260412.mbx

260412.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, April 12, 2026, Vol. 30, No. 102 Headlines 1988 CLO 4: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes 1988 CLO 7: S&P Assigns BB- (sf) Rating on Class E Notes ALINEA CLO: Moody's Affirms Ba3 Rating on $25MM Class E-R Notes AMCR ABS 2026-A: DBRS Finalizes B(low) Rating on Class D Notes APIDOS CLO LVI: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes APIDOS CLO LVI: Fitch Assigns 'BBsf' Rating on Class E Notes ARES COMMERCIAL 2026-AZURE: Fitch Assigns B+sf Rating on 2 Tranches ARES LOAN III: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ARINI US V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BATTALION CLO XXV: Fitch Assigns 'B-sf' Rating on Class F Notes BBCMS MORTGAGE 2023-5C23: Fitch Cuts Rating on 2 Tranches to 'CCsf' BCC MIDDLE 2018-1: S&P Assigns BB- (sf) Rating on Class D-RR Notes BENCHMARK 2019-B9: Fitch Lowers Rating on Two Tranches to 'CCCsf' BENEFIT STREET 49: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes BIRCH GROVE 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes BRAVO RESIDENTIAL 2026-NQM4: S&P Assigns (P) B Rating on B-2 Notes BX PURE 2026-PURE4: Moody's Assigns (P)Ba3 Rating to Cl. E Notes BX TRUST 2017-CQHP: DBRS Cuts Rating on 2 Tranches to Csf CARLYLE US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes CATHEDRAL LAKE VI: Moody's Cuts Rating on $16MM Cl. E Notes to B2 CBAM 2018-7: Moody's Ups Rating on $37.5MM Cl. E Notes to Ba3 CD 2017-CD3: Fitch Lowers Rating on Class C Certs to CCsf CHASE HOME 2026-3: DBRS Finalizes B(low) Rating on Class B-5 Certs CHASE HOME 2026-4: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs CITIGROUP 2022-GC48: DBRS Confirms BB(low) on YL-C Certs CITIGROUP COMMERCIAL 2017-P7: Fitch Affirms Csf Rating on F Certs COMM 2012-LTRT: DBRS Cuts Class C Certs Rating to CCC(sf) DEEPHAVEN RESIDENTIAL 2026-INV2: S&P Rates Class B-2 Notes 'B' DIAMETER CREDIT IV: Moody's Ups Rating on $11.2MM E Notes from Ba2 DRYDEN 114: Fitch Assigns 'BBsf' Rating on Class E Notes EFMT 2026-AE2: Moody's Assigns (P)B2 Rating to Class B-5 Certs EFMT 2026-NQM4: Fitch Assigns 'B-sf' Final Rating on Three Tranches ELMWOOD CLO 26: Fitch Assigns 'BB-sf' Rating on Class E-R Notes FIGRE TRUST 2026-FL1: DBRS Finalizes B(low) Rating on B-2 Notes GARNET CLO 5: Moody's Assigns B3 Rating to $5MM Class F Notes GARNET CLO 6: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes GCAT 2026-NQM2: DBRS Finalizes Bsf Rating on Class B-2 Certs GCAT 2026-NQM2: Moody's Assigns Ba2 Rating to Cl. B-1 Certs GFCM LLC 2003-1: Moody's Downgrades Rating on Cl. X Certs to Ca GS MORTGAGE 2021-GR2: Moody's Ups Rating on Cl. B-5 Certs to Ba1 GS MORTGAGE 2026-DAWN: DBRS Finalizes B(low) Rating on F Certs GS MORTGAGE 2026-PJ3: DBRS Finalizes B(low) Rating on B-5 Notes GS MORTGAGE 2026-PJ4: DBRS Finalizes B(low) Rating on B-5 Notes GS MORTGAGE 2026-PJ5: DBRS Finalizes B(low) Rating on B-5 Notes GSF 2026-AXMF2: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Certs HILTON GRAND 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes HOMES 2026-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs HPS LOAN 2013-2: S&P Downgrades Class E-R Notes Rating to 'D (sf)' INVESCO U.S. 2024-1: S&P Affirms B (sf) Rating on Class E-R Notes JP MORGAN 2026-NQX1: DBRS Finalizes B(low) Rating on B-2 Certs JPMBB COMMERCIAL 2014-C21: DBRS Confirms Csf Rating on 4 Tranches KKR CLO 63: Fitch Assigns 'BB-sf' Rating on Class E Notes MF1 2024-FL14: DBRS Finalizes B(low) Rating on Class H-E Notes MFA 2026-NQMR1: Fitch Assigns 'B+sf' Final Rating on Cl. B-2 Notes MILL CITY 2026-R1: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Notes MJX VENTURE II: Moody's Cuts Rating on Ser. F/Class E Notes to B3 MORGAN STANLEY 2015-C21: DBRS Cuts Rating on Cl. 555B Debt to CCC MORGAN STANLEY 2017-C34: Fitch Affirms CC Rating on Two Tranches MORGAN STANLEY 2018-MP: DBRS Confirms BBsf Rating on Class E Certs MORGAN STANLEY 2026-1: Fitch Assigns B+sf Rating on Class B5 Certs MORGAN STANLEY 2026-1: Moody's Assigns B3 Rating to Cl. B-5 Certs MORGAN STANLEY 2026-NQM3: DBRS Finalizes Bsf Rating on B-2 Certs MORGAN STANLEY 2026-NQM3: Moody's Assigns B3 Rating to B-2 Certs MOUNTAIN VIEW 2017-2: Moody's Cuts Rating on $7.4MM F Notes to C NYMT LOAN 2026-INV2: S&P Assigns B- (sf) Rating on Cl. B-2 Notes OAKWOOD MORTGAGE 1999-D: Moody's Raises Rating on A-1 Certs to B2 OBX 2026-AHC1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OHA CREDIT 25: Fitch Assigns 'BB-sf' Rating on Class E Notes ONITY LOAN 2026-HB1: DBRS Finalizes Bsf Rating on Class M5 Notes PAGAYA AI 2026-R2: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes POST ROAD 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes PRET 2025-RPL2: DBRS Confirms BBsf rating on Cl. B-1 Debt PRKCM 2026-AFC2: S&P Assigns Prelim B (sf) Rating on Cl. B-1 Notes PRPM 2026-RCF2: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes ROWE CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes SAIF SECURITIZATION 2026-CES1: DBRS Finalizes B(low) on B-2 Debt SEQUOIA MORTGAGE 2026-5: Fitch Assigns B(EXP)sf Rating on B5 Certs SIGNAL PEAK 1: S&P Lowers Class E-R3 Notes Rating to 'B (sf)' SIGNAL PEAK 3: Fitch Assigns 'B-sf' Rating on Class F-R4 Notes SLG OFFICE 2026-OMA: Fitch Assigns 'B-sf' Final Rating on HRR Certs SYMPHONY CLO 53: S&P Assigns BB- (sf) Rating on Class E Notes SYMPHONY CLO XXI: S&P Lowers Class E-R Notes Rating to 'B (sf)' TRINITAS CLO XXVIII: S&P Assigns (P) BB- (sf) Rating on E-R Notes VENTURE XXX CLO: Moody's Cuts Rating on $31.5MM Cl. E Notes to Caa2 VERUS SECURITIZATION 2026-R3: Fitch Rates Class B-2 Notes 'B-(EXP)' WELLS FARGO 2016-NXS5: Fitch Lowers Rating on Two Tranches to 'Csf' WESTGATE RESORTS 2026-1: DBRS Finalizes BB(low) Rating on D Notes WFRBS COMMERCIAL 2014-C23: Fitch Lowers Rating on 3 Tranches to Csf [] DBRS Takes Actions on 18 CPS Auto Receivables Trust Deals ********* 1988 CLO 4: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R debt from 1988 CLO 4 Ltd./1988 CLO 4 LLC, a CLO managed by 1988 Asset Management LLC that was originally issued in May 2024. The preliminary ratings are based on information as of April 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 15, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, E debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R debt is expected to be issued at a lower spread than the existing debt. -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The non-call period will be extended to April 15, 2028 -- The reinvestment period will be extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 15, 2039. -- No additional assets will be purchased on the April 15, 2026, refinancing date, and the target initial par amount will be upsized to $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- The existing subordinated notes will be upsized by $6.91 million to a new total of $48.75 million, and their maturity is being extended in line with the new classes -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned 1988 CLO 4 Ltd./1988 CLO 4 LLC Class A-1-R, $283.50 million: AAA (sf) Class A-2-R, $13.50 million: AAA (sf) Class B-R, $45.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB+ (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Other Debt 1988 CLO 4 Ltd./1988 CLO 4 LLC Subordinated notes, $48.75 million: NR NR--Not rated. 1988 CLO 7: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to 1988 CLO 7 Ltd./1988 CLO 7 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by 1988 CLO L.P., a subsidiary of Muzinich & Co. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 1988 CLO 7 Ltd./1988 CLO 7 LLC Class A-1, $202.0 million: AAA (sf) Class A-L, $50.0 million: AAA (sf) Class A-2, $12.0 million: AAA (sf) Class B, $40.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $38.9 million: NR NR--Not rated. ALINEA CLO: Moody's Affirms Ba3 Rating on $25MM Class E-R Notes --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Alinea CLO, Ltd.: US$33M Class D-R Deferrable Mezzanine Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on Nov 18, 2025 Upgraded to Aa3 (sf) Moody's have also affirmed the ratings on the following notes: US$51M (Current outstanding balance US$24,696,958) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 18, 2025 Affirmed Aaa (sf) US$26M Class C-R Deferrable Mezzanine Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 18, 2025 Affirmed Aaa (sf) US$25M Class E-R Deferrable Junior Secured Floating Rate Notes, Affirmed Ba3 (sf); previously on Nov 18, 2025 Affirmed Ba3 (sf) Alinea CLO, Ltd., issued in July 2018 and later refinanced in February 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Invesco Senior Secured Management, Inc.. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the senior debt following amortisation of the underlying portfolio since the last rating action in November 2025. The affirmations on the ratings on the Class 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. Since the last rating action, the remaining USD2.8 million of Class A-R notes and A-R loans were repaid. Additionally, Class B-R notes were paid down by USD26.3 million (51.6%). Cumulatively, USD163.1 million has repaid since the closing of the refinancing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated March 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 463.88%, 225.98%, 136.88% and 105.40% compared to November 2025[2] levels of 273.62%, 184.51%, 130.55% and 106.87%, 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: USD116.1m Defaulted Securities: USD3.85m Diversity Score: 35 Weighted Average Rating Factor (WARF): 3223 Weighted Average Life (WAL): 2.95 years Weighted Average Spread (WAS): 3.25% Weighted Average Recovery Rate (WARR): 46.47% Par haircut in OC tests: 2.28% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. AMCR ABS 2026-A: DBRS Finalizes B(low) Rating on Class D Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by AMCR ABS Trust 2026-A (AMCR 2026-A or the Issuer): -- $91,894,000 Class A Notes at A (low) (sf) -- $24,859,000 Class B Notes at BBB (low) (sf) -- $18,444,000 Class C Notes at BB (low) (sf) -- $14,151,000 Class D Notes at B (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Notes are based on a review by Morningstar DBRS of the following considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under all A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) stress scenarios in accordance with the terms of the AMCR 2026-A transaction documents. (2) The experience, sourcing, and servicing capabilities of Credit9. Morningstar DBRS has performed an operational risk assessment of Credit9 and believes the Company is an acceptable consumer loan servicer with an acceptable Backup Servicer. (3) Americor has an experienced management team. (4) The experience, underwriting, and origination capabilities of CRB. (5) The ability of Nelnet Servicing, LLC dba Firstmark to perform duties as a Backup Servicer. (6) The annual percentage rate (APR) charged on the loans and the status of CRB as the true lender. -- All the loans included in AMCR 2026-A are originated by CRB, a New Jersey state-chartered FDIC-insured bank. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- The weighted-average (WA) APR of the loans in the pool is 29.59%. -- Loans may be in excess of individual state usury laws; however, CRB as the true lenders are able to export rates that pre-empt state usury rate caps. -- Loans originated to borrowers in Vermont, Colorado, Maine, West Virginia, and Puerto Rico are excluded from the pool. -- Under the Loan Sale Agreement, CRB is obligated to repurchase any loan if there is a breach of a representation and warranty that materially and adversely affects the interests of the purchaser. (7) The legal structure and expected legal opinions that will address the true sale of the unsecured loans, the nonconsolidation of the trust, 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. (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. 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 Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligations is the related interest on unpaid Interest Distributable Amount for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. APIDOS CLO LVI: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO LVI. Entity/Debt Rating ----------- ------ Apidos CLO LVI A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C-1 LT A(EXP)sf Expected Rating C-2 LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating D-3 LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO LVI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'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 97.88% first lien senior secured loans and has a weighted average recovery assumption of 71.62%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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, between less than 'B-sf' and 'BB+sf' for class D-3, 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, 'Asf' for class D-3, 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 Apidos CLO LVI. 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. APIDOS CLO LVI: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned Ratings and Rating Outlooks to Apidos CLO LVI. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO LVI A-1 03772AAA5 LT NRsf New Rating NR(EXP)sf A-2 03772AAC1 LT AAAsf New Rating AAA(EXP)sf B 03772AAE7 LT AAsf New Rating AA(EXP)sf C-1 03772AAG2 LT Asf New Rating A(EXP)sf C-2 03772AAJ6 LT Asf New Rating A(EXP)sf D-1 03772AAL1 LT BBB-sf New Rating BBB-(EXP)sf D-2 03772AAN7 LT BBB-sf New Rating BBB-(EXP)sf D-3 03772AAQ0 LT BBB-sf New Rating BBB-(EXP)sf E 03772BAC9 LT BBsf New Rating BB(EXP)sf F 03772BAE5 LT NRsf New Rating NR(EXP)sf Subordinated 03772BAA3 LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO LVI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'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 97.88% first-lien senior secured loans and has a weighted average recovery assumption of 71.62%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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,between less than 'B-sf' and 'BB+sf' for class D-3, 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, 'Asf' for class D-3 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. Date of Relevant Committee 31 March 2026 ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LVI. 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. ARES COMMERCIAL 2026-AZURE: Fitch Assigns B+sf Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to ARES Commercial Mortgage Trust 2026-AZURE commercial mortgage pass-through certificates, series 2026-AZURE: - $281,100,000 class A 'AAAsf'; Outlook Stable; - $44,300,000 class B 'AA-sf'; Outlook Stable; - $34,800,000 class C 'A-sf'; Outlook Stable; - $49,000,000 class D 'BBB-sf'; Outlook Stable; - $65,800,000 class E 'BB-sf'; Outlook Stable; - $20,000,000a class JRR 'B+sf'; Outlook Stable; - $5,000,000a class KRR 'B+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 was co-originated by Wells Fargo Bank, National Association, Barclays Capital Real Estate Inc. and Bank of America, N.A. Trimont, LLC is to serve as the master servicer with K-Star Asset Management LLC as special servicer. Computershare Trust Company, National Association will act as the certificate administrator and Deutsche Bank National Trust Company will act as the trustee. 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 (NCF): Fitch's stressed 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 LOAN III: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding III, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding III, Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating A-2R 04009BAQ1 LT PIFsf Paid In Full AAAsf B-R 04009BAS7 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-1R 04009BAU2 LT PIFsf Paid In Full A+sf C-2R 04009BBA5 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-1R 04009BAW8 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating D-2R 04009BAY4 LT PIFsf Paid In Full BBB-sf E-R 04019PAE5 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating X-R2 LT AAAsf New Rating Transaction Summary Ares Loan Funding III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC, which originally closed in June 2022. The existing secured notes will be redeemed in full. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.29 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 96.91% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.98% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares Loan Funding III, 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. ARINI US V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Arini US CLO V Ltd./Arini US CLO V LLC's floating rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC. The preliminary ratings are based on information as of April 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Arini US CLO V Ltd./Arini US CLO V LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $15.60 million: BB- (sf) Subordinated notes, $34.00 million: NR NR--Not rated. BATTALION CLO XXV: Fitch Assigns 'B-sf' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO XXV Ltd.'s class B-R and class C-R refinancing notes. Fitch has also affirmed the ratings on the original class D, class E and class F notes. Entity/Debt Rating Prior ----------- ------ ----- Battalion CLO XXV Ltd. A-R LT NRsf New Rating B 07134FAC4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 07134FAE0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 07134FAG5 LT BBB-sf Affirmed BBB-sf E 07134GAA6 LT BB-sf Affirmed BB-sf F 07134GAC2 LT B-sf Affirmed B-sf Transaction Summary Battalion CLO XXV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Europe Management LLP which originally closed in March 2024. Net proceeds from the issuance of the new secured and existing subordinated notes will provide financing on a portfolio of approximately $396 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.72% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.13% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a remaining 2.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. 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: - Class A being refinanced to Class A-R with lower spreads; - Class B being refinanced to Class B-R with lower spreads; - Class C being refinanced to Class C-R with lower spreads. FITCH ANALYSIS The portfolio includes 332 assets from 304 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $396 million. As of the latest trustee report, prior to the refinance date, the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 43.9% of the current portfolio par balance; ratings for 56.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: 6.25 years; - Minimum weighted average spread of 3.20%; - Minimum weighted average recovery rate of 71.13%; - Maximum weighted average rating factor of 23.00; - Fixed-rate assets: 7.50%. 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 B-R: 'AAsf' / Default 38.20% / Recovery 46.86% / Cushion 11.70% - Class C-R: 'Asf' / Default 33.80% / Recovery 56.51% / Cushion 10.90% - Class D: 'BBB-sf' / Default 25.90% / Recovery 65.64% / Cushion 8.60% - Class E: 'BB-sf' / Default 21.70% / Recovery 71.89% / Cushion 8.30% - Class F: 'B-sf' / Default 17.20% / Recovery 76.16% / Cushion 8.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R: 'AAsf' / Default 45.00% / Recovery 45.06% / Cushion 4.40% - Class C-R: 'Asf' / Default 40.00% / Recovery 54.88% / Cushion 4.40% - Class D: 'BBB-sf' / Default 31.00% / Recovery 64.29% / Cushion 4.90% - Class E: 'BB-sf' / Default 25.80% / Recovery 69.74% / Cushion 4.80% - Class F: 'B-sf' / Default 20.70% / Recovery 74.37% / Cushion 5.00% 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 'BBBsf' and 'AAsf' for class B-R, between 'BB+sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BB-sf' for class E, and between less than 'B-sf' and 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D, 'BBB+sf' for class E, and 'BB+sf' for class F. 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 Battalion CLO XXV 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. BBCMS MORTGAGE 2023-5C23: Fitch Cuts Rating on 2 Tranches to 'CCsf' ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed eight classes of BBCMS Mortgage Trust 2023-C22 (BBCMS 2023-C22). The Rating Outlooks were revised to Negative from Stable for two affirmed classes. Fitch has also assigned a Negative Outlook to three classes following their downgrades. The Outlook is Negative for one affirmed class. Fitch has also downgraded nine and affirmed five classes of BBCMS Mortgage Trust 2023-5C23 (BBCMS 2023-5C23). The Outlook was revised to Negative from Stable for one affirmed class. Fitch has also assigned a Negative Outlook to five classes following their downgrades. The Outlook is Negative for one affirmed class. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2023-5C23 A-2 05493QAA3 LT AAAsf Affirmed AAAsf A-3 05493QAB1 LT AAAsf Affirmed AAAsf A-S 05493QAD7 LT AAAsf Affirmed AAAsf B 05493QAE5 LT AA-sf Affirmed AA-sf C 05493QAF2 LT BBB-sf Downgrade A-sf D 05493QAQ8 LT BBsf Downgrade BBBsf E 05493QAS4 LT BB-sf Downgrade BBB-sf F 05493QAU9 LT B-sf Downgrade BB-sf G 05493QAW5 LT CCCsf Downgrade Bsf H 05493QAY1 LT CCsf Downgrade CCCsf X-A 05493QAC9 LT AAAsf Affirmed AAAsf X-F 05493QAJ4 LT B-sf Downgrade BB-sf X-G 05493QAL9 LT CCCsf Downgrade Bsf X-H 05493QAN5 LT CCsf Downgrade CCCsf BBCMS 2023-C22 A-2 05554FAB1 LT AAAsf Affirmed AAAsf A-4 05554FAC9 LT AAAsf Affirmed AAAsf A-5 05554FAD7 LT AAAsf Affirmed AAAsf A-S 05554FAF2 LT AAAsf Affirmed AAAsf A-SB 05554FAE5 LT AAAsf Affirmed AAAsf B 05554FAJ4 LT AA-sf Affirmed AA-sf C 05554FAK1 LT A-sf Affirmed A-sf D 05554FAL9 LT BBB-sf Downgrade BBB+sf E-RR 05554FAN5 LT BB-sf Downgrade BBB-sf F-RR 05554FAQ8 LT CCCsf Downgrade Bsf G-RR 05554FAS4 LT CCsf Downgrade CCCsf X-A 05554FAG0 LT AAAsf Affirmed AAAsf X-D 05554FAY1 LT BBB-sf Downgrade BBB+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 6.7% in BBCMS 2023-C22 and 6.6% in BBCMS 2023-5C23, from 5.4% and 5.9%, respectively. The BBCMS 2023-C22 transaction has nine Fitch Loans of Concern (FLOCs; 23.3% of the pool), including seven loans (22.0%) in special servicing. The BBCMS 2023-5C23 transaction has five FLOCs (11.4%), including four loans (10.3%) in special servicing. Fitch also performed a liquidation analysis that 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. BBCMS 2023-C22: The downgrades reflect higher pool loss expectations since the prior rating action, driven primarily by the increase in loss expectations for three specially serviced FLOCs, the Knoll Ridge Apartments (3.6%), 100 Philips Parkway (1.5%), and Westcreek II (0.9%). All three have reported lower updated valuations. In addition, the downgrades reflect increased losses for the second largest loan in the pool, The Muse & Eden Point (9.6%), which is also in special servicing. The Negative Outlooks reflect the potential for downgrades if performance on the FLOCs does not stabilize and/or the workout of the specially serviced loans are prolonged, with additional value degradation and/or increasing exposure, leading to higher-than-expected losses. BBCMS 2023-5C23: The downgrades reflect the higher pool loss expectations since the prior rating action, driven primarily by the increase in loss expectations for one specially serviced FLOC, Rockridge Apartments (7.5%), due to sustained performance deterioration and increased loan exposure from servicer advances. The Negative Outlooks reflect that further downgrades are possible if expected losses increase for Rockridge Apartments including lack of performance stabilization, updated lower valuations, further increased exposure, and/or with extended resolution time. