real estate investment, development and management arm of Ontario Municipal Employees Retirement System (OMERS) Administration Corporation (AAA/Stable). Oxford Properties owns and operates a diversified real estate portfolio consisting of office, retail and industrial space, in addition to multifamily units. Full-Term, Interest-Only Loan: The fixed-rate loan is interest-only for the entire 10-year term with a fixed mortgage rate of 3.49%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupon. The loan matures in December 2029. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades or a Negative Outlook is possible if progress toward lease-up of the vacant spaces in the building slows significantly, new leasing occurs at rates well below current leasing activity, and/or occupancy on the building does not recover to Fitch's sustainable level of 88.0%. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the current ratings reflect Fitch's view of sustainable performance, but may be possible with significant new leasing that contributes to stabilized performance, including occupancy in excess of 88.0% and new leasing on the vacant spaces at rates well-above recent leasing activity, and more certain prospects for loan refinance. 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 MAD 2019-650M has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MENLO CLO IV: Moody's Assigns (P)B3 Rating to $3.75MM Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by MENLO CLO IV LIMITED (the Issuer or MENLO IV): US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$3,750,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Assigned (P)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. MENLO IV 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, and bonds. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Permira US CLO Manager LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2866 Weighted Average Spread (WAS): 2.70% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or 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. MERIT 2026-1: Fitch Assigns 'B-(EXP)sf' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned MERIT 2026-1 expected ratings. Entity/Debt Rating ----------- ------ Merit 2026-1 A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating Transaction Summary The MERIT 2026-1 DAC and MERIT 2026-1 LLC (together, MERIT 2026-1) transaction is the first term securitization of aviation loans serviced by Merit AirFinance LP (Merit). MERIT 2026-1 is backed by loans originated by Merit and Castlelake LP (Castlelake). The portfolio consists of full recourse, limited recourse and nonrecourse facilities financing 97 aircraft and engines. MERIT 2026-1 will issue fixed-rate class A, B, C, D, E and F notes, which will be repaid pro rata until the trigger breach causes sequential amortization. A reserve fund is available to protect against failure to pay senior expenses or class A interest. KEY RATING DRIVERS Asset Quality and Tiering (Neutral): The loan pool consists of 10 facilities secured by one or up to 40 aircraft/engines. The pool comprises 90 aircraft and seven engines with a total appraised value of about $1 billion. Of the loans, 52% by count are full recourse to the borrower (airlines), 47% are limited recourse loans to the SPV owners/borrowers, which own the aircraft/engines and lease them to airlines, and 1% is nonrecourse. The aircraft have a total appraised value of $999.8 million (56.7% narrowbody, 30.0% widebody and 13.3% freighters by value). Of the aircraft, 45.9% are Tier 1, 37.3% represent Tier 2 and 16.8% are Tier 3 by total appraised value. The engines have a total appraised value of $1.9 million, with all assumed to be in phase 3. The weighted average (WA) age of the aircraft is 10.8 years. Fitch considers the collateral quality to be neutral. Transaction Structure (Positive): The notes are issued with higher credit enhancement (CE) levels/lower loan-to-value ratios (LTVs), relative to peers, as driven by Fitch's higher loss assumption for this transaction. Pro-rata amortization and any cash leakage to equity cease if any note-specific asset coverage ratio (ACR) or interest coverage ratio (ICR) test is breached and amortization irreversibly switches to sequential once the pool factor falls below 50%. Recoveries are always allocated sequentially, which additionally benefits CE on the senior notes. A reserve fund sized to 2.5% of loan par protects against interest shortfalls on the A note, and principal can also be used to pay nondeferrable interest. Fitch believes these mechanisms are sufficient to maintain timely payments of interest, even in the highest rating stresses and in the tail of the transaction, when the portfolio becomes more concentrated. Pool Concentration (Neutral): Despite exposure to a single industry, the pool is diverse, secured by 97 aircraft and engines operated by 34 airlines. The airlines are domiciled in 23 countries. Fitch derived its default assumptions using its Portfolio Credit Model (PCM), which considers portfolio concentration. Obligor Credit Risk (Neutral): Credit exposures (either directly in the case of full recourse loans, or indirectly in the case of SPV loans) are to 34 airlines. Given exposures are primarily to airlines (either directly or indirectly), ratings are concentrated in the 'CCC'/'B'/'BB' categories. Fitch derived a proxy for nonrecourse SPV credit quality by comparing the required loan debt service to the projected cash flows under different rating stress scenarios. Fitch caps the SPV credit quality proxy at 'BB' equivalent, given the level of concentration and absence of liquidity coverage. Operational and Servicing Risk (Neutral): Merit AirFinance LP was founded recently, in 2025, as a subsidiary of Castlelake LP, an established aviation lessor and lease servicer. Fitch has found Merit to be effective in originating and managing a portfolio of commercial aircraft and engine loans, especially as the company leverages its parent's systems, processes, procedures and experience. The companies' combined capability is evidenced by a long record of servicing leases, an experienced management team and solid portfolio performance. Reliance on the servicer is lower for loan portfolios than for operating lease portfolios, as the loan servicer does not need to routinely remarket the aircraft. Cash Flow Modeling (Neutral): Fitch used its Multi-Asset Cash Flow Model to project asset cash flows and reflect the transaction liability structure. Fitch tested various combinations of frontloaded, evenloaded and backloaded defaults, and rising, stable and decreasing interest rates. Its modeling suggests principal and interest can be repaid on the rated classes in accordance with their terms and conditions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This section provides insight into the model-implied sensitivities the transaction faces when one assumption is stressed, while holding others equal. The modeling process uses the estimation and stress of these variables to reflect asset performance in a stressed environment. The results below should only be viewed as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of future performance. Rating sensitivity to increased default rates: Increase default rate by 10% / 20% - Class A: AA+sf / AAsf - Class B: A+sf / Asf - Class C: BBB+sf / BBB+sf - Class D: BBB-sf / BB+sf - Class E: BB-sf / BB-sf - Class F: B-sf / B-sf Rating sensitivity to reduced recovery rates: Reduce recovery rate by 10% / 20% - Class A: AA+sf / AAsf - Class B: Asf / A-sf - Class C: BBB+sf / BBB-sf - Class D: BBsf / B+sf - Class E: Bsf / NRsf - Class F: NRsf / NRsf Rating sensitivity to increased default rates and reduced recovery rates: Increase default rate and reduce recovery rate each by 10% / 20% - Class A: AAsf / A+sf - Class B: Asf / BBBsf - Class C: BBBsf / BBsf - Class D: BB-sf / B-sf - Class E: Bsf / NRsf - Class F: Bsf / NRsf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced default rates and increased recovery rates: Reduce default rate and increase recovery rate each by 10% - Class B: AA+sf - Class C: A+sf - Class D: BBB+sf - Class E: BBB-sf - Class F: BB-sf - The class A debt is already rated 'AAAsf' and cannot be upgraded. 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 about the performance of the asset pool and the transaction. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. 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. METRONET INFRASTRUCTURE 2026-1: Fitch Rates C Notes 'BB-(EXP)' -------------------------------------------------------------- Fitch Ratings expects to rate Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, series 2026-1 as follows: - $628,300,000 Series 2026-1 Class A-2, 'A-(EXP)sf'; Outlook Stable; - $275,100,000 Series 2026-1 Class C 'BB-(EXP)sf'; Outlook Stable. Transaction Summary The transaction is a securitization of Metronet's fiber infrastructure under a wholesale framework and the associated issuance of USD903.4 million of notes. These notes will be refinancing additional assets from the warehouse and will represent the fifth issuance under the master trust established under a base indenture executed in July 2025, and to be amended and restated upon the closing date. Fitch's ratings on the notes address the likelihood of timely payment of monthly interest and ultimate payment of principal by the legal final maturity of the notes. As with the other notes issued under the 2025 base indenture, the transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity in the asset entities, the wholesale and related agreements with T-Mobile US, Inc. (Long-Term Issuer Default Rating: 'BBB+'/Stable) and a shared infrastructure service agreement for common assets. Upon closing, the assets in the master trust will represent about 60% of Metronet's total passes. The assets being contributed for the 2026-1 issuance are in line with the quality and composition of the assets currently in the master trust. Contributed assets will be in existing states and are seasoned with average operating history in the markets of 4.8 years. The weighted average penetration rate will remain unchanged at ~38%. The revenue composition of the newly contributed assets of 69% residential and 31% commercial will be substantially similar to the composition of the other assets in the master trust. Additionally, the contributed assets add an incremental 12% gross revenue to the master trust. The transaction would amend the Variable Funding Note (VFN) pro forma the Class A Leverage Ratio draw condition from 7.0x to 7.5x. The Class A Leverage Ratio is expected to be about 7.31x upon issuance of the 2026-1 notes. The transaction also includes an amendment that would condition any VFN draw on the B note leverage not exceeding 8.75x, which is its expected value at the close of 2026-1. The Senior DSCR draw condition for VFN has decreased from 1.85x to 1.70x. In a high interest rate environment, it is possible the lower senior DSCR draw condition would result in incremental borrows that would not otherwise have been possible. However, Fitch believes the leverage-based draw conditions are the most effective constraints on borrowings, and Fitch's risk analysis incorporates a scenario with a fully-funded VFN in a high interest rate environment. This transaction also introduces an option for the issuer to establish Liquidity Funding Notes (LFNs), which may be issued only after the 2025-1, 2025-2, 2025-3 and 2025-4 notes have been paid in full or with the consent of 50% of the holders of the 2025-1, 2025-2, 2025-3 and 2025-4 notes. The LFNs would be designated as class A-1-L. Interest on and repayment of these notes would take priority over all other notes and advances are expected to be made at the direction of the issuer solely to fund the liquidity reserve, up to a maximum of 50% of the required liquidity reserve balance. The 50% of required liquidity reserve balance must be held in cash. LFN can spring prior to payment in full of pre 2026-1 notes if 50% of existing noteholder consent. The LFN will not be issued at closing, and the issuance of the LFN would be subject to rating confirmation of any other outstanding notes in the master trust. Fitch is not a transaction party and has no obligation to provide rating confirmations. Therefore, LFN note purchase agreement, which will include the terms governing the LFNs, has not been drafted and Fitch's review and assessment of the terms would occur as part of the rating agency confirmation process. Currently, the notes feature a liquidity reserve sized to six months of interest, direct costs, and certain fees. Regarding seniority, if there is no event of default, the A-1 notes will receive accrued interest prior to the A-2 notes. However, in the event of default, the class A-1 and A-2 notes enjoy the same priority as each other with respect to distribution of collateral proceeds. Otherwise, seniority follows alphanumerical designation. Fitch's analysis and rating recommendations are based on an analysis of cash flows and debt encompassing all of the assets that will be in the master trust and related cash flows, debt, and repayment, giving effect to priority of payments and transaction structure. Therefore, the analysis of the 2026-1 A-2 and C notes is also applicable to prior issued notes in these series. Triggers are the same as those of the other series of notes, which Fitch evaluated in prior issuances. Fitch expects to affirm all other existing ratings issued by the master trust at the issuance of 2026-1. KEY RATING DRIVERS Fitch Net Cash Flow and Leverage Multiples: Fitch Net Cash Flow (FNCF) in its central scenario is $344.3 million, representing an approximately 15.3% haircut compared to the issuer's modelled cash flow of $406.5 million. FNCF represents a margin of 57.5% of modelled gross revenue compared to an issuer margin of 72.4% of gross revenue. The debt multiples at close, applying FNCF are as follows: 8.63x for the A notes (versus 7.31x on issuer net cash flow); 10.33x for the B notes (versus 8.75x on issuer net cash flow), and 12.10x on the C notes (versus 10.25x on issuer net cash flow.) With the subject issuance, the debt multiple on issuer net cash flow is increasing for the A notes and C notes while B note leverage remains unchanged. In evaluating the current transaction, Fitch reviewed updated historical financial data, actual ABS cash flows reported in Monthly Noteholder Reports, re-assessed prior haircuts and assumptions, and discussed data and performance with Metronet. The lower haircut versus Issuer Cash Flow in the subject transaction is largely driven by observed improvements in operating metrics, as well as review of data covering periods under which the business was operating under the MFA with T-Mobile. As such, the updated FNCF appropriately reflects both benefits of scale and market penetration and emerging track record of performance under the MFA. FNCF incorporated more conservative capex assumptions based on trend analysis; however, this increase was offset by expense reductions in other categories. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale and diversity of the underlying customer base, strong branding support and reputation of T-Mobile, strong market position and penetration, capability and track record of the operator, increased durability of cash flow as a result of the MFA, and the strength of the transaction structure. In the repayment analysis, the A notes are paid in full prior to year 15. The B notes are not paid in full by year 15, but the combined outstanding principal balance of class B and C at year 15 is 16.5% of the balance of all of the notes in the master trust at inception. Fitch considered some of the risk related to non-renewal or termination of the MFA to be mitigated if the notes paid in full prior to this 15-year period, or if there is substantial paydown of principal by this time. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of data through fiber optic cables — will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. T-Mobile Sensitivity: Fitch's assessment of MPL reflects the transaction's exposure to durable cash flows derived from the T-Mobile wholesale agreement. The ratings issued by Fitch, along with the potential for the class A notes to attain credit ratings above T-Mobile's Long-Term IDR of 'BBB+', is based on a thorough analysis of the underlying collateral network and the transaction's capability to perform independently of the agreement. In addition, the evaluation considers the sufficiency of transaction triggers to mitigate a potential decline in T-Mobile's creditworthiness. In its analysis following T-Mobile's downgrade to below investment grade, Fitch conducted stress scenarios to evaluate the adequacy of the 75% cash sweep trigger and to assess the timeliness of class A-2 deleveraging to a 6.0x debt-to-issuer SNCF leverage ratio and the likelihood of ultimate repayment of the note following the transaction's anticipated repayment date (ARD). Fitch assumed the cash sweep trigger occurs as of the closing date and stressed closing date revenues by 0%, 15% and 20%. The results of these scenarios are as follows: - No Revenue Stress: class A-2 leverage ratio equals 6.0x in 5.3 years and is repaid in full in 12.3 years following the transaction closing date. - 10% Revenue Stress: class A-2 leverage ratio equals 6.0x in 6.4 years and is repaid in full in 13.5 years following the transaction closing date. - 15% Revenue Stress: class A-2 leverage ratio equals 6.0x in 6.6 years and is repaid in full in 14.0 years following the transaction closing date. - 20% Revenue Stress: class A-2 leverage ratio equals 6.0x in 7.0 years and is repaid in full in 14.3 years following the transaction RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. For the 2025-3 issuance, Fitch performed interest rate sensitivities associated with the VFN, which modelled higher SOFR rates. Two such sensitivities were performed for the two scenarios presented above regarding the low and high revenue growth cases. Neither sensitivity resulted in a material deterioration in repayment analysis that would constitute a downgrade. Fitch's base case NCF was 15.3% 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 C from BB-sf to Bsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A from 'A-sf' to 'Asf'; class C from 'BB-sf' to 'BBsf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. MFA 2026-NQM1: Fitch Assigns 'B-sf' Final Rating on Class B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by MFA 2026-NQM1 Trust (MFA 2026-NQM1) Entity/Debt Rating Prior ----------- ------ ----- MFA 2026-NQM1 A-1FCF LT WDsf Withdrawn AAA(EXP)sf A-1FCX LT WDsf Withdrawn AAA(EXP)sf A-1LCF LT WDsf Withdrawn AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-1F LT AAAsf New Rating AAA(EXP)sf A-1IO LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 572 nonprime loans with a total balance of around $344.7 million as of the cutoff date. Loans in the pool were originated by multiple originators and are currently serviced by Planet Home Lending, LLC and Citadel Servicing Corporation (Citadel). All Citadel loans are subserviced by ServiceMac, LLC. MFA 2026-NQM1 has a weighted average (WA) Fitch FICO of 739 and a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 69.2%. The pool consists of 55.1% of loans where the borrower maintains a primary residence, while 44.9% constitute a second home or investor property. Of the pool, 81.2% were underwritten to less than full documentation. Within this, 36.1% were underwritten to a 12- or 24-month bank statement program, 26.8% used debt service coverage ratio (DSCR) or DSCR no-ratio product, 13.1% were CPA P&L product, and 5.2% were underwritten to an asset depletion or written verification of employment (WVOE) product. Of the pool, 58.5% are nonqualified mortgages (non-QM, or NQM). Distributions of principal and interest (P&I) and loss allocations are based on a modified-sequential payment structure with limited advancing. There were no changes to the collateral since publication of the presale. The structure was updated post-pricing. The credit enhancement for the A-1A, A-1B and A-1F classes increased 10bps and the A-2 through B-2 classes increased 5bps. Additionally, the coupons for A-1A to A-3 classes increased approximately between 11bps-32bps and the M-1 and B-1 classes decreased between 9bps - 16bps. As a result, the weighted average excess spread decreased to 178bps, down 16 bps from the previous level of 194 bps. Fitch re-ran its cashflow analysis and confirmed there were no changes to its expected ratings. The issuer provided an updated structure, removing the withdrawn classes A-1FCF, A-1FCX and A-1LCF, all of which previously had expected ratings of 'AAA (EXP)sf' with a Stable Outlook. 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. MFA 2026-NQM1 has a final probability of default (PD) of 45.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 37.9%. The expected loss in the 'AAAsf' rating stress is 17.0%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2026-NQM1 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 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 confirms 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 are satisfied to fully de-link the transaction from any other entities. Fitch confirms MFA 2026-NQM1 is fully de-linked and serves 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 MFA 2026-NQM1; 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's sensitivity analysis provides three levels of rating sensitivities to demonstrate how the ratings would react to steeper MVDs than those assumed at issuance. The various rating sensitivities include defined stresses and defined sensitivities. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction is exposed or are considered during the surveillance process. Furthermore, the sensitivity analyses are calculated based on pool-level WA attributes and may differ from a loan-level re-analysis of the pool at the additional stress levels. The defined stresses show the impact of three defined stress assumptions where the SHP level is 10, 20 and 30 percentage points lower than that derived at transaction issuance. These assumptions result in higher sLTVs and steeper sMVDs, the most significant drivers of PD and loss severity in Fitch's loss model. 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 Clayton, Consolidated Analytics, Opus, Evolve, Maxwell, Clarifii, Selene, Infinity. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. 