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in the BBCMS 2023-C22 transaction is the Knoll Ridge Apartments loan, which is secured by three multifamily properties totaling 354 units located in suburban Indianapolis, IN. The loan transferred to special servicing in July 2024. According to the servicer, foreclosure litigation is ongoing, and a receiver remains in place. The sponsor was Mendel Steiner, who passed away in January 2025. The borrower was non-compliant with cash management and reporting requirements, and a foreclosure complaint was filed in June 2025. No updated financials have been provided since securitization. Fitch's 'Bsf' rating case loss of 33.8% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, resulting in a Fitch-stressed value of approximately $91,000 per unit. The most recent appraisal value represents a 42% value decline from the appraisal value at issuance. The second largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in BBCMS 2023-C22 is 100 Philips Parkway, which is a 79,007 sf, suburban office building in Montvale, NJ. The loan transferred to special servicing in May 2024 due to payment default and a receiver was appointed in January 2025. The property has been REO since December 2025, and the special servicer is continuing to evaluate strategy. At securitization, the underwritten net cash flow (NCF) debt service coverage ratio (DSCR) was 1.62x, and occupancy was 100%. Tenants include CBRM Realty Inc (78.6% of NRA, through September 2037) and Nice-Pak Products Inc (21.5%, December 2027). Fitch has not received updated financial reporting. However, the servicer confirmed that CBRM Realty is no longer operating at the property. According to CoStar, vacancy os 78.5%, with the CBRM Realty Inc space listed as vacant and available. Fitch's 'Bsf' rating case loss of 75.3% (prior to concentration add-ons) reflects the updated appraisal value, equating to a value of approximately $59 psf. The updated reported appraisal value is 75% below the appraisal value at issuance. The third largest contributor to overall pool loss expectations in BBCMS 2023-C22 is The Muse & Eden Pointe. The loan is secured by two garden-style multifamily properties totaling 1,001 units - The Muse in Dallas, TX and Eden Pointe in Houston, TX. The loan transferred to special servicing in September 2025 due to violations at the property. The servicer is in active negotiations with the borrower about completing renovations and complying with the provisions under the loan documents. In addition, as of March 2026, the servicer noted that the borrower has failed to provide access to the properties and litigation is ongoing. The city of Dallas retained a property inspector that noted various renovations at the property including plumbing and HVAC repairs, as well as unit renovations estimated at $9.1 million with an expected completion time of 12-18 months. The servicer-reported YE 2025 NOI DSCR was 1.55x with an occupancy of 85.8% as of September 2025, compared with the issuer NOI DSCR of 1.29x and occupancy of 86% at issuance. Fitch's 'Bsf' rating case loss of 7.8% (prior to concentration add-ons) reflects a 20% stress to the YE 2025 NOI, to reflect the cash flow disruption from the ongoing renovations to the property. The fourth largest contributor to overall pool loss expectations in BBCMS 2023-C22 is Westcreek II, which is secured by a 72-unit garden style apartment in Jacksonville, FL. The loan transferred to special servicing in October 2024 due to continuing non-compliance with lockbox activation and payment default. According to the servicer, a foreclosure complaint was filed in July 2025, and the borrower filed for bankruptcy in December 2025. The servicer is continuing to monitor bankruptcy and legal proceedings. The servicer-reported YE 2024 NOI DSCR was 0.74x with an occupancy of 71%, compared with the issuer NOI DSCR of 1.28x and occupancy of 97% at issuance. Fitch's 'Bsf' rating case loss of 63.0% (prior to concentration add-ons) reflects a stress to the updated appraisal value, equating to a value of approximately $45,600 per unit. The updated appraisal value is 56% below the appraisal value at issuance. The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in the BBCMS 2023-5C23 is the Rockridge Apartments loan, secured by an 881-unit multifamily complex in Houston, TX, southwest of George Bush Airport in Greenpoint. The loan transferred to special servicing for payment default in October 2024 and is over 90 days delinquent. According to the servicer, the property was damaged by two storms in 2024, with the borrower using funds to pay for capital repairs. According to the servicer, the receiver was appointed in August 2025 and is assessing the status of the property, which reported an occupancy of 28% as of March 2026. Fitch's 'Bsf' rating case loss of 52.6% (prior to concentration add-ons) reflects the total exposure and recent reported appraisal value, which is approximately 56% lower than the issuance appraisal, and reflects a value per unit of $43,200 per unit. Limited Change to Credit Enhancement (CE): As of the March 2026 distribution date, the pool's aggregate balance for BBCMS 2023-C22 has been reduced by 0.9% to $686.4 million from $692.8 million at issuance. Cumulative interest shortfalls of $1.6 million are affecting the non-rated class H-RR and $39,897 are affecting the rated class G-RR. BBCMS 2023-5C23 has had minimal paydown since issuance. Cumulative interest shortfalls of $2.0 million are affecting non-rated class J-RR, $440,795 are affecting the rated class H, $175,823 are affecting the rated class G, $219,728 are affecting the rated class F, $463,627 are affecting the rated class E, and $316,464 are affecting the rated class D. 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 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 are expected to occur; - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs — most notably Knoll Ridge Apartments, 100 Philips Parkway, The Muse & Eden Pointe, and Westcreek II in BBCMS 2023-C22, and Rockridge Apartments in BBCMS 2023-5C23 — deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs;. - Downgrades to '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 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Knoll Ridge Apartments, 100 Philips Parkway, The Muse & Eden Pointe, and Westcreek II in BBCMS 2023-C22, and Rockridge Apartments in BBCMS 2023-5C23; - Upgrades to the 'BBBsf' category rated classes 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 are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf' and 'CCsf' rated classes are not likely but may be 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. BCC MIDDLE 2018-1: S&P Assigns BB- (sf) Rating on Class D-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1RR, A-JRR, A-2RR, A-2FRR, B-RR, B-FRR, C-RR, and D-RR debt and new class X-RR debt and class A-1L loans from BCC Middle Market CLO 2018-1 LLC, a CLO managed by Bain Capital Senior Loan Program LLC, a subsidiary of Bain Capital Credit L.P., that was originally issued in September 2018 and underwent a refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1R, A-JR, A-2R, B-R, C-R, and D-R debt and assigned ratings to the replacement class A-1RR, A-JRR, A-2RR, A-2FRR, B-RR, B-FRR, C-RR, and D-RR debt and new class X-RR debt and class A-1L loans.. The replacement and new debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1RR, A-JRR, C-RR, and D-RR debt were issued at a lower spread over three-month CME term SOFR than the existing debt. -- The previous class A-2R debt was split into replacement class A-2RR floating rate and A-2FRR fixed rate debt. -- The previous class B-R debt was split into replacement class B-RR floating rate and B-FRR fixed rate debt. -- New class A-1L loans were issued on the refinancing date. It is pro rata with the class A-1RR debt. -- New class X-RR debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $375,000, beginning on the first payment date and ending in April 2030. -- The deferrable obligations concentration limit was increased to 7.5% from 2.5%, and there is no partial deferrable obligations concentration limit, so it can be up to 100%. -- The 'CCC' collateral obligations concentration limit was increased to 20.0% from 17.5%. -- The concentration limit for assets that can pay interest less frequently than quarterly was increased to 7.5% from 5.0%. -- The non-call period was extended to April 20, 2028. -- The reinvestment period was extended to April 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes was extended to April 20, 2038. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned BCC Middle Market CLO 2018-1 LLC Class X-RR, $6.00 million: AAA (sf) Class A-1RR, $140.00 million: AAA (sf) Class A-1L loans, $150.00 million: AAA (sf) Class A-JRR, $20.00 million: AAA (sf) Class A-2RR, $17.00 million: AA (sf) Class A-2FRR, $13.00 million: AA (sf) Class B-RR (deferrable), $35.00 million: A (sf) Class B-FRR (deferrable), $5.00 million: A (sf) Class C-RR (deferrable), $30.00 million: BBB- (sf) Class D-RR (deferrable), $30.00 million: BB- (sf) Ratings Withdrawn BCC Middle Market CLO 2018-1 LLC Class A-1-R to NR from AAA (sf) Class A-J-R to NR from AAA (sf) Class A-2-R to NR from AA (sf) Class B-R to NR from A (sf) Class C-R to NR from BBB- (sf) Class D-R to NR from BB- (sf) Other Debt BCC Middle Market CLO 2018-1 LLC Subordinated notes, $85.45 million: NR NR--Not rated. BENCHMARK 2019-B9: Fitch Lowers Rating on Two Tranches to 'CCCsf' ----------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 12 classes of Benchmark 2019-B9 Mortgage Trust (BMARK 2019-B9). Following the downgrade, class D was assigned a Negative Rating Outlook. The Outlooks for classes A-S, B, C, X-A and X-B are Negative. Fitch has also affirmed 15 classes of Benchmark 2019-B10 Mortgage Trust (BMARK 2019-B10). The Rating Outlooks on affirmed classes A-M and X-A have been revised to Stable from Negative. The Outlooks for classes B, C, D, and X-B are Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2019-B10 A-3 08162VAD0 LT AAAsf Affirmed AAAsf A-4 08162VAE8 LT AAAsf Affirmed AAAsf A-M 08162VAG3 LT AA-sf Affirmed AA-sf A-SB 08162VAC2 LT AAAsf Affirmed AAAsf B 08162VAH1 LT A-sf Affirmed A-sf C 08162VAJ7 LT BBB-sf Affirmed BBB-sf D 08162VAV0 LT BBsf Affirmed BBsf E 08162VAX6 LT CCCsf Affirmed CCCsf F 08162VAZ1 LT CCsf Affirmed CCsf G 08162VBB3 LT Csf Affirmed Csf X-A 08162VAF5 LT AA-sf Affirmed AA-sf X-B 08162VAK4 LT BBB-sf Affirmed BBB-sf X-D 08162VAM0 LT CCCsf Affirmed CCCsf X-F 08162VAP3 LT CCsf Affirmed CCsf X-G 08162VAR9 LT Csf Affirmed Csf BMARK 2019-B9 A-4 08160JAD9 LT AAAsf Affirmed AAAsf A-5 08160JAE7 LT AAAsf Affirmed AAAsf A-AB 08160JAF4 LT AAAsf Affirmed AAAsf A-S 08160JAH0 LT AA-sf Affirmed AA-sf B 08160JAJ6 LT A-sf Affirmed A-sf C 08160JAK3 LT BBB-sf Affirmed BBB-sf D 08160JAY3 LT Bsf Downgrade BBsf E 08160JBA4 LT CCCsf Downgrade Bsf F 08160JBC0 LT CCCsf Affirmed CCCsf G 08160JBE6 LT CCsf Affirmed CCsf X-A 08160JAG2 LT AA-sf Affirmed AA-sf X-B 08160JAL1 LT BBB-sf Affirmed BBB-sf X-D 08160JAN7 LT CCCsf Downgrade Bsf X-F 08160JAQ0 LT CCCsf Affirmed CCCsf X-G 08160JAS6 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 10.9% for BMARK 2019-B9 and 8.9% for BMARK 2019-B10, which compares with deal-level rating case losses of 8.9% and 9.5%, respectively, at the prior rating action. The BMARK 2019-B9 transaction has 13 Fitch Loans of Concern (FLOCs; 38.4% of the pool), including four specially serviced loans (19.4%). The BMARK 2019-B10 transaction has 11 FLOCs (32.9%), including four loans in special servicing (11.5%). The downgrade in BMARK 2019-B9 reflects higher loss expectations on Plymouth Corporate Center (5.7% of the pool, the third-largest loan) and 8701 Georgia Avenue (1.6%), and continued underperformance of 3 Park Avenue (10.9%, the largest loan) and Fairbridge Office Portfolio (3.7%) since Fitch's prior rating action. Plymouth Corporate Center and 8701 Georgia Avenue transferred to special servicing in February 2026 and December 2025, respectively, and are currently in foreclosure as of March 2026. 3 Park Avenue and Fairbridge Office Portfolio have experienced sustained performance deterioration and have a large amount of upcoming lease maturities. The Negative Outlooks on BMARK 2019-B9 reflect the high concentration of office FLOCs and performance concerns of the specially serviced loans. Thirteen loans, representing 42.4% of the pool, are secured by office properties, and nine loans, representing 32.1%, are FLOCs secured by office properties, including Kawa Mixed Use Portfolio, Woodbury Medical Office, Monarch Corporate Center, Vista Park Office, and Dupont Office Center. Downgrades are possible if performance of office FLOCs does not stabilize or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. The Negative Outlooks also consider a sensitivity scenario where 3 Park Avenue and Fairbridge Office Portfolio were analyzed with an elevated probability of default. The affirmations in BMARK 2019-B10 reflect the generally stable pool performance and lower loss expectations since Fitch's prior rating action, primarily driven by a 6.7% decline in specially serviced loans following the transfer of 9800 Wilshire and Flight back to the master servicer and a 6.2% decline in FLOCs. One loan, 116 University Place, was disposed of since the prior review with an approximate 90% realized loss, which was in line with the Fitch expected loss. The revision of the Outlooks on classes A-M and X-A to Stable from Negative reflects generally stable pool performance in line with expectations and increasing credit enhancement to the class. The Negative Outlooks on BMARK 2019-B10 reflect the high concentration of office loans and performance concerns with the specially serviced loans. Ten loans secured by office properties represent 39.1% of the pool, and seven loans (21.2%) are flagged as FLOCs due to performance deterioration and elevated near-term lease rollover risk, including specially serviced 3 Park Avenue (6.2%; the second-largest loan in the pool), Spring Hollow Apartments (2.7%), and 166 Geary Street (1.8%), and the following FLOC loans: Saint Louis Galleria (6.0%; the third-largest loan in the pool), Tulsa Office Portfolio, 101 California, Flight, and Union Bay Apartments. The Negative Outlooks also consider a sensitivity scenario where 3 Park Avenue was analyzed with an elevated probability of default. Largest Loss Contributors: The largest contributor to overall pool loss expectations and the second-largest increase in loss since the prior rating action in BMARK 2019-B9 is Plymouth Corporate Center loan, which is secured by a 605,767-sf office building in Plymouth, MN, approximately 10 miles west of the Minneapolis CBD. The loan transferred to the special servicer in February 2026 due to imminent monetary default due to cash flow issues. The largest tenant and the largest contributor to rent, Huntington Bank, vacated their space in January 2026, and the fourth-largest tenant has gone dark and continues to make rental payments. As of the September 2025 rent roll, base rent from Huntington Bank represented 78% of the base rent for the total building. Occupancy and NOI DSCR were 91% and 1.67x, respectively, as of TTM September 2025, but occupancy is expected to decline to 22% following Huntington Bank's departure in January 2026. As Huntington Bank did not renew its lease 30 months before its June 2023 lease expiration, a cash flow sweep commenced. Excess cash is being applied toward re-tenanting costs for the Huntington Bank space. As of March 2026, the total reserve balance was $5.6 million. Fitch's 'Bsf' rating case loss of 55.7% (prior to concentration add-ons) is based on an 80% stress to YE 2024 NOI, a 10.25% cap rate and factors in an increased probability of default. The second-largest contributor to overall loss expectations in BMARK 2019-B9 and the largest contributor to overall loss expectations in BMARK 2019-B10 is the 3 Park Avenue loan, which is secured by 641,186 sf of office space on floors 14 through 41 and 26,260 sf of multilevel retail space located on Park Avenue and 34th Street in the Murray Hill office submarket of Manhattan. This FLOC was flagged for low occupancy and DSCR. The loan transferred to special servicing in September 2024 for imminent default, and the lender is dual tracking the foreclosure process while discussing the borrower's request for a loan modification. Per the servicer's comments, the lender conditionally approved a proposed reinstatement with the borrower, which includes a payment from the borrower of $1.8 million for defaulted interest. As of September 2025, occupancy was 47%, down from 51% at YE 2024 and 54% at YE 2023 and remained well below 86% at issuance. The decline was driven by the departure of TransPerfect Translations (13.7% of NRA) in 2019, Icon Capital Corporation (3.4%) in 2023, several tenant downsizings, and, more recently, Return Path, Inc. (3.5%), which vacated upon lease expiration in July 2025. According to the September 2025 rent roll, the largest tenant, Houghton Mifflin Harcourt (15.2% of NRA), has a lease expiration in December 2027. According to CoStar, 45% of its space is being marketed for sublease. The third-largest tenant, Zeta Global Holding Corp., expanded by 3.5% of NRA under a lease expiring in June 2027. The servicer-reported NOI DSCR was 0.81x as of September 2025, compared with 1.19x at YE 2024, 0.91x at YE 2023, and 0.81x at YE 2022, and remained significantly below 2.08x at issuance based on the originator's underwritten NOI. Fitch's 'Bsf' rating case loss of 26% (prior to concentration add-ons) in both transactions reflects an 8.5% cap rate on the TTM September 2025 NOI, and a higher probability of default due to the performance declines and low DSCR. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk, where the loan-level 'Bsf' sensitivity case loss increases to 32.8% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The third-largest contributor to overall loss expectations in the BMARK 2019-B9 transaction is the Fairbridge Office Portfolio loan, which is secured by a two-property office portfolio located in suburban Chicago, Illinois, totaling 385,525 sf. The Oak Brook Gateway property comprises 233,050 sf of office space and is located approximately 18 miles from downtown Chicago, and the Cornerstone I at Cantera property comprises 152,475 sf of office space and is located approximately 31 miles from downtown Chicago. This FLOC was flagged for low occupancy and DSCR. Performance of the portfolio remains depressed. While occupancy increased slightly to 66% as of September 2025 from 59% at YE 2024, NOI DSCR declined to 0.98x as of September 2025 from 1.02x at YE 2024, and 16% of the NRA rolls within one year. According to the servicer, two tenants (0.7% of NRA) with 2026 lease expirations have extended their leases, one tenant is expected to expand its space in spring 2026, and two prospective tenants are in discussions. As of the March 2026 remittance, the loan remains current. Fitch's 'Bsf' rating case loss of 23.6% (prior to concentration add-ons) reflects a 10.5% cap rate, 10% stress to the YE 2024 NOI, and a higher probability of default given the deteriorating performance and weak submarket fundamentals. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 31.5% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The second-largest contributor to overall pool loss expectations in the BMARK 2019-B10 transaction is the 166 Geary Street loan, which is secured by a 34,343-sf office property located in San Francisco, CA. The loan transferred to special servicing in July 2023 due to payment default, receivership was granted in November 2023, and the property transitioned to REO in August 2025. The most recent servicer-reported YE 2024 NOI DSCR declined to 0.52x from 0.75x at YE 2023. According to the December 2024 rent roll, occupancy was 70.0%, with the largest tenants being Mabre Facial Cosmetic (15.1% of NRA, through October 2027), Soho Workspaces (7.3%, through December 2027), and Browserbase Inc. (7.2%, through October 2025). Per the servicer, the special servicer is working to implement a spec-suite prebuild program to drive leasing activity at the property. Fitch's 'Bsf' rating case loss of 69.6% (prior to concentration add-ons) reflects a stressed value of approximately $231 psf, factoring in the most recent October 2025 appraisal value, which represents a 62% decline from the appraisal value at issuance. The third-largest contributor to overall pool loss expectations in the BMARK 2019-B10 transaction is the Spring Hollow Apartments loan, which is secured by a 506-unit multifamily property located in Toledo, OH. The loan transferred to special servicing in March 2024 due to payment default. According to the servicer, a receivership sale and loan assumption were completed in February 2026 with a new sponsor, and the special servicer is working to transfer the loan back to the master servicer. The most recent servicer-reported September 2023 NOI DSCR declined to 0.98x from 1.31x at YE 2022. According to the October 2025 appraisal report, property occupancy declined to 37.7% from 39.7% in January 2025and from 61% in September 2023 due to the receiver addressing various deferred maintenance issues and repairs on units as well as weakened market fundamentals. Fitch's 'Bsf' rating case loss of 35.6% (prior to concentration add-ons) factors in a stress to the $25.9 million loan assumption amount. Increased Credit Enhancement (CE): As of the March 2026 remittance report, the aggregate pool balances of BMARK 2019-B9 and BMARK 2019-B10 have been reduced by 3.1% and 1.6%, respectively, since issuance. The BMARK 2019-B9 transaction has five fully defeased loans (5.8% of the pool) and BMARK 2019-B10 has four fully defeased loans (6.9%). Cumulative interest shortfalls of $547,669 are affecting the non-rated class J and V-RR in BMARK 2019-B9 and $3.2 million are affecting classes F and G and non-rated class H and VRR in BMARK 2019-B10. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued paydowns from amortization and loan repayments, but may happen if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; Downgrades to the 'AAsf' and 'Asf' categories, particularly for classes with Negative Outlooks, may occur should performance of the FLOCs, most notably Kawa Mixed Use Portfolio, Woodbury Medical Office, Monarch Corporate Center, Vista Park Office, and Dupont Office Center in BMARK 2019-B9, Saint Louis Galleria, Tulsa Office Portfolio, 101 California, Flight, and Union Bay Apartments in BMARK 2019-B10, deteriorate further, higher-than-expected losses on the specially serviced loans occur, and/or more loans than expected default at or prior to maturity; Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly for classes 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 the '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 'AAsf' and 'Asf' categories are not expected, but possible with increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of the FLOCs. Upgrades to the 'BBBsf' categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the 'CCCsf', 'CCsf', and 'Csf' categories are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 49: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 49 Ltd./Benefit Street Partners CLO 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 BSP CLO Management L.L.C. The preliminary ratings are based on information as of April 2, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Benefit Street Partners CLO 49 Ltd./ Benefit Street Partners CLO 49 LLC Class A, $300.000 million: AAA (sf) Class A-L loans, $20.000 million: AAA (sf) Class B, $60.000 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D-1 (deferrable), $30.000 million: BBB- (sf) Class D-2 (deferrable), $5.000 million: BBB- (sf) Class E (deferrable), $15.000 million: BB- (sf) Subordinated notes, $42.521 million: NR NR--Not rated. BIRCH GROVE 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Birch Grove CLO 16 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 16 Ltd. A-1 LT AAA(EXP)sf Expected Rating A-1-L 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 Birch Grove CLO 16 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.05, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.94% 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 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 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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. 