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. MLTI TRUST 2026-SF75: Fitch Rates Class HRR Certs 'B(EXP)sf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to MLTI Trust 2026-SF75 Commercial Mortgage Pass-Through Certificates, Series 2026-SF75 (MLTI 2026-SF75) as follows: - $291,400,000 class A 'AAAsf'; Outlook Stable; - $54,400,000 class B 'AA-sf'; Outlook Stable; - $42,700,000 class C 'A-sf'; Outlook Stable; - $60,200,000 class D 'BBB-sf'; Outlook Stable; - $92,300,000 class E 'BB-sf'; Outlook Stable; - $14,750,000 class F 'B+sf'; Outlook Stable; - $29,250,000 class HRR(a) 'Bsf'; Outlook Stable. (a) Horizontal risk retention. Transaction Summary MLTI 2026-SF75 represents the beneficial interests in a trust that holds a five-year, fully extended, floating-rate, IO mortgage loan with an original principal balance of $585.0 million ($272,727 per unit). The loan is secured by the borrower's fee simple interest in a portfolio of 75 multifamily properties located across San Francisco, with a total of 2,145 units all built prior to 1979 and thus subject to San Francisco's rent control ordinances. The properties are owned by a joint venture between affiliates of Brookfield Asset Management and Ballast Investments. Mortgage loan proceeds along with $65.0 million of mezzanine financing were used to refinance the existing $410.0 million mortgage, pay closing costs of $15.0 million, fund an upfront line of credit (LOC) of $10.0 million and return approximately $215.0 million of equity to the borrower sponsor. The borrower was required to provide a $10.0 million LOC to be used for future building systems improvements and select unit interior upgrades across the portfolio. The loan was co-originated by Goldman Sachs Bank USA, Bank of America, N.A., Citi Real Estate Funding Inc. and German American Capital Corporation. The mortgage loan sellers were Goldman Sachs Mortgage Company (which acquired Goldman Sachs Bank USA's interest in the mortgage loan prior to the closing date), Bank of America, N.A., Citi Real Estate Funding Inc. and German American Capital Corporation. Trimont LLC will act as servicer with Torchlight Loan Services, LLC as special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. BellOak, LLC will act as operating advisor. The loan has an initial term of two years followed by three one-year extension options. The borrower was required to purchase an interest rate cap with a notional amount equal to the full loan amount and a strike rate based on the one-month term SOFR. The certificates follow a pro rata paydown with respect to prepayments of up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The initial 30% of the original loan balance ($175.5 million) is freely prepayable with no spread maintenance premium. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $42.3 million. This is 10.2% lower than the issuer's underwritten NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $585.0 million. High Overall Fitch Leverage: The $585.0 million trust loan equates to total debt of $272,727 per unit with a Fitch debt service coverage ratio (DSCR) of 0.88x, loan-to-value ratio (LTV) of 100.4% and debt yield of 7.2%. The loan represents 72.5% of the appraised value of $807.0 million. The Fitch market LTV at 'Bsf' (the lowest Fitch-rated, non-investment-grade tranche) is 89.9%. The Fitch market LTV is based on a blend of the Fitch cap rate and the portfolio's implied market cap rate of 5.74%. Improved Performance: The sponsor has significantly enhanced portfolio performance, with collections rising from 70% shortly after acquisition in January 2024 to 98% overall as of January 2026. Residential occupancy increased from 68% at acquisition to approximately 96% as per the most recent rent roll. Concessions have also been eliminated, with the last 430 leases signing without any form of leasing concession. The number of units enrolled in ratio utility billing system (RUBS) programs has increased from 969 at acquisition to 1,546 units as of January 2026, further increasing the borrower's ability to recoup expenses. The sponsor reports receiving an average rent premium of 25% on units as they are traded out. Institutional Sponsorship: Brookfield is a globally recognized alternative asset manager headquartered in New York City with over $1 trillion in assets spanning infrastructure, renewable energy, private equity, real estate and credit. In multifamily real estate, Brookfield manages over 47,000 units in five countries, with more than 15,000 units in development, and owns/operates approximately 239 properties (about 62,000 units) in the U.S. through private funds and sponsored investments. Ballast, the co-sponsor, is a vertically integrated real estate investment and management firm specializing in multifamily, student housing and single-family rentals across the western U.S., with $3.0 billion in assets under management and hands-on operational capabilities. Ballast currently operates more than 7,100 rent-controlled units in the San Francisco Bay Area, focusing on affordable and workforce housing solutions. 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'/'Bsf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-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'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBsf'/'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. MORGAN STANLEY 2016-C29: Fitch Lowers Rating on 2 Tranches to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed five classes of Morgan Stanley Capital I Trust (MSCI) commercial mortgage pass-through certificates, series 2016-UBS9. The Rating Outlook on class A-S has been revised to Stable from Negative. Classes A-4 and X-A have paid in full. Fitch has also downgraded six classes and affirmed six classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29 commercial mortgage pass-through certificates. The Outlooks on classes A-S, B, C and X-B remain Negative. In addition, Fitch has downgraded four classes and affirmed eight classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 (BACM 2016-UBS10) commercial mortgage pass-through certificates. The Outlooks on classes B, C, D, X-B and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C29 A-4 61766EBE4 LT AAAsf Affirmed AAAsf A-S 61766EBH7 LT AAAsf Affirmed AAAsf B 61766EBJ3 LT A-sf Affirmed A-sf C 61766EBK0 LT BBB-sf Affirmed BBB-sf D 61766EAL9 LT CCCsf Downgrade B-sf E 61766EAN5 LT CCsf Downgrade CCCsf F 61766EAQ8 LT Csf Downgrade CCsf X-A 61766EBF1 LT AAAsf Affirmed AAAsf X-B 61766EBG9 LT A-sf Affirmed A-sf X-D 61766EAA3 LT CCCsf Downgrade B-sf X-E 61766EAC9 LT CCsf Downgrade CCCsf X-F 61766EAE5 LT Csf Downgrade CCsf MSCI 2016-UBS9 A-4 61766CAE9 LT PIFsf Paid In Full AAAsf A-S 61766CAG4 LT AAsf Affirmed AAsf B 61766CAK5 LT BBBsf Affirmed BBBsf C 61766CAL3 LT BBsf Affirmed BBsf D 61766CAV1 LT CCsf Downgrade CCCsf E 61766CAX7 LT Csf Downgrade CCsf F 61766CAZ2 LT Csf Affirmed Csf X-A 61766CAH2 LT PIFsf Paid In Full AAAsf X-B 61766CAJ8 LT BBBsf Affirmed BBBsf X-D 61766CAM1 LT CCsf Downgrade CCCsf X-E 61766CAP4 LT Csf Downgrade CCsf BACM 2016-UBS10 A-4 06054MAE3 LT AAAsf Affirmed AAAsf A-S 06054MAH6 LT AAAsf Affirmed AAAsf B 06054MAJ2 LT AA-sf Affirmed AA-sf C 06054MAK9 LT BBB-sf Affirmed BBB-sf D 06054MAW3 LT B-sf Affirmed B-sf E 06054MAY9 LT CCsf Downgrade CCCsf F 06054MBA0 LT Csf Downgrade CCsf X-A 06054MAF0 LT AAAsf Affirmed AAAsf X-B 06054MAG8 LT AA-sf Affirmed AA-sf X-D 06054MAL7 LT B-sf Affirmed B-sf X-E 06054MAN3 LT CCsf Downgrade CCCsf X-F 06054MAQ6 LT Csf Downgrade CCsf KEY RATING DRIVERS Pool Concentration; Adverse Selection: Deal-level 'Bsf' rating case losses are 38.1% in MSCI 2016-UBS9, 24.0% in MSCI 2016-C29 and 19.7% in BACM 2016-UBS10, respectively. The ratings account for pool concentration and maturity risk as the majority of loans mature in 2026 for all three transactions. Six loans remain in MSCI 2016-UBS9, 26 loans in MSBAM 2016-C29 and 23 loans in BACM 2016-UBS10. The downgrades to the distressed classes in all three transactions reflect a greater certainty of expected losses due to updated lower appraisal values and additional transfer of loans to special servicing. The Negative Outlooks across the three transactions reflect the potential for future downgrades should the office, hotel and retail FLOCs performance deteriorate beyond current expectations, including worsened recovery and/or prolonged workout on the specially serviced loans/assets, and/or more loans than anticipated fail to refinance. The Outlook revision to Stable from Negative in the MSCI 2016-UBS9 transaction reflects the high credit enhancement level of 80% and the expectation for repayment based on recovery estimates of remaining performing loans in the pool. In addition, the transaction had better-than-expected recoveries due to the repayment of the 525 Seventh Avenue loan, which was previously the largest loan in the pool. Due to the heightened concentration risk, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available credit enhancement (CE). Fitch Loans of Concern (FLOCs) comprise five loans (85.3% of the pool) in MSCI 2016-UBS9, all of which are in special servicing, 12 loans (72%) in MSBAM 2016-C29, including eight specially serviced loans (57%), and nine loans (51%) in BACM 2016-UBS10, including six specially serviced loans (39%). FLOCs; Largest Contributors to Losses: Princeton Pike Corporate Center is the largest contributor to loss in MSCI 2016-UBS9, and second largest in both the MSBAM 2016-C29 and BACM 2016-UBS10 transactions. The loan is secured by an eight-building suburban office property totaling 809,458 sf located in Lawrence Township, NJ, approximately seven miles north of Trenton, NJ. The loan returned to special servicing in February 2024 for imminent default after an earlier transfer to special servicing in 2021. Occupancy has steadily declined since 2019, reporting an occupancy of 42% in November 2025 in-line with YE 2024, but down from 60% as of YE 2023, 74% at YE 2022, and 83% at YE 2019. According to servicer updates, the borrower is planning to make another modification proposal and workout discussions are ongoing. Fitch's 'Bsf' rating case loss of approximately 71% (prior to concentration adjustments) reflects a Fitch stressed value of $52 psf. The largest increase in loss expectations since prior review in the BACM 2016-UBS10 and MSC 2016-UBS9 transactions is the Twenty Ninth Street retail loan, which is secured by a fee and leasehold interest in a 704,713-sf retail regional lifestyle center located in Boulder, CO, less than one mile from the University of Colorado Boulder. The loan transferred to special servicing in February 2026 due to maturity default. As of YE 2024, servicer reported occupancy and NOI DSCR were 94% and 1.71x, respectively, compared to 90% and 2.01x, respectively, at YE 2023. As of September 2025, the property was 95% occupied. Fitch's 'Bsf' rating case loss of approximately 35% (prior to concentration adjustments) reflects a 9.75% cap rate and a 7.5% stress to the YE 2024 NOI. Fitch also increased the probability of default due to the loan transferring to special servicing. The largest loan and largest overall contributor to loss expectations in the MSBAM 2016-C29 transaction is the Grove City Premium Outlets loan (18%), which is secured by a 531,200-sf open-air outlet center located in Grove City, PA. The loan transferred to special servicing in August 2025 due to imminent default and subsequently defaulted at maturity in December 2025. Servicer reported occupancy and NOI DSR were 74% and 2.28x at YE 2024, respectively. A forbearance agreement was executed in December 2025 that extends the loan term through December 2027, with an additional one-year extension option contingent upon achieving a trailing 12 months NOI of at least $14.5 million and a minimum debt yield of 11%. Fitch's 'Bsf' rating case loss of approximately 33% (prior to concentration add-ons) reflects a 15% cap rate, 10% haircut to the YE 2024 NOI to reflect upcoming rollover concerns and factors an increased probability of default due to the loan's defaulted status. The largest overall contributor to loss expectations in the BACM 2016-UBS10 transaction is the Belk Headquarters (13.4%) loan, which is secured by a 473,698-sf office property located in Charlotte, NC. The loan transferred to special servicing in December 2022 due to non-monetary default, following the borrower's request to initiate negotiations for a potential deed in lieu of foreclosure. Following the death of the guarantor, the borrower, as executor of the estate, has failed to appoint a replacement guarantor. The property is currently in receivership and the loan remains current as of the February 2026 remittance. The property is 100% leased to Belk through March 2031, but the tenant has vacated and the building remains dark. Fitch's 'Bsf' rating case loss of approximately 40% (prior to concentration adjustments) reflects a discount to a recent appraisal which equates to a stressed value of $64 psf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the super senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued paydowns from loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' and classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office and retail FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' category are likely with higher-than-expected losses from continued underperformance of the FLOCs, in particular the office and retail outlet center FLOCs, and/or greater certainty of losses on the specially serviced loans and/or FLOCs. Notable loans of concern include 2100 Ross, Princeton Pike Corporate Center, Twenty Ninth Street Retail, Grove City Premium Outlets and Gulfport Premium Outlets in MSC 2016-UBS9; One Canal Place, Penn Square Mall, 696 Centre and Princeton Pike Corporate Center in MSBAM 2016-C29; and Belk Headquarters, 2100 Ross, Princeton Pike Corporate Center, and Twenty Ninth Street Retail in the BACM 2016-UBS10 transaction. Downgrades to the distressed classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns coupled with stable to improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. Upgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories in all three transactions are not anticipated, given the elevated concentration, but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to distressed rated classes are not anticipated due to the adverse selection and concentration of defaulted 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. MORGAN STANLEY 2016-PSQ: S&P Affirms CCC (sf) Rating on D Notes --------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2016-PSQ, 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 a portion ($163.5 million, as of the March 12, 2026, trustee remittance report, down from $173.4 million at issuance) of a 3.84% fixed rate per annum, interest-only (IO) mortgage whole loan totaling $280.8 million, down from $310.0 million at issuance. The loan is secured by the borrower's leasehold interest in a portion (777,281 sq. ft.) of Penn Square Mall, a 1.1 million-sq.-ft. enclosed, two-level regional mall, in Oklahoma City. The mall is anchored by two Dillard's stores (38.0% of net rentable area), Macy's, and J.C. Penney (both are noncollateral). Rating Actions The downgrades on the class A, B, and C certificates and affirmation on the class D certificates reflect the following: -- S&P said, "Our net recovery value is 19.5% lower than the valuation we derived in our September 2025 review, primarily due to declining net cash flow (NCF) and occupancy at the collateral property, which was 86.9% as of the December 2025 rent roll, down from our assumed 91.0%. The property's reported NCF decreased each year since 2019 (except in 2023). We increased our capitalization rate assumption to reflect the potential additional volatility in NCFs and occupancy at the collateral property." -- The loan, which matured on Jan. 1, 2026, was transferred to the special servicer in November 2025 due to imminent maturity default. Per the special servicer, the sponsor, Simon Property Group Inc., indicated that potential take-out financing was not sufficient to repay the current whole loan balance. The special servicer and sponsor have recently executed a loan modification and extension agreement, which included principal curtailment. -- Based on the property's reported performance and observed higher risk premium required for similar quality malls in the current market conditions, S&P believes that the market value has fallen significantly from its appraised value at issuance of $660.0 million. The special servicer stated that it has ordered a new appraisal report. -- The affirmation on class D at 'CCC (sf)' further reflects S&P's qualitative consideration that its repayments are dependent on favorable business, financial, and economic conditions, and that this class is vulnerable to default. The loan was transferred to the special servicer on Nov. 20, 2025, due to imminent maturity default, as mentioned above. The loan matured on Jan. 1, 2026. According to the special servicer, Trimont LLC, a loan modification and extension agreement was recently executed. The modification terms included the following, among other items: -- Extending the loan's maturity date to Jan. 1, 2028, with a one-year extension option subject to certain conditions including an additional $15.0 million equity contribution from the borrower and the loan meeting a minimum debt yield of 10.5%. -- The borrower paying down the whole loan balance by $29.2 million and funding $800,000 into a tax and insurance reserve account. -- Sweeping excess cash flow into a lender-controlled reserve account until the loan is repaid in full. -- The borrower paying the modification and legal fees. 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 modified maturity date. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Update As of the Dec. 5, 2025, rent roll, the collateral property was 86.9% leased, down slightly from the assumed 91.0% in our last review. Further, the property faces concentrated tenant rollover in 2027 (45.2% of net rentable area; 24.5% of S&P Global Ratings' in-place gross rent) and 2028 (10.5%; 16.6%). The 2027 rollover is due primarily to leases on the two Dillard's anchor stores (38.0% of net rentable area) expiring in January 2027. Based on the October 2025 tenant sales report, the property had a 16.2% occupancy cost based on $565 per sq. ft. of in line sales (excluding Apple Inc.), as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported decline in occupancy and NCFs, as noted in the servicer-provided December 2025 rent roll and operating statements for year-end 2025, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value of $263.5 million (or $339 per sq. ft.), which was 60.1% below the issuance appraised value and an S&P Global Ratings' loan-to-value ratio of 106.6%. 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 2025(i) 2024(i) 2023(i) Occupancy rate (%) 89.4 92.6 93.4 Net cash flow (mil. $) 25.3 27.1 28.8 Debt service coverage (x) 2.09 2.24 2.39 Appraisal value (mil. $)(ii) 660.0 660.0 660.0 (i)Reporting period. (ii)At issuance, as of November 2015. Table 2 S&P Global Ratings' key assumptions Current Last review review At issuance (March (Sep (Feb 2026)(i) 2025)(i) 2016)(i) Whole loan balance (mil. $) 280.8 310.0 310.0 Collateral occupancy rate (%) 86.9 91.0 95.0 Net cash flow (mil. $) 23.7 26.2 30.0 Capitalization rate (%) 9.00 8.00 6.50 Value (mil. $) 263.5 327.2 462.3 Value per collateral sq. ft. ($) 339 421 595 Loan-to-value ratio (%) 106.6 94.8 67.1 (i)Review period. Ratings Lowered Morgan Stanley Capital I Trust 2016-PSQ Class A to 'BBB (sf)' from 'BBB+ (sf)' Class B to 'BB- (sf)' from 'BB (sf)' Class C to 'B- (sf)' from 'B+ (sf)' Rating Affirmed Morgan Stanley Capital I Trust 2016-PSQ Class D: CCC (sf) MORGAN STANLEY 2026-1: Fitch Rates Class B5 Debt 'B+(EXP)' ---------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-1 (MSRM 2026-1). Entity/Debt Rating ----------- ------ MSRM 2026-1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A1X LT AAA(EXP)sf Expected Rating A2X LT AAA(EXP)sf Expected Rating A3X LT AAA(EXP)sf Expected Rating A4X LT AAA(EXP)sf Expected Rating A5X LT AAA(EXP)sf Expected Rating A6X LT AAA(EXP)sf Expected Rating A7X LT AAA(EXP)sf Expected Rating A8X LT AAA(EXP)sf Expected Rating A9X LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B+(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Morgan Stanley has issued over 25 RMBS transactions off of the Morgan Stanley Residential Mortgage Loan Trust (MSRM) shelf. The first MSRM transaction was issued in 2014. Additionally, this is the 21st MSRM transaction to comprise loans from various sellers acquired by Morgan Stanley in its prime-jumbo aggregation process and the first MSRM prime transaction this year. The certificates are supported by 280 prime-quality loans with a total balance of about $357.43 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The largest originator is PennyMac Loan Services, LLC, at 39.53.%. All other originators make up less than 10% of the overall pool. 99.33% will be serviced by PennyMac (which is inclusive of PennyMac Loan Services and PennyMac Corp) with the remaining 0.67% serviced by First National Bank of Pennsylvania. Computershare Trust Company N.A., will be the master servicer. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans, and the certificates are (i) fixed rate and capped at the net weighted average coupon (WAC), (ii) floating/inverse floating rate and capped at the net WAC, or (iii) have coupons based on the net WAC. As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. 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 collateral consists of 280 loans with a total unpaid balance of $357.43 million, with an average loan size of $1.28 million, and is seasoned for three months based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 775, a WA combined loan-to-value ratio (cLTV) of 73.80% (80.51% sustained LTV), and a WA debt-to-income ratio (DTI) of 35.34%. The WA liquid reserves amount to $560,219.87. These strong collateral attributes are reflected in Fitch's loss analysis. MSRM 2026-1 has a final probability of default (PD) of 10.80% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.10%. The expected loss in the 'AAAsf' rating stress is 3.79%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in MSRM 2026-1 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 1.80% 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 1.55% 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). Once class B-1 is written off, losses will be allocated to class A-8 first, and then to the super-senior classes pro rata once class A-8 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 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. 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 based on Fitch's review of the due diligence. Fitch applies a 5-basis points (bps) 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 entities. Fitch expects MSRM 2026-1 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to MSRM 2026-1, and, therefore, Fitch is comfortable rating it at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 37.52% 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 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. 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, Selene, and AMC. The third-party due diligence described in Form 15E focused on a compliance, valuation, and credit review. All reviews were consistent with Fitch's scope outlined in the US RMBS Rating Criteria. Fitch considered this information in its analysis. All loans received a final grade of 'A' or 'B', and as such Fitch gave a 5bps z-score reduction to each loan with due diligence that received a final grade of 'A' or 'B'. This resulted in lower losses on the pool. 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" and focused on credit, compliance, and valuations. The sponsor engaged AMC, Selene, and Consolidated Analytics to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. All final grades were an 'A' or 'B'. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has some exceptions and waivers. Fitch determined that the exceptions and waivers do not 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 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. MORGAN STANLEY 2026-1: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 24 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-1, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime jumbo (83.5% by balance) and GSE-eligible (16.5% by balance) residential mortgages aggregated by Morgan Stanley, including loans aggregated by PennyMac Loan Services, LLC (71.0% by loan balance) and PennyMac Corp. (28.4% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-2-X*, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-X*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aa1 (sf) Cl. A-7-X*, Assigned (P)Aa1 (sf) Cl. A-8, Assigned (P)Aa1 (sf) Cl. A-8-X*, Assigned (P)Aa1 (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-9-X*, Assigned (P)Aaa (sf) Cl. A-X-1*, 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) *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 0.42%, in a baseline scenario-median is 0.20% and reaches 5.69% 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. MORGAN STANLEY 2026-NQM3: DBRS Gives Prov. B Rating on B2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM3 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM3 (the Issuer) as follows: -- $131.1 million Class A-1FCF at (P) AAA (sf) -- $43.7 million Class A-1LCF at (P) AAA (sf) -- $174.8 million Class A-1 at (P) AAA (sf) -- $152.2 million Class A-1-A at (P) AAA (sf) -- $22.6 million Class A-1-B at (P) AAA (sf) -- $37.5 million Class A-2 at (P) AA (sf) -- $17.8 million Class A-3 at (P) A (sf) -- $21.4 million Class M-1 at (P) BBB (sf) -- $10.6 million Class B-1 at (P) BB (sf) -- $8.3 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 22.52% of credit enhancement provided by the subordinated Certificates. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 14.20%, 10.25%, 5.50%, 3.15%, and 1.30% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,051 loans with a total principal balance of approximately $451,085,904 as of the Cut-Off Date (March 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to 12 months. Approximately 17.5% and 11.4% of the Mortgage Loans were originated by Loan Funder LLC and OCMBC, Inc, respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 60.0% of the loans, Select Portfolio Servicing Inc. will service 20.0% of the loans, Selene will service 17.6% of the loans respectively and PennyMac will service 2.3% 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, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 30.0% of the loans by balance are designated as non-QM. Approximately 55.4% 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 14.5% of the pool are designated as QM Safe Harbor, and there are 0.2% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in March 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-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-1-A and Class A-1-B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1-A and Class A-1-B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in April 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM3: Moody's Assigns (P)B3 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 10 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM3, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, including loans aggregated by eRESI Capital Trust and other entities, originated by Loan Funder LLC, OCMBC, Inc. and other entities and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-NQM3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-A, Assigned (P)Aaa (sf) Cl. A-1-B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2(sf) Cl. A-3, Assigned (P)Aa3 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.51%, in a baseline scenario-median is 1.82% and reaches 20.82% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-RPL1: Fitch Assigns BB Rating on Cl. B1 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-RPL1 (MSRM 2026-RPL1). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2026-RPL1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf M LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT NRsf New Rating NR(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 B LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf RPT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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 closed 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. 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. 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. MOUNTAIN VIEW IX: Moody's Lowers Rating on $8.25MM E Notes to Ca ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Mountain View CLO IX Ltd.: US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to A2 (sf); previously on October 22, 2025 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$8,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance $9,653,046.48), Downgraded to Ca (sf); previously on July 12, 2024 Downgraded to Caa3 (sf) Mountain View CLO IX Ltd., originally issued in June 2015 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in June 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 action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2025. The Class A-1-R notes have been paid down in full and the Class A-2-R have been paid down by approximately 30.6% or $18.9 million since then. Based on Moody's calculations, the OC ratio for the Class C-R notes is currently 123.66% versus October 2025 level of 113.37%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the implied OC ratio for the Class E notes is currently at 91.14% versus 92.78% in October 2025. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3406, compared to 3273 in October 2025, failing the trigger of 2961. Moody's also notes that the deal's exposure to collateral from issuers rated Caa1 or lower is currently 25.05%, reflecting a potentially greater risk to the junior notes posed by future defaults. No actions were taken on the Class A-2-R, Class B-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: $134,555,001 Defaulted par: $1,070,582 Diversity Score: 36 Weighted Average Rating Factor (WARF): 3406 Weighted Average Spread (WAS): 3.33% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.15% Weighted Average Life (WAL): 2.6 years Par haircut in OC tests and interest diversion test: 5.1% 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. NATIXIS COMMERCIAL 2018-OSS: S&P Lowers X Certs Rating to 'BB (sf)' ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Natixis Commercial Mortgage Securities Trust 2018-OSS, a U.S. CMBS transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a portion ($94.5 million, as of the Feb. 18, 2026, trustee remittance report) of a fixed-rate, interest-only (IO) mortgage whole loan totaling $360.0 million. The whole loan comprises 11 senior A notes (at a per annum fixed rate of 4.10%) totaling $122.0 million (of which $10.0 million is in the trust), a senior subordinate trust A-B note (at a rate of 4.25%) totaling $84.5 million, and three junior subordinate nontrust B notes (at a weighted average rate of 4.93%) totaling $153.5 million. The whole loan is secured by the borrower's fee-simple interest in a 1970-built, 35-story, 891,573-sq.-ft. class B+ office building located at One State Street Plaza in the Financial District office submarket of Downtown Manhattan and a leasehold interest in certain air rights for an adjacent parcel used as a public plaza at 17 State Street. Rating Actions The downgrades on the class A, B, C, and D certificates reflect the following: -- S&P said, "Our net recovery value is 17.4% lower than the valuation we derived in our last review in September 2025, primarily due to declining net cash flow (NCF) and occupancy at the property, which was 73.7%, as of the Sept. 30, 2025, rent roll, down from our assumed 82.7%. The property's reported NCF as of the trailing-12-months (TTM) ending Sept. 30, 2025, decreased 13.4% from that of 2024. In addition, the property faces concentrated tenant rollover in 2030 and 2031, including the largest tenant (29.7% of net rentable area [NRA]). 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 20%) for four-and five-star properties, with negative net absorption in each year since 2021, though submarket fundamentals have stabilized for three-star properties. 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 maturity date on Dec. 6, 2027, 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 0.92x, based on a low weighted-average 4.49% fixed interest rate on the whole loan balance for the TTM ending Sept. 30, 2025, down from 1.06x in 2024. -- The downgrade on class D to 'CCC (sf)' further reflects S&P's qualitative consideration that its repayment is dependent on favorable business, financial, and economic conditions and that this class is vulnerable to default. -- The downgrade on the class X 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 certificates references classes A and B. 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 maturity date in December 2027. 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 Sept. 30, 2025, rent roll, the property was 73.7% leased, down from the assumed 82.7% in our last review. In addition, per CoStar, tenants comprising 13.2% of the NRA are currently marketing their space for sublease. The property also faces concentrated tenant rollover in 2030 (10.6% of NRA; 12.0% of S&P Global Ratings' in-place gross rent) and 2031 (State of New York Office of General Services; 29.7%; 36.6%). The property had reported decreasing NCF in each year since 2022 (except in 2024). According to CoStar, vacancy and availability rates remain high for four- and five-star properties in the Financial District office submarket, where the office property is situated. As of March 2026, the submarket average vacancy rate was 23.5%, the availability rate was 23.6%, and the market asking rental rate was $56.60 per sq. ft. During the same period, submarket vacancy, availability, and asking rent for three-star properties were 10.8%, 13.2%, and $47.86 per sq. ft., respectively. According to the September 2025 rent roll, the property had a vacancy rate of 26.3% and a gross rent of $56.80 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported declines in occupancy and NCF, as noted in the servicer-provided September 2025 rent roll and operating statements for the TTM ending September 2025, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value of $195.6 million (or $219 per sq. ft.), which was 65.1% below the issuance appraised value and an S&P Global Ratings' loan-to-value ratio of 105.6% through the trust balance and 184.1% on the whole loan balance. 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 Trailing-12-months ending Sep 2025(i) 2024(i) 2023(i) Occupancy rate (%) 74.0 81.3 79.9 Net cash flow (mil. $) 15.0 17.3 16.3 Debt service coverage (x)(ii) 0.92 1.06 0.99 Appraisal value (mil. $)(iii) 560.0 560.0 560.0 (i)Reporting period. (ii)On whole loan balance of $360.0 million. (iii)At issuance, as of October 2017. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Mar 2026)(i) (Sep 2025)(i) (Feb 2018)(i) Occupancy rate (%) 73.7 82.7 85.5 Net cash flow (mil. $) 14.9 16.8 18.9 Capitalization rate (%) 8.00 7.50 6.75 Net add-to-value (mil. $)(ii) 9.3 12.5 30.6 Value (mil. $) 195.6 236.8 310.0 Value per sq. ft. ($) 219 266 348 Loan-to-value ratio (%) (iii) 105.6 87.2 66.6 (i)Review period. (ii)At issuance, included net add to value for the present value of future rent steps for the largest tenant ($14.7 million) and the present value of the tenant, Mizuho, estimated reimbursement obligations through 2022 ($16.0 million). For the current and last surveillance reviews, generally reflect the net present value of future rent steps for the largest tenant, State of New York Office of General Services. (iii)Based on the senior A and senior subordinate A-B notes totaling $206.5 million. The loan-to-value ratio based on the $360.0 million whole loan balance is 184.1%, 152.0%, and 116.1%, respectively. Ratings Lowered Natixis Commercial Mortgage Securities Trust 2018-OSS Class A to 'BBB+ (sf)' from 'A (sf)' Class B to 'BB (sf)' from 'BBB- (sf)' Class C to 'B (sf)' from 'BB- (sf)' Class D to 'CCC (sf)' from 'B (sf)' Class X to 'BB (sf)' from 'BBB- (sf)' NEUBERGER BERMAN 51: Fitch Affirms 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 51, Ltd. refinancing notes. Fitch has also affirmed the ratings for the Class D-2-R and E-R notes. The Rating Outlook for Class D-2-R and E-R remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 51, Ltd. A-R 64135BAL3 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 64135BAN9 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 64135BAQ2 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 64135BAS8 LT PIFsf Paid In Full BBBsf D-1-R2 LT BBBsf New Rating D-2-R 64135BAU3 LT BBB-sf Affirmed BBB-sf E-R 64135CAN7 LT BB-sf Affirmed BB-sf Transaction Summary Neuberger Berman Loan Advisers CLO 51, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers II LLC, which was originally closed in September 2022 and reset in July 2024. Net proceeds from the issuance of the refinancing secured notes and existing secured and subordinated notes will provide financing on a portfolio of approximately $565 million of primarily first lien senior secured leveraged loans. Class D-2-R and E-R are not being refinanced. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.73, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.1% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 6.2% 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 1.62 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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to extending the refinancing notes non-call period to October 2027 (0.6 years from the second refinancing date) from July 2025 (1 years from the first refinancing date). The stated maturity on the refinanced notes and the reinvestment period end date remain unchanged. The spread for the class A-R2, B-R2, C-R2, and D-1-R2 notes are 1.00%, 1.40%, 1.75% and 2.80%, respectively, compared to the spread of 1.28%, 1.60%, 1.85% and 2.95% for the class A-R, B-R, C-R, and D-1-R notes, respectively, at the first refinancing in July 2024. The Class D-2-R and E-R notes are not refinanced and remain with the same spread of 4.45% and 5.70% respectively. Fitch Test Matrices have been updated and updated matrices include lower fixed rate limits and obligor limits. Fitch Analysis The portfolio includes 458 assets from 395 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $565 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Moody's Caa concentration limit. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B/B-'. Fitch has an explicit rating, credit opinion or private rating for 40.1% of the current portfolio par balance; ratings for 59.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.1% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 1.5%, 1.35%, 1.35%, 1.0%, and 1.0% respectively, for an aggregate of 6.2%; - Largest three industries: 15.0%, 13.0%, and 12.0%, respectively; - Assumed risk horizon: 6.01 years; - Minimum weighted average spread of 3.05%; - Minimum weighted average recovery rate of 68.95%; - Maximum weighted average rating factor of 26.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 4.00%; The transaction will exit its reinvestment period on 10-23-2027. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R2: 'AAAsf' / Default 43.80% / Recovery 37.67% / Cushion 11.20% - Class B-R2: 'AAsf' / Default 41.00% / Recovery 46.83% / Cushion 10.10% - Class C-R2: 'Asf' / Default 36.30% / Recovery 56.20% / Cushion 9.60% - Class D-1-R2: 'BBBsf' / Default 30.90% / Recovery 65.70% / Cushion 5.70% - Class D-2-R: 'BBB-sf' / Default 28.00% / Recovery 65.71% / Cushion 7.10% - Class E-R: 'BB-sf' / Default 23.50% / Recovery 71.49% / Cushion 10.70% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 50.30% / Recovery 36.03% / Cushion 4.60% - Class B-R2: 'AAsf' / Default 47.10% / Recovery 43.06% / Cushion 2.40% - Class C-R2: 'Asf' / Default 42.00% / Recovery 53.06% / Cushion 2.90% - Class D-1-R2: 'BBBsf' / Default 36.40% / Recovery 62.45% / Cushion 0.00% - Class D-2-R: 'BBB-sf' / Default 33.20% / Recovery 62.45% / Cushion 2.40% - Class E-R: 'BB-sf' / Default 28.10% / Recovery 67.67% / Cushion 4.50% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, 'Asf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for [name of Entity/Instrument]. 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. NEW RESIDENTIAL 2026-NQM4: Fitch Rates Class B2 Notes 'B-(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM4 (NRMLT 2026-NQM4). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM4 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 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 916 nonprime loans that were primarily originated by NewRez LLC and Champions Funding LLC, with a total balance of approximately $496.3 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM4 has a Final PD of 39.37% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 42.82%. The expected loss in the 'AAAsf' rating stress is 16.81%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM4 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, A-1B notes), class A-2, and class 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 class A-1 notes are outstanding at the time of distribution. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (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 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: 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 NRMLT 2026-NQM4 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM4, and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% 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. NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass Through Certificates, Series 2021-909 issued by NYC Commercial Mortgage Trust 2021-909, Series 2021-909: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations as the collateral continues to report healthy operating performance metrics, per the most recent financials. The underlying loan is secured by the leasehold interest in a 32-story, 1.35 million-square-foot (sf) Class A office property located at 909 Third Avenue in Midtown Manhattan. The traditional office portion of the collateral sits atop 492,375 sf of flex industrial space, which is occupied by the United States Postal Service (USPS). The site serves as USPS' main New York City mail-handling facility. The property is subject to a ground lease scheduled to expire in May 2041. The borrower retains one remaining option to extend the ground lease to November 2063. The fixed-rate loan is interest only (IO), with a 10-year term maturing in April 2031. The trust loan of $250.0 million consists of $135.6 million of senior debt and $114.4 million of junior debt. Additional senior notes totaling $100.0 million are held outside the trust. The loan is sponsored by Vornado, which has invested $184 million of capital into the property since acquisition. USPS has been a tenant at the property since 1968 and currently occupies 36.9% of the net rentable area (NRA) on a lease expiring in October 2028. The tenant has two five-year lease renewal extensions remaining, bringing the fully extended lease expiration date to October 2038. Given the mission-critical location, tenant renewal history, and the property's below-market base rental rate of $12.69 per sf (psf), as of the October 2025 rent roll, Morningstar DBRS expects the tenant will continue to renew its lease. According to the October 2025 rent roll, the property's occupancy rate declined to 88.5% from 95.6% at YE2024. The average in-place rental rate is $46.10 psf; however, the figure increases to $66.04 psf when excluding the USPS lease. In comparison, Reis quoted the Plaza submarket's vacancy rate at 11.2% with an average asking rental rate of $103.43 psf as of Q4 2025. The reduction in the occupancy rate stems from tenant Geller & Company LLC (previously 9.3% of NRA), which downsized its space to 31,323 sf from 125,453 sf in 2025. The tenant has a scheduled lease expiration in July 2026 and Morningstar DBRS does not know its intentions at this time. Aside from Geller & Company LLC, tenant rollover risk is minimal over the next 12 months, with less than 3.0% of the NRA having scheduled lease expirations. According to the most recent financial reporting available, the property generated an annualized net cash flow (NCF) of $26.3 million for the nine-month period ended September 30, 2025, equating to a debt service coverage ratio of 2.29 times (x). In comparison, the YE2024 figures were $24.7 million and 2.15x, respectively. Although occupancy dropped by 7.1%, the improvement in cash flow was driven by increased rental revenue, which Morningstar DBRS notes may decline in 2025 given the increased vacancy. In its current review, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.0% applied to the Morningstar DBRS NCF of $26.5 million. The resulting Morningstar DBRS value is $378.0 million, reflecting a whole loan loan-to-value ratio (LTV) of 92.6%. The Morningstar DBRS value represents a -44.0% variance from the issuance value of $675.0 million. Additionally, Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmarks, totaling 5.50% to reflect the property's investment-grade tenancy, upside potential for the USPS space given the below-market rent, property quality, and prominent location occupying the full eastern block of Third Avenue between 54th Street and 55th Street. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2026-R1: DBRS Finalizes B(low) Rating on Class B2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-R1 (the Notes) issued by OBX 2026-R1 Trust (the Issuer) as follows: -- $336.9 million Class A-1A at AAA (sf) -- $49.2 million Class A-1B at AAA (sf) -- $386.1 million Class A-1 at AAA (sf) -- $24.6 million Class A-2 at AA (high) (sf) -- $36.4 million Class A-3 at A (high) (sf) -- $21.4 million Class M-1 at BBB (high) (sf) -- $17.0 million Class B-1 at BB (low) (sf) -- $4.9 million Class B-2 at 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 AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (low) (sf), and 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 2024-39: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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, B-2R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread or coupon than the existing debt. -- The stated maturity and reinvestment period were extended by 1.25 years. -- The non-call period was extended to March 13, 2027. -- The target initial par amount remains at $400 million. There is 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 were amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn OCP CLO Aegis 2024-39 Ltd./OCP CLO Aegis 2024-39 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 to NR from 'A+ (sf)' Class D-1 to NR from 'BBB+ (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt 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. OCP CLO 2026-49: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2026-49 Ltd./OCP CLO 2026-49 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC, a subsidiary of Onex Corp. The preliminary ratings are based on information as of Feb. 19, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The 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 OCP CLO 2026-49 Ltd./OCP CLO 2026-49 LLC Class A, $210.0 million: AAA (sf) Class A-L loans, $105.0 million: AAA (sf) Class B-1, $60.0 million: AA (sf) Class B-2, $5.