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 Birch Grove 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. BRAVO RESIDENTIAL 2026-NQM4: S&P Assigns (P) B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BRAVO Residential Funding Trust 2026-NQM4's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with initial interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, condotels, and manufactured housing. The pool has 1,042 loans, backed by 1,042 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM/HPML, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. The preliminary ratings are based on information as of April 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for 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) BRAVO Residential Funding Trust 2026-NQM4 Class A-1FCF, $135,265,000: AAA (sf) Class A-1LCF, $45,088,000: AAA (sf) Class A-1A, $155,715,000: AAA (sf) Class A-1B, $24,639,000: AAA (sf) Class A-1, $180,354,000: AAA (sf) Class A-2, $38,683,000: AA (sf) Class A-3, $31,537,000: A+ (sf) Class M-1, $32,769,000: BBB- (sf) Class B-1, $13,551,000: BB- (sf) Class B-2, $7,392,000: B (sf) Class B-3, $8,130,917: NR Class SA, $65,579(ii): NR Class FB, $3,397(iii): NR Class AIOS, notional(iv): NR XS, notional(iv): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The class SA notes will be entitled to receive pre-existing servicing advances as of the cutoff date and will not be entitled to any interest or other principal payments. (iii)The class FB notes will be entitled to receive pre-existing deferred amounts. (iv)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. N/A--Not applicable. BX PURE 2026-PURE4: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to five classes of CMBS securities, issued by BX Pure Industrial Issuer Trust Canada, Commercial Mortgage Pass-Through Certificates, Series 2026-PURE4. Cl. A Notes, Assigned (P)Aaa (sf) Cl. B Notes, Assigned (P)Aa3 (sf) Cl. C Notes, Assigned (P)A3 (sf) Cl. D Notes, Assigned (P)Baa3 (sf) Cl. E Notes, Assigned (P)Ba3 (sf) *Please note that all values presented for the BX Pure Industrial Issuer Trust Canada transaction are in Canadian Dollars (CAD). RATINGS RATIONALE The mortgage loan is secured by the borrower's fee simple interests in 8 industrial facilities comprised of 13 individual buildings containing approximately 1,940,885 SF of aggregate NRA. All 13 buildings are all located in Canada within the Toronto MSA within three distinct cities: Milton (1 property, 27.2% of ALA, 27.0% of in-place NOI, 35.3% of NRA), Brampton (6, 56.6%, 57.6%, 48.1%), and Mississauga (6, 16.3%, 15.4%, 16.6%). The Toronto Market is considered a global gateway market and benefits from strong population and income demographics and proximity to several major transportation arteries. Facility use spans four distinct industrial subtypes: distribution warehouse (3 properties, 43.6% of ALA, 45.3% of base rent, 51.7% of NRA); general warehouse (8, 26.8%, 28.0%, 27.5%); dual load (1, 24.3%, 23.1%, 18.5%); and cross dock (1, 5.3%, 3.6%, 2.2%). Facility sizes range between 43,458 SF and 684,253 SF, averaging 149,299 SF (by NRA). With regard to facility functionality, ceiling clear heights range between 22.0 feet and 36.0 feet, averaging approximately 28.5 feet (by NRA). Facility construction dates range between 1994 and 2014 and exhibit a weighted average year built of 2006 (by NRA). Office utility averages 9.0% of NRA with office space ranging between a low of 1.5% to a high of 43.6%. The Portfolio's overall functionality is adequate for its current use but does lack competitive specifications compared to newer industrial products within their respective markets. Older properties with lower clear ceiling heights, higher office utilization space and fewer dock high doors limit marketability to certain tenants in search of modernized industrial facilities. As of February 28, 2026, the Portfolio was 97.4% leased to 38 unique tenants. The five largest properties by NOI account for approximately 73.6% of total ALA and 75.0% of NRA. Of note, the Portfolio contains five properties (43.1% of NRA) occupied by single tenants. Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.36x and Moody's first mortgage actual stressed DSCR is 0.70x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $473,400,000 represents a Moody's LTV ratio of 110.1% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 109.6% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Portfolio's weighted average overall quality grade is 0.25. Notable strengths of the transaction include the proximity to a global gateway market, economically diverse and granular tenancy, strong leasing momentum with strong rent growth, below market rents, multiple property pooling, the Canadian commercial real estate environment, and institutional quality sponsorship with industrial experience. Notable concerns of the transaction include tenant rollover, the average age of the properties, single-tenant exposure, uncertainty related to rising trade tensions, floating-rate, interest-only mortgage loan profile, property release and nonsequential prepayment provision, reallocations of allocated loan amount provisions and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range June indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BX TRUST 2017-CQHP: DBRS Cuts Rating on 2 Tranches to Csf --------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP issued by BX Trust 2017-CQHP (or the Trust) as follows: -- Class A to BBB (sf) from AA (sf) -- Class B to BB (sf) from BBB (sf) -- Class C to CCC (sf) from BB (sf) -- Class X-EXT to C (sf) from B (high) (sf) -- Class D to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class E at C (sf) -- Class F at C (sf) The trends on Classes A and B remain Negative. The remaining classes have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss expectations for the underlying loan. Morningstar DBRS updated the liquidation scenario for the three remaining properties using the July 2025 as-is appraisals that valued the portfolio at $226.9 million, representing an 8.2% decline from the February 2024 as-is value of $247.2 million. Morningstar DBRS maintains its view that the capitalization (cap) rates implied by the most recent appraised values are below market levels, suggesting the achieved sale prices could be significantly depressed by comparison. At the last review, Morningstar DBRS liquidated the loan based on a 30.0% haircut to the February 2024 appraised values, resulting in a liquidation value of $173.0 million and implied losses of $88.4 million. In the updated liquidation scenario, Morningstar DBRS applied 30% haircuts to the July 2025 appraised values for the San Francisco and Philadelphia properties and assumed a liquidation value of $30.0 million for the Chicago property, in line with the winning bid at the foreclosure sale in August 2025 (-54.5% variance from the July 2025 as-is value of $65.9 million), resulting in a liquidation value of $142.7 million for the portfolio (loan-to-value ratio (LTV) of 168.7%). Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all current outstanding advances, the loan's total exposure could reach approximately $265.3 million. In the updated liquidation scenario, Morningstar DBRS gave credit to $8.0 million of reserves, resulting in losses of $114.6 million (loss severity of 47.6%), which would erode the entirety of Classes E and F as well as a portion of Class D, supporting the C (sf) ratings on those classes. Although the results of the liquidation scenario suggest that Classes A, B, and C are insulated from loss at this point in time, the implied LTV for each of those classes, based on the estimated amount of proceeds available after paying all outstanding and expected future advances, has increased beyond the LTV Sizing Benchmarks at each of the respective prior credit rating categories, supporting the credit rating downgrades to those classes with this review. The original $273.7 million loan, along with $61.3 million of mezzanine debt and $8.1 million of sponsor equity, refinanced $336.1 million in existing debt. The sponsor for this loan is Blackstone Real Estate Partners VII, L.P. The underlying loan was initially collateralized by a portfolio of four Club Quarters Hotels totaling 1,228 keys across four major U.S. cities: San Francisco (346 keys; originally 39.4% of allocated loan amount (ALA)), Chicago (429 keys; originally 26.4% of ALA), Boston (178 keys; originally 18.2% of ALA), and Philadelphia (275 keys; originally 16.0% of ALA). The Club Quarters Hotel Boston was liquidated from the Trust in January 2025 with a sale price of $75.0 million, resulting in the repayment of a portion of outstanding servicer advances and a principal paydown of $31.4 million. In August 2025, the Trust was the winning bidder for the Club Quarters Chicago Central Loop property at a price of $30.0 million. Once the Trust officially takes title of the asset, the special servicer will begin the process of marketing the property for sale. In addition, the special servicer is currently in the process of pursuing foreclosure for the remaining two assets. According to the STR report for the trailing 12-month period (T-12) ended October 31, 2025, all three collateral properties reported year-over-year increases in occupancy, average daily rate, and revenue per available room (RevPAR). Occupancy rates for the San Francisco, Chicago, and Philadelphia hotels during this period were reported at 76.0%, 76.7%, and 63.5%, respectively, with RevPARs of $132, $126, and $90, respectively. The RevPARs for the San Francisco and Philadelphia hotels continue to lag their pre-pandemic figures of $202 and $124, respectively, while the RevPAR for the Chicago hotel has now surpassed its pre-pandemic RevPAR of $114. According to the operating statements for the T-12 ended October 31, 2025, the portfolio reported a combined net cash flow of approximately $8.1 million. Although the RevPAR growth is encouraging, the low cash flow and below-market cap rates implied by the most recent appraisals continue to suggest that further value volatility is likely, with significant losses to be realized upon disposition. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2026-1, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2026-1, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 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 Carlyle US CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. 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 23.62, 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 98.26% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C (C-1 and C-2, collectively) notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C (C-1 and C-2, collectively) notes, 'Asf' for class D-1 notes, and 'A-sf' 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 Carlyle US CLO 2026-1, 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. CATHEDRAL LAKE VI: Moody's Cuts Rating on $16MM Cl. E Notes to B2 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Cathedral Lake VI, Ltd.: US$16M Class E Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Jul 15, 2025 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following debt: US$174M Class A Senior Secured Loans, Affirmed Aaa (sf); previously on May 26, 2021 Assigned Aaa (sf) US$61M Class A-N-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 15, 2025 Assigned Aaa (sf) US$25M Class A-F Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on May 26, 2021 Assigned Aaa (sf) Cathedral Lake VI, Ltd ., originally issued in May 2021 and refinanced in August 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Clearlake Capital Asset Management, LLC. The transaction's reinvestment period will end in April 2026. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the continued deterioration of the weighted average spread (WAS) of the portfolio since the last rating action in August 2025. The portfolio WAS has deteriorated since the last rating action in August 2025. According to the trustee report dated March 2026[1], the WAS is reported at 2.95% compared to July 2025[2] level of 3.12%. The affirmations on the ratings on the Class A, A-N-R and A-F debt are primarily a result of the expected losses on the debt 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. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD383.6m Defaulted Securities: USD1.8m Diversity Score: 81 Weighted Average Rating Factor (WARF): 2776 Weighted Average Life (WAL): 4.6 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.97% Weighted Average Coupon (WAC): 3.37% Weighted Average Recovery Rate (WARR): 46.62% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the March 2026[1] trustee report was published at the time Moody's were completing Moody's analysis of the February 2026 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the debt's exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the debt are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated debt's performance is subject to uncertainty. The debt's performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the debt's performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: Once reaching the end of the reinvestment period in April 2026, the main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the debt's ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the debt beginning with the debt having the highest prepayment priority. -- Weighted average life: The debt's ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the debt's seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the debt's ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CBAM 2018-7: Moody's Ups Rating on $37.5MM Cl. E Notes to Ba3 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by CBAM 2018-7, Ltd.: US$50.25M Class D Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Nov 17, 2025 Upgraded to A3 (sf) US$37.5M Class E Deferrable Floating Rate Notes, Upgraded to Ba3 (sf); previously on Feb 26, 2025 Affirmed B1 (sf) Moody's have also affirmed the ratings on the following notes: US$480M (Current outstanding balance US$86,314,855) Class A Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 26, 2025 Affirmed Aaa (sf) US$54.375M Class B-1 Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 26, 2025 Upgraded to Aaa (sf) US$29.25M Class B-2 Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 26, 2025 Upgraded to Aaa (sf) US$38.625M Class C Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 17, 2025 Upgraded to Aaa (sf) CBAM 2018-7, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CBAM CLO Management LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class D and Class E notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in November 2025. The affirmations on the ratings on the Class A, Class B-1, Class B-2 and Class C 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 notes have paid down by approximately USD44.5 million (9.3%) since the last rating action in November 2025 and USD393.7 million (82.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated March 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 190.23%, 155.00% and 124.91% compared to November 2025[2] levels of 173.79%, 147.27% and 122.87%, respectively. 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: USD333.7m Defaulted Securities: USD1.0m Diversity Score: 49 Weighted Average Rating Factor (WARF): 3307 Weighted Average Life (WAL): 3.09 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.88% Weighted Average Recovery Rate (WARR): 46.87% Par haircut in OC tests and interest diversion test: 3.37% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CD 2017-CD3: Fitch Lowers Rating on Class C Certs to CCsf --------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed eight classes of CD 2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through Certificates (CD 2017-CD3). Fitch has also assigned Negative Outlooks to classes A-S, X-A, B, X-B, V-A, and V-B following their downgrades. The Rating Outlook for class A-4 is Negative. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD3 Mortgage Trust Series 2017-CD3 A-3 12515GAC1 LT AAAsf Affirmed AAAsf A-4 12515GAD9 LT AAAsf Affirmed AAAsf A-AB 12515GAE7 LT AAAsf Affirmed AAAsf A-S 12515GAF4 LT BBBsf Downgrade Asf B 12515GAG2 LT B-sf Downgrade BBsf C 12515GAH0 LT CCsf Downgrade CCCsf D 12515GAM9 LT Dsf Affirmed Dsf E 12515GAP2 LT Dsf Affirmed Dsf F 12515GAR8 LT Dsf Affirmed Dsf V-A 12515GAX5 LT BBBsf Downgrade Asf V-B 12515GAZ0 LT B-sf Downgrade BBsf V-C 12515GBB2 LT CCsf Downgrade CCCsf V-D 12515GBD8 LT Dsf Affirmed Dsf X-A 12515GAJ6 LT BBBsf Downgrade Asf X-B 12515GAK3 LT B-sf Downgrade BBsf X-D 12515GAV9 LT Dsf Affirmed Dsf KEY RATING DRIVERS Elevated Loss Expectations; Maturity Concentration: The downgrades reflect elevated loss expectations for the remaining pool, primarily driven by lower recovery expectations on the specially serviced loans (three loans, 15.1% of the pool), in addition to the transaction's lower credit enhancement (CE) due to realized losses. Fitch identified 17 loans (49.2% of the pool) as Fitch Loans of Concern (FLOCs), which includes the three loans in special servicing. Fitch's loss expectations reflect a pool-level 'Bsf' rating case loss of 12.1%. Given the high percentage of specially serviced loans and large concentration of upcoming loan maturities (44.5% in 2026 and 40.4% in early 2027, excluding specially serviced loans), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. The Negative Outlooks reflect the pool's high exposure to FLOCs with occupancy and cash flow concerns, coupled with deteriorating valuations, increasing exposures and/or prolonged workouts expected of specially serviced loans. Downgrades are possible with continued value deterioration, if there is higher certainty of loss as loans approach maturity, or if loans fail to refinance at maturity and transfer to special servicing. Largest Contributor to Loss Expectations: The largest contributor to overall loss expectations, and highest increase since Fitch's last rating action, is the specially serviced 1384 Broadway loan (9% of the pool), a 213,450-sf office building located in Manhattan's Garment District. The loan transferred to special servicing in December 2025 for imminent monetary default. The property's servicer reported occupancy was 83% at YE 2025, with an NOI DSCR of 1.08x. Recent servicer commentary indicated that the special servicer is reviewing the borrower's modification proposal. The loan is cash managed. The property is located at the southeast corner of Broadway and 38th Street near Times Square. The rent roll is granular, with the largest reported tenant Jaya Apparel occupying 9.2% of the NRA. Ground floor retail includes a radiation therapy facility, Citibank and Sweetgreen. Per CoStar as of February 2026, the Penn Plaza/Garment submarket has an office vacancy rate of 14% for similar quality assets. Fitch's 'Bsf' rating case loss increased to approximately 31% (before concentration add-ons) and is based on a 10% stress to the reported YE 2025 NOI, an elevated 9% cap rate and an increased probability of default due to the loan's specially serviced status. The second-largest contributor to overall loss expectations is the 681 Fifth Avenue loan (2.9% of the pool), which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY, which lost tenant Tommy Hilfiger (27.3% of the NRA, 78% of total base rent) in 2023. The servicer reported June 2025 occupancy was 52%. The loan is in foreclosure with a receiver in place per servicer commentary. Fitch's 'Bsf' rating case loss of approximately 73% (prior to concentration add-ons) reflects a discount on the latest published appraisal value and a 76% value decline from the appraised value at issuance. The third-largest contributor to loss expectations is the specially serviced 16 E 40th Street loan (3.2% of the pool), which is secured by a 96,182-sf office property located in midtown Manhattan, built in 1911, and renovated in 2005. The loan transferred to special servicing in May 2023 due to monetary default with the property now in foreclosure. A receiver took control of the property in 2025, with the authority to sell the asset. Per the servicer provided rent roll, the occupancy was 33% as of YE 2025. Fitch's 'Bsf' rating case loss of approximately 57% (prior to concentration add-ons) reflects a discount on the last published appraisal value by the servicer and a 64% value decline from the appraised value at issuance Changes to Credit Enhancement; Realized Losses: As of the March 2026 remittance report, the pool's aggregate balance has decreased 26% to $981.8 million from $1.33 billion at issuance. Five loans (6.3% of the pool) have been defeased. The transaction has experienced significant realized losses up to class D, X-D and V-D, primarily due to the dispositions of the 229 West 43rd Street Retail Condo and Cherry Creek Place I & II assets. Interest shortfalls of $26.8 million are currently affecting classes C, D, E, F, G and the VRR interest classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not currently expected as these classes are expected to pay off due to paydown from loan repayments and continued amortization, as well as any recoveries from disposed assets, but may occur should interest shortfalls affect these classes. Downgrades to the 'AAAsf', 'BBBsf' and 'B-sf' rated classes with Negative Outlooks may occur if expected losses increase on FLOCs, including 1384 Broadway, Prudential Plaza, Summit Place Wisconsin and 111 Livingston Street, and/or if workout times are prolonged for the specially serviced loans potentially impairing recoveries and leading to increased exposures. Downgrades to classes rated 'CCsf' will occur as losses are incurred and/or with a greater certainty of loss on the specially serviced assets. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'BBBsf' category may be possible with significantly increased credit enhancement (CE) due to loan payoffs, coupled with stable-to-improved pool-level loss expectations and sustained improved performance on the FLOCs, including 1384 Broadway, Prudential Plaza, 111 Livingston Street and Summit Place Wisconsin. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to 'B-sf' rated classes are not likely given the FLOC exposure but are possible if recoveries on FLOCs (ncluding specially serviced loans) are significantly higher than expected and there is sufficient CE to the classes. Additionally, upgrades could be limited based on sensitivity to pool concentrations or the potential for future concentration. The 'CCsf' rated classes are unlikely to be upgraded absent substantially higher recoveries than expected on specially serviced assets and 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. CHASE HOME 2026-3: DBRS Finalizes B(low) Rating on Class B-5 Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-3 (the Certificates) issued by Chase Home Lending Mortgage Trust 2026-3: -- $478.6 million Class A-1 at AAA (sf) -- $427.1 million Class A-2 at AAA (sf) -- $320.3 million Class A-3 at AAA (sf) -- $320.3 million Class A-3-A at AAA (sf) -- $320.3 million Class A-3-B at AAA (sf) -- $320.3 million Class A-3-X1 at AAA (sf) -- $320.3 million Class A-3-X2 at AAA (sf) -- $320.3 million Class A-3-X3 at AAA (sf) -- $240.3 million Class A-4 at AAA (sf) -- $240.3 million Class A-4-A at AAA (sf) -- $240.3 million Class A-4-B at AAA (sf) -- $240.3 million Class A-4-X1 at AAA (sf) -- $240.3 million Class A-4-X2 at AAA (sf) -- $240.3 million Class A-4-X3 at AAA (sf) -- $80.1 million Class A-5 at AAA (sf) -- $80.1 million Class A-5-A at AAA (sf) -- $80.1 million Class A-5-B at AAA (sf) -- $80.1 million Class A-5-X1 at AAA (sf) -- $80.1 million Class A-5-X2 at AAA (sf) -- $80.1 million Class A-5-X3 at AAA (sf) -- $192.2 million Class A-6 at AAA (sf) -- $192.2 million Class A-6-A at AAA (sf) -- $192.2 million Class A-6-B at AAA (sf) -- $192.2 million Class A-6-X1 at AAA (sf) -- $192.2 million Class A-6-X2 at AAA (sf) -- $192.2 million Class A-6-X3 at AAA (sf) -- $128.1 million Class A-7 at AAA (sf) -- $128.1 million Class A-7-A at AAA (sf) -- $128.1 million Class A-7-B at AAA (sf) -- $128.1 million Class A-7-X1 at AAA (sf) -- $128.1 million Class A-7-X2 at AAA (sf) -- $128.1 million Class A-7-X3 at AAA (sf) -- $48.1 million Class A-8 at AAA (sf) -- $48.1 million Class A-8-A at AAA (sf) -- $48.1 million Class A-8-B at AAA (sf) -- $48.1 million Class A-8-X1 at AAA (sf) -- $48.1 million Class A-8-X2 at AAA (sf) -- $48.1 million Class A-8-X3 at AAA (sf) -- $51.5 million Class A-9 at AAA (sf) -- $51.5 million Class A-9-A at AAA (sf) -- $51.5 million Class A-9-B at AAA (sf) -- $51.5 million Class A-9-X1 at AAA (sf) -- $51.5 million Class A-9-X2 at AAA (sf) -- $51.5 million Class A-9-X3 at AAA (sf) -- $128.1 million Class A-10 at AAA (sf) -- $128.1 million Class A-10-A at AAA (sf) -- $128.1 million Class A-10-B at AAA (sf) -- $128.1 million Class A-10-X1 at AAA (sf) -- $128.1 million Class A-10-X2 at AAA (sf) -- $128.1 million Class A-10-X3 at AAA (sf) -- $106.8 million Class A-11 at AAA (sf) -- $106.8 million Class A-11-X at AAA (sf) -- $106.8 million Class A-12 at AAA (sf) -- $106.8 million Class A-13 at AAA (sf) -- $106.8 million Class A-13-X at AAA (sf) -- $106.8 million Class A-14 at AAA (sf) -- $106.8 million Class A-14-X at AAA (sf) -- $106.8 million Class A-14-X2 at AAA (sf) -- $106.8 million Class A-14-X3 at AAA (sf) -- $106.8 million Class A-14-X4 at AAA (sf) -- $64.1 million Class A-15 at AAA (sf) -- $64.1 million Class A-15-A at AAA (sf) -- $64.1 million Class A-15-B at AAA (sf) -- $64.1 million Class A-15-X1 at AAA (sf) -- $64.1 million Class A-15-X2 at AAA (sf) -- $64.1 million Class A-15-X3 at AAA (sf) -- $64.1 million Class A-16 at AAA (sf) -- $64.1 million Class A-16-A at AAA (sf) -- $64.1 million Class A-16-B at AAA (sf) -- $64.1 million Class A-16-X1 at AAA (sf) -- $64.1 million Class A-16-X2 at AAA (sf) -- $64.1 million Class A-16-X3 at AAA (sf) -- $64.1 million Class A-17 at AAA (sf) -- $64.1 million Class A-17-A at AAA (sf) -- $64.1 million Class A-17-B at AAA (sf) -- $64.1 million Class A-17-X1 at AAA (sf) -- $64.1 million Class A-17-X2 at AAA (sf) -- $64.1 million Class A-17-X3 at AAA (sf) -- $112.1 million Class A-18 at AAA (sf) -- $112.1 million Class A-18-A at AAA (sf) -- $112.1 million Class A-18-B at AAA (sf) -- $112.1 million Class A-18-X1 at AAA (sf) -- $112.1 million Class A-18-X2 at AAA (sf) -- $112.1 million Class A-18-X3 at AAA (sf) -- $478.6 million Class A-X-1 at AAA (sf) -- $9.8 million Class B-1 at AA (low) (sf) -- $9.8 million Class B-1-A at AA (low) (sf) -- $9.8 million Class B-1-X at AA (low) (sf) -- $5.8 million Class B-2 at A (low) (sf) -- $5.8 million Class B-2-A at A (low) (sf) -- $5.8 million Class B-2-X at A (low) (sf) -- $3.8 million Class B-3 at BBB (low) (sf) -- $2.3 million Class B-4 at BB (low) (sf) -- $1.0 million Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The AAA (sf) credit ratings on the Certificates reflect 4.75% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 2.80%, 1.65%, 0.90%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-3 (the Certificates). The Certificates are backed by 405 loans with a total principal balance of $528,955,584 as of the Cut-Off Date (March 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 55.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-4: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust series 2026-4 (Chase 2026-4). Entity/Debt Rating ----------- ------ Chase 2026-4 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 2026-4 (Chase 2026-4) as indicated above. The certificates are supported by 428 loans with a scheduled balance of $520.82 million as of the cutoff date. The closing date is April 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 428 loans with a total unpaid balance of $520.82 million, with an average loan size of $1.2 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 770, a WA combined loan-to-value ratio (cLTV) of 74.45% (81.83% sustained LTV), and a WA debt-to-income ratio (DTI) of 33.89%. The WA liquid reserves amount to $795.650.26. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-4 has a final probability of default (PD) of 9.72% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.71%. The expected loss in the 'AAAsf' rating stress is 3.47%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 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. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.55% 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-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent 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 59.59% by balance (58.41% by loan count) in the transaction by balance based on Fitch's review of the due diligence. 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 2026-4 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 2026-4, 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 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 37.64%, at 'AAA'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. 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 Opus. 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 59.59% of the pool by balance based on the loans in the final pool. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and that have a final grade of either "A" or "B." 100% of the loans in the final pool that had due diligence conducted have grades of "A" of "B". As a result, Fitch applied the 5-bp origination PD credit to 59.59% of the pool. This reduced losses on the pool. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.59% of the loans. The third-party due diligence was consistent with Fitch's U.S. RMBS Rating Criteria. The sponsor engaged the following TPR firms: situsAMC and Opus (all assessed as "Acceptable") to perform the review of the final population of loans in the pool. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial and final grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has an 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 scores above guideline requirements or LTVs or DTIs lower than guideline requirements. In addition, all loans were graded "A" or "B" so any waiver or exception was not material. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data fi les made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was 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. CITIGROUP 2022-GC48: DBRS Confirms BB(low) on YL-C Certs -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Yorkshire & Lexington Towers Loan-Specific Certificates issued by Citigroup Commercial Mortgage Trust 2022-GC48 as follows: -- Class YL-A at A (sf) -- Class YL-B at BBB (low) (sf) -- Class YL-C at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral, which remains in line with Morningstar DBRS' expectations. The loan is secured by two multifamily properties in the Upper East Side submarket of Manhattan: Yorkshire Towers, a 21-story property with 681 units and 63,778 square feet (sf) of commercial space, and Lexington Towers, a 15-story building with 127 units and approximately 17,000 sf of commercial space. The $221.5 million subject transaction represents the two junior B notes within a $714.0 million whole loan comprising $318.0 million of senior A notes and $174.5 million of mezzanine debt. At issuance, the fixed-rate interest-only loan had a five-year term with a maturity date in June 2027. The loan, which is currently performing, transferred to special servicing in November 2024 after the borrower defaulted on its obligation to fund a supplemental income reserve as prescribed in the loan documents. The servicer confirmed that a loan modification was executed in November 2025, and the loan is expected to be returned to the master servicer in Q2 2026. Defaults on both the senior and subordinate debt have been resolved, and the loan has been granted a one year extension option, resulting in a fully extended maturity date in June 2028. The extension is contingent on the whole loan achieving a minimum debt yield of 5.75% and a debt service coverage ratio (DSCR) of 1.05 times (x). Based on the YE2024 financial reporting, the debt yield was approximately 4.0%. The sponsor's business plan at issuance relied on prior New York State regulations permitting rent resets on substantially renovated rent stabilized units. However, regulatory changes introduced in 2023 eliminated this benefit. The sponsor has since halted renovations at the properties. Approximately 65% of units across both properties are designated as market rate and 35% are designated as rent stabilized. An updated appraisal made available in September 2025 valued the collateral at $678.0 million, 28.9% and 38.4% lower than the as-is and as-stabilized appraised values at issuance of $954.0 million and $1.1 billion, respectively. The appraiser's as-stabilized value estimate was largely reliant on the sponsor's ability to successfully carry out its business plan. The Morningstar DBRS Value of $511.4 million derived at issuance, which excluded a stabilization credit owing to the inherent risk in the sponsor's business plan, is approximately 25.0% below the most recent appraised value. According to the YE2024 financial reporting, the properties generated $29.3 million of net cash flow (NCF) (a DSCR of 1.76x), relatively in line with the Morningstar DBRS figure derived at issuance of $29.4 million (1.77x DSCR). Average rents were $2,946 for rent stabilized units and $6,066 for market rate units, with both generally increasing year over year. The commercial component was 97.7% occupied as of September 2025; however, rollover risk is elevated, with tenant leases representing nearly 55.0% of the commercial net rentable area scheduled to expire within the next 12 months. Morningstar DBRS requested a leasing update from the servicer; however, as of the date of this press release, a response remains pending. Although the sponsor did not achieve its business plan, in place cash flows remain in line with Morningstar DBRS' expectations. The collateral also benefits from its Upper East Side Manhattan location, an extremely dense infill submarket with an average vacancy rate of approximately 2.0% over the past decade. The submarket's vacancy rate is forecast to remain below 2.5% through the loan's fully extended maturity in 2028, according to Reis, Inc. The most recent appraised value, while lower than at issuance, remains within Morningstar DBRS' expectations, as outlined above, and is approximately 20.0% greater than the $539.5-million senior and subordinate loan balance (excluding mezzanine debt). As such, Morningstar DBRS believes the sponsor retains meaningful incentive to remain committed to the asset in the near to moderate term, supported by the factors noted above and evidenced by the recently executed loan modification. Morningstar DBRS' analysis for this review considered NCF of $28.7 million, which was derived by applying a 2.0% haircut to the most recently reported full-year (YE2024) NCF. Morningstar DBRS maintained the capitalization rate of 5.75% from issuance, resulting in a Morningstar DBRS Value of $498.7 million. The Morningstar DBRS Value implies a loan-to-value ratio (LTV) of 108.2% for the secured debt balance of $539.5 million and 143.2% for the total debt balance of $714.0 million. The Morningstar DBRS Value is 26.5% lower than the most recent appraised value. Additionally, Morningstar DBRS maintained positive qualitative adjustments totaling 8.5% in the LTV Sizing Benchmarks to reflect the low cash flow volatility, favorable property quality, and strong market fundamentals. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2017-P7: Fitch Affirms Csf Rating on F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 20 classes of Citigroup Commercial Mortgage Trust series 2017-P7 commercial mortgage pass-through certificates (CGCMT 2017-P7). The Rating Outlooks are Negative for 11 of the affirmed classes. Fitch has also downgraded three and affirmed 11 classes of Citigroup Commercial Mortgage Trust series 2018-B2 commercial mortgage pass-through certificates (CGCMT 2018-B2). Fitch has assigned Negative Outlooks to one of the downgraded classes. The Outlooks on two of the affirmed classes are Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2017-P7 A-3 17325HBN3 LT AAAsf Affirmed AAAsf A-4 17325HBP8 LT AAAsf Affirmed AAAsf A-AB 17325HBQ6 LT AAAsf Affirmed AAAsf A-S 17325HBR4 LT AAAsf Affirmed AAAsf B 17325HBS2 LT Asf Affirmed Asf C 17325HBT0 LT BBB-sf Affirmed BBB-sf D 17325HAA2 LT CCCsf Affirmed CCCsf E 17325HAC8 LT CCsf Affirmed CCsf F 17325HAE4 LT Csf Affirmed Csf V-2A 17325HAN4 LT AAAsf Affirmed AAAsf V-2B 17325HAQ7 LT Asf Affirmed Asf V-2C 17325HAS3 LT BBB-sf Affirmed BBB-sf V-2D 17325HAU8 LT CCCsf Affirmed CCCsf V-3AB 17325HAY0 LT Asf Affirmed Asf V-3C 17325HBA1 LT BBB-sf Affirmed BBB-sf V-3D 17325HBC7 LT CCCsf Affirmed CCCsf X-A 17325HBU7 LT AAAsf Affirmed AAAsf X-B 17325HBV5 LT Asf Affirmed Asf X-C 17325HBW3 LT BBB-sf Affirmed BBB-sf X-D 17325HAJ3 LT CCCsf Affirmed CCCsf CGCMT 2018-B2 A-3 17327FAC0 LT AAAsf Affirmed AAAsf A-4 17327FAD8 LT AAAsf Affirmed AAAsf A-AB 17327FAE6 LT AAAsf Affirmed AAAsf A-S 17327FAF3 LT AAAsf Affirmed AAAsf B 17327FAG1 LT AAsf Affirmed AAsf C 17327FAH9 LT BBB-sf Downgrade A-sf D 17327FAJ5 LT CCCsf Downgrade Bsf E 17327FAL0 LT CCsf Affirmed CCsf F 17327FAN6 LT CCsf Affirmed CCsf X-A 17327FBG0 LT AAAsf Affirmed AAAsf X-B 17327FBH8 LT AAsf Affirmed AAsf X-D 17327FBJ4 LT CCCsf Downgrade Bsf X-E 17327FBK1 LT CCsf Affirmed CCsf X-F 17327FAY2 LT CCsf Affirmed CCsf KEY RATING DRIVERS 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss is 9.3% in CGCMT 2017-P7 and 10.3% in CGCMT 2018-B2. The CGCMT 2017-P7 transaction has 13 Fitch Loans of Concern (FLOCs; 42.3% of the pool), including six loans (17.4%) in special servicing. The CGCMT 2018-B2 transaction has seven FLOCs (26.0%), including three loans (12.4%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default or have already defaulted at maturity due to performance declines and/or rollover concerns. The affirmations in CGCMT 2017-P7 reflect that overall pool performance remains relatively in line with the prior rating action. The ratings reflect the performance deterioration for FLOCs including SAP Building (2.4% of the pool), The Tower at OPOP (2.4%) and Scripps Center (5.6%), along with the sustained high loss expectations and prolonged workouts for FLOCs including Cahuenga West Office Building (2.9%), 111 Livingston Street (3.7%), and Hamilton Crossing (3.8%). In addition, the Negative Outlooks reflect the transaction's high exposure to office loans, as 53.7% of the pool is secured by office properties, continued occupancy and cash flow deterioration, along with the lack of performance stabilization on the FLOCs. The downgrades in CGCMT 2018-B2 reflect higher pool loss expectations, driven primarily by the large increase in loss expectations for Park Place East and Park Place West (5.4% of the pool), along with the sustained high loss expectations for FLOCs such as 3rd & Pine Seattle Retail & Parking (3.9%), Braddock Metro Center (3.1%), and One Newark Center (3.2%). In addition, the Negative Outlooks reflects the transaction's exposure to office loans, as 29.5% of the pool is secured by office properties, and continued occupancy and cash flow deterioration of the FLOCs. At the prior review, the largest contributor to overall loss expectations in CGCMT 2017-P7 was the 229 West 43rd Street Retail Condo loan, which represented approximately one-third of Fitch's total expected loss for the pool. Fitch's 'Bsf' rating case loss of 91.5% (prior to concentration add-ons) reflected a stressed value of $293 psf, which was based on a discount to the May 2024 appraisal value. The loan was subsequently disposed with a 100% loss in August 2025. The third largest contributor to overall loss expectations and the third largest increase in overall loss expectations since the prior review in CGCMT 2017-P7 is the SAP Building loan, which is secured by a leasehold interest in a 56,279-sf suburban office building located within the Stanford Research Park in Palo Alto, CA. The property is encumbered by a ground lease that extends through December 2037. The loan transferred to special servicing in October 2022 for imminent monetary default. The property was previously 100% occupied by SAP Labs, until the tenant vacated the entire space at lease expiration in July 2022. A receiver is in place and is actively marketing the space. The property has remained fully vacant. As of the March 2026 reserve report, the loan reported $880,068 or $16 psf in total reserves. As of Q3 2025, the servicer-reported NOI DSCR was -0.20x, compared to -0.16x at Q3 2024, 0.68x at YE 2022, and 2.90x at YE 2021. Fitch's 'Bsf' rating case loss of 54.7% (prior to concentration add-ons) reflects a stressed value of $254 psf which is based on the most recent appraisal value. The largest contributor to overall loss expectations in CGCMT 2017-P7 is the Cahuenga West Office Building loan, which is secured by a 102,643-sf office property located in Los Angeles, CA. The loan transferred to special servicing in January 2025 for payment default. The loan was last paid in November 2024 and a receiver was appointed in February 2026. As of the March 2025 rent roll, the property was 39.3% occupied, down from 55.6% in January 2024 and down from 100% as of YE 2019. The decline in occupancy since issuance was primarily due to previous major tenant Extreme Reach (25% of NRA) vacating upon lease expiration in March 2021. More recently, the former largest tenant EPS-Cineworks (23.0% of NRA) appears to have vacated the property ahead of its August 2033 lease expiration. Fitch has reached out to the servicer regarding a leasing update, and a response is pending. Major remaining tenants at the property include Catalyst Post Services (11.2% of the NRA through March 2035), Honeydew (6.5%; June 2031), Silver Lining Entertainment (5.1%; November 2026). Near-term rollover includes 6.4% in 2026 and 10.1% in 2027. The servicer-reported NOI DSCR was 0.61x as of Q3 2024, compared to 0.70x at YE 2023, 1.18x at YE 2022, and 1.25x at YE 2021. More recent financials have not been provided. Fitch's 'Bsf' rating case loss of 45.4% (prior to concentration add-ons) reflects a stressed value of $146 psf which is based on a discount to the most recent appraisal value. The second largest contributor to overall loss expectations in CGCMT 2017-P7 is the Scripps Center, secured by a 35-story, 538,243-sf office building located in Cincinnati, OH. The property serves as the headquarters of the media company, E.W. Scripps, which has occupied the property since 1992. E.W Scripps Company downsized upon its January 2024 lease expiration to 8.0% of the NRA from 15.5%. Other major tenants at the property include Bricker Graydon (8.1% of the NRA through June 2032), Thompson Hine (8.0%; July 2031), UB Greensfelder LLP (6.4%; December 2032), and Bank of America (4.9% of NRA; June 2030). As of the September 2025 rent roll, the property was 79.8% occupied, compared to 85.1% in September 2024 and 89% at YE 2023. The servicer-reported NOI DSCR was 1.21x at Q3 2025, compared to 1.38x at YE 2024 and 1.46x at YE 2023. Fitch's 'Bsf' rating case loss of 23.3% (prior to concentration add-ons) reflects an 10.5% cap rate, 10% stress to the YE 2024 NOI, and factors an increased probability of default given the upcoming maturity date. The largest contributor to overall loss expectations and largest increase in loss expectations since the prior review in CGCMT 2018-B2 is the Park Place East and Park Place West loan, secured by two office properties totaling 398,968-sf in St. Louis Park, MN. The loan transferred to special servicing in October 2024 and a receiver is in place. Major tenants at the property include Minnesota Medical Scanning (9.1% of NRA through December 2033) and Metropolitan Council (5.5%; December 2025 - per March 2026 online search, appears to remain at the subject). As of December 2024, Park Place East was reporting the building's occupancy rate at 63.7%, and Park Place West was reporting 61.3%. The consolidated occupancy figure as of YE 2024 was 62%, compared to 67% at YE 2022, 78% at YE 2021, 82% at YE 2020, and 84% at YE 2019. The servicer-reported Q3 2025 NOI DSCR was 1.26x, compared to 1.12x at Q3 2024, 0.97x at YE 2023, 1.38x at YE 2022, 1.53x at YE 2021, and 1.95x at YE 2020. Fitch's 'Bsf' rating case loss of 58.0% (prior to concentration add-ons) reflects a stressed value of $67 psf which is based on a discount to the most recent appraisal value. The second largest contributor to overall loss expectations in CGCMT 2018-B2 is the 3rd & Pine Seattle Retail & Parking loan, which is secured by a leasehold interest in a parking lot/retail property located in an urban infill location within downtown Seattle, WA. The loan has seen a substantial decline in cash flow since the largest retail tenant (94% of the retail space) vacated in September 2020. According to the servicer, the retail space remains vacant. According to the servicer, the receiver is in the process of securing a tenant for a portion of the retail space. The decrease in parking income was due to lower demand for transient parking as a result of the pandemic, but there has been an uptick in demand over the past year with more return to office mandates. A mitigant to the transient parking income is that 58.8% of parking spaces (496 out of 844 total spaces) have been leased on a long-term basis for 10 years or more. The servicer-reported NOI DSCR was 0.09x at YE 2024, compared to 1.06x at YE 2023, 0.30x at YE 2022, 0.01x at YE 2021, 1.27x at YE 2020, 1.77x at YE 2019, and 2.41x at YE 2018. Fitch's 'Bsf' rating case loss of 55.8% (prior to concentration add-ons) reflects a stressed value of $842 psf which is based on a discount to the most recent appraisal value. The third largest contributor to overall loss expectations in CGCMT 2018-B2 is the Braddock Metro Center loan, which is secured by a three-property office portfolio totaling 315,589-sf located in Alexandria, VA. The loan transferred to special servicing in September 2024 for non-monetary default. A receiver was appointed in January 2025. Property occupancy was 80% as of December 2025, compared to 79% in