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $30.0 million: BBB- (sf) Class D-2 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Preference shares, $39.4 million: NR Subordinated notes, $9.5 million: NR NR--Not rated. OCTAGON INVESTMENT XVII: S&P Affirms B+ (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R2, C-R2, and D-R2 notes from Octagon Investment Partners XVII Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on Feb. 5, 2025. At the same time, S&P lowered its rating on the class F-R2 notes and affirmed its rating on the class E-R2 notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the January 2026 trustee report. S&P said, "This CLO exited its reinvestment period in January 2023. The class A-1-R2 notes are paid down, and since our April 2024 rating actions, the class A-2-R2 notes have also been paid down completely. The class B-R2 notes have received $34.3 million in collective paydowns and now sit at 33% of their original balance. The changes in the reported overcollateralization (O/C) ratios for the outstanding tranches since the February 2024 trustee report (referenced for our previous rating actions) are listed below." -- The class A/B O/C ratio improved to 285.72% from 129.49%. -- The class C O/C ratio improved to 166.39% from 117.60%. -- The class D O/C ratio improved to 123.30% from 109.21%. -- The class E O/C ratio declined to 103.58% from 103.77%. While the class A/B, C, and D O/C ratios increased due to the amortization of the class A-2-R2 and B-R2 notes, the class E O/C ratio declined due to increased haircuts and collateral par losses. S&P said, "Collateral obligations with ratings in the 'CCC' category are at $15.71 million as of the January 2026 trustee report, down from $31.18 million reported as of the February 2024 data we referenced when the CLO last saw rating actions. Although the dollar value of the 'CCC' exposure has declined, 'CCC' exposure has increased as a proportion of the pool. The CLO's portfolio has amortized significantly since our last rating actions, and consequently, the pool has grown more concentrated in riskier 'CCC' assets as higher-quality assets have paid down more quickly." This has led to an increase in haircuts to the O/C numerator, per the terms of the CLO documents. Moreover, the transaction has incurred par losses due to asset defaults and trading, decreasing the credit enhancement available to support the notes. These factors have contributed to the recent class E O/C test failures, despite considerable paydowns at the top of the capital structure. The raised ratings reflect the impact of paydowns on the class A-2-R2 and B-R2 notes, which greatly improved the credit support available to the B-R2, C-R2, and D-R2 tranches. S&P said, "Our cash flow analysis indicates the potential for a higher rating on the class D-R2 notes. However, we believe that the D-R2 notes' subordinated position may result in a greater chance of rating migration than that of more senior classes in the event of portfolio volatility. We considered the transaction's higher exposure to 'CCC' collateral obligations, as well as exposure to assets with low market values. Our rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that contemplated these exposures." The affirmation on the class E-R2 rating indicates adequate credit support at the current rating level, though any further deterioration in the credit support available to this tranche could result in future rating movements. The downgrade on class F-R2 reflects the tranche's failing cash flows, thin collateralization, recent capitalization of interest payments, and heightened reliance on the least creditworthy assets in the portfolio, among other factors. S&P said, "Although our cash flow results indicate a lower rating for class F-R2, we did not lower its rating to 'CC (sf)', which, per our rating definitions, is assigned if we expect default to be a virtual certainty, regardless of the anticipated time to default. The transaction has some equity positions, and there is potential for the manager to realize higher recoveries on the defaulted assets, which could lead to the class being paid off in full. However, par losses, defaults, and further deterioration in credit enhancement could lead to additional downward rating migration in the future." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rates and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors, as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Octagon Investment Partners XVII Ltd. Class B-R2 to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-R2 to 'AAA (sf)' from 'A (sf)/Watch Pos' Class D-R2 to 'AA- (sf)' from 'BBB- (sf)/Watch Pos' Rating Lowered Octagon Investment Partners XVII Ltd. Class F-R2 to 'CCC- (sf)' from 'CCC+ (sf)' Ratings Affirmed Octagon Investment Partners XVII Ltd. Class E-R2: B+ (sf) PARLIAMENT FUNDING IV: DBRS Confirms (P) BB(low) Rating on C Notes ------------------------------------------------------------------ DBRS, Inc. confirmed its provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Parliament Funding IV LLC pursuant to the Indenture dated June 28, 2024, as amended from time to time and amended most recently by the Fourth Supplemental Indenture dated June 27, 2025, and pursuant to the Joinder Agreements executed on June 27, 2025, by and between Parliament Funding IV LLC, as Issuer and State Street Bank and Trust Company, as Trustee: -- Class A Notes: at (P) AAA (sf) -- Class B Notes: at (P) BBB (sf) -- Class C Notes: at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025 https://dbrs.morningstar.com/research/466921). The transaction's Reinvestment Period ends on December 31, 2028. The Stated Maturity Date is January 15, 2037. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of February 4, 2026, the transaction is in compliance with all performance metrics. In its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review. In its analysis, Morningstar DBRS also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Loans to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Torch Credit Opportunities Fund III LP and Affiliates. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology Notes: All figures are in U.S. dollars unless otherwise noted. PLYM COMMERCIAL 2026-IND: Fitch Rates Cl. HRR Certs 'BB+sf' ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to PLYM Commercial Mortgage Trust 2026-IND commercial mortgage pass-through certificates, series 2026-IND as follows: - $945,400,000a class A 'AAAsf'; Outlook Stable; - $123,400,000a class B 'AAsf'; Outlook Stable; - $147,800,000a class C 'Asf'; Outlook Stable; - $173,250,000a class D 'BBB-sf'; Outlook Stable; - $73,150,0000ab class HRR 'BB+sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.463 billion, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple or leasehold interests in a portfolio of 145 primarily industrial properties comprised of 227 buildings. The portfolio comprises approximately 32.1 million sf located across 11 states and 11 markets and was acquired via separate transactions since 2010. Borrower sponsorship is a joint venture between affiliates of Makarora Management LP (Makarora) and Ares Alternative Credit Funds (Ares), which completed the acquisition of Plymouth Industrial REIT, Inc. (Plymouth) in an all-cash transaction valued at approximately $2.1 billion on Jan. 27, 2026. The sponsor contributed $660.0 million of cash equity to facilitate the acquisition. The proceeds of the mortgage loan will be used to pay off the existing balance sheet debt, which was originated on Jan. 26, 2026 in connection with the sponsor's acquisition, and pay $81.0 million in estimated closing costs inclusive of $4.8 million of outstanding free rent and unfunded tenant improvements and leasing commissions. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $124.7 million. This is 7.6% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $1.7 billion. This equates to a 25.9% value decline relative to the appraiser's concluded as-is value for the portfolio. Low Fitch Leverage: The $1.463 billion whole loan equates to debt of approximately $45 psf with a Fitch stressed debt yield, debt service coverage ratio, and loan-to-value ratio (LTV) of 8.5%, 1.0x, and 88.0%, respectively. The loan represents approximately 65.2% of the as-is appraised value of $2.2 billion. Fitch decreased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio is well diversified, with 145 properties (32.1 million sf) located across 11 states and 11 MSAs. The three largest state concentrations are Ohio (36.9% ALA, 38.7% of NRA, 12,427,555 sf, 60 properties and 76 buildings), Tennessee (15.4% ALA, 18.7% of NRA, 6,016,111 sf, 25 properties, and 58 buildings), and Indiana (12.4% ALA, 14.8% of NRA, 4,752,169 sf, and 23 buildings). The three largest MSAs are Cleveland, OH (16.5% of NRA and 17.7% of UW NOI), Memphis, TN/MS (19.8% of NRA and 15.5% of UW NOI), and Cincinnati, OH/KY (14.6% of NRA and 13.8% of UW NOI). The portfolio also exhibits significant tenant diversity as it features over 500 distinct tenants, with no tenant representing more than 2.0% of NRA, and 1.0% of Fitch base rent. Below-Market Rents: The top five markets of Cleveland, Memphis, Cincinnati, Jacksonville, and Atlanta account for 70.6% of Fitch base rent. According to CoStar, 4Q25 average rental rates averaged $6.61 per sf across the five markets. The portfolio's weighted average in-place rents across those same five markets averaged $5.95 per SF as of the February 2026 rent roll, suggesting in-place rents are 10.0% below market. Institutional Sponsorship: Makarora is a New York-based investment management firm established in 2024 and led by senior professionals with extensive experience through global property market cycles. Makarora was founded by Chad Pike, who spent 25 years at Blackstone, including in roles as co-head of the Real Estate Group and co-founder of Tactical Opportunities. Ares Management Corporation is a leading global alternative investment manager offering clients complementary primary and secondary investment solutions across the credit, real estate, private equity and infrastructure asset classes. Plymouth's team is expected to continue to manage the properties. Plymouth's asset management strategy focuses on tenant experience and long-term property value. Its team is primarily located in Boston, but also has regional offices in Atlanta, Columbus, Jacksonville, and Memphis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch-defined NCF: - Note classes: A/B/C/D/HRR; - Original ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB+sf'; - 10% NCF decline: 'AAsf'/'Asf'/'BBB-sf'/'BBsf'/'BB-sf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity of the transaction to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Note classes: A/B/C/D/HRR; - Original ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BBsf'; - 10% NCF increase: 'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on 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. PRPM 2026-NQM1: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by PRPM 2026-NQM1 Trust (PRPM 2026-NQM1). Entity/Debt Rating Prior ----------- ------ ----- PRPM 2026-NQM1 A1LCF LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT A+sf New Rating A+(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf P LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The PRPM 2026-NQM1 mortgage-backed certificates are supported by 886 loans with a $433.7 million balance as of the cutoff date. This is the 12th PRPM nonqualified mortgage (NQM, or non-QM) transaction rated by Fitch. Cake Mortgage originated 24.9% of the loans in the transaction, LoanStream Mortgage originated 20.3%, Hometown Equity Mortgage originated 17.0%, and the remaining 37.9% were originated by various third-party originators. Cake Mortgage, LoanStream, and Hometown Equity are all assessed as 'Acceptable' originators by Fitch. Shellpoint Mortgage Servicing LLC (Shellpoint) will service 57.5%, Fay Servicing will service 29.8%, and Rocket Mortgage Servicing LLC (f/k/a Mr. Cooper) will service the remaining 12.6%. Fitch rates Shellpoint 'RPS2'/Stable, Fay Servicing 'RSS2'/Stable, and Rocket Mortgage 'RPS2'/Stable. Following the publication of the presale and expected ratings, the issuer provided an updated pricing structure that included balance updates as well as credit enhancement increases of 5-10bps for the fixed-rate classes and coupon increases ranging between 5-39bps for all classes except the A3 class. Fitch re-ran its cash flow analysis with the updated structure and confirmed there were no changes to the expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. PRPM 2026-NQM1 had a final probability of default (PD) of 54.25% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 43.59%. The expected loss in the 'AAAsf' rating stress was 23.65%. Structural Analysis: The mortgage cash flow and loss allocation in PRPM 2026-NQM1 were based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/A-1LCF, A-1A, A-1B, A-2, and A-3 classes) while excluding subordinate bonds from principal until all senior classes are reduced to zero. To the extent either a cumulative loss trigger event or a 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 analyzed 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 applied 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 considered 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 had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied 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 conformed with the requirements as described in Fitch's "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 are satisfied to fully de-link the transaction from any other entity. PRPM 2026-NQM1 was fully de-linked and served as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers aligned 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 did not apply to PRPM 2026-NQM1; as such, Fitch was 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 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 37.2%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. 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, Canopy, Clarifii, Clayton, Consolidated Analytics, Evolve, Opus, Selene, and Stonehill. 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. RAD CLO 16: Fitch Affirms BB-sf Rating on Class E-R Debt -------------------------------------------------------- Fitch Ratings has affirmed the ratings on six classes of notes of RAD CLO 16, Ltd. (RAD 16). Fitch has also revised the Rating Outlook on the class E-R notes to Negative from Stable, and the Outlooks remain Stable for all other rated tranches. Entity/Debt Rating Prior ----------- ------ ----- Rad CLO 16, Ltd. A-2-R 75009LAN6 LT AAAsf Affirmed AAAsf B-R 75009LAQ9 LT AAsf Affirmed AAsf C-R 75009LAS5 LT Asf Affirmed Asf D-1-R 75009LAU0 LT BBBsf Affirmed BBBsf D-2-R 75009LAW6 LT BBB-sf Affirmed BBB-sf E-R 75009MAE4 LT BB-sf Affirmed BB-sf Transaction Summary RAD 16 is a broadly syndicated collateralized loan obligation (CLO) managed by Redding Ridge Asset Management, LLC. The transaction originally closed in September 2022 and was reset in May 2024 with an approximate five-year reinvestment period ending in July 2029. The CLO is secured primarily by first lien senior secured leveraged loans. KEY RATING DRIVERS Cumulative Par Losses and Portfolio Spread Compression The Negative Outlook is driven by additional portfolio par losses since the last review in May 2025. Based on the collateral balance adjusted for trustee-reported recoveries on defaulted assets in February 2026, par losses stemming from defaults and credit risk sales increased by 1.9% of the original target portfolio par amount since the last review, resulting in a cumulative loss of 3.0%. As a result, credit enhancement (CE) and breakeven default rate (BEDR) cushions have eroded for the rated notes. The reported weighted average spread (WAS) also declined to 3.09% from 3.35% at the last review, which also contributed to the reduction in BEDR cushions. Stable Credit Quality and Portfolio Management The credit quality of the performing portfolio has remained at the 'B' rating level since last review. The Fitch-calculated weighted average rating factor (WARF) of the performing portfolio remained stable at 24.2 since the last review. Exposure to assets with a Negative Outlook and Fitch's watchlist decreased to 15.4% and 7.7%, respectively, from 17.9% and 7.8%, respectively, at the prior review. There is one Fitch recognized default, comprising 0.2% of the portfolio. The portfolio includes 375 obligors, with the top 10 obligors accounting for 7.8% of the portfolio balance. In addition, approximately 2.5% of the portfolio is comprised of bonds. Cash Flow Analysis Fitch updated its cash flow analysis of the current portfolio and Fitch Stressed Portfolio, given the manager's ability to reinvest. The affirmations are in line with their model-implied ratings (MIRs) except for the class E-R notes, whose rating is one notch above the MIR. Fitch considered the failures in the class E-R modeling results to be modest and limited to back-default timing scenarios, with the potential for positive cushions from portfolio improvements during the reinvestment period. As a result, Fitch affirmed the class E-R rating one notch above its MIR and revised the Outlook to Negative due to its sensitivity to further portfolio deterioration and portfolio losses. The Stable Outlooks of all other rated tranches reflect Fitch's expectation that the notes have sufficient credit protection to withstand potential deterioration in the credit quality of the portfolios under 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 portfolio losses are higher than those assumed at closing and the notes' credit enhancement does not offset the higher than initially assumed loss expectation; - A 25% increase in the mean default rate across all ratings, together with a 25% decrease in the recovery rate at all rating levels for the current portfolio, would result in downgrades of at least one rating category for the class E-R notes and up to five notches for all other notes 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 in the recovery rate at all rating levels for the current portfolio, would result in upgrades of up to five notches based on 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, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Rad CLO 16, 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. RATE MORTGAGE 2026-J1: DBRS Gives Prov. B(low) Rating on B-5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-J1 (the Notes) to be issued by RATE Mortgage Trust 2026-J1 (RATE 2026-J1, or the Trust) as follows: -- $153.0 million Class A-1 at (P) AAA (sf) -- $153.0 million Class A-2 at (P) AAA (sf) -- $153.0 million Class A-3 at (P) AAA (sf) -- $114.8 million Class A-4 at (P) AAA (sf) -- $114.8 million Class A-5 at (P) AAA (sf) -- $114.8 million Class A-6 at (P) AAA (sf) -- $91.8 million Class A-7 at (P) AAA (sf) -- $91.8 million Class A-8 at (P) AAA (sf) -- $91.8 million Class A-9 at (P) AAA (sf) -- $23.0 million Class A-10 at (P) AAA (sf) -- $23.0 million Class A-11 at (P) AAA (sf) -- $23.0 million Class A-12 at (P) AAA (sf) -- $61.2 million Class A-13 at (P) AAA (sf) -- $61.2 million Class A-14 at (P) AAA (sf) -- $61.2 million Class A-15 at (P) AAA (sf) -- $38.3 million Class A-16 at (P) AAA (sf) -- $38.3 million Class A-17 at (P) AAA (sf) -- $38.3 million Class A-18 at (P) AAA (sf) -- $40.3 million Class A-19 at (P) AAA (sf) -- $40.3 million Class A-20 at (P) AAA (sf) -- $40.3 million Class A-21 at (P) AAA (sf) -- $193.4 million Class A-22 at (P) AAA (sf) -- $193.4 million Class A-23 at (P) AAA (sf) -- $193.4 million Class A-24 at (P) AAA (sf) -- $193.4 million Class A-25 at (P) AAA (sf) -- $40.3 million Class A-26 at (P) AAA (sf) -- $153.0 million Class A-27 at (P) AAA (sf) -- $153.0 million Class A-29 at (P) AAA (sf) -- $153.0 million Class A-30 at (P) AAA (sf) -- $346.4 million Class A-X-1 at (P) AAA (sf) -- $153.0 million Class A-X-2 at (P) AAA (sf) -- $153.0 million Class A-X-3 at (P) AAA (sf) -- $153.0 million Class A-X-4 at (P) AAA (sf) -- $114.8 million Class A-X-5 at (P) AAA (sf) -- $114.8 million Class A-X-6 at (P) AAA (sf) -- $114.8 million Class A-X-7 at (P) AAA (sf) -- $91.8 million Class A-X-8 at (P) AAA (sf) -- $91.8 million Class A-X-9 at (P) AAA (sf) -- $91.8 million Class A-X-10 at (P) AAA (sf) -- $23.0 million Class A-X-11 at (P) AAA (sf) -- $23.0 million Class A-X-12 at (P) AAA (sf) -- $23.0 million Class A-X-13 at (P) AAA (sf) -- $61.2 million Class A-X-14 at (P) AAA (sf) -- $61.2 million Class A-X-15 at (P) AAA (sf) -- $61.2 million Class A-X-16 at (P) AAA (sf) -- $38.3 million Class A-X-17 at (P) AAA (sf) -- $38.3 million Class A-X-18 at (P) AAA (sf) -- $38.3 million Class A-X-19 at (P) AAA (sf) -- $40.3 million Class A-X-20 at (P) AAA (sf) -- $40.3 million Class A-X-21 at (P) AAA (sf) -- $40.3 million Class A-X-22 at (P) AAA (sf) -- $193.4 million Class A-X-23 at (P) AAA (sf) -- $193.4 million Class A-X-24 at (P) AAA (sf) -- $193.4 million Class A-X-25 at (P) AAA (sf) -- $346.4 million Class A-X-26 at (P) AAA (sf) -- $153.0 million Class A-X-27 at (P) AAA (sf) -- $40.3 million Class A-X-28 at (P) AAA (sf) -- $153.0 million Class A-X-29 at (P) AAA (sf) -- $153.0 million Class A-X-30 at (P) AAA (sf) -- $5.8 million Class B-1 at (P) AA (low) (sf) -- $5.8 million Class B-1A at (P) AA (low) (sf) -- $5.8 million Class B-X-1 at (P) AA (low) (sf) -- $3.1 million Class B-2 at (P) A (low) (sf) -- $3.1 million Class B-2A at (P) A (low) (sf) -- $3.1 million Class B-X-2 at (P) A (low) (sf) -- $2.2 million Class B-3 at (P) BBB (low) (sf) -- $1.3 million Class B-4 at (P) BB (low) (sf) -- $721.0 thousand Class B-5 at (P) B (low) (sf) -- $153.0 million Class A-1L Loans at (P) AAA (sf) -- $153.0 million Class A-2L Loans at (P) AAA (sf) -- $153.0 million Class A-3L Loans at (P) AAA (sf) 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-29, A-X-30, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, 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-26, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, 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, A-X-29, A-X-30, B-1, B-2, A-1L Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-1L Loans, A-2L Loans, and A-3L Loans are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, A-21, and A-26) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 3.80% 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 2.20%, 1.35%, 0.75%, 0.40%, and 0.20% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Notes. The Notes are backed by 293 loans with a total principal balance of $360,103,245 as of the Cut-Off Date (March 1, 2026). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the thirteenth prime jumbo RATE deal. 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. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. In an arrangement similar to those of the prior RATE securitizations, the Servicing Administrator 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 unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor to the issuer instead of a note 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. RATE MORTGAGE 2026-J1: Fitch Gives B(EXP) Rating on Class B-5 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by RATE Mortgage Trust 2026-J1 (RATE 2026-J1). Entity/Debt Rating ----------- ------ RATE 2026-J1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating A-X-5 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-7 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating A-X-10 LT AAA(EXP)sf Expected Rating A-X-11 LT AAA(EXP)sf Expected Rating A-X-12 LT AAA(EXP)sf Expected Rating A-X-13 LT AAA(EXP)sf Expected Rating A-X-14 LT AAA(EXP)sf Expected Rating A-X-15 LT AAA(EXP)sf Expected Rating A-X-16 LT AAA(EXP)sf Expected Rating A-X-17 LT AAA(EXP)sf Expected Rating A-X-18 LT AAA(EXP)sf Expected Rating A-X-19 LT AAA(EXP)sf Expected Rating A-X-20 LT AAA(EXP)sf Expected Rating A-X-21 LT AAA(EXP)sf Expected Rating A-X-22 LT AAA(EXP)sf Expected Rating A-X-23 LT AAA(EXP)sf Expected Rating A-X-24 LT AAA(EXP)sf Expected Rating A-X-25 LT AAA(EXP)sf Expected Rating A-X-26 LT AAA(EXP)sf Expected Rating A-X-27 LT AAA(EXP)sf Expected Rating A-X-28 LT AAA(EXP)sf Expected Rating A-X-29 LT AAA(EXP)sf Expected Rating A-X-30 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1A LT AA(EXP)sf Expected Rating B-X-1 LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-X-2 LT A(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating A-X-S LT AAA(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating A-2L LT AAA(EXP)sf Expected Rating A-3L LT AAA(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by RATE Mortgage Trust 2026-J1 (RATE 2026-J1) as indicated above. The certificates are supported by 293 loans with a total balance of approximately $360.1 million as of the cutoff date. The pool consists of prime fixed-rate mortgages originated by Guaranteed Rate, Inc. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. 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. RATE 2026-J1 has a final probability of default (PD) of 6.51% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.54%. The expected loss in the 'AAAsf' rating stress is 2.25%. Structural Analysis: The mortgage cash flow and loss allocation in RATE 2026-J1 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 transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. This feature can result in interest reductions to rated bonds in high-stress delinquency scenarios. 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. 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 by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects RATE 2026-J1 to be fully de-linked and a bankruptcy remote special purpose vehicle. 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 RATE 2026-J1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those 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 Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. 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-CES3: Fitch Gives 'B(EXP)sf' Rating on 5 Classes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES3 (RCKT 2026-CES3) Entity/Debt Rating ----------- ------ RCKT 2026-CES3 A-1A LT AAA(EXP)sf Expected Rating A1-B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1A LT BBB(EXP)sf Expected Rating M-1B LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by RCKT Mortgage-Backed Notes, series 2026-CES3 (RCKT 2026-CES3), as indicated above. The notes are supported by 5,715 closed-end second-lien (CES) loans with a total balance of approximately $547.3 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-CES3 has a final probability of default (PD) of 18.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.1%. The expected loss in the 'AAAsf' rating stress is 18.3%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES3 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 entity. Fitch expects RCKT 2026-CES3 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. RR 25: Fitch Assigns 'BB-(EXP)s' Rating on Class D-R2 Notes ----------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RR 25 LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 25 LTD A-1A-R2 LT NR(EXP)sf Expected Rating A-1B-R2 LT AAA(EXP)sf Expected Rating A-2-R 75000KAQ0 LT PIFsf Paid In Full AAsf A-2-R2 LT AA(EXP)sf Expected Rating B-R 75000KAS6 LT PIFsf Paid In Full Asf B-R2 LT A(EXP)sf Expected Rating C-1-R 75000KAU1 LT PIFsf Paid In Full BBB+sf C-1-R2 LT BBB-(EXP)sf Expected Rating C-2-R 75000KAW7 LT PIFsf Paid In Full BBB-sf C-2-R2 LT BBB-(EXP)sf Expected Rating D-R 75000LAL9 LT PIFsf Paid In Full BB+sf D-R2 LT BB-(EXP)sf Expected Rating Transaction Summary RR 25 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. This is the second reset transaction originally closed in March 2024, where the existing secured notes will be refinanced in whole on March 9 2026. 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 22.97, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.19% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1B-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'B-sf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1-R2, and between less than 'B-sf' and 'BB+sf' for class C-2-R2 and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B-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 A-2-R2, 'AAsf' for class B-R2, 'Asf' for class C-1-R2, and 'A-sf' for class C-2-R2 and 'BBB+sf' for class D-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 RR 25 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. RR 25: Fitch Assigns 'BB-sf' Final Rating on Class D-R2 Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to RR 25 LTD Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 25 LTD A-1A-R2 LT NRsf New Rating NR(EXP)sf A-1B-R2 LT AAAsf New Rating AAA(EXP)sf A-2-R2 LT AAsf New Rating AA(EXP)sf B-R2 LT Asf New Rating A(EXP)sf C-1-R2 LT BBB-sf New Rating BBB-(EXP)sf C-2-R2 LT BBB-sf New Rating BBB-(EXP)sf D-R2 LT BB-sf New Rating BB-(EXP)sf Transaction Summary RR 25 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. This is the second reset transaction originally closed in March 2024, where the secured notes will be refinanced in whole on March 9 2026. 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 22.97, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.19% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1B-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'B-sf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1-R2, and between less than 'B-sf' and 'BB+sf' for class C-2-R2 and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B-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 A-2-R2, 'AAsf' for class B-R2, 'Asf' for class C-1-R2, and 'A-sf' for class C-2-R2 and 'BBB+sf' for class D-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. Date of Relevant Committee 05 March 2026 ESG Considerations Fitch does not provide ESG relevance scores for RR 25 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. RR 43: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 43 Ltd. Entity/Debt Rating ----------- ------ RR 43 Ltd A-1a LT NRsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B LT Asf New Rating C-1 LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Sub LT NRsf New Rating Transaction Summary RR 43 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AAsf' for class B, 'Asf' for class C-1, 'A-sf' for class C-2, and 'BBB+sf' for class D. 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 RR 43 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. SANTANDER MORTGAGE 2026-NQM3: S&P Assigns (P)B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2026-NQM3's mortgage-backed notes. The note issuance is an RMBS securitization backed first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, townhouses, and manufactured housing properties. The pool consists of 767 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of March 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, Santander Bank N.A., and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM3 Class A-1, $119,271,000: AAA (sf) Class A-1A, $102,389,000: AAA (sf) Class A-1B, $16,882,000: AAA (sf) Class A-1FCF, $95,417,000: AAA (sf) Class A-1LCF, $23,854,000: AAA (sf) Class A-2, $22,453,000: AA (sf) Class A-3, $34,439,000: A (sf) Class M-1, $15,701,000: BBB (sf) Class B-1, $11,311,000: BB (sf) Class B-2, $9,453,000: B (sf) Class B-3, $5,740,829: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $337,639,829: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SARANAC CLO VI: Moody's Cuts Rating on $17MM Class E Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO VI Limited: US$14,000,000 Class C-1R Secured Deferrable Floating Rate Notes due 2031 ("the Class C-1R Notes"), Upgraded to Aa1 (sf); previously on Jul 7, 2025 Upgraded to Aa3 (sf) US$7,000,000 Class C-FR Secured Deferrable Fixed Rate Notes due 2031 ("the Class C-FR Notes"), Upgraded to Aa1 (sf); previously on Jul 7, 2025 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$17,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on Oct 14, 2025 Downgraded to Caa1 (sf) Saranac CLO VI Limited, originally issued in August 2018 and partially refinanced in September 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 ended in August 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE These upgrading rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2025. The Class A-1R notes have been paid down by approximately 11.1% or $23.3 million since then. Based on Moody's calculations, the OC ratios for the Class C-1R and C-FR notes is currently 136.90%, versus October 2025 levels of 133.31%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the Moody's calculations, the OC ratios for the Class E notes is currently 98.97%, versus October 2025 levels of 101.85%. Moody's notes that Moody's calculated OC ratios do not incorporate any OC haircuts. No actions were taken on the Class A-1R, Class A-2FR, Class B and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $132,156,209 Defaulted par: $3,533,372 Diversity Score: 39 Weighted Average Rating Factor (WARF): 3552 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Recovery Rate (WARR): 47.81% Weighted Average Life (WAL): 2.86 years Par haircut in OC tests: 4.0% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SEQUOIA MORTGAGE 2026-4: Fitch Rates Class B5 Certs 'B(EXP)' ------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-4 (SEMT 2026-4). Entity/Debt Rating ----------- ------ SEMT 2026-4 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating COLLAT LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 598 loans with a total balance of approximately $742.07 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 776 and 34.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 69.8% mark-to-market combined LTV (cLTV). Overall, 94.3% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-4 has a final probability of default (PD) of 9.28% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.57%. The expected loss in the 'AAAsf' rating stress is 3.11%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-4 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 98.3% of the loans in the transaction by loan count. Fitch applies a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-4 to be fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-4 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-HYB1: Fitch Gives B(EXP) Rating on B2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-HYB1 (SEMT 2026-HYB1). Entity/Debt Rating ----------- ------ SEMT 2026-HYB1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1AF LT AAA(EXP)sf Expected Rating A1AIO LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1BF LT AAA(EXP)sf Expected Rating A1BIO 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 B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 476 loans with a total balance of approximately $540.97 million as of the cutoff date. The pool consists of prime jumbo adjustable-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure with full advancing. The borrowers in the pool show strong credit profiles, with a weighted-average (WA) Fitch FICO of 780 and 35.6% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.5% mark-to-market combined LTV (cLTV). Overall, 92.8% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-HYB1 has a final probability of default (PD) of 9.94% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 32.94%. The expected loss in the 'AAAsf' rating stress is 3.28%. Structural Analysis: The mortgage cash flow and loss allocation are based on a sequential-pay structure, whereby interest and principal are paid pro rata amongst classes A-1A and A-1B (with classes A-1AIO and A-1BIO receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. SEMT 2026-HYB1 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent (DQ) P&I to the trust until deemed nonrecoverable for the servicing-released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance and delinquencies. Due to the sequential structure and full advancing, the credit enhancement (CE) levels are equivalent to Fitch's expected losses at each rating category, except the 'AAAsf' notes, due to the limited principal leakage as a result of the pro-rata allocations between the class A-1A and A-1B notes. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or 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. 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 SEMT 2026-HYB1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-HYB1, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (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. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SG RESIDENTIAL 2026-2: S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2026-2's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, a co-operative, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 637 loans. The preliminary ratings are based on information as of March 13, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC (SG Capital), and the mortgage originator ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned SG Residential Mortgage Trust 2026-2(i) Class A-1A, $209,241,000: AAA (sf) Class A-1B, $31,138,000: AAA (sf) Class A-1, $240,379,000: AAA (sf) Class A-1FCF, $75,000,000: AAA (sf) Class A-1FCX, $75,000,000(ii): AAA (sf) Class A-1LCF, $25,000,000: AAA (sf) Class A-2, $20,723,000: AA (sf) Class A-3, $41,225,000: A (sf) Class M-1, $17,636,000: BBB- (sf) Class B-1, $9,920,000: BB- (sf) Class B-2, $6,614,000: B- (sf) Class B-3, $4,409,350: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SIERRA TIMESHARE 2024-2: Fitch Affirms BB-sf Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings of Sierra Timeshare Receivables Funding Trust, series 2024-2, 2025-1 and 2025-2. The Rating Outlooks on all classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2025-2 Receivables Funding LLC A 82653HAA8 LT AAAsf Affirmed AAAsf B 82653HAB6 LT Asf Affirmed Asf C 82653HAC4 LT BBBsf Affirmed BBBsf D 82653HAD2 LT BBsf Affirmed BBsf Sierra Timeshare 2025-1 Receivables Funding LLC A 82653CAA9 LT AAAsf Affirmed AAAsf B 82653CAB7 LT Asf Affirmed Asf C 82653CAC5 LT BBBsf Affirmed BBBsf D 82653CAD3 LT BBsf Affirmed BBsf Sierra Timeshare 2024-2 Receivables Funding LLC A 82650DAA0 LT AAAsf Affirmed AAAsf B 82650DAB8 LT Asf Affirmed Asf C 82650DAC6 LT BBBsf Affirmed BBBsf D 82650DAD4 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The affirmation of the class A, B, C, and D notes for each transaction reflects default coverage levels that are consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, the transactions are tracking above Fitch's initial expectations. As of the January 2026 collection period, the 61+ day delinquency rates for 2024-2, 2025-1, and 2025-2 are 3.26%, 3.07%, and 3.07%, respectively. Cumulative gross defaults (CGDs) are currently at 15.84%, 9.96%, and 5.66%, respectively. Due to optional repurchases by the seller, none of the transactions have experienced a net loss to date. The 2024-2, 2025-1, and 2025-2 transactions are currently tracking above their initial rating case proxies of 22.00%, 21.50%, and 21.50%, respectively. To account for recent performance, the CGD proxy for 2024-2 was revised to 24.50% given its worse performance compared to initial expectations. The lifetime proxies of 21.50% and 21.50% for 2025-1 and 2025-2, respectively, were not changed due to low seasoning of the pool. Under Fitch's stressed cash flow assumptions for 2024-2 and 2025-1, the class A default coverage is able to support multiples in excess of 3.00x for 'AAAsf'. The class B default coverage is able to support multiples in excess of 2.25x for 'Asf'. The current multiples for the class C and class D notes are short of the CGD multiples of 1.50x for 'BBBsf', 1.25x for 'BBsf', and 1.17x for 'BB-sf', respectively, but within the one category tolerance permitted by the criteria. For 2025-2, the current multiples for the class A, class C, and class D notes are short of the CGD multiple of 3.00x for 'AAAsf', 1.50x for 'BBBsf' and 1.25x for 'BBsf', respectively, but within the one category tolerance permitted by the criteria. The class B default coverage is marginally short of the 2.25x multiple for 'Asf', but still within the 2.00x-2.75x range. The ratings also reflect the quality of Travel + Leisure Co. timeshare receivable originations, the sound financial and legal structure of the transactions, and the strength of the servicing provided by Wyndham Consumer Finance, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables, and will update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage; - In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes. In the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in upgrades of up to four notches or affirmations of ratings with stronger multiples. 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. SIERRA TIMESHARE 2026-1: Fitch Assigns 'BB-(EXP)' Rating on D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2026-1 Receivables Funding LLC (Sierra 2026-1). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L; formerly Wyndham Destinations, Inc.). This is T+L's 54th public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2026-1 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Consistent Credit Quality: Approximately 71.49% of Sierra 2026-1 consists of WVRI-originated loans. The remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 741, which is marginally lower than in the prior transaction. The collateral pool has eight months of seasoning and comprises 60.52% of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy — Shifting CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2024 vintages show increasing gross defaults, tracking outside of peak levels experienced in 2008. This is partially driven by an increase in usage of paid product exits (PPEs). The 2022-2024 transactions are generally demonstrating weakening default trends, relative to improved performance in 2020-2021 transactions, and trending around the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 22.00%, up from 21.50% for 2025-3. Given the current economic environment, default vintages reflecting more recent vintage performance were used, specifically the 2015-2021 vintages. Structural Analysis — Shifting CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 57.35%, 39.95%, 18.75% and 4.50%, respectively. CE is higher for classes A, B and C, and in line for class D, relative to 2025-3, mainly due to differences in subordination. Hard CE comprises overcollateralization, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 8.61% per annum. Default coverage for all notes is able to support CGD multiples of 3.00x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch considers T+L to have demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD 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 default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. 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 increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of up to two rating categories for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOHO 2021-SOHO: DBRS Confirms B Rating on 2 Tranches ---------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-SOHO issued by SOHO Trust 2021-SOHO as follows: -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (sf) -- Class HRR at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the underlying property's overall stable performance, which remains in line with Morningstar DBRS' expectations, given the concentration of long-term investment-grade tenants with leases that extend beyond the loan's final maturity in August 2028. The collateral for the trust consists of a 786,891-square-foot (sf), Class A office/retail property known as One SoHo Square, comprising two adjacent mid-rise office buildings separated by an adjoined 19-story glass tower on the northwest corner of Sixth Avenue and Spring Street in Manhattan's SoHo neighborhood. The sponsor, Stellar Management, acquired the buildings in 2012 and spent nearly $270.0 million in upgrades to reposition the property within the neighborhood as a top-tier office and retail complex. Whole mortgage loan proceeds of $785.0 million include senior A note debt in the amount of $470.0 million and junior B note debt, totaling $315.0 million. There is also $120.0 million of mezzanine debt in place. The subject transaction totals $316.0 million and consists of three senior A notes with an aggregate principal balance of $1.0 million and the full B note debt. The remaining companion senior A notes are securitized in other transactions not rated by Morningstar DBRS. The property continues to benefit from the long-term investment-grade tenants, which includes the three largest tenants at the property: Flatiron Health (Flatiron; 32.4% of the net rentable area (NRA), expiring February 2031 and November 2034), Aetna Inc. (13.3% of the NRA, expiring July 2029), and MAC Cosmetics (11.1% of the NRA, expiring March 2034). As expected during Morningstar DBRS' prior credit rating action in March 2025, the fifth-largest tenant, Warby Parker (formerly 10.4% of the NRA), extended its lease for 54,668 sf (6.8% of the NRA) to August 2036, while vacating the remaining 27,334 sf in early 2025. Additional leasing updates include the departure of one retail tenant, Aveda Institute (formerly 2.5% of the NRA), at its lease expiration in May 2025, and the signing of a smaller tenant. According to the September 2025 rent roll, the property was 82.4% occupied, with only one tenant representing 5.0% of the NRA set to expire during the remaining loan term. Per an updated rent schedule provided by the servicer, a new tenant, Modal Labs, Inc. has signed a lease for 24,334 sf (3.4% of the NRA) at the property. Once the lease commences in October 2025, occupancy would increase to 85.8%. There is notable amount of sublease space at the property, with Flatiron and Juul Labs (6.9% of the NRA, expiring May 2032) offering portions of their space for sublease. Since last review, a former sublease tenant, Yotpo Ltd., vacated its space and moved to 180 Madison Avenue; however, in spite of its departure, both Flatiron and Juul Labs continue to meet their rent obligations. The subject property is leased with an average office rental rate of $93.18 per square foot (psf). In comparison, office properties in the South Broadway submarket reported a Q4 2025 vacancy rate of 14.5% and an average asking rental rate of $74.80 psf, per Reis. For the trailing 12 -month period ended September 30, 2025, the net cash flow (NCF) was reported at $54.4 million, a decline from the YE2024 figure of $58.3 million, as a result of increased vacancy as mentioned above. However, the updated NCF remains in line with the Morningstar DBRS NCF of $54.7 million. Given the property's desirable location, significant capital improvements by the sponsor, and minimal rollover risk, Morningstar DBRS expects performance to remain consistent through the medium term. With this review, Morningstar DBRS maintained the sizing from the April 2024 review, which was based on an increased capitalization rate of 7.0% to the Morningstar DBRS NCF. The Morningstar DBRS concluded value of $781.3 million represents a -42.1% variance from the issuance appraised value of $1.35 billion, implying a whole-loan loan-to-value ratio (LTV) of 115.8%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing benchmarks, totaling 6.0% to reflect the subject property's quality, excellent location, and long-term, in-place tenancy to investment-grade tenants. Notes: All figures are in U.S. dollars unless otherwise noted. SPRITE 2026-1: Fitch Assigns 'BBsf' Final Rating on Series C Notes ------------------------------------------------------------------ Fitch Ratings has assigned Sprite 2026-1 Limited, Sprite 2026-1 US LLC (Sprite 2026-1) final ratings. Entity/Debt Rating Prior ----------- ------ ----- Sprite 2026-1 Limited, Sprite 2026-1 US LLC Series A LT Asf New Rating A(EXP)sf Series B LT BBBsf New Rating BBB(EXP)sf Series C LT BBsf New Rating BB-(EXP)sf Transaction Summary The notes, co-issued by Sprite 2026-1 Limited (Sprite Ireland) and Sprite 2026-1 US LLC (Sprite USA; collectively, Sprite 2026-1), are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 30 commercial aircraft, consisting of 28 converted freighter aircraft and two passenger aircraft that have not yet been converted operated by third-party lessees. Proceeds from the notes will be used to acquire assets from the seller, fund the initial expense and maintenance reserve accounts, and pay transaction fees and expenses related to the offering. As servicer, World Star Aviation Limited (World Star) will be responsible for managing the aircraft including aircraft leasing, maintenance and disposition. This is the first public Fitch-rated Sprite transaction, and the third public transaction to be serviced by the World Star team. It is also the first public aviation securitization backed by a collateral pool comprised almost entirely of converted freighter aircraft. KEY RATING DRIVERS Asset Quality and Tiering (Neutral): The Sprite 2026-1 pool is comprised almost entirely of converted 737-800NG freighter aircraft. Based on the initial appraised value, 94.5% (28 aircraft) are 737-800 converted (or, in the case of the aircraft with MSN 30728, expected to be converted) freighter aircraft while the remaining 5.5% (two aircraft) are 737-800 passenger aircraft. The pool has a weighted average (WA) age of 22.3 years, based on date of manufacture. However, from a freighter-use perspective the collateral is relatively young: The WA time since conversion/entry into freighter configuration for the relevant assets is 3.5 years, reflecting that the converted freighter aircraft were all converted in 2018 or later. Aircraft models are desirable. Based on the initial appraised values, the age-adjusted tier distribution is 94.5% in Tier 2 and 5.5% in Tier 3. For each aircraft, the initial appraised value was set as the lesser of the mean and median half-life base values and the half-life current market values, in each case derived from the three appraisers. Fitch uses these initial appraised values throughout this commentary for collateral composition and concentration metrics. Fitch uses a Fitch Value (FV) derived from the lower of the mean and median (LMM) of half-life base value (HLBV) for its related modeling. 