October 2024, 81% at YE 2023 and 89% at YE 2022. As of June 2024, the servicer-reported NOI DSCR fell to 1.01x from 1.25x at YE 2023 and 1.69x at YE 2022. The portfolio's largest tenant is the USDA (41.5% of the NRA) with a lease expiration in December 2034. Other major tenants include Alexandria City State Board (26.8%; May 2029). Fitch's 'Bsf' rating case loss of 54.1% (prior to concentration add-ons) reflects a stressed value of $113 psf which is based on the most recent appraisal value. Increased CE: As of the March 2026 distribution date, the pool's aggregate balance for CGCMT 2017-P7 has been reduced by 23.5% to $784.5 million from $1.0 billion at issuance. Five loans (14.5% of pool) have been defeased. Thirteen loans (45%) are full-term interest-only (IO), and the remaining 55% of the pool is amortizing. As of the March 2026 distribution date, the pool's aggregate balance for CGCMT 2018-B2 has been reduced by 14.0% to $914.0 million from $1.1 billion at issuance. Eight loans (7.6% of pool) have been defeased. Seventeen loans (45%) are full-term IO, and the remaining 55% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not likely due to the expected continued amortization and loan payoffs and increasing CE relative to loss expectations but may occur should interest shortfalls affect these classes; - Downgrades to the junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE or if interest shortfalls occur; - Downgrades to the 'AAsf' and 'Asf' category rated classes, which have Negative Outlooks, will occur if expected losses increase significantly from further performance declines on the FLOCs, particularly SAP Building, Cahuenga West Office Building, Scripps Center, 111 Livingston Street, and Hamilton Crossing in CGCMT 2017-P7 and Braddock Metro Center, Park Place East and Park Place West, 3rd & Pine Seattle Retail & Parking, and One Newark Center in CGCMT 2018-B2. Downgrades are also likely should more loans default at or prior to maturity than expected; - Downgrades to the 'BBBsf' category rated classes, which have Negative Outlooks, are possible with higher expected losses from continued performance of the aforementioned FLOCs and with greater certainty of losses to these classes; - Further downgrades to the distressed 'CCCsf', 'CCsf', and 'Csf' rated 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 to the 'Asf' and 'AAsf' category rated classes are not likely but may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, specifically the SAP Building, Cahuenga West Office Building, Scripps Center, 111 Livingston Street, and Hamilton Crossing in CGCMT 2017-P7 and Braddock Metro Center, Park Place East and Park Place West, 3rd & Pine Seattle Retail & Parking, and One Newark Center in CGCMT 2018-B2; - Upgrades to the 'BBBsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; - Upgrades to distressed rating of 'CCCsf', 'CCsf', and 'Csf' classes are not expected but would be possible with better-than-expected recoveries or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2012-LTRT: DBRS Cuts Class C Certs Rating to CCC(sf) --------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on two classes of COMM 2012-LTRT Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT issued by COMM 2012-LTRT Mortgage Trust as follows: -- Class B to BBB (low) (sf) from A (low) (sf) -- Class C to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AA (low) (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class X-A at AA (sf) The trend on Class B is Negative. Classes C, D, and E have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The underlying collateral consists of two fixed-rate mortgage loans secured by two regional mall properties, The Oaks Mall (Prospectus ID#1, 49.2% of the pool balance) and Westroads Mall (Prospectus ID#2, 50.8% of the pool balance). The loans are not cross collateralized or cross defaulted. The sponsor and manager is Brookfield Property Partners L.P. (rated BBB (low) with a Stable trend by Morningstar DBRS). The Oaks Mall loan became real estate owned (REO) in January 2026 while the Westroads Mall loan transferred to special servicing in November 2025 for maturity default. At the previous credit rating action, Morningstar DBRS downgraded its credit ratings on Classes D and E and changed the trends on Classes B and C to Negative from Stable because of the loss expectations stemming from a liquidation scenario of The Oaks Mall. Since then, the property was re-appraised at a value of $76.0 million, representing a minor decline from the December 2024 value of $81.0 million. With this review, Morningstar DBRS updated the liquidation scenario for this loan based on a 20% haircut to the most recent value. The resulting implied loss of $17.0 million would erode the entirety of the Class E certificate and nearly 40.0% of Class D, supporting the credit rating confirmations on those classes at C (sf) as well as the credit rating downgrades on Classes B and C. Morningstar DBRS maintained the Negative trend on Class B to reflect the potential for further value decline given the low investor appetite for regional malls in secondary markets and the uncertainty surrounding the resolution of both loans. The Oaks Mall is secured by the fee-simple interest in the 582,000-square-foot (sf) portion of a 906,000-sf superregional mall in Gainesville, Florida. The property is anchored by Belk, two Dillard's stores (one of which is collateral), and JCPenney (noncollateral). A receiver is in place and the loan has been REO since January 2026. The November 2025 appraisal valued the property at $76.0 million, down from the December 2024 value of $81.0 million and issuance value of $227.0 million. With this review, Morningstar DBRS liquidated the loan, applying a 20.0% haircut to the November 2025 value and incorporating approximately $4.4 million of additional expenses and projected principal and interest amounts, resulting in a loss of $17.0 million (loss severity of 23.1%). The Westroads Mall loan is secured by the fee-simple interest in the 540,000-sf portion of a 1.1 million-sf regional mall in Omaha, Nebraska. The property is anchored by noncollateral JCPenney and Von Maur. A third noncollateral anchor box has been vacant since 2018, but, according to KMTV 3 News Now Omaha, Dillard's is expected to backfill that space in 2027, and Toys "R" Us will occupy the former Forever 21 space in late 2026. Despite a decline in 2025, occupancy remains healthy at 88.8%, and, while the debt service coverage ratio has been relatively stable over the last few years, it remains significantly below issuance expectations. The property was most recently valued in September 2022 at $149.0 million, a decline from the issuance appraised value of $242.0 million. Despite the drop in value, a substantial haircut would be required before a loss would be incurred, suggesting the most senior bonds remain well insulated. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. DEEPHAVEN RESIDENTIAL 2026-INV2: S&P Rates Class B-2 Notes 'B' -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Deephaven Residential Mortgage Trust 2026-INV2's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of two months. The mortgage loans have primarily 30-year maturities, and some have 15- and 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool has 1,130 loans, backed by 1,137 properties, which are all ability-to-repay exempt. S&P said, "After we assigned our preliminary ratings on March 24, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts increased to $167.542 million and $29.628 million, respectively, from $125.055 million and $22.115 million. At the same time, the corresponding class A-1 note amount increased to $197.170 million from $147.170 million. However, the credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement provided, associated structural mechanics, and representation and warranty framework; -- The mortgage originators and aggregator; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned Deephaven Residential Mortgage Trust 2026-INV2(i) Class A-1, $197,170,000: AAA (sf) Class A-1A, $167,542,000: AAA (sf) Class A-1B, $29,628,000: AAA (sf) Class A-2, $20,591,000: AA (sf) Class A-3, $35,405,000: A (sf) Class M-1, $15,702,000: BBB (sf) Class B-1, $11,407,000: BB (sf) Class B-2, $8,888,000: B (sf) Class B-3, $7,111,268: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i) The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount is initially $296,274,268 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. DIAMETER CREDIT IV: Moody's Ups Rating on $11.2MM E Notes from Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding IV, LTD.: US$58,000,000 Class B Senior Secured Fixed Rate Notes due 2040, Upgraded to Aa1 (sf); previously on December 22, 2021 Assigned Aa3 (sf) US$17,600,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Upgraded to Aa3 (sf); previously on December 22, 2021 Assigned A3 (sf) US$23,600,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Upgraded to A3 (sf); previously on December 22, 2021 Assigned Baa3 (sf) US$11,200,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Upgraded to Baa2 (sf); previously on December 22, 2021 Assigned Ba2 (sf) Diameter Credit Funding IV, LTD., issued in December 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the weighted average life (WAL) covenant since December 2021, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. In particular, Moody's modeled a portfolio WAL of 6 years compared to 10 years in December 2021. The upgrade actions also reflect benefit of the short period of time remaining before the end of the deal's reinvestment period in January 2027, after which note repayments are expected to commence. Additionally, the deal currently reports passing all its covenants. No action was taken on the Class A notes because its expected loss remain commensurate with its current rating, after taking into account the CBO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3443 Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 36.23% Weighted Average Life (WAL): 6.0 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 114: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 114 CLO, Ltd. Entity/Debt Rating ----------- ------ Dryden 114 CLO, Ltd. X LT AAAsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C-1 LT A+sf New Rating C-1F LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating D-2F LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Sub Notes LT NRsf New Rating Transaction Summary Dryden 114 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.11% first-lien senior secured loans and has a weighted average recovery assumption of 73.21%. 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 37% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf ' for class B, between 'B+sf' and 'Asf' for class C-1, between 'B-sf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X 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-1, 'AAsf' for class C-2, '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 Dryden 114 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. EFMT 2026-AE2: Moody's Assigns (P)B2 Rating to Class B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 58 classes of residential mortgage-backed securities (RMBS) to be issued by EFMT 2026-AE2, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated and serviced by PennyMac Loan Services, LLC (PennyMac). The complete rating actions are as follows: Issuer: EFMT 2026-AE2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aa1(sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4 *, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6 *, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aa1 (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.48% and reaches 7.99% 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. EFMT 2026-NQM4: Fitch Assigns 'B-sf' Final Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2026-NQM4 mortgage pass-through certificates, series 2026-NQM4 (EFMT 2026-NQM4). Entity/Debt Rating Prior ----------- ------ ----- EFMT 2026-NQM4 A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCX 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 WDsf Withdrawn AAA(EXP)sf A1IO LT WDsf Withdrawn AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf BX1A LT BB-sf New Rating BB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf BX2A LT B-sf New Rating B-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed certificates to be issued by EFMT 2026-NQM4, Mortgage Pass-Through Certificates, Series 2026-NQM4 (EFMT 2026-NQM4), as indicated above. The certificates are supported by 1,380 loans with a balance of $546,798,068.03 as of the cutoff date. This will be the 18th EFMT transaction Fitch has rated and the third non-qualified mortgage (non-QM, or NQM) EFMT transaction in 2026 Fitch has rated. The certificates are secured mainly by non-QMs, as defined by the Ability to Repay Rule (ATR), and include investment properties and other loans that are not subject to the ATR. The loans were originated by The Loan Store, Inc. (TLS; 24.83%) and Champions Funding LLC (14.16%), with the remaining 61.01% originated by various third-party originators who contributed. Cornerstone Home Lending, Inc., 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, 3.97% of the pool loans have an adjustable rate. All ARM loans are based on the 30-day secured overnight financing rate (SOFR). Classes 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). Classes M-1 is fixed rate and capped at the net WAC. Class B-1A will have a per annum rate equal to the excess, if any, of (i) the net WAC rate for such distribution date over (ii) 1.0000%. Class B-2A will be a per annum rate equal to the excess, if any, of (i) the net WAC rate for such distribution date over (ii) 2.0000%. Classe B-3 will have an interest rate equal to the net WAC. After the presale was published, the issuer decided not to offer the following classes because of market demand: A-1FCF, A-1FCX, A-1LCF, A-1F, and A-1IO. Because the classes are no longer offered, Fitch has withdrawn the ratings on the classes, which previously had expected ratings of 'AAAsf' with a Stable Rating Outlook. 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 1,380 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs]), condos/condotels, townhouses, two- to four-unit multifamily properties and five- to 10-unit multifamily properties) totaling $546,798,068.03. The pool does include cross-collateralized loans (0.48%), and fewer than 1.97% of loans are to foreign nationals. The loans are mainly exempt from QM or are NQM loans, with the majority of the loans underwritten to 12-24 months bank statement or debt service coverage ratio (DSCR) underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned on average for three months. 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 (CLTV) of 74.42%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 82.67%. This transaction has a final probability of default (PD) of 45.22 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 47.08. The expected loss at the 'AAAsf' rating stress is 21.29. Structural Analysis (Mixed): EFMT 2026-NQM4 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 A1A, A-1B, 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, 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-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, and A-1B, 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 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-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 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) sequentially, to the class A-1B and A-1A certificates, in that order, until their respective class balances have been reduced to zero. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to arrive at a potential operational risk adjustment. The only consideration 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. 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 underwent a due diligence review; 100% of the loans in the pool received the 5-bp z-score 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. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects EFMT 2026-NQM4 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-NQM4; therefore, Fitch rates the transaction at the highest possible 'AAAsf' rating 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. All loans in the pool received final grades of 'A' or 'B'. 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. As a result, the losses on the pool were lowered. 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, EFMT Sponsor LLC, engaged several TPRs, 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 that 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 a FICO above guideline requirements or LTVs or DTIs below guideline requirements. 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 were 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. ELMWOOD CLO 26: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO 26 Ltd.'s reset transaction. Entity/Debt Rating ----------- ------ Elmwood CLO 26 Ltd. A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2AR LT BBB-sf New Rating D-2BR LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Elmwood CLO 26 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Elmwood Asset Management LLC, which originally closed in March 2024. The existing secured notes will be redeemed in full on April 2, 2026. Net proceeds from the issuance of the refinancing notes and subordinated notes will provide financing on a portfolio of approximately $600 million primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.83 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 96.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.96% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1R notes, between 'A-sf' and 'AA+sf' for class A-2R notes, between 'BBB-sf' and 'AA-sf' for class B-R notes, between 'B+sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BBB-sf' for class D-1R notes, between less than 'B-sf' and 'BB+sf' for class D-2R (D-2AR and D-2BR, collectively) notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1R notes, 'A-sf' for class D-2R (D-2AR and D-2BR, collectively) notes, and 'BBBsf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 26 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. FIGRE TRUST 2026-FL1: DBRS Finalizes B(low) Rating on B-2 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2026-FL1 (the Notes) issued by FIGRE Trust 2026-FL1 (FIGRE 2026-FL1 or the Issuer): -- $222.6 million Class A-1 at AAA (sf) -- $28.7 million Class A-2 at AA (high) (sf) -- $7.4 million Class A-3 at A (high) (sf) -- $7.7 million Class M-1 at BBB (low) (sf) -- $2.7 million Class B-1 at BB (sf) -- $2.6 million Class B-2 at B (low) (sf) Morningstar DBRS assigned ratings to the following Notes issued by FIGRE 2026-FL1: -- $155.8 million Class A-1FCF at AAA (sf) -- $66.8 million Class A-1LCF at AAA (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 18.95% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) credit ratings reflect 8.50%, 5.80%, 3.00%, 2.00%, and 1.05% 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 first-lien home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Class A¿1FCF and Class A¿1LCF Initial Exchangeable Notes were issued after Morningstar DBRS assigned the provisional ratings. These Initial Exchangeable Notes may be exchanged for the Class A-1 Exchangeable Notes. The Class A-2 and Class A-3, 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. Refer to Cash Flow Structure and Features section for more information. The Notes are backed by 2,106 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 $274,586,095 and a total current credit limit of $297,431,281 as of the Cut-Off Date (February 28, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 12 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-FL1 is the 26th rated securitization of HELOCs by Figure. However, FIGRE 2026-FL1 is the third rated securitization of HELOCs by Figure to contain primarily first-lien HELOCs. 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 loans 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 seven to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only (IO) 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 97.0% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then 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 generally treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations and generally stepped up expected losses from the model to account for this and other factors. Please see the Documentation Type and Underwriting Guidelines sections of this 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, a Division of Cornerstone Capital Bank, SSB (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 Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A-1FCF, A-1LCF A-1 A-2, A-3, M-1, B-1, B-2, B-3, 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 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: -- 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; -- 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 Securitisation Rules and the UK Securitisation Rules respectively; -- 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 Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- 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. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged-off and will instead continue to be serviced. 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. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged-off and will instead continue to be serviced. 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. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike prior FIGRE securitizations, the Reserve Account will not be funded at closing. Instead, the Class FR Certificateholders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed 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. 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 funded by the Class FR Certificateholders. 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 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. 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 Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of this report for more details. 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 (March 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes--Class M-1, Class B-1, and Class B-2--that receive their principal payments after the pro rata classes (Class A-1FCF, Class A-1LCF, Class A-1, Class A-2, and Class A-3) 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. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly 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 or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). The Depositor may, at its option, on or after the earlier of (1) the payment date in March 2029, and (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% 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 a 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 (NPLs) (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible 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. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. 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 for the rated notes are the current interest, interest carryforward amount, and the note amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GARNET CLO 5: Moody's Assigns B3 Rating to $5MM Class F Notes ------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Garnet CLO 5, Ltd. (the Issuer or Garnet CLO 5): US$209,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$106,000,000 Class A-1L Loans maturing 2038, Assigned Aaa (sf) US$5,000,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. 