737-800SFs make up the largest portion of the pool by initial appraised value (66.7%), followed by 737-800BCFs (20.7%), 737-800BDSFs (7%), and 737-8FEs (5.5%). Pool Concentration (Neutral): Developed Europe, with 15 aircraft, accounts for the highest share (47.3% of initial appraised value) followed by emerging Europe (20.7%), emerging Africa and Middle East (7.7%), emerging Asia-Pacific (7.1%), developed Middle East and Africa (7%), developed Asia-Pacific (6.4%), and developed North America (3.8%). Lessee concentration is diversified, with Amazon representing 22.2% of the pool (seven aircraft). The next largest exposure (AirExplore) represents 10.2% (three aircraft). As of Feb. 6, 2026, one aircraft, approximately 3.9% of initial appraised value, was not owned by the transferors. A purchase agreement to acquire the asset has not been executed but the aircraft is subject to an executed letter of intent (LOI). A failure to acquire the assets would impact pool concentration. The pool has exposure to the Middle East conflict zone (7.0% by MABV). There are two leases to SolitAir, a UAE-based cargo operator. The issuer has confirmed that no insurance notices have been received (all coverage remains in full force and effect) and both aircraft are currently operating in and out of the UAE. Lessee Credit Risk (Neutral): There are 17 lessees in the pool. By initial appraised value, 25.4% are leased to credits that Fitch considers investment grade, 13.5% are leased to 'B' category lessees and the remaining 61.2% are leased to 'CCC' to 'CC' credits. The WA credit rating is between 'B' and 'B+', similar to other aircraft ABS transactions. All of the owned assets are on lease and current. Operational and Servicing Risk (Neutral): Fitch has found World Star to be an effective servicer with a proven track record in the areas of remarketing, underwriting, procuring and managing aircraft maintenance, and managing a portfolio. This is evidenced by the experience of its team, servicing of its managed fleet and performance of their prior securitizations. Transaction Structure (Neutral): Leverage is acceptable, at 72.4% for the series A note, 83.1% for the series B note, and 96.8% for the series C note. Notes amortize mortgage style over 10 years for the A and B notes and over 14 years for the C note. The transaction has a sequential pay structure, with A note interest and principal senior to B note interest and principal. Concentration risk toward the end of the transaction is mitigated through a rapid amortization event if the aircraft count drops below eight. The series C note has been upgraded one-notch from its expected rating. The upgrade reflects the closing coupons and an enhanced partial cash sweep for the series C note which now applies from year 1 through 7 (versus years 3 through 7 at the expected rating), strengthening credit protection. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, please refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria,". RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'CCC' credits. Fitch ran a sensitivity assuming future lessees are rated 'CC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the air cargo industry. This analysis assesses the notes' rating sensitivity to weaker assumed lessee credit quality, lower gross cash flows from increased downtime due to aircraft repossessions and remarketing, and potentially higher expenses related to repossessions and transition costs. Value Stress Sensitivity: Fitch applied a 10% haircut to the starting FV for all aircraft in the portfolio to test the performance of the transaction in a more stressed environment. This sensitivity accounts for the historical volatility and cyclicality of aircraft values. This analysis indicates the notes' rating sensitivity to decreased gross cash flows as the lower starting FV drives future lease rates and disposition proceeds lower. Combined Credit and Value Stress Sensitivity: Fitch ran the credit and value stress sensitivities simultaneously by decreasing both the aircraft values and future lessee credit rating. End-of-lease (EOL) Sensitivity: Given that this portfolio has limited exposure to EOLs, the EOL sensitivity was not performed. Sensitivity Results: Under the sensitivity analysis, the series A note maintains its final assigned rating in all sensitivities except the combined credit and value stress, where a one-notch downgrade is probable. The series B note maintains its final assigned rating across all sensitivities. The series C note is more sensitive to stress, with a probable two-notch downgrade under the combined credit and value stress and a probable one-notch downgrade under all other individual sensitivities. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the 'Asf' rating cap, the class A notes would not be subject to an upgrade. If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade of the class B and C notes. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. CRITERIA VARIATION Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the class B notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. 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. SUMIT 2022-BVUE: DBRS Confirms B(low) Rating on 2 Tranches ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BVUE issued by SUMIT 2022-BVUE Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-A at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable-to-improving performance of the underlying collateral since Morningstar DBRS' prior review in March 2025. The transaction is secured by the borrower's fee-simple interest in The Summit, a 907,306-square-foot (sf), LEED Gold and Platinum certified, Class A, three-property office campus in the Bellevue, Washington, central business district. The loan is sponsored by a 99%/1% joint venture between experienced real estate investors KKR Property Partners Americas and Urban Renaissance Group. The $525 million whole loan is composed of 10 promissory notes: eight senior A notes totaling $327 million and two junior B notes totaling $198 million. The $305 million subject transaction consists of two senior A notes with an aggregate principal balance of $107 million and the two junior B notes totaling $198 million. The remaining $220 million of the whole loan is composed of pari passu A notes (companion notes); of those companion notes, 5% is held in BBCMS 2022-C16 (Morningstar DBRS rated) and the remaining 62% is split among BMARK 2022-B32, BBCMS 2022-C15, BBCMS 2022-C14, and BMARK 2022-B33 (not rated by Morningstar DBRS). The underlying loan is interest-only (IO) throughout its seven-year term with a scheduled maturity in February 2029. There are no extension options available. According to the September 2025 rent roll, the property was 92.5% occupied, consistent with 93.3% at YE2024, though slightly lower than the issuance figure of 95.3%. The decline in occupancy was primarily driven by the departure of First Republic Bank (formerly 5.5% of net rentable area (NRA)) at lease expiration in December 2023. Amazon.com Inc. (Amazon), the largest tenant, occupies the entire Summit 3 building (42.9% of NRA) with a lease expiring in August 2036. The e-commerce giant also subleases approximately 133,059 sf of space that was formerly occupied by WeWork Inc., with this lease expiring in May 2028, bringing Amazon's total footprint to nearly 510,000 sf (nearly 60.0% of the NRA). The servicer has confirmed that the property's second-largest tenant, Puget Sound Energy Inc., which occupies 25.8% of the NRA and holds an investment-grade rating from Fitch Ratings (as of February 2026), has extended its lease by 11 years, moving the maturity date from October 2028 to October 2039. According to the September 2025 rent roll, tenants roll over within next 18 months is minimal. According to financial reporting for the T-9 period ended September 30, 2025, the property generated an annualized net cash flow (NCF) of approximately $39.0 million, reflecting a debt service coverage ratio (DSCR) of 2.48 times (x) above the YE2024 and Morningstar DBRS figures of $36.7 million (a DSCR of 2.33x) and $36.8 million (a DSCR of 2.34x), respectively. According to Reis, the Bellevue/Issaquah submarket reported a Q4 2025 vacancy rate of 17.7% compared with the prior year's figure of 13.5%. Class A office properties in the submarket reported a slightly higher vacancy rate of 17.8% for the same period, according to Reis, although overall submarket vacancy is expected to widen to 18.7% by 2030. However, Morningstar DBRS anticipates that occupancy levels and cash flow will remain stable in the near to medium term, supported by the property's long-term leases with its largest tenants and a diversified remaining tenant base, with no meaningful lease rollover expected until 2028. In the analysis for this review, Morningstar DBRS maintained the $36.8 million NCF assumption from issuance, in addition to the 7.5% capitalization rate, which was increased by 100 basis points during the April 2024 credit rating action. The resulting Morningstar DBRS Value of $490.3 million is a -13.3% variance from the Morningstar DBRS Value derived at issuance ($565.7 million) and a -45.3% variance from the issuance appraised value of $895.5 million. The Morningstar DBRS Value implies a whole loan-to-value ratio (LTV) of 107.1%, compared with the whole LTV of 92.8% based on the appraised value at issuance. Additionally, Morningstar DBRS maintained positive qualitative adjustments totaling 6.25% in the LTV Sizing Benchmarks to reflect the property's Class A quality, low cash flow volatility, and stable submarket fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. TAILWIND 2019-1 LTD: S&P Raises Class C Notes Rating to BB (sf) --------------------------------------------------------------- S&P Global Ratings raised 11 ratings and affirmed three ratings on five aircraft ABS transactions. S&P said, "The upgrades primarily reflect the increase in the respective notes' credit enhancement due to principal repayments backed by strong collateral collections (base rent, maintenance reserves, end-of-lease payment, and sale of aircraft) and sustained stable portfolio performance since our last review. The affirmation reflects our view that there has been strong performance and an increase in credit enhancement and constraints related to our operational risk criteria." The sections below provide more transaction-specific details from this review. All statistics reported herein are based on note balances as of February 2026. Business Jet Securities 2022-1 LLC S&P Global Ratings raised its ratings on the class B and C notes from Business Jet Securities 2022-1 LLC to 'A- (sf)' and 'BBB+ (sf)', respectively, and affirmed its 'A (sf)' rating on the class A notes. The upgrades reflect the transaction's consistent stable credit performance, the paydown of the notes, and the resulting improved loan-to-value (LTV) ratios since our last review in September 2024. Since then, the class A, B, and C notes have collectively paid down $114.4 million due to aircraft dispositions and paydowns from collections. The transaction's overall LTV ratio (based on the aggregate asset value) has declined to 64.3% from 71.3% since S&P's last review, and the notes are all currently on schedule. The transaction held 24 assets as of January 2026, down from 31 assets as of our last review. The aircraft have an average age and remaining term (weighted by the aggregate asset value) of 9.5 years and 2.5 years, respectively. S&P said, "The highest achievable rating for business jet transactions is 'A (sf)', as determined by the application of our operational risk criteria. We believe the transaction's portability risk (as described in our criteria) is high, given the specialized nature of the business jet leasing industry. We also understand that there is a limited number of qualified participants in this niche sector who could assume the servicing of these portfolios if the current servicer (Global Jet Capital) is no longer able to perform the role." Raptor Aircraft Finance I Ltd. S&P Global Ratings raised its ratings on Raptor Aircraft Finance I Ltd.'s series 2019 class A and B notes to 'BBB (sf)' and 'B (sf)', respectively, and affirmed its 'CCC (sf)' rating on the class C notes. The upgrades mainly reflect the improved performance of the portfolio and improved LTV ratios on the class A and B notes since S&P's last review, while improvement on the class C notes is limited. The transaction is backed by a portfolio of 12 aircraft, of which 11 aircraft are on lease to nine lessees across nine countries. One aircraft has been off lease for almost a year and is currently being repossessed by the servicer. S&P said, "Since our last rating action in September 2023, the transaction has paid down the class A notes by approximately $99 million, while the class B and C notes did not receive any principal payments during this period." The class C notes continue to defer and capitalize their unpaid interest. The class A, B, and C notes are significantly behind on their targeted scheduled principal payments, for a total of approximately $178 million, primarily due to the reduced collections during the COVID-19 pandemic and a slow recovery since. S&P said, "The class B notes have not received any principal repayments since at least September 2020. However, aircraft dispositions since our last review have resulted in faster paydowns of the class A notes, which had a positive impact on the class B LTV as well. "The rating affirmation on the class C notes at 'CCC (sf)' reflects our view that there has been no significant change in performance for the notes since our last review. We believe that the class C notes are more vulnerable to a default, given their subordinated position in the priority of payments, the calculated LTV being greater than 110%, and the capitalization of unpaid interest on the notes that will further stress the LTV as the class A and B notes are still significantly behind their targeted principal balances. The rating on the class C notes also reflects our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally, issuers and issues that face at least a one-in-two likelihood of default are rated in the 'CCC' category. "Although the class A and class B notes passed at a higher rating level, we considered that one aircraft is currently being repossessed by the servicer and has not generated any lease rent for a period of time that is approaching our most stressful scenario for time on ground under our criteria (11 months) and that the pool has exposure to several lessees with payment delinquencies." Shenton Aircraft Investment I Ltd. S&P Global Ratings raised its rating on Shenton Aircraft Investment I Ltd.'s class B notes to 'A- (sf)' and affirmed its 'A+ (sf)' rating on the class A notes. The upgrade primarily reflects the sustained stable performance of the underlying aircraft pool, the paydown of the notes since the prior review, and the resulting decline in the LTV ratios. The portfolio is backed by 15 aircraft that were manufactured between 2008 and 2015, with a weighted average age of 13.6 years and weighted average remaining lease term of 3.3 years (based on the LMM of the half-life appraised values. The portfolio is fully leased with three leases expiring in the next 12 months and is well diversified across lessees and jurisdictions with a mix of narrowbody and widebody aircraft. S&P said, "Since our last rating action in November 2024, the transaction has paid down the class A and B notes by approximately $36 million and $3 million, respectively, primarily from cash flows from lease rent. No aircraft were sold during this period. From the October 2024 payment date to the January 2026 payment date, the LTV ratio has decreased for the class A notes to 54.5% from 69.5%, and for the class B notes to 60.3% from 76.7%." Tailwind 2019-1 Ltd. S&P Global Ratings raised its ratings on Tailwind 2019-1 Ltd.'s class A, B, and C notes to 'A (sf)', 'BBB+ (sf)', and 'BB (sf)', respectively. The upgrades primarily reflect the continued strong performance of the underlying aircraft pool, the significant paydown of the notes, and the resulting decline in the LTV ratios. Since S&P's last rating action in September 2023, the transaction has paid down the class A and B notes by approximately $66.7 million and $3.2 million, respectively, supported by the cash flow from base rent and maintenance reserves, while the balance of the class C notes increased by approximately $7.5 million since then. As a result, the LTV ratio for the class A notes has decreased to 58.7% from 74.9%, for the class B notes to 71.7% from 88.4%, and for the class C notes to 85.6% from 99.8%. The portfolio is currently backed by 14 aircraft that were manufactured between 2009 and 2019. Based on the LMM of the half-life appraised values as of January 2026, the aircraft have a weighted average age of 10.8 years and a weighted average remaining lease term of 4.6 years. All of the aircraft are currently on lease, with a single lease expiring in the next 12 months. The portfolio also has two aircraft on lease to airlines domiciled in the region that is impacted by the current conflict in the Middle East. The servicer confirmed that the aircraft are currently in a safe condition. S&P said, "Our cash flow results indicated a higher rating for the class B and C notes. However, we considered the structural subordination of the class B and C notes, the fact that the notes are still behind on their scheduled principal payments, and that class C continues to defer interest since our last review, in determining the ratings. Additionally, we also considered some sensitivities around potential impact of the ongoing conflict on airlines' credit quality." WAVE 2019-1 LLC S&P Global Ratings raised its ratings on WAVE 2019-1 LLC's class A, B, and C notes to 'A+ (sf)', 'A- (sf)', and 'BBB (sf)', respectively. The upgrades primarily reflect the sustained stable performance of the underlying aircraft pool, the paydown of the notes since the prior review, and the resulting decline in the LTV ratios. The portfolio is backed by 17 aircraft manufactured between 2006 and 2018, with a weighted average of 9.8 years and a weighted average remaining lease term of 4.1 years (based on the LMM of the half-life appraised values). The portfolio is fully leased with one lease expiring in the next 12 months. The portfolio also has three aircraft on lease to airlines domiciled in the region that is impacted by the current conflict in the Middle East. The servicer confirmed that the aircraft are currently in a safe condition. The class A, B, and C notes have been paid down in aggregate by approximately $127 million, $49 million, and $6 million, respectively, since S&P's most recent rating action in November 2024. From the October 2024 payment date to the February 2026 payment date, the LTV ratio decreased for the class A notes to 51.6% from 67.7%, for the class B notes to 58.4% from 82.7%, and for the class C notes to 68.7% from 92.5%. These decreases have been driven by the paydown on the notes, which were backed by a strong recovery in lease collections and end of lease payments since our last review, the sale of three aircraft, and the proceeds of an insurance settlement. S&P said, "Our cash flow results indicated a higher rating for the class B and C notes. However, we considered the structural subordination of the class B and C notes and the LTV ratio for the classes in determining the ratings. Additionally, we also considered some sensitivities around potential impact of the ongoing conflict on airlines' credit quality." Ratings Raised Business Jets Securities 2022-1 LLC Class B to A- (sf) from BBB+ (sf) Class C to BBB+ (sf) from BB+ (sf) Raptor Aircraft Finance I Ltd. Class A to BBB (sf) from B+ (sf) Class B to B (sf) from CCC+ (sf) Shenton Aircraft Investment I Ltd. Class B to A- (sf) from BBB+ (sf) Tailwind 2019-1 Ltd. Class A to A (sf) from BBB+ (sf) Class B to BBB+ (sf) from BB+ (sf) Class C to BB (sf) from B- (sf) WAVE 2019-1 LLC Class A to A+ (sf) from A (sf) Class B to A- (sf) from BBB (sf) Class C to BBB (sf) from B (sf) Ratings Affirmed Business Jets Securities 2022-1 LLC Class A: A (sf) Raptor Aircraft Finance I Ltd. Class C: CCC (sf) Shenton Aircraft Investment I Ltd. Class A: A+ (sf) TCW CLO 2024-1: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-R, B-R, C-1R, C-FR, D-R, and E-R debt and new class AL1R, AL2R, and 