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. Garnet CLO 5 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 or permitted non-loan assets. The portfolio is approximately 75% ramped as of the closing date. Garnet Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued five 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: 70 Weighted Average Rating Factor (WARF): 2749 Weighted Average Spread (WAS): 2.60% Weighted Average Recovery Rate (WARR): 45.5% Weighted Average Life (WAL): 8.06 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 Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. GARNET CLO 6: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Garnet CLO 6, Ltd. Entity/Debt Rating ----------- ------ Garnet CLO 6, 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 F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Garnet CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Garnet Credit 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+/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 100% first lien senior secured loans and has a weighted average recovery assumption of 75.29%. 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 metrics. 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 Garnet CLO 6, 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. GCAT 2026-NQM2: DBRS Finalizes Bsf Rating on Class B-2 Certs ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM2 (the Certificates) issued by GCAT 2026-NQM2 Trust (GCAT 2026-NQM2 or the Issuer) as follows: -- $300.7 million Class A-1A at AAA (sf) -- $43.0 million Class A-1B at AAA (sf) -- $343.7 million Class A-1 at AAA (sf) -- $19.5 million Class A-2 at AA (sf) -- $37.2 million Class A-3 at A (sf) -- $6.0 million Class M-1 at BBB (high) (sf) -- $15.0 million Class B-1 at BB (sf) -- $4.9 million Class B-2 at B (sf) Morningstar DBRS discontinued and withdrew its credit ratings on the Class A-1FCF and Class A1-LCF initially contemplated in the offering documents, as they were not issued at closing. The AAA (sf) credit ratings reflect 20.00% of credit enhancement provided by the subordinated classes. The AA (sf), A (sf), BBB (high) (sf), BB (sf), and B (sf) credit ratings reflect 15.45%, 6.80%, 5.40%, 1.90%, and 0.75%, respectively, of credit enhancement. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. GCAT 2026-NQM2 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 788 loans with a total principal balance of approximately $429,581,340 as of March 1, 2026 (the Cut-Off Date). The pool is, on average, three months seasoned with loan ages ranging from zero to 11 months. Rocket Mortgage, LLC (Rocket Mortage); Arc Home LLC; and The Loan Store, Inc. originated approximately 47.2%, 37.1%, and 15.8%, respectively, of the mortgage loans. The remainder of the mortgage loans were originated by various mortgage lending institutions and individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC and doing business as (dba) Shellpoint will service 100% of the loans. U.S. Bank, National Association will act as Custodian; Rocket Mortgage will act as Master Servicer; and U.S. Bank Trust Company, National Association will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 99.6% of the loans in the pool were 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, 33.5% of the loans by balance are designated as non-QM. Approximately 21.6% 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 42.8% of the pool are designated as QM Safe Harbor, and there are 2.1% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible vertical interest in the transaction in the required amount of no less than 5.0% of the Initial Class Balance (other than the Class X, Class A-IO-S, and Class R certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on any distribution 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 real estate-owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. The Depositor 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 such repurchases in aggregate do not exceed 7.50% of the total principal balance as of the Cut-Off Date. The Issuer may require the Representing Originator 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-1A and Class A-1B certificates, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the senior-most 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-1A and Class A-1B 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. The credit ratings reflect transactional strengths that include the following: -- Robust Loan Attributes and Pool Composition; -- Compliance with the ATR Rules; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Debt Service Coverage Ratio (DSCR) Loans; -- Certain Non-Prime, Non-QM, Investor Loans, and Loans to Foreign National Borrowers; -- Representations and warranties framework; and -- Limited Servicer Advances of Delinquent Principal and Interest (P&I). Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and Class Balance. The associated financial obligations are listed at the end of this press release. Morningstar DBRS' credit ratings on the Class A Certificates also address the credit risk associated with the increased rate of interest applicable if the Class A certificates remain outstanding on or after the distribution date in April 2030 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any cap carryover amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT 2026-NQM2: Moody's Assigns Ba2 Rating to Cl. B-1 Certs ----------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 7 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2026-NQM2 Trust, and sponsored by Blue River Mortgage VI LLC and TPG Mortgage Investment Trust, Inc. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by GCAT 2025-34, LLC, GCAT 2025-35, LLC, and GCAT 2026-38 LLC; originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GCAT 2026-NQM2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Moody's are withdrawing the provisional ratings for the Class A-1FCF and Class A-1LCF assigned on March 25, 2026, because the Class A-1FCF and Class A-1LCF were not issued on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.63%, in a baseline scenario-median is 1.07% and reaches 17.38% 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. GFCM LLC 2003-1: Moody's Downgrades Rating on Cl. X Certs to Ca --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on two classes and downgraded the rating on one class in GFCM LLC, Mortgage Pass-Through Certificates, Series 2003-1 as follows: Cl. G, Affirmed B1 (sf); previously on Jun 12, 2025 Upgraded to B1 (sf) Cl. H, Affirmed C (sf); previously on Jun 12, 2025 Affirmed C (sf) Cl. X*, Downgraded to Ca (sf); previously on Jun 12, 2025 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Class G was affirmed at B1 (sf) due to its credit support and the expected principal paydowns from the remaining loans in the pool. Class G is now the most senior outstanding class and will benefit from priority of principal payments from future amortization and loan payoffs. The rating on Class H was affirmed at C (sf) due to its realized plus expected losses. Class H had an original balance of only $2.1 million and has already experienced a 43% realized loss based on its original balance. The rating on the interest only (IO) class, Class X, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The deal has paid down 28% since Moody's prior review and 99% since securitization. Class X originally referenced all P&I classes including Class J (which has experienced a 100% loss based on its original balance), however, only Classes G and H remain outstanding. All referenced classes senior to Class G have previously paid off in full. Moody's do not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 0.4% of the original pooled balance, unchanged from the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses or interest shortfalls. DEAL PERFORMANCE As of the March 2026 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $5.9 million from $823 million at securitization. The certificates are collateralized by nine mortgage loans. The remaining loans are all amortizing and in aggregate have amortized approximately 86% since securitization. Six loans have been liquidated from the pool, contributing to an aggregate realized loss of $2.9 million and there are no loans currently in special servicing. As of the March 2026 remittance statement cumulative interest shortfalls were $146,207 and impacted up to Class H, however, these have been outstanding since January 2024 and there were no recent additional monthly shortfalls caused by the remaining loans in the pool. As a result of the significant amortization and loan performance Moody's LTV is below 25% on all the outstanding loans. GS MORTGAGE 2021-GR2: Moody's Ups Rating on Cl. B-5 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 12 bonds issued by GS Mortgage-Backed Securities Trust 2021-GR2. The collateral backing this deal consists of investment property mortgage loans. 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: GS Mortgage-Backed Securities Trust 2021-GR2 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 5, 2024 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Aug 5, 2024 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Aug 5, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jun 10, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Jun 10, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Jun 10, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 5, 2024 Upgraded to A2 (sf) Cl. B-3-A, Upgraded to A1 (sf); previously on Aug 5, 2024 Upgraded to A2 (sf) Cl. B-3-X*, Upgraded to A1 (sf); previously on Aug 5, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jun 10, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 5, 2024 Upgraded to Ba2 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Aug 5, 2024 Upgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continue to display strong collateral performance, with cumulative loss under .01% and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 1.3x since closing. 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 and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GS MORTGAGE 2026-DAWN: DBRS Finalizes B(low) Rating on F Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-DAWN (the Certificates) issued by GS Mortgage Securities Corporation Trust 2026-DAWN: -- Class A 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. 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 MORTGAGE 2026-PJ3: DBRS Finalizes B(low) Rating on B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ3 (the Notes) issued by GS Mortgage-Backed Securities Trust 2026-PJ3: -- $274.4 million Class A-1 at AAA (sf) -- $274.4 million Class A-2 at AAA (sf) -- $274.4 million Class A-3 at AAA (sf) -- $205.8 million Class A-4 at AAA (sf) -- $205.8 million Class A-5 at AAA (sf) -- $205.8 million Class A-6 at AAA (sf) -- $164.6 million Class A-7 at AAA (sf) -- $164.6 million Class A-8 at AAA (sf) -- $164.6 million Class A-9 at AAA (sf) -- $41.2 million Class A-10 at AAA (sf) -- $41.2 million Class A-11 at AAA (sf) -- $41.2 million Class A-12 at AAA (sf) -- $109.7 million Class A-13 at AAA (sf) -- $109.7 million Class A-14 at AAA (sf) -- $109.7 million Class A-15 at AAA (sf) -- $68.6 million Class A-16 at AAA (sf) -- $68.6 million Class A-17 at AAA (sf) -- $68.6 million Class A-18 at AAA (sf) -- $29.4 million Class A-19 at AAA (sf) -- $29.4 million Class A-20 at AAA (sf) -- $29.4 million Class A-21 at AAA (sf) -- $303.7 million Class A-22 at AAA (sf) -- $303.7 million Class A-23 at AAA (sf) -- $303.7 million Class A-24 at AAA (sf) -- $303.7 million Class A-25 at AAA (sf) -- $54.9 million Class A-27 at AAA (sf) -- $54.9 million Class A-28 at AAA (sf) -- $54.9 million Class A-29 at AAA (sf) -- $54.9 million Class A-30 at AAA (sf) -- $54.9 million Class A-31 at AAA (sf) -- $54.9 million Class A-32 at AAA (sf) -- $54.9 million Class A-33 at AAA (sf) -- $54.9 million Class A-34 at AAA (sf) -- $54.9 million Class A-35 at AAA (sf) -- $303.7 million Class A-X-1 at AAA (sf) -- $274.4 million Class A-X-2 at AAA (sf) -- $274.4 million Class A-X-3 at AAA (sf) -- $274.4 million Class A-X-4 at AAA (sf) -- $205.8 million Class A-X-5 at AAA (sf) -- $205.8 million Class A-X-6 at AAA (sf) -- $205.8 million Class A-X-7 at AAA (sf) -- $164.6 million Class A-X-8 at AAA (sf) -- $164.6 million Class A-X-9 at AAA (sf) -- $164.6 million Class A-X-10 at AAA (sf) -- $41.2 million Class A-X-11 at AAA (sf) -- $41.2 million Class A-X-12 at AAA (sf) -- $41.2 million Class A-X-13 at AAA (sf) -- $109.7 million Class A-X-14 at AAA (sf) -- $109.7 million Class A-X-15 at AAA (sf) -- $109.7 million Class A-X-16 at AAA (sf) -- $68.6 million Class A-X-17 at AAA (sf) -- $68.6 million Class A-X-18 at AAA (sf) -- $68.6 million Class A-X-19 at AAA (sf) -- $29.4 million Class A-X-20 at AAA (sf) -- $29.4 million Class A-X-21 at AAA (sf) -- $29.4 million Class A-X-22 at AAA (sf) -- $303.7 million Class A-X-23 at AAA (sf) -- $303.7 million Class A-X-24 at AAA (sf) -- $303.7 million Class A-X-25 at AAA (sf) -- $303.7 million Class A-X-26 at AAA (sf) -- $54.9 million Class A-X-27 at AAA (sf) -- $54.9 million Class A-X-28 at AAA (sf) -- $54.9 million Class A-X-30 at AAA (sf) -- $54.9 million Class A-X-31 at AAA (sf) -- $54.9 million Class A-X-33 at AAA (sf) -- $54.9 million Class A-X-34 at AAA (sf) -- $7.7 million Class B-1 at AA (low) (sf) -- $7.7 million Class B-X-1 at AA (low) (sf) -- $7.7 million Class B-1A at AA (low) (sf) -- $4.8 million Class B-2 at A (low) (sf) -- $4.8 million Class B-X-2 at A (low) (sf) -- $4.8 million Class B-2A at A (low) (sf) -- $3.2 million Class B-3 at BBB (low) (sf) -- $1.8 million Class B-4 at BB (low) (sf) -- $645.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30, A-31, A-32, A-33, A-34, and A-35 are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-28, A-29, A-31, A-32, A-34, A-35, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 5.90% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.50%, 2.00%, 1.00%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-PJ3 (the Notes). The Notes are backed by 255 loans with a total principal balance of $322,776,877 as of the Cut-Off Date. * *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. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.2%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (41.7%), PennyMac Loan Services, LLC (13.0%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (41.7%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (33.6%) and PennyMac Loan Services, LLC (24.8%). Rocket Mortgage, LLC will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian and Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. 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 Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ4: DBRS Finalizes B(low) Rating on B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ4 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ4: -- $274.7 million Class A-1 at AAA (sf) -- $274.7 million Class A-2 at AAA (sf) -- $274.7 million Class A-3 at AAA (sf) -- $206.0 million Class A-4 at AAA (sf) -- $206.0 million Class A-5 at AAA (sf) -- $206.0 million Class A-6 at AAA (sf) -- $164.8 million Class A-7 at AAA (sf) -- $164.8 million Class A-8 at AAA (sf) -- $164.8 million Class A-9 at AAA (sf) -- $41.2 million Class A-10 at AAA (sf) -- $41.2 million Class A-11 at AAA (sf) -- $41.2 million Class A-12 at AAA (sf) -- $109.9 million Class A-13 at AAA (sf) -- $109.9 million Class A-14 at AAA (sf) -- $109.9 million Class A-15 at AAA (sf) -- $68.7 million Class A-16 at AAA (sf) -- $68.7 million Class A-17 at AAA (sf) -- $68.7 million Class A-18 at AAA (sf) -- $30.1 million Class A-19 at AAA (sf) -- $30.1 million Class A-20 at AAA (sf) -- $30.1 million Class A-21 at AAA (sf) -- $304.7 million Class A-22 at AAA (sf) -- $304.7 million Class A-23 at AAA (sf) -- $304.7 million Class A-24 at AAA (sf) -- $304.7 million Class A-25 at AAA (sf) -- $54.9 million Class A-27 at AAA (sf) -- $54.9 million Class A-28 at AAA (sf) -- $54.9 million Class A-29 at AAA (sf) -- $54.9 million Class A-30 at AAA (sf) -- $54.9 million Class A-31 at AAA (sf) -- $54.9 million Class A-32 at AAA (sf) -- $54.9 million Class A-33 at AAA (sf) -- $54.9 million Class A-34 at AAA (sf) -- $54.9 million Class A-35 at AAA (sf) -- $304.7 million Class A-X-1 at AAA (sf) -- $274.7 million Class A-X-2 at AAA (sf) -- $274.7 million Class A-X-3 at AAA (sf) -- $274.7 million Class A-X-4 at AAA (sf) -- $206.0 million Class A-X-5 at AAA (sf) -- $206.0 million Class A-X-6 at AAA (sf) -- $206.0 million Class A-X-7 at AAA (sf) -- $164.8 million Class A-X-8 at AAA (sf) -- $164.8 million Class A-X-9 at AAA (sf) -- $164.8 million Class A-X-10 at AAA (sf) -- $41.2 million Class A-X-11 at AAA (sf) -- $41.2 million Class A-X-12 at AAA (sf) -- $41.2 million Class A-X-13 at AAA (sf) -- $109.9 million Class A-X-14 at AAA (sf) -- $109.9 million Class A-X-15 at AAA (sf) -- $109.9 million Class A-X-16 at AAA (sf) -- $68.7 million Class A-X-17 at AAA (sf) -- $68.7 million Class A-X-18 at AAA (sf) -- $68.7 million Class A-X-19 at AAA (sf) -- $30.1 million Class A-X-20 at AAA (sf) -- $30.1 million Class A-X-21 at AAA (sf) -- $30.1 million Class A-X-22 at AAA (sf) -- $304.7 million Class A-X-23 at AAA (sf) -- $304.7 million Class A-X-24 at AAA (sf) -- $304.7 million Class A-X-25 at AAA (sf) -- $304.7 million Class A-X-26 at AAA (sf) -- $54.9 million Class A-X-27 at AAA (sf) -- $54.9 million Class A-X-28 at AAA (sf) -- $54.9 million Class A-X-30 at AAA (sf) -- $54.9 million Class A-X-31 at AAA (sf) -- $54.9 million Class A-X-33 at AAA (sf) -- $54.9 million Class A-X-34 at AAA (sf) -- $7.8 million Class B-1 at AA (low) (sf) -- $7.8 million Class B-1A at AA (low) (sf) -- $7.8 million Class B-X-1 at AA (low) (sf) -- $4.7 million Class B-2 at A (low) (sf) -- $4.7 million Class B-2A at A (low) (sf) -- $4.7 million Class B-X-2 at A (low) (sf) -- $2.9 million Class B-3 at BBB (low) (sf) -- $1.5 million Class B-4 at BB (sf) -- $808.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30, A-31, A-32, A-33, A-34, and A-35 are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-28, A-29, A-31, A-32, A-34, A-35, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 5.70% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) credit ratings reflect 3.30%, 1.85%, 0.95%, 0.50%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 250 loans with a total principal balance of $323,144,245 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related credit rating report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.3%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (41.2%) and PennyMac Loan Services, LLC (16.8%) and other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (41.2%), PennyMac Loan Services, LLC (30.7%), and Newrez LLC d/b/a Shellpoint Mortgage Servicing (28.1%). Computershare Trust Company, N.A. will act as the Master Servicer, and Computershare Trust Company, N.A. will also act as Paying Agent, Loan Agent, and Custodian. U.S. Bank Trust Company, N.A. will act as Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. 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 Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ5: DBRS Finalizes B(low) Rating on B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ5 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ5: -- $274.7 million Class A-1 at AAA (sf) -- $274.7 million Class A-2 at AAA (sf) -- $274.7 million Class A-3 at AAA (sf) -- $206.0 million Class A-4 at AAA (sf) -- $206.0 million Class A-5 at AAA (sf) -- $206.0 million Class A-6 at AAA (sf) -- $164.8 million Class A-7 at AAA (sf) -- $164.8 million Class A-8 at AAA (sf) -- $164.8 million Class A-9 at AAA (sf) -- $41.2 million Class A-10 at AAA (sf) -- $41.2 million Class A-11 at AAA (sf) -- $41.2 million Class A-12 at AAA (sf) -- $109.9 million Class A-13 at AAA (sf) -- $109.9 million Class A-14 at AAA (sf) -- $109.9 million Class A-15 at AAA (sf) -- $68.7 million Class A-16 at AAA (sf) -- $68.7 million Class A-17 at AAA (sf) -- $68.7 million Class A-18 at AAA (sf) -- $27.5 million Class A-19 at AAA (sf) -- $27.5 million Class A-20 at AAA (sf) -- $27.5 million Class A-21 at AAA (sf) -- $302.1 million Class A-22 at AAA (sf) -- $302.1 million Class A-23 at AAA (sf) -- $302.1 million Class A-24 at AAA (sf) -- $302.1 million Class A-25 at AAA (sf) -- $54.9 million Class A-27 at AAA (sf) -- $54.9 million Class A-28 at AAA (sf) -- $54.9 million Class A-29 at AAA (sf) -- $54.9 million Class A-30 at AAA (sf) -- $54.9 million Class A-31 at AAA (sf) -- $54.9 million Class A-32 at AAA (sf) -- $54.9 million Class A-33 at AAA (sf) -- $54.9 million Class A-34 at AAA (sf) -- $54.9 million Class A-35 at AAA (sf) -- $302.1 million Class A-X-1 at AAA (sf) -- $274.7 million Class A-X-2 at AAA (sf) -- $274.7 million Class A-X-3 at AAA (sf) -- $274.7 million Class A-X-4 at AAA (sf) -- $206.0 million Class A-X-5 at AAA (sf) -- $206.0 million Class A-X-6 at AAA (sf) -- $206.0 million Class A-X-7 at AAA (sf) -- $164.8 million Class A-X-8 at AAA (sf) -- $164.8 million Class A-X-9 at AAA (sf) -- $164.8 million Class A-X-10 at AAA (sf) -- $41.2 million Class A-X-11 at AAA (sf) -- $41.2 million Class A-X-12 at AAA (sf) -- $41.2 million Class A-X-13 at AAA (sf) -- $109.9 million Class A-X-14 at AAA (sf) -- $109.9 million Class A-X-15 at AAA (sf) -- $109.9 million Class A-X-16 at AAA (sf) -- $68.7 million Class A-X-17 at AAA (sf) -- $68.7 million Class A-X-18 at AAA (sf) -- $68.7 million Class A-X-19 at AAA (sf) -- $27.5 million Class A-X-20 at AAA (sf) -- $27.5 million Class A-X-21 at AAA (sf) -- $27.5 million Class A-X-22 at AAA (sf) -- $302.1 million Class A-X-23 at AAA (sf) -- $302.1 million Class A-X-24 at AAA (sf) -- $302.1 million Class A-X-25 at AAA (sf) -- $302.1 million Class A-X-26 at AAA (sf) -- $54.9 million Class A-X-27 at AAA (sf) -- $54.9 million Class A-X-28 at AAA (sf) -- $54.9 million Class A-X-30 at AAA (sf) -- $54.9 million Class A-X-31 at AAA (sf) -- $54.9 million Class A-X-33 at AAA (sf) -- $54.9 million Class A-X-34 at AAA (sf) -- $8.1 million Class B-1 at AA (low) (sf) -- $8.1 million Class B-X-1 at AA (low) (sf) -- $8.1 million Class B-1A at AA (low) (sf) -- $5.7 million Class B-2 at A (low) (sf) -- $5.7 million Class B-X-2 at A (low) (sf) -- $5.7 million Class B-2A at A (low) (sf) -- $3.7 million Class B-3 at BBB (low) (sf) -- $1.9 million Class B-4 at BB (low) (sf) -- $808.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30, A-31, A-32, A-33, A-34, and A-35are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-28, A-29, A-31, A-32, A-34, A-35, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 6.50% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 4.00%, 2.25%, 1.10%, 0.50%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-PJ5 (the Notes). The Notes are backed by 242 loans with a total principal balance of $323,139,544 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 73.2%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (15.8%), LoanDepot.com (12.1%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (44.4%),PennyMac Loan Services, LLC (27.8%), and United Wholesale Mortgage, LLC (15.8%). Rocket Mortgage, LLC will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian and Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. 