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. At the same time, S&P withdrew its ratings on the previous class X, A-1, A-J, B-1, B-F, C-1, C-F, D-1, D-F, D-J, and E debt following payment in full on the March 17, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R, A-R, B-R, C-1R, D-R, and E-R debt and new class AL1R, AL2R, and F-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class C-FR was issued at a lower coupon over the existing debt. -- The stated maturity, reinvestment period, and non-call period were extended by approximately two years. -- The non-call period was extended to March 17, 2028. -- The reinvestment period was extended to April 16, 2031. -- The legal final maturity dates for the replacement debt and the previous subordinated notes were extended to April 16, 2039. -- New class F-R debt was issued on the refinancing date. -- 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 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 AL1R loans(i), $75.00 million: AAA (sf) Class AL2R loans(i), $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) Ratings Withdrawn TCW CLO 2024-1 Ltd./TCW CLO 2024-1 LLC Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-F to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-F to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-F to NR from 'BBB (sf)' Class D-J to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt TCW CLO 2024-1 Ltd./TCW CLO 2024-1 LLC Subordinated notes, $34.40 million: NR (i)No loans can be converted into notes. NR--Not rated. TRINITAS CLO XXXV: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trinitas CLO XXXV, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Trinitas CLO XXXV, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Trinitas CLO XXXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.7% first-lien senior secured loans and has a weighted average recovery assumption of 74.39%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 11 February 2026 ESG Considerations Fitch does not provide ESG relevance scores for Trinitas CLO XXXV, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. UBS COMMERCIAL 2018-C13: Fitch Lowers Rating on E-RR Certs to 'Bsf' ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 10 classes of UBS Commercial Mortgage Trust 2018-C13 Commercial Mortgage Pass-Through Certificates (UBS 2018-C13). Following their downgrade, classes D-RR and E-RR have been assigned a Rating Outlook of Negative. Fitch has also downgraded two and affirmed 14 classes of UBS Commercial Mortgage Trust 2019-C18 Commercial Mortgage Pass-Through Certificates (UBS 2019-C18). The Outlook on class A-S has been revised to Stable from Negative. The Outlooks on classes B, X-B, C and D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS 2019-C18 A-2 90278PAX8 LT AAAsf Affirmed AAAsf A-3 90278PAZ3 LT AAAsf Affirmed AAAsf A-4 90278PBA7 LT AAAsf Affirmed AAAsf A-S 90278PBD1 LT AAsf Affirmed AAsf A-SB 90278PAY6 LT AAAsf Affirmed AAAsf B 90278PBE9 LT Asf Affirmed Asf C 90278PBF6 LT BBBsf Affirmed BBBsf D 90278PAG5 LT BBsf Affirmed BBsf E 90278PAJ9 LT CCCsf Downgrade Bsf F 90278PAL4 LT CCCsf Affirmed CCCsf G 90278PAN0 LT CCsf Affirmed CCsf X-A 90278PBB5 LT AAAsf Affirmed AAAsf X-B 90278PBC3 LT Asf Affirmed Asf X-D 90278PAA8 LT CCCsf Downgrade Bsf X-F 90278PAC4 LT CCCsf Affirmed CCCsf X-G 90278PAE0 LT CCsf Affirmed CCsf UBS 2018-C13 A-3 90353KAX7 LT AAAsf Affirmed AAAsf A-4 90353KAY5 LT AAAsf Affirmed AAAsf A-S 90353KBB4 LT AAAsf Affirmed AAAsf A-SB 90353KAW9 LT AAAsf Affirmed AAAsf B 90353KBC2 LT AA-sf Affirmed AA-sf C 90353KBD0 LT A-sf Affirmed A-sf D 90353KAC3 LT BBBsf Affirmed BBBsf D-RR 90353KAE9 LT BBsf Downgrade BBB-sf E-RR 90353KAG4 LT Bsf Downgrade BB+sf F-RR 90353KAJ8 LT CCCsf Downgrade BB-sf G-RR 90353KAL3 LT CCsf Downgrade B-sf X-A 90353KAZ2 LT AAAsf Affirmed AAAsf X-B 90353KBA6 LT A-sf Affirmed A-sf X-D 90353KAA7 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.4% in UBS 2018-C13 compared to 5% at Fitch's prior rating action. Deal-level 'Bsf' rating case losses in UBS 2019-C18 are 8.5% compared to 6.8% at Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise of 12 loans (37.8%) in UBS 2018-C13, including six specially serviced loans (26.5%), and 11 loans (29.3% of the pool) in UBS 2019-C18, including five specially serviced loans (16.1%). The downgrades in UBS 2018-C13 reflect increased loss expectations since Fitch's last rating action on the specially serviced Village at Beech Hill loan (4.8%) and 1670 Broadway (5.8%) loans. Ellsworth Place's (3.5%) recent transfer to special servicing was also a contributing factor. The Negative Outlooks on classes D-RR and E-RR reflect the potential for further downgrades should the FLOCs, including five loans in the top 10 (25.3%), experience further performance declines, particularly Village at Beech Hill, 1670 Broadway and Ellsworth Place. Due to the upcoming maturity concentration risk in UBS 2018-C13, Fitch's analysis incorporates a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available credit enhancement (CE). The downgrades in UBS 2019-C18 reflect increased loss expectations since Fitch's last rating action on the United Healthcare Office (3.6%) and Chroma Apartments (5%) loans. A deterioration in value with respect to 7105 - 7115 37th Avenue (2.1%) was also a contributing factor. The Negative Outlooks on classes B, X-B, C and D in UBS 2019-C18 reflect the potential for downgrades if the value of 225 Bush continues to deteriorate or if its resolution is prolonged contributing to higher expected losses, and/or if expected losses on the other larger FLOCs, including specially serviced loans increase or if additional loans experience performance declines. Office loans comprise 25.7% of the pool. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in UBS 2018-C13 is the Village at Beech Hill loan, which is secured by 320-unit affordable housing, apartment complex located in Manchester, NH. The loan transferred to special servicing in August 2024, per the special servicer due to non-compliance with cash management and a $4.3 million unsecured loan prior to loan closing. The loan is in foreclosure and receivership was granted in August 2025. Litigation with respect to a repurchase claim remains ongoing and per the most recent commentary from the special servicer, settlement discussions are underway. Fitch's 'Bsf' rating case loss of 49.3% (prior to concentration add-ons) reflects a stressed Fitch value of approximately $46,000 per unit and factors in the possibility of increasing loan exposure from legal and other fees, unknown impact and timing of the ongoing litigation and resolution, as well as the reported deferred maintenance. The second-largest increase in loss since the prior rating action and second-largest contributor to overall pool loss expectations in UBS 2018-C13 is 1670 Broadway, which is secured by a 703,654-sf LEED Gold-certified office building with a 520-space parking garage located in downtown Denver, CO. The loan transferred to special servicing in September 2025 due to maturity default; the loan did not repay at its September 2025 maturity date. The borrower informed the servicer that it was unable to repay the loan due to the largest tenant TIAA (approximately 39% of NRA) intending to vacate prior to its Dec. 31, 2029, lease expiration. Per the servicer, the tenant's space is expected to be dark by 3Q26. Additionally, HDR Engineering (11% of NRA) will be vacating at its Oct. 31, 2026, lease expiration. The servicer-reported occupancy and NOI DSCR were 84% and 5.69x, respectively, at YE 2025. The borrower has requested an extension of the loan to provide time to negotiate a lease buy-out with TIAA. Fitch's Bsf' rating case loss (prior to concentration add-on) of 17.4% is based on the most recent appraised value, reflecting a Fitch value of $47 psf. The third-largest increase in loss since the prior rating action and third-largest contributor to overall pool loss expectations in UBS 2018-C13 is the Ellsworth Place loan, which is secured by 347,758-sf retail property located in Downtown Silver Spring, MD. The loan transferred to special servicing in October 2025 for imminent default. The loan is 60 days delinquent as of February 2026. A receiver has been in place since January 2026. Major tenants include Burlington Coat Factory (19% NRA; recently renewed to Feb. 2032 from Feb. 28, 2026), Dave & Buster's (12.1% NRA; expires Jan. 31, 2032), Ross Dress for Less (7.4% NRA; expires Jan. 31, 2027), and Marshalls (6.7% NRA; expired 6/30/2027). Per the servicer, Ross and Marshalls have scheduled renewal options available to them and, to date, have not expressed any intention to not exercise on those options. TJ Maxx (7% NRA) vacated upon its Jan. 31, 2026, lease expiration. As a result, occupancy is expected to decline to approximately 88% from 95% at September 2025. Upcoming rollover is as follows: 10.6% (2026), 25% (2027) and 0.4% (2028). Fitch's 'Bsf' rating case loss of 23.2% (prior to concentration add-ons) reflects a 9% cap rate, 10% stress to YE 2024 NOI due to loss of a large and upcoming rollover concerns and an increased probability of default. The largest contributor to overall pool loss expectations in UBS 2019-C18 is 225 Bush (5.0%), which 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 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 largest increase in loss since the prior rating action and second-largest contributor to overall pool loss expectations is the United Healthcare Office loan, which is secured by a 204,123-sf office property located in Las Vegas, NV. The loan was transferred to the special servicer in October 2024 due to a maturity default, as the loan was not paid off by the October 2024 loan maturity. The building is 100% vacant after single tenant United Healthcare vacated at its December 2025 lease expiration. The borrower is working with two possible replacement tenants. The servicer is moving forward with foreclosure of the asset. The reserve balance is approximately $4.8 million. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 37.1% is based on a dark value analysis. The second-largest increase in loss since the prior rating action is the Chroma Apartments loan, which is secured by 235-unit apartment building located in St. Louis, MO. The loan was flagged as FLOC due fluctuating performance. Occupancy was 85% at YE 2025, 80% at YE 2024, 86% at YE 2023 and 92% at YE 2022. Servicer reported DSCR was 1.20x at YE 2025 compared to 1.39x the prior year. The loan was assumed in July 2025. Fitch's 'Bsf' rating case loss of 15.6% (prior to concentration add-ons) reflects an 8.5% cap rate and 7.5% stress to YE 2025 NOI. Changes in Credit Enhancement (CE): As of the February distribution date, the aggregate balances of the UBS 2018-C13 and UBS 2019-C18 transactions have been reduced by 24.8% and 6.6%, respectively, since issuance, providing increased CE. The UBS 2018-C13 transaction has four defeased loans (13.9% of the pool) and the UBS 2019-C18 transaction has three defeased loans (2.9% of the pool). Cumulative interest shortfalls of approximately $890,000 are affecting the non-rated class NR-RR in UBS 2018-C13 and $700,000 are affecting the non-rated NR-RR class in UBS 2019-C18. 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 high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. Downgrades to classes rated in the 'BBBsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk loans include 1670 Broadway, Village at Beech Hill and Ellsworth Place in UBS 2018-C13 and 225 Bush, Chroma Apartments and United Healthcare Office in UBS 2019-C18. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs and/or additional loans transfer to special servicing. Downgrades to the distressed 'CCCsf' and 'CCsf' rated classes 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 in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to classes rated in the 'BBBsf' 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 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. US BANK 2025-2: DBRS Confirms BB(high) Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. confirmed the following credit ratings on the U.S. Bank C&I Credit-Linked Notes, Series 2025-2, Class B-1 Notes and Class B-2 Notes (together the Class B Notes), Class C Notes, Class D Notes, and Class E Notes (together, the Rated Notes). The Rated Notes were issued pursuant to the Note Issuance and Administration Agreement (the NIAA), dated as of September 18, 2025, entered into between U.S. Bank National Association (U.S. Bank or the Issuer; rated AA with a Stable trend by Morningstar DBRS), as Issuer, and U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS), as Paying Agent and as Calculation Agent: -- Class B-1 Notes at AA (low) (sf) -- Class B-2 Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (high) (sf) The credit ratings on the Rated Notes address the timely payment of interest and the ultimate repayment of principal on or before the Legal Final Maturity Date on September 25, 2032. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025). The Legal Final Maturity Date is September 25, 2032. There is no Reinvestment Period as the transaction closed static. Morningstar DBRS considers the transaction a synthetic risk transfer. The Rated Notes are general obligations of U.S. Bank and are credit-linked to a reference portfolio consisting of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates (the Reference Portfolio) and are issued pursuant to the NIAA. The Reference Portfolio is static and prohibits reinvestment. Morningstar DBRS confirmed the credit ratings on the Rated Notes as a result of the transaction performance to date. The transaction is performing according to the parameters set in the NIAA. As of the most recent payment date of February 25, 2026, there were no interest shortfalls and no principal losses reported for the period and to date. No event of default has occurred, and the Sequential Amortization Trigger is not in effect. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The NIAA, dated as of September 18, 2025. (2) The transaction's capital structure and the form and sufficiency of available credit enhancement. (3) The ability of the Rated Notes to withstand projected collateral loss rates under various credit rating scenarios. (4) The credit quality of the Reference Portfolio. (5) The financial strength of U.S. Bank, as the Issuer. (6) Morningstar DBRS' assessment of U.S. Bank, as the Servicer of the transaction. (7) 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 (the Legal Criteria). Some strengths of the transaction are (1) the weighted-average (WA) credit quality of the underlying obligors is investment grade; (2) the Reference Portfolio consists of senior unsecured loans; and (3) the Reference Portfolio is well-diversified. Some challenges identified are (1) the Rated Notes are subordinated in the transaction's capital structure to the Class A Certificates and (2) U.S. Bank is directly issuing the Rated Notes and is responsible for the payments of interest and principal due on the Rated Notes. The reference portfolio consists of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates across various industries and credit rating levels. Morningstar DBRS' review of the transaction performance and analysis produced satisfactory results, which supported the confirmation of the credit ratings on the Rated Notes. Notes: All figures are in U.S. dollars unless otherwise noted. US BANK 2026-1: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the notes issued under U.S. Bank RVM Credit-Linked Notes, Series 2026-1 (USCLN 2026-RVM1), which is a synthetic credit-linked note transaction referencing an asset pool of recreational vehicles (RVs) and marine product loans originated or acquired by U.S. Bank. The transaction is issued by U.S. Bank National Association (U.S. Bank; A+/F1/Stable) with the notes representing general obligations of U.S. Bank. Entity/Debt Rating ----------- ------ U.S. Bank RVM Credit Linked Notes, Series 2026-1 A LT NR(EXP)sf Expected Rating B-1 LT A(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating E LT B(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating KEY RATING DRIVERS Unique Credit Risks of RV and Marine Product Loans: In Fitch's view, both RVs and marine products represent discretionary, non-essential purchases that rank lower in the obligors' personal priority of payments than other products such as auto loans. As a result, Fitch rates ABS backed by RV or marine product loans under its Consumer ABS Rating Criteria. For more information, see Fitch Wire: "U.S. Recreational Vehicle ABS Credit Risks Distinct from Auto ABS." As of the cutoff date, the reference pool has a weighted average (WA) principal balance of $46,153 and a WA annual percentage rate (APR) of 6.45%. The WA original loan term is 208 months, with 55% of loans having an original term longer than 180 months. The pool is positively selected, featuring a minimum FICO score of 780 and a maximum LTV of 120.0%. The WA FICO is 830 across both RV and marine product segments. Asset Pool Assumptions: Fitch derives asset assumptions separately for RV and marine product segments to reflect each asset type's different risk profile. Fitch's WA lifetime base case default rate assumptions (BCDR) are 1.62% and 1.42% for RV and marine product segments, respectively, determined by loan buckets categorized by loan term bands. The WA BCDR for the total reference pool is 1.52%, weighted by segment composition. The rating case default multiples (RDM) are primarily based on the originator's 15-year static performance data, which is shorter than the maximum loan term of 20 years. For the RV segment, Fitch applied RDM of 3.30x, 2.40x, 1.65x, and 1.25x at the 'Asf', 'BBBsf', 'BBsf', and 'Bsf' rating levels, respectively. For the marine product segment, Fitch applied higher RDMs of 3.90x, 2.80x, 1.95x, and 1.35x at 'Asf', 'BBBsf', 'BBsf', and 'Bsf', reflecting additional volatility in asset performance expected for marine product loans as well as the low absolute level of base case defaults assumed in Fitch's analysis. As a result, the assumed WA lifetime default rates for the aggregated reference pool (RV and marine products) are 5.44%, 3.93%, 2.72%, and 1.97% at the 'Asf', 'BBBsf', 'BBsf', and 'Bsf' rating levels, respectively. Fitch applied 30.0% and 40.0% base case recovery rates on defaulted RV and marine product loans, respectively, based on historical recoveries and Fitch's forward-looking expectations. Fitch applies a rating-dependent recovery haircut at the higher end of the range provided by Fitch's consumer ABS rating criteria for both RV and marine product segments. For example, at the 'Asf' rating level, a 36.0% haircut is applied, resulting in assumed recovery rates of 19.2% for RV loans and 25.6% for marine product loans. In its analysis, Fitch applied a flat annual prepayment rate of 17.0% for both RV and marine product loans. All other asset pool and cash flow modeling assumptions are as described in Fitch's applicable rating criteria and throughout this report. Transaction Structure: Initial hard credit enhancement (CE) totals 4.80%, 3.35%, 2.25% and 1.75% for classes B, C, D, and E, respectively, entirely consisting of subordinated note balances, including the additional class F notes and class R certificates. There is no additional enhancement provided, including no excess spread. Principal is allocated to the subordinate notes pro rata on each payment date unless (i) a CNL trigger event occurs or (ii) a pool factor trigger is in effect. When either trigger has occurred, allocations switch to sequential pay. Both triggers are evaluated monthly and the CNL trigger event is curable. In addition, the class R certificates will be locked out of principal payment entirely for 15 months after closing. Initial CE is sufficient to withstand Fitch's BCDR of 1.52% at the applicable rating case multiples. Stable Origination/Underwriting/Servicing: U.S. Bank demonstrates adequate abilities as originator and servicer, as evidenced by historical portfolio delinquency, loss experience and prior securitization performance. Fitch deems U.S. Bank capable of servicing the reference obligations in this series. Excessive Counterparty Exposure: The excessive exposure in the transaction arises from U.S. Bank's role in providing a material degree of credit support to the transaction. Noteholders will not have recourse to the reference asset pool or to the cash generated by the assets. Instead, the transaction relies on U.S. Bank to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by U.S. Bank no later than one business day prior to the payment date into a segregated trust account held at U.S. Bank Trust Company, National Association's (A+/F1/Stable) affiliate for the benefit of the notes. If U.S. Bank fails to make a payment to noteholders, it will be deemed an event of default. U.S. Bank is also the servicer for the reference portfolio and will retain the class A and class R certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, U.S. Bank. Fitch's highest assigned rating on the notes, 'Asf', below the bank's IDR, reflects Fitch's review of the CE available to the notes. The CE would support required payments from U.S. Bank that are commensurate with default rates on the reference asset pool at the 'Asf' level. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examined the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than, and recovery assumptions that are lower than, the initial base case. An increase in base case defaults by 50% may lead to downgrades up to one category for class B, class C, class D, and class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. A decrease in base case defaults by 50% may lead to upgrades up to one category for class C, class D, and class E notes. Ratings are capped at the rating of the issuer, U.S. Bank National Association (A+/F1/Stable). 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. VENTURE CLO 33: Moody's Cuts Rating on $28MM Class E Notes to B3 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture 33 CLO, Limited: US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes), Upgraded to Aaa (sf); previously on May 19, 2025 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$28,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B3 (sf); previously on May 19, 2025 Downgraded to B1 (sf) Venture 33 CLO, Limited, originally issued in August 2018 and partially refinanced in February 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 ended in July 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 action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class A-1LR and Class A-1FR notes have been paid down by approximately 74.9% or $114.8 million since then. Based on Moody's calculations, the OC ratio for the Class C-R notes is currently 144.11%, versus the May 2025 level of 126.51%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's February 2026 report[1], the OC ratio for the Class E notes is reported at 96.79% versus April 2025 [2] level of 101.87%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level [3] is 3503 compared to 3155 in April 2025[4]. No actions were taken on the Class A-1LR, Class A-1FR, Class A-2R, Class B-R, Class D and Class F 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: $234,598,810 Defaulted par: $7,770,127 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3653 Weighted Average Spread (WAS): 3.37% Weighted Average Coupon (WAC): 14.0% Weighted Average Recovery Rate (WARR): 45.4% Weighted Average Life (WAL): 2.94 years Par haircut in OC tests and interest diversion test: 8.01% 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. VERUS SECURITIZATION 2026-3: DBRS Finalizes BB Rating on B1 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-3 (the Notes) issued by Verus Securitization Trust 2026-3 (Verus 2026-3 or the Trust) as follows: -- $15.8 million Class A-1A at AAA (sf) -- $2.4 million Class A-1B at AAA (sf) -- $494.8 million Class A-1 at AAA (sf) -- $371.1 million Class A-1FCF at AAA (sf) -- $123.7 million Class A-1LCF at AAA (sf) -- $37.5 million Class A-2 at AA (high) (sf) -- $63.7 million Class A-3 at A (high) (sf) -- $33.1 million Class M-1 at BBB (sf) -- $17.2 million Class B-1 at BB (sf) -- $10.3 million Class B-2 at B (high) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1F, A-1IO1, A-1IO2 and A-1IO initially contemplated in the offering documents, as they were not issued at closing. 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 AAA (sf) credit ratings on the Notes reflect 25.50% of credit enhancement provided by the subordinated Notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (high) (sf) credit ratings reflect 20.05%, 10.80%, 6.00%, 3.50%, 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 1,313 loans with a total principal balance of $688,616,344 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.) Subsequent to the issuance of the related Presale Report, the pool was updated to reflect a Cut-Off Date of March, 2026. The Notes are backed by 1,318 mortgage loans with a total principal balance of $690,540,985 in the Presale Report. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. Through various entities, Invictus Capital Partners, LP (Invictus) began acquiring loans in 2015, and Verus 2026-3 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. VERUS SECURITIZATION 2026-3: Fitch Gives B-(EXP) on B-2 Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-3 (Verus 2026-3). Entity/Debt Rating ----------- ------ VERUS 2026-3 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO1 LT AAA(EXP)sf Expected Rating A-1IO2 LT AAA(EXP)sf Expected Rating A-1IO LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Verus 2026-3, as indicated above. The notes are supported by 1,318 loans with a balance of $690.5 million as of March 1, 2026. The transaction is scheduled to close on March 13, 2026. The notes are secured by mortgage loans originated by various originators and acquired by the sellers. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans, where the P&I advancing party will advance delinquent P&I for up to 90 days. There is no servicer advancing for second lien loans. Primary residence loans constitute 52.3% of the Verus 2026-3 transaction pool, followed by second home and investor loans at 47.7%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans, at 34.9%; while 27.9% were originated to a bank statement program, 17.9% are a CPA P&L product, 12.3% are full documentation or a tax return product, and the remaining 7.1% were underwritten to a written verification of employment (WVOE) or asset underwriting product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-3 has a final probability of default (PD) of 45.5% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.4%. The expected loss in the 'AAAsf' rating stress is 19.3%. Structural Analysis: Verus 2026-3 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration with a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Verus 2026-3 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-3 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Canopy, Clarifii, Clayton, Evolve and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2018-C45: Fitch Lowers Rating on G-RR Debt to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2018-C45 (WFCM 2018-C45). Fitch assigned a Negative Rating Outlook to the downgraded G-RR class. The Rating Outlooks for classes E-RR and F-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Wells Fargo Commercial Mortgage Trust 2018-C45 A-3 95001NAX6 LT AAAsf Affirmed AAAsf A-4 95001NAY4 LT AAAsf Affirmed AAAsf A-S 95001NBB3 LT AAAsf Affirmed AAAsf A-SB 95001NAW8 LT AAAsf Affirmed AAAsf B 95001NBC1 LT AAsf Affirmed AAsf C 95001NBD9 LT A-sf Affirmed A-sf D 95001NAC2 LT BBBsf Affirmed BBBsf E-RR 95001NAE8 LT BBB-sf Affirmed BBB-sf F-RR 95001NAG3 LT BBsf Affirmed BBsf G-RR 95001NAJ7 LT B-sf Downgrade Bsf H-RR 95001NAL2 LT CCsf Downgrade CCCsf X-A 95001NAZ1 LT AAAsf Affirmed AAAsf X-B 95001NBA5 LT A-sf Affirmed A-sf X-D 95001NAA6 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increasing 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.2%, an increase from 6.3% at the prior review. Fitch Loans of Concerns (FLOCs) comprise 11 loans (38.9%) in the pool, including one specially serviced asset (6.8%). The downgrades reflect increased pool loss expectations since the prior rating action, most notably due to a a lower appraisal value and increasing total exposure for the newly REO Parkway Center loan (6.8%). The Negative Outlooks reflect the potential for further downgrade should performance of the FLOCs including Village at Leesburg (10.7%), Roseville Corporate Center (2.7%) and 5800 North Course Office (1.1%) deteriorate further, transfer to special servicing or with a prolonged workout of the Parkway Center asset that results in continued value erosion. Largest Contributors to Loss Expectations: The primary driver and contributor of approximately 50% of overall transaction loss expectations is the Parkway Center, which consists of a six-building, 588,913-sf suburban office park near downtown Pittsburgh, PA. The loan transferred to special servicing in November 2022 due to imminent default stemming from cashflow issues and subsequently went into payment default as of the August 2024 remittance. The foreclosure sale occurred in December 2025 and the property became REO in February 2026. As of September 2025, occupancy was 51%, down from 58% at YE 2022 and 80% at YE 2021. Fitch's 'Bsf' rating case loss of 58.6% (prior to concentration add-ons) reflects a 10% stress to the most recently reported appraisal value which equates to a recovery of approximately $36 psf. The Village at Leesburg loan, secured by a 546,107-sf regional outdoor retail center, represents the second largest contributor to overall loss expectations and is the second largest increase in expected loss since Fitch's previous review. The loan was designated a FLOC following the recent bankruptcy filing of the property's second-largest tenant, Cobb Theatres, and the anticipated departure of anchor tenant L.A. Fitness in March 2026. These vacancies are expected to reduce occupancy to 77%, down from the reported occupancy of 97% as of September 2025. As of September 2025, reported NOI DSCR was 1.25x compared with 1.39x at YE 2024. Fitch's 'Bsf' rating case loss of 4.2% (prior to concentration add-ons) reflects an 8.75% cap rate and a 30% stress applied to the YE 2024 NOI. The third largest contributor to overall loss expectations is the 5800 North Course Office loan, secured by a 78,450-sf office property in Houston, TX. The property was initially fully leased to single tenant Alltran through December 2025; however, the tenant vacated early in 2023, and the property remains vacant. Fitch's 'Bsf' rating case loss of 32.7% (prior to concentration add-ons) reflects an 11.00% cap rate applied to the YE 2021 NOI (when the property was occupied) stressed by 50%, and factors an increased probability of default due to the vacancy and submarket concerns. The Roseville Corporate Center loan, secured by a 109,234-sf office building in Roseville, CA, is the fourth largest contributor to overall loss expectations. Occupancy at the property has steadily declined from a peak of 100% in 2020 down to 84% as of September 2025. NOI DSCR fell below 2.00x coverage for the first time since issuance, declining to 1.84x as of September 2025 from 2.82x in 2024 and 2.87x in 2023. In addition, 43% of the property NRA is scheduled to expire within the next two years. Fitch's 'Bsf' rating case loss of 11.7% (prior to concentration add-ons) reflects the YE 2024 NOI with a 30% stress, a 10.0% cap rate, and an increased probability of default due to the upcoming lease expirations and occupancy decline. Increased Credit Enhancement (CE): As of the February 2026 remittance, the aggregate pool balance has been reduced by 11.6% since issuance. Loan maturities are 100% concentrated in 2028. Cumulative interest shortfalls of $1,560,260 are affecting the non-rated class J-RR. Eleven loans representing 16.2% of the pool are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the senior position in the capital structure, high CE 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 may occur should 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 Parkway Center, Village at Leesburg, Roseville Corporate Center and 5800 North Course Office. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur 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 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Parkway Center, Village at Leesburg, Roseville Corporate Center and 5800 North Course Office. Potential upgrades of these classes to 'AAAsf' would also take into consideration the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed 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. WELLS FARGO 2026-5C8: Fitch Rates Class F-RR Certs 'B-sf' --------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C8 commercial mortgage pass-through certificates, series 2026-5C8 as follows: - $262,000(a) class A-1 'AAAsf'; Outlook Stable; - $127,950,000(a) class A-2 'AAAsf'; Outlook Stable; - $408,102,000(a) class A-3 'AAAsf'; Outlook Stable; - $536,314,000(a)(b) class X-A 'AAAsf'; Outlook Stable; - $65,124,000(a) class A-S 'AAAsf'; Outlook Stable; - $40,223,000(a) class B 'AA-sf'; Outlook Stable; - $30,647,000(a) class C 'A-sf'; Outlook Stable; - $135,994,000(a)(b) class X-B 'A-sf'; Outlook Stable; - $29,688,000(a)(c) class D 'BBB-sf'; Outlook Stable; - $29,688,000(a)(b)(c) class X-D 'BBB-sf'; Outlook Stable; - $18,197,000(a)(c) class E 'BB-sf'; Outlook Stable; - $18,197,000(a)(b)(c) class X-E 'BB-sf'; Outlook Stable; - $13,408,000(a)(c)(d) class F-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $32,562,164(a)(c)(d) class G-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 2.31% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes F-RR and G-RR certificates comprise the transaction's horizontal risk retention interest. The final ratings are based on information provided by the issuer as of March 5, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 40 commercial properties having an aggregate principal balance of $766,163,165 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, and Greystone Commercial Mortgage Capital LLC. The master servicer is Trimont LLC, the primary servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Argentic Services Company LP. Deutsche Bank National Trust Company will act as the trustee and Computershare Trust Company, National Association will act as the certificate administrator. The operating advisor and asset representations reviewer will be Park Bridge Lender Services LLP. The certificates will follow a sequential-paydown structure. Since Fitch published its expected ratings on Feb. 11, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to be in the range of $0 to $250,000,000 and the initial aggregate certificate balance of class A-3 was expected to be in the range of $286,052,000 to $536,052,000. The final class balances for classes A-2 and A-3 are $127,950,000 and $408,102,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 21 loans totaling 91.3% by balance. Fitch's resulting NCF of $78.6 million represents a 13.3% decline from the issuer's underwritten NCF. Fitch Leverage: The pool has slightly lower leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 100.4% is slightly lower than the 2025 average of 101.0% but higher than the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.3% is higher than both the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.4% of the pool, higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 17.7 is lower than the 2025 and 2024 averages of 21.6 and 22.7, respectively. Investment-Grade Credit Opinion Loans: One loan, CityCenter (9.8% of the pool), received a standalone credit opinion of 'AAAsf*'. The pool's investment grade credit opinion percentage is lower than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 105.8% and 9.2%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison 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. [] DBRS Confirms 18 Credit Ratings From 7 Flagship Credit Deals --------------------------------------------------------------- DBRS, Inc. confirmed eighteen credit ratings, downgraded six credit ratings, placed one credit rating under review with negative implications, and discontinued one credit rating as a result of repayment, from seven Flagship Credit Auto Trust transactions. The Affected Ratings are available at https://tinyurl.com/565pjtww The Issuers are: Flagship Credit Auto Trust 2021-3 Flagship Credit Auto Trust 2021-4 Flagship Credit Auto Trust 2022-1 Flagship Credit Auto Trust 2023-3 Flagship Credit Auto Trust 2023-2 Flagship Credit Auto Trust 2023-1 Flagship Credit Auto Trust 2022-3 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. -- Flagship Credit Auto Trust 2021-3 has amortized to a pool factor of 11.02% and has a current cumulative net loss (CNL) to date of 13.88%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.25%. Consequently, the revised base-case loss expectation was increased to 15.95%. The current overcollateralization percentage is 0.00% relative to the target of 3.40% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining reserve account (RA) of 1.00% of the initial pool balance. As of the February 2026 payment date, the RA percentage, which is currently declining, is 8.19% of the current pool balance. As a result, the current level of hard credit enhancement (CE) and estimated excess spread may be insufficient to support the current credit rating on the Class E Notes and, consequently, the current credit rating has been placed under review with negative implications. While CNL is tracking above the initial expectation, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- Flagship Credit Auto Trust 2021-4 has amortized to a pool factor of 13.22% and has a current CNL to date of 15.66%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 11.00%. Consequently, the revised base-case loss expectation was increased to 19.00%. The current overcollateralization percentage is 0.00% relative to the target of 4.00% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. As of the February 2026 payment date, the RA percentage, which is currently declining, is 1.54% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2021-4, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2022-1 has amortized to a pool factor of 16.13% and has a current CNL to date of 16.55%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 20.50%. The current overcollateralization percentage is 0.00% relative to the target of 4.40% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.85% of the initial pool balance. As of the February 2026 payment date, the RA percentage, which is currently declining, is 4.14% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2022-1, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to `CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2022-3 has amortized to a pool factor of 22.51% and has a current CNL to date of 20.79%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 26.50%. The current overcollateralization percentage is 0.00% relative to the target of 6.70% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. The RA percentage is currently 0.00%. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class D Notes. Consequently, the credit rating was downgraded to BB (sf), which is commensurate with the current implied multiple. On October 10, 2025, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating on the Class E Note was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. While CNL is tracking above the initial expectation, the Class C Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- Flagship Credit Auto Trust 2023-1 has amortized to a pool factor of 30.97% and has a current CNL to date of 16.49%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 23.00%. The current overcollateralization percentage is 4.19% relative to the target of 7.50% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. As of the February 2026 payment date, the RA percentage is 3.23% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class B Notes, Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2023-1, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2023-2 has amortized to a pool factor of 35.68% and has a current CNL to date of 17.50%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.75%. Consequently, the revised base-case loss expectation was increased to 25.50%. The current overcollateralization percentage is 1.78% relative to the target of 6.75% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. As of the February 2026 payment date, the RA percentage is 2.80% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class B Notes, Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- For the Class E Notes in Flagship Credit Auto Trust 2023-2, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- Flagship Credit Auto Trust 2023-3 has amortized to a pool factor of 40.37% and has a current CNL to date of 15.69%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.50%. Consequently, the revised base-case loss expectation was increased to 23.50%. The current overcollateralization percentage is 3.59% relative to the target of 4.85% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining RA of 1.00% of the initial pool balance. As of the February 2026 payment date, the RA percentage is 2.48% of the current pool balance. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes. Consequently, the credit rating was downgraded to B (low) (sf), which is commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class A-3 Notes, Class B Notes, Class C Notes, and Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have increased in recent months. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. [] DBRS Confirms 21 Credit Ratings From 7 Prestige Auto Deals ------------------------------------------------------------- DBRS, Inc. confirmed 21 credit ratings and upgraded five credit ratings from Seven Prestige Auto Receivables Trust Transactions as detailed in the summary chart below. The Affected Ratings are available at https://tinyurl.com/54nhmwvd The Issuers are: Prestige Auto Receivables Trust 2023-2 Prestige Auto Receivables Trust 2024-1 Prestige Auto Receivables Trust 2025-1 Prestige Auto Receivables Trust 2024-2 Prestige Auto Receivables Trust 2022-1 Prestige Auto Receivables Trust 2021-1 Prestige Auto Receivables Trust 2023-1 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. -- For Prestige Auto Receivables Trust 2021-1, Prestige Auto Receivables Trust 2022-1, Prestige Auto Receivables Trust 2023-1, Prestige Auto Receivables Trust 2023-2, Prestige Auto Receivables Trust 2024-1 and Prestige Auto Receivables Trust 2024-2, losses are currently tracking above the Morningstar DBRS initial base-case Cumulative net loss (CNL) expectations. However, due to the transaction structures, credit enhancement (CE) has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard CE and estimated future excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For Prestige Auto Receivables Trust 2025-1, losses are tracking below the Morningstar DBRS initial base-case CNL expectation. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have increased over the last 6-12 months with a decline during the current payment date. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (March 10, 2026). [] DBRS Reviews 248 Classes in 34 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 248 classes in 34 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 34 transactions reviewed, 33 are classified as reperforming mortgages and one as revolving portfolio of residential transition loans (RTL). Of the 248 classes reviewed, Morningstar DBRS upgraded its credit ratings on 18 classes and confirmed its credit ratings on the remaining 230 classes. The Affected Ratings are available at https://tinyurl.com/yc7zaw9k The Issuers are: PRET 2024-RPL1 PRPM 2025-RPL1, LLC Towd Point Mortgage Trust 2015-5 Towd Point Mortgage Trust 2015-3 Towd Point Mortgage Trust 2019-3 Towd Point Mortgage Trust 2017-6 Towd Point Mortgage Trust 2015-6 Towd Point Mortgage Trust 2017-3 Towd Point Mortgage Trust 2015-2 Towd Point Mortgage Trust 2018-2 Towd Point Mortgage Trust 2017-4 Towd Point Mortgage Trust 2019-1 Towd Point Mortgage Trust 2019-4 Towd Point Mortgage Trust 2015-4 Towd Point Mortgage Trust 2018-6 Towd Point Mortgage Trust 2018-3 Towd Point Mortgage Trust 2019-2 Towd Point Mortgage Trust 2019-HY2 Towd Point Mortgage Trust 2019-HY3 Towd Point Mortgage Trust 2019-HY1 Towd Point Mortgage Trust 2022-SJ1 Homeward Opportunities Fund Trust 2025-RRTL1 Towd Point Mortgage Trust 2016-1 Towd Point Mortgage Trust 2016-4 Towd Point Mortgage Trust 2017-1 Towd Point Mortgage Trust 2016-2 Towd Point Mortgage Trust 2015-1 Towd Point Mortgage Trust 2018-1 Towd Point Mortgage Trust 2016-5 Towd Point Mortgage Trust 2017-2 Towd Point Mortgage Trust 2016-3 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1 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 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. [] Moody's Takes Rating Action on 10 Bonds from 7 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds and downgraded the ratings of two bonds from seven US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: EMC Mortgage Loan Trust Pass-Through Certificates, Series 2001-A Cl. A, Upgraded to Baa2 (sf); previously on Feb 24, 2017 Upgraded to Ba1 (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-4, Upgraded to Aaa (sf); previously on Jul 16, 2025 Upgraded to Aa2 (sf) Issuer: RAAC Series 2006-SP1 Trust Cl. M-2, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. M-3, Upgraded to Caa2 (sf); previously on Jul 16, 2025 Upgraded to Ca (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. M-2, Upgraded to A1 (sf); previously on Jul 16, 2025 Upgraded to A3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. M-4, Downgraded to Aa3 (sf); previously on Jul 16, 2025 Upgraded to Aaa (sf) Cl. M-5, Downgraded to Baa1 (sf); previously on Jul 16, 2025 Upgraded to A2 (sf) Issuer: Terwin Mortgage Trust 2007-QHL1 Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 16, 2025 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 1, 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 have either incurred a missed or delayed disbursement of an interest payment or are 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, 1.1x for these bonds. The rating downgrades of Class M-4 and Class M-5 from Structured Asset Securities Corp Trust 2007-TC1 are the result of outstanding credit interest shortfalls and the potential that the non-payment of expected interest on these bonds may last longer than 18 months. Each of these bonds have interest shortfalls outstanding for ten months. 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. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. 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