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 Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GSF 2026-AXMF2: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to GSF 2026-AXMF2 Issuer LLC as follows: - $6,976,000a Class A-1 'A(EXP)sf': Outlook Stable; - $13,959,000a Class A-2 'A(EXP)sf'; Outlook Stable; - $2,243,000a Class A-S 'A(EXP)sf'; Outlook Stable; - $4,534,000a Class B 'A(EXP)sf'; Outlook Stable; - $7,054,000a Class C 'A-(EXP)sf'; Outlook Stable; - $0ab Class X 'A-(EXP)sf'; Outlook Stable; - $6,613,000a Class D 'BBB-(EXP)sf'; Outlook Stable; - $3,967,000ac Class E 'BB-(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144a. (b) The notional balance of class X is tied to the class A-1 though class C certificates. The rating of the interest-only (IO) class reflects that of the lowest tranche whose payable interest has an impact on the IO payments (class C). (c) Horizontal risk retention interest representing at least 17.9% of the fair value of all classes. Fitch does not expect to rate the following classes: - $5,041,000ac Class F. Transaction Summary This transaction contains five-year, fixed-rate, stabilized loans in a Qualified REIT Subsidiary (QRS) structure. This is a ramp facility that funds loans directly from the securitization vehicle upon their origination. Note holders have subscribed to, but not yet funded, the notes that will be backed by future loan originations. When loans are ready to be funded, a capital call is issued to the bond investors. Fitch will rate the loan pool as it ramps to several funding milestones: (i) the five-loan initial pool; and (ii) then at 25%, 50%, 75% and 100% of the target funding amount of $500 million. When fully funded, the pool is expected to be $500 million and contain approximately 42 loans. The five-loan initial pool contains five targeted but unclosed loans. Fitch will re-rate the deal at each of the funding milestones when collateral is added to the pool. Fitch was given information on a 42-loan portfolio and is being asked to provide feedback on the pool at its different funding milestones. Fitch will be implementing a rating cap of 'Asf' to classes A-1, A-2, A-S, and B given the small pool of unclosed loans and will revisit said rating cap once the pool includes 10 closed loans. KEY RATING DRIVERS Rating Cap: The pool's low loan count of five loans has triggered Fitch's rating cap at 'Asf'. The rating cap addresses Fitch's concern that low loan count pools are concentrated, lack diversity, and could impact senior investment-grade classes. The rating cap for the respective classes will remain in place until the pool reaches at least 10 or more loans/obligors. Fitch Net Cash Flow: Fitch performed cash flow analyses on five loans totaling 100% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $4.2 million represents a 7.1% decline from the issuer's aggregate underwritten NCF of $4.5 million. Leverage Compared to Recent Transactions: The pool's Fitch loan-to-value ratio (LTV) is 104.6%, lower than the 2025 YTD CRE CLO Fitch LTV of 140.1%, and higher than the 2025 Multiborrower five-year Fitch LTV average of 101.0%. Additionally, the pool's Fitch debt yield (DY) is 8.3%, higher than 2025 CRE CLO's Fitch DY average of 6.4%, and lower than the 2025 Multiborrower five-year Fitch DY average of 9.7%. Lower Interest Rates: The pool's weighed average note rate is 6.1%, lower than 2025 YTD CRE CLO average note rate of 7.5%, and lower than 2025 Multiborrower five-year average of 6.5%. Additionally, the pool's Fitch Term debt service coverage ratio (DSCR) is 1.14x, higher than the 2025 CRE CLO Fitch Term DSCR average of 0.76x, and lower than the 2025 Multiborrower five-year Fitch Term DSCR average of 1.20x. Highly Concentration by Loan Size: The pool carries five loans with an effective loan count of 4.3 and translates to a higher pool concentration compared to recent multiborrower transactions. The pool's effective loan count of 4.3 is lower than the 2025 CRE CLO average of 20.4 and 2025 Multiborrower five-year average of 21.6. Amortization: The pool is comprised of 100% of interest-only amortization loans and features 0.0% paydown from securitization to maturity. This is in line with the 2025 CRE CLO average of 0.5%, and lower than the 2025 Multiborrower five-year average of 0.9%. Higher Property-Type Concentration: GSF 2026-AXMF2 has an effective property count of 1.0, as the pool is fully collateralized by multifamily properties. The effective property count of 1.0 is lower than the 2025 CRE CLO average of 1.8, and the 2025 Multiborrower five-year average of 4.6. The 2025 CRE CLO and 2025 Multiborrower five-year reported multifamily exposures of 76.7% and 27.8%, respectively. Multifamily properties have a lower average likelihood of default than retail, office or industrial, all else equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have diversity of tenants and, correspondingly, diversity of employment. Higher Geographic Concentration: GSF 2026-AXMF2 has an effective geographic count of 4.4, which is lower than the 2025 CRE CLO average of 12.1 and lower than the 2025 Multiborrower five-year average of 8.9. Loans located in the Dallas MSA account for 27.1% of the pool. Loans located in the San Francisco MSA account for 28.3% of the pool. Shorter Duration Loans: Loans with five-year original terms constitute 100% of the pool, while Fitch-rated multiborrower transactions have historically primarily included loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'Asf' / 'Asf' / 'Asf' / 'A-sf' / 'BBB-sf'/ 'BB-sf'; - 10% NCF Decline: 'Asf' /'Asf' / 'Asf' / 'BBB+sf'/ 'BB+'/ 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'Asf' / 'Asf' / 'Asf' / 'A-sf' / 'BBB-sf'/ 'BB-sf'; - 10% NCF Increase: 'Asf' /'Asf' / 'Asf' / 'A-sf'/ 'BBB-'/ 'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HILTON GRAND 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2026-1 (HGVT 2026-1). Entity/Debt Rating ----------- ------ Hilton Grand Vacations Trust 2026-1 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 Transaction Summary The notes are backed by a pool of fixed-rate timeshare loans originated by Hilton Resorts Corporation (HRC), Diamond Resorts Corporation (Diamond) and Bluegreen Vacations Corporation (Bluegreen). Hilton Grand Vacations, Inc. (HGV) completed its acquisition of Diamond and Bluegreen in August 2021 and January 2024, respectively. As a result of the acquisitions, Diamond and Bluegreen are now wholly owned indirect subsidiaries of HGV. KEY RATING DRIVERS Borrower Risk — Weaker Collateral: The 2026-1 pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 746, up from 742 in 2025-2 and 745 in 2025-1. Loans with original balances greater than $100,000 have decreased to 16.1%, from 20.3% in 2025-2, which Fitch considers a credit positive, as larger-balance loans have led to higher cumulative gross defaults (CGDs) in prior HGVT transactions. Additionally, the pool includes approximately 1.0% of loans made to foreign obligors, slightly down from a 1.1% concentration in 2025-2. The WA original term of 123 months is consistent with 123 in 2025-2, and seasoning of 11 months is down from 15 months in 2025-2. The share of upgraded loans from existing owners, at 63.6%, is lower than 72.3% in 2025-2. 2026-1 is HGV's fifth transaction to include HRC, Diamond and Bluegreen loans, which represent 33.9%, 32.8% and 33.3% of the collateral pool, respectively. On a like-for-like FICO basis, the HRC loans perform better than the Diamond and Bluegreen loans. Forward-Looking Approach on Rating Case CGD Proxy — Weakening Performance: HRC's managed portfolio delinquency and default performance showed notable increases in CGDs in the 2007—2010 vintages. Subsequent performance improvement was observed from 2010—2015, but the 2016—2024 vintages have demonstrated elevated CGDs that are outpacing those of the recessionary vintages for HRC, Diamond and Bluegreen. Similarly, recent securitized transactions are performing worse than earlier transactions. Fitch's rating case CGD proxy is 19.00% for 2026-1. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) is 61.60%, 30.15%, 13.90% and 4.80% for class A, B, C and D notes, respectively. CE is higher for all classes relative to 2025-2; a class D note was not issued for 2025-2. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.18% per annum. Available CE is sufficient to support stressed 'AAAsf', 'A-sf', 'BBB-sf' and 'BB-sf' multiples of Fitch's CGD proxy of 19.00%. Originator/Seller/Servicer - Adequate Origination/Servicing: Fitch considers HRC to have demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the managed portfolio and prior securitizations. 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 higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis 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 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. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. 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 upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C, and D notes, the multiples would increase, resulting in potential upgrades of two, one, and two notches, respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from KPMG LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculating of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HOMES 2026-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2026-NQM2 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of four months. The loans are secured by single-family residences, planned-unit developments, townhouses, condominiums, cooperatives, and two- to four-unit multifamily homes to both prime and nonprime borrowers. The pool consists of 766 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), non-QM/ability-to-repay (ATR)-compliant loans and ATR exempt loans. S&P said, "After we assigned preliminary ratings on March 16, 2026, the Issuer decided not to issue the class A-1FCF and A-1LCF certificates on the closing date. In turn, the certificate amounts of class A-1A, class A-1B, and exchangeable class A-1 were increased to $257.671 million from $128.835 million, to $38.689 million from $19.345 million, and to $296.360 from $148.180 million, respectively. The resized bonds did not change the credit enhancement on the transaction. After analyzing the final coupons and the updated structure, we assigned ratings to the classes and the ratings remain unchanged from the preliminary ratings. Further, we withdrew the preliminary ratings assigned to the class A-1FCF and A-1LCF certificates." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) HOMES 2026-NQM2 Trust Class A-1, $296,360,000: AAA (sf) Class A-1A, $257,671,000: AAA (sf) Class A-1B, $38,689,000: AAA (sf) Class A-2, $19,151,000: AA (sf) Class A-3, $43,719,000: A (sf) Class M-1, $10,833,000: BBB (sf) Class B-1, $7,158,000: BB (sf) Class B-2, $5,610,000: B (sf) Class B-3, $4,062,830: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. HPS LOAN 2013-2: S&P Downgrades Class E-R Notes Rating to 'D (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of notes from HPS Loan Management 2013-2 Ltd., MidOcean Credit CLO II, and MidOcean Credit CLO III, which are all U.S. broadly syndicated CLO transactions, to 'D (sf)'. The rating actions follow our review of the respective transaction's redemption reports, notices of optional redemptions provided, and/or note valuation reports. Any noteholders' voluntary agreement to receive less than the outstanding principal amount due on their issuance or interest does not affect how we apply our ratings definitions. Most CLOs provide noteholders with the ability, when voting unanimously, to accept less than the outstanding amount due to them in an optional redemption, and this may not trigger an event of default as defined in the transaction's indenture. However, exercising this option generally would constitute a default under our ratings definitions. Though the class noteholders agreed to receive a lower amount from MidOcean Credit CLO II and MidOcean Credit CLO III, our ratings address the likelihood that the securities will receive their timely interest and full principal by their legal final maturity date. We lowered the rating on the respective junior-most notes to 'D (sf)' as a reflection of these rated balances not being fully repaid. Though the noteholders of the class E-R of HPS Loan Management 2013-2 Ltd., agreed to not receive interest payments, this combined with the inability for the remaining assets to cover the outstanding principal balance due is resulting in the lowered rating on these notes to 'D (sf)'. In all three of these cases, the respective portfolios have been largely liquidated, and/or there is limited performing collateral that remains to generate proceeds to pay interest and/or principal on these notes. In our view, the redemption dates for MidOcean Credit CLO II and MidOcean Credit CLO III became the new legal final maturity of the debt and they each have remaining unpaid amounts. Ratings List Rating Issuer Class CUSIP To From HPS Loan Management 2013-2 Ltd. E-R 44330FAC9 D (sf) CCC- (sf) MidOcean Credit CLO II F 59802TAG7 D (sf) CCC- (sf) MidOcean Credit CLO III F-R 59802VAJ6 D (sf) CCC- (sf) INVESCO U.S. 2024-1: S&P Affirms B (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, and C-R2 debt from Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC, a CLO managed by Invesco CLO Equity Fund 3 L.P. that was originally issued in January 2021 and underwent a first refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, and C-R debt following payment in full on the April 2, 2026, refinancing date. S&P also affirmed its ratings on the class D-1-R, D-2-R, and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 2, 2027, with the exception of that of the class CR2 notes, which was extended to Oct. 2, 2027. -- No additional assets were purchased on the April 2, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 15, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $320 million: Three-month CME term SOFR + 1.29% -- Class B-R2, $60 million: Three-month CME term SOFR + 1.75% -- Class C-R2 (deferrable), $30 million: Three-month CME term SOFR + 2.20% Previous debt -- Class A-R, $320 million: Three-month CME term SOFR + 1.55% -- Class B-R, $60 million: Three-month CME term SOFR + 2.10% -- Class C-R (deferrable), $30 million: Three-month CME term SOFR + 2.55% -- Subordinated notes, $55 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC Class A-R2, $320 million: AAA (sf) Class B-R2, $60 million: AA (sf) Class C-R2 (deferrable), $30 million: A (sf) Ratings Withdrawn Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC Class A-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Ratings Affirmed Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC Class D-1-R: BBB- (sf) Class D-2-R: BB+ (sf) Class E-R: B (sf) Other Debt Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC Subordinated notes, $55 million: Not rated JP MORGAN 2026-NQX1: DBRS Finalizes B(low) Rating on B-2 Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-NQX1 (the Certificates) issued by J.P. Morgan Mortgage Trust 2026-NQX1 (the Issuer) as follows: -- $310.4 million Class A-1A at AAA (sf) -- $52.3 million Class A-1B at AAA (sf) -- $362.7 million Class A-1 at AAA (sf) -- $70.3 million Class A-2 at AA (low) (sf) -- $35.8 million Class A-3 at A (low) (sf) -- $20.1 million Class M-1 at BBB (low) (sf) -- $19.1 million Class B-1 at BB (low) (sf) -- $10.2 million Class B-2 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on the Class A1-FCF and Class A1-LCF initially contemplated in the offering documents, as they were not issued at closing. Class A-1 is an exchangeable certificate, while Classes A-1A and A-1B are depositable certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 30.60% of credit enhancement provided by the subordinated Certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 17.15%, 10.30%, 6.45%, 2.80%, and 0.85% 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 1,138 loans with a total principal balance of approximately $522,587,003 as of March 1, 2026 (the Cut-Off Date). The pool is, on average, three months seasoned, with loan ages ranging from one to seventy-seven months. Approximately 24.7% of the Mortgage Loans by balance were originated OCMBC, Inc., 21.2% of the loans were originated by United Wholesale Mortgage, LLC (UWM) and 17.2% of the loans were originated by Cake Mortgage Corp. The Mortgage Loan Seller acquired approximately 16.9% from MAXEX Clearing LLC ("MAXEX"). All the other originators individually comprised less than 5.0% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 95.0% of the loans, Selene Finance LP will service 4.2% of the loans. Cenlar FSB will act as subservicer with respect to 0.8% of the Mortgage Loans serviced by UWM. 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, 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, 50.6% of the loans by balance are designated as non-QM. Approximately 42.2% 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 5.5% of the loans in the pool are designated as QM Safe Harbor, and 1.7% are 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 Retaining Sponsor will retain an eligible horizontal residual interest in the transaction in the required amount of no less than 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. 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 holder of the Trust Certificates may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or 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 Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of 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-1A and Class A-1Bhave group specific allocations of principal, interest and loss allocation rules within their group. 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-1A and Class A-1B 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, M-1 and B-1. Of note, the A-1A, A-1B, A-2, and A-3 Certificates 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 Certificates as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas. The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates 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 Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Principal Amount. Morningstar DBRS' credit ratings on the A-1A, A-1B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (April 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C21: DBRS Confirms Csf Rating on 4 Tranches ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by JPMBB Commercial Mortgage Securities Trust 2014-C21 as follows: -- Class D at B (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) -- Class X-D at C (sf) Morningstar DBRS also changed the trend on Class D to Negative from Stable. Classes E, F, X-C, and X-D have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations are reflective of a transaction in the final stages of wind down with just three loans remaining as of the March 2026 reporting. At its prior credit rating action in April 2025, Morningstar DBRS downgraded its credit ratings on Classes D, E, and X-C to reflect the increased credit risk as six of the seven remaining loans in the pool had defaulted. Since that time, three of the specially serviced assets were liquidated from the trust with a total realized loss of $4.4 million, compared with Morningstar DBRS' total projected loss of $13.5 million. A fourth loan, the NAL Building (Prospectus ID#44, previously 3.7% of the pool) repaid in full with the September 2025 reporting. Projected losses with this review for the three remaining loans are $52.3 million, down from the $57.5 million of losses projected at the April 2025 review. These losses would erode the entire Class F and Class NR balances and approximately 40.0% of the Class E certificate balance, currently rated C (sf). As of the March 2026 reporting, recurring interest shortfalls were approximately $92,000; the Class F certificate receives approximately 50% of the scheduled interest amount. Cumulative interest shortfalls have increased to $3.7 million from $2.5 million at the prior credit rating action. Morningstar DBRS assumed conservative advancing assumptions for all three loans given the nature of the defaulted assets, historical underperformance, and precipitous value declines. The outcome of these assumptions shows that interest shortfalls have the potential to affect the Class D certificate, supporting the trend change to Negative for that class. As of the March 2026 remittance, three loans remained in the pool with an aggregate principal balance of $105.9 million, a collateral reduction of 91.6% from issuance. The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for servicer expenses. Since the previous credit rating action, Westminster Mall (Prospectus ID#6, previously 18.9% of the pool), Dakota Center (Prospectus ID#28, previously 5.5% of the pool), and Blanco Junction (Prospectus ID#42, previously 4.1% of the pool) were liquidated from the trust between August 2025 and March 2026. Total projected losses for these loans totaled $13.5 million at the prior review; however, just $4.4 million of losses were realized from loan liquidations. The largest remaining loan in the pool, Miami International Mall (Prospectus ID#3, 52.8% of the current pool balance), is secured by a 307,000-square-foot (sf) portion of a 1.1 million-sf super-regional mall, 14 miles from the Miami central business district (CBD). The loan transferred to special servicing for maturity default in February 2024. While in special servicing, the loan received several forbearance agreements, most recently in February 2026, which extended the forbearance period through February 2027 with an additional extension option to February 2028, subject to a $5 million equity contribution and an ongoing interest rate of 4.42%. Noncollateral anchors at the mall include Macy's and JCPenney. The former noncollateral Sears and Kohl's vacated the subject in 2018 and early 2024, respectively. The former Sears space was purchased by Easton Group, which plans to build 500 market-rate apartments on the existing site; however, those plans are pending city approval. The former Kohl's space is currently leased to Elev8 Fun. According to the September 2025 rent roll, the mall's total occupancy was 85.0%, while the collateral portion was 75.1% occupied. The property was last appraised in June 2025 at a value of $143.0 million, approximately 60.0% below the issuance appraised value of $391.0 million. Morningstar DBRS elected to analyze the loan with a liquidation scenario based on a 25.0% haircut to the most recent appraised value, which resulted in an implied loss of $17.9 million and a loss severity of 32.0%. The One Dallas Center loan (Prospectus ID#13, 26.3% of the current pool balance) is secured by the 278,496-sf office component of a 651,000-sf mixed-use office/multifamily property in the CBD of Dallas. The loan transferred to special servicing in April 2024 for maturity default ahead of its July 2024 maturity date. The property's operating performance began to deteriorate in 2022 when the former largest tenant, Greyhound Lines (Greyhound; 34.9% of net rentable area (NRA)), vacated at lease expiration, decreasing occupancy to 65.0% from 100%. Efforts to backfill the vacant space have been unsuccessful, and the borrower has been unable to cover debt service obligations. The title was ultimately transferred to the lender in September 2025. The loan has been cash managed since Greyhound's departure, with $4.3 million in reserves as of the March 2026 reporting. An August 2025 appraisal valued the property at $17.1 million (implying a loan-to-value ratio of 166% on the whole loan), a notable decline from the October 2024 appraised value of $27.5 million and 64.6% below the issuance appraised value of $48.3 million. In the analysis for this review, Morningstar DBRS maintained a cautious approach, applying a 30.0% haircut to the most recent appraised value, resulting in a total loss of $18.9 million and a loss severity of 67.0%. 200 West Monroe (Prospectus ID#18; 20.9% of the pool) is secured by a Class B office property in the Central Loop submarket of Chicago. The loan transferred to special servicing in February 2024 following the borrower's unwillingness to fund operating shortfalls and was last paid through December 2023. According to the servicer's most recent commentary, a receiver was appointed in January 2025 and is currently marketing the property for sale. The most recent rent roll available, dated December 31, 2024, reported an occupancy rate of 65.8%, below the issuance occupancy rate of 84.2%. The in-place tenant roster is granular, with no tenant representing more than 5.3% of the NRA and an additional 5.2% of the NRA scheduled to expire by YE2026. Submarket dynamics continue to worsen and, according to a Q4 2025 Reis, Inc. report, office properties in the Central Loop submarket experienced an average vacancy rate of 21.6%, up from 20.4% at Q4 2024. Although an updated appraisal is not available, Morningstar DBRS expects that the property value has declined significantly since issuance given the sustained in-place vacancy, declined cash flow, weakening submarket fundamentals, and lack of leasing activity. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 75% haircut to the issuance appraised value of $101 million in addition to outstanding advances and expected servicer expenses. This analysis suggested a total loss of $15.4 million and a loss severity of 68.0%. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. KKR CLO 63: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 63 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 63 Ltd. A-L LT NRsf New Rating A-1 48257PAA1 LT NRsf New Rating A-2 48257PAC7 LT AAAsf New Rating B 48257PAE3 LT AAsf New Rating C 48257PAG8 LT Asf New Rating D-1 48257PAJ2 LT BBBsf New Rating D-2 48257PAL7 LT BBB-sf New Rating E 48257TAA3 LT BB-sf New Rating Subordinated Notes 48257TAC9 LT NRsf New Rating Transaction Summary KKR CLO 63 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.54 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% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.14% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 63 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. MF1 2024-FL14: DBRS Finalizes B(low) Rating on Class H-E Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of notes issued by MF1 2024-FL14 LLC as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (sf) -- Class H at B (low) (sf) -- Class F-X at BB (high) (sf) -- Class G-X at BB (sf) -- Class H-X at B (low) (sf) -- Class F-E at BB (high) (sf) -- Class G-E at BB (sf) -- Class H-E 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 as evidenced by stable performance and leverage metrics for the underlying loans. While select loans have exhibited increased risks, including two loans in special servicing, representing 13.9% of the current trust balance, Morningstar DBRS anticipates ongoing discussions for both loans regarding loan modifications will be successful. Additionally, the trust loans remain primarily secured by multifamily collateral, a property type that has historically outperformed others, with recent issues generally concentrated within certain markets and/or build vintages. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction, as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 22 floating-rate mortgages secured by 26 mostly transitional properties with a cut-off date balance totaling $966.9 million, excluding $98.2 million of future funding commitments. Most loans were in a period of transition with plans to stabilize performance and improve the underlying assets' values. The transaction was formerly a managed vehicle with a 24-month reinvestment period, which expired with the February 2026 payment date. As of the March 2026 remittance, the pool comprised 26 loans secured by 35 properties with a cumulative trust balance of $1.1 billion. Since Morningstar DBRS' previous credit rating action in May 2025, seven loans, representing 22.4% of the current pool balance, have been added to the trust. Over the same period, eight loans with a former cumulative trust balance of $223.3 million were paid in full. Beyond the multifamily concentration noted above, three loans (representing 3.5% of the current trust balance) are secured by manufactured housing property types. Leverage across the pool has remained unchanged since issuance. The current weighted-average (WA) as-is loan-to-value ratio (LTV) is 70.2% and the current WA as-stabilized LTV is 62.3%, based on the as-is and as-stabilized appraised values for the collateral properties. In the analysis for this review, Morningstar DBRS applied LTV adjustments to seven loans, representing 37.6% of the current trust balance, generally reflective of higher capitalization rate (cap rate) assumptions compared with the implied cap rates based on the appraisals. The largest loan in special servicing, 20 Midtown (Prospectus ID#3; 7.3% of the current trust balance), is secured by mid-rise multifamily property in downtown Birmingham, Alabama. The loan transferred to special servicing in December 2025. As of October 2025, the property was around 90% occupied, but rents have fallen since issuance. An updated appraisal completed in February 2026 valued the property at $86.0 million, down from $114.3 million at closing. Morningstar DBRS stressed the LTV based on the updated appraisal and applied an increased probability of default (POD) penalty to reflect the increased credit risk. The resulting loan expected loss (EL) was more than 2 times (x) greater than the EL for the overall pool. The other loan in special servicing, Woodside Central (Prospectus ID#4; 6.7% of the current trust balance), is secured by a recently constructed 478-unit, high-rise apartment property in Queens, New York. As of the October 2025 rent roll, the property was 95.4% occupied, up from 2024 levels but rents are down year over year. An updated appraisal completed in February 2025 valued the property at $256.0 million, down from $287.0 million at closing. Morningstar DBRS stressed scenario based on the updated appraisal and a POD penalty were applied, resulting in an EL 1.25x greater than the EL for the overall pool. As of the March 2026 reporting, there are 15 loans on the servicer's watchlist, representing 52.2% of the current trust balance. The majority of these loans have been flagged for cash flow concerns and upcoming maturities; however, Morningstar DBRS notes that the majority of the underlying properties are newly built and the loans generally have multiple extension options remaining. In addition to the unrated equity piece at the bottom of the capital stack with a balance of just under $66.1 million, there is also approximately $81.6 million in issued Classes of Notes with below-investment-grade credit ratings, with total credit enhancement of 13.1% for the BBB (low) (sf)-rated Class E Note. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2026-NQMR1: Fitch Assigns 'B+sf' Final Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by MFA 2026-NQMR1 Trust (MFA 2026-NQMR1). Entity/Debt Rating Prior ----------- ------ ----- MFA 2026-NQMR1 Trust A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1A LT WDsf Withdrawn AAA(EXP)sf A-1B LT WDsf Withdrawn 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-1A LT BB+sf New Rating BB+(EXP)sf B-1B LT BBsf New Rating BB-(EXP)sf B-2 LT B+sf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf A-IOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 810 seasoned non-prime loans with a total balance of around $412.3 million as of the cutoff date. All loans in the pool are seasoned for more than 24 months and were included in prior MFA securitizations. MFA 2026-NQMR1 has a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 60.8%. About 87.5% of the loans have a clean payment history and are current, 3.7% of the pool is delinquent and 90.2% were underwritten to less-than-full documentation. In addition, 40.6% were underwritten to a 12- or 24-month bank statement program, 42.6% were debt service coverage ratio (DSCR) or DSCR no-ratio products, about 2.1% were certified public accountant (CPA) profit-and-loss (P&L) products, and 4.9% were underwritten to an asset depletion or written verification of employment (WVOE) products. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential payment structure. The issuer updated the structure after Fitch assigned the expected ratings. The updated structure converts the B-1B, B-2 and B-3 classes to principal only after the step-up date. The B-3 class was updated to become principal-only with no redirect to the senior classes to repay any unpaid interest distribution amount and interest carryforward amount. The updated structure also includes additional steps in the excess cashflow waterfall, which diverts excess cashflow to pay down the senior bonds sequentially prior to class XS receiving any cash after year four. The structural changes lowered the minimum required credit enhancement for some of the subordinate classes, leading Fitch to update its expected rating for the B-1B class from 'BB-(EXP)sf' to 'BBsf' and B-2 class from 'B(EXP)sf' to 'B+sf'. Ratings for the other classes remained the same. Fitch has withdrawn the 'AAA (EXP)sf'/Outlook Stable ratings for classes A-1A and A-1B after the issuer provided an updated transaction structure with the balance for those classes reduced to zero. 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-NQMR1 has a final probability of default (PD) of 48.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 32.1%. The expected loss in the 'AAAsf' rating stress is 15.7%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2026-NQMR1 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 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties 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 have been satisfied to fully de-link the transaction from any other entities. MFA 2026-NQMR1 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-NQMR1; 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'. CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's U.S. RMBS Ratings Model to scale down the Z-score adjustment 33% starting after year 2 and 100% removal by end of year five. Currently, additional PD adjustments are applied to the final PD using a z-score adjustment that is static in both weight and application over time, regardless of seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression. While these risk factors were present at origination, their relevance diminishes as the loans seasoned and more performance data becomes available. 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. MILL CITY 2026-R1: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Mill City Mortgage Loan Trust 2026-R1 (MCMLT 2026-R1). Entity/Debt Rating ----------- ------ MCMLT 2026-R1 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-1-A LT AAA(EXP)sf Expected Rating A-1-B 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 XS LT NR(EXP)sf Expected Rating R-PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 920 seasoned performing loans (SPL) and reperforming loans (RPL) with a total balance of approximately $455 million as of the cutoff date. 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. MCMLT 2026-R1 has a final probability of default (PD) of 49.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 38.6%. The expected loss in the 'AAAsf' rating stress is 19.1%. The collateral consists of 920 seasoned performing and reperforming first lien loans, totaling $455 million, with an average loan age of 45 months (calculated as the difference between the first payment date and the Fitch run date and, for modified loans, the difference between the modification date and the Fitch run date). Approximately 1.6% of the loans have a prior modification. The pool is 96.1% current and 3.6% delinquent (DQ), with a Fitch weighted average delinquency (WADQ) score of 0.62. Borrowers have a strong credit profile, with 736 Fitch FICO and 32.0% debt-to-income (DTI) ratio. They also have moderate leverage, with a 68.7% mark-to-market (MTM) combined loan-to-value (cLTV) ratio and a 74.1% stressed loan-to-value ratio (sLTV) at the 'B' rating stress, according to Fitch. The pool consists of 49.8% of loans where the borrower maintains a primary residence, while 50.2% are investment properties or second home. Structural Analysis (Positive): The mortgage cash flow and loss allocation in MCMLT 2026-R1 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-1-A and A-1-B 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 classes A-1FCF, A-1LCF, A-1-A and A-1-B, A-2 and A-3 will increase by 100bps, subject to the net WA coupon (WAC), starting on the April 2030 payment date. This reduces the modest excess spread available to repay losses and serves as an economic incentive for the deal's optional termination to be exercised on or before that 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-1FCF, A-1LCF, A-1-A, A-1-B, A-2 and A-3 notes. There will be no advancing of delinquent P&I on the loans. However, the priority of payments directs principal collections to cover any unpaid interest on the notes before applying principal, which provides structural support for timely interest payments in the absence of P&I advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 the more subordinate classes. Operational Risk Analysis (Neutral): 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 directly affects 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. For RPL transactions, credit is not given to loans with a due diligence grade of 'A' or 'B'. Additionally, Fitch reviews loans receiving with a due diligence grade of 'C' or 'D' on a loan-level basis, and it may apply additional PD and/or LS adjustments depending on the exceptions and the materiality of the associated credit risk. Approximately 0.8% (seven loans) received a final overall grade of 'C' or 'D'. However, given the available mitigants and the immaterial concentration of impacted loans, Fitch applied no adjustments to its loss expectations. 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 MCMLT 2026-R1 to be fully de-linked and a bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 36.6% 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. CRITERIA VARIATION Seasoning-Based Scaling To Z-Score Adjustment on Final Probability of Default (PD): Currently, additional PD adjustments are applied to the Final PD using a Z-score adjustment. These adjustments are static in both weight and application over time, regardless of loan seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression, such as penalties for limited income documentation or buydown loans. While these risk factors were present at origination, their relevance diminishes as the loan seasons and more performance data becomes available. This analysis scaled down the Z-score adjustment over a five-year seasoning period, starting after year 2, which is when Fitch believes loans are considered 'Seasoned Loans'. This approach ensures that as more performance history becomes available, the seasoned loan PD becomes the primary driver of expected default rates. Ratings were roughly one notch higher as a result of this variation. 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, Infinity and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Approximately 0.8% (seven loans) received a final overall grade of 'C' or 'D', primarily due to missing FEMA documentation, the absence of a second appraisal, and small number of loans with excess charges, most of which are outside the statute of limitations. These exceptions were mitigated by refreshed property valuations obtained for all loans. Given this and the immaterial concentration of the remaining impacted loans, Fitch applied no adjustments to its loss expectations. 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. MJX VENTURE II: Moody's Cuts Rating on Ser. F/Class E Notes to B3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MJX Venture Management II LLC (the "Issuer") and collateralized by Venture XXX CLO, Limited: US$2,175,000 Series F/Class C Notes due 2031, Upgraded to Aaa (sf); previously on August 11, 2025 Upgraded to Aa1 (sf) Moody's have also downgraded the rating on the following notes: US$1,575,000 Series F/Class E Notes due 2031, Downgraded to B3 (sf); previously on August 11, 2025 Downgraded to B1 (sf) The Series F/Class C Notes and Series F/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXX CLO, Limited (the "Underlying CLO"). 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 on the Series F/Class C notes is primarily a result of deleveraging of the Underlying CLO's senior notes and an improvement in the credit profiles of the related Underlying CLO Notes collateralizing the Series F/Class C Notes since July 2025. The Class A-1 notes of the Underlying CLO have been paid down by approximately 67.7% or $113.9 million since then. Based on Moody's calculations, the OC ratio for the Underlying CLO's Class C notes is currently 131.72%, versus the July 2025 level of 121.99%. The downgrade rating action on the Series F/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 weighted average rating factor (WARF) has been deteriorating, and the current level is 3482 compared to 3083 in July 2025. Furthermore, based on Moody's calculations, the OC ratio for the Underlying CLO's Class E notes is 97.10% versus the July 2025 level of 102.04%. No actions were taken on the Series F/Class A-1, Series F/Class A-2, Series F/Class B and Series F/Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying CLO's latest portfolio information, the transaction's and the Underlying CLO's relevant structural features, and their 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 for the Underlying CLO: Performing par and principal proceeds balance: $265,180,544 Defaulted par: $7,479,581 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3482 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 45.6% Weighted Average Life (WAL): 2.78 years Par haircut in OC tests and interest diversion test: 4.43% 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 CLO's 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. MORGAN STANLEY 2015-C21: DBRS Cuts Rating on Cl. 555B Debt to CCC ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class 555A to BB (sf) from A (sf) -- Class 555B to CCC (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at A (high) (sf) -- Class C at B (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-B at AA (low) (sf) Morningstar DBRS discontinued the credit rating on the exchangeable Class PST certificate as the class can no longer be exchanged according to the conditions set forth in the offering documents. The trend on Class 555A was changed to Negative from Stable. All other trends are Stable, with the exception of Classes D, E, F, G, and 555B as these classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Classes 555A and 555B are rake bonds backed by the junior debt within the 555 11th Street NW capital structure; a pari passu portion of the senior debt backs the pooled certificates (Prospectus ID#2, 32.9% of the pooled balance). The loan failed to repay at the 2025 maturity date, a factor of declined performance. The most recent appraisal suggests a sharp value decline and Morningstar DBRS expects a prolonged resolution period given the location within Washington, D.C. and the low investor appetite for office properties in that market, supporting the credit rating downgrades for the classes backed by the subordinate debt. Since last review, the trust incurred $21.6 million in losses, bringing the cumulative realized loss amount to $22.4 million, contained to the nonrated Class H certificate. The largest loss driver was Stone Ridge Plaza (Prospectus ID#12), which was liquidated from the trust with the February 2026 remittance at a loss of $13.3 million, compared with Morningstar DBRS' estimate of $16.0 million. The resolution and application of proceeds also resulted in the repayment of interest shortfalls, bringing the total outstanding shortfalls down to $2.6 million, contained to Class H. The Class B certificate is now the most senior class and is well insulated from loss with $135.5 million in principal cushion, supporting the credit rating confirmation and Stable trend with this review. As of the March 2026 remittance, five loans remain in the pool, with only one loan in special servicing, representing 12.6% of the pool balance. Morningstar DBRS remains concerned with two of the largest loan in the pool, Westfield Palm Desert (Prospectus ID#1, 35.1% of the pool) and 555 11th Street NW, both of which were previously in special servicing but were returned to the master servicer as modified loans. Given the wind-down status, Morningstar DBRS considered liquidation scenarios for these and two other loans based on value stresses to the most recent appraised values. Individual property value haircuts range from 20.0% to 60.0%. The analysis suggests realized losses of $42.5 million in total, which would fully erode the balances of Classes E through G, and a small portion of Class D, supporting the credit rating confirmations. The 555 11th Street NW loan is secured by Lincoln Square, a Class A office property near the White House in Washington, D.C. At issuance, the capital structure included two pari passu senior notes of $90.0 million and a B Note in the amount of $30.0 million, as well as $57.0 million in further subordinated debt held outside the trust, and $50.0 million of mezzanine debt. The loan was extended to November 2027 with a one-year extension option, with the borrower requiring to fund $30.0 million of new equity over the fully extended period. The property's occupancy rate is around 70.0% and the debt service coverage ratio (DSCR) on the total mortgage debt stack is relatively low, at 1.46 times as of Q3 2025, and expected to further decline as recent occupancy loss is realized. According to Reis as of Q4 2025, office properties in the East End submarket had a vacancy rate of 18.2%, which is expected to decline to 14.5% by 2030. A January 2025 appraisal valued the property at $171.0 million, sharply below the issuance value of $309.0 million. Although the loan is current and the borrower in compliance with the extension terms, Morningstar DBRS believes the risks remain significantly increased from issuance and analyzed the loan with a liquidation scenario based on a 20% haircut to the most recent value. This scenario, which included projected advances of nearly $13.0 million, suggested full recovery of the senior and subordinate debt in the subject transaction, but suggested significantly reduced cushion against loss for the B note debt backing the rake bonds, supporting the credit rating downgrades. The Westfield Palm Desert loan is secured by The Shops at Palm Desert (formerly Westfield Palm Desert), a regional mall located in Palm Desert, California. The loan was assumed after the property was sold in 2023; most recently, a loan modification to extend the maturity to March 2027 was granted. The terms include a cash trap, but the effectiveness of that feature may be diluted by the low DSCR as of year-end (YE) 2025 that suggests low availability of additional cash to pay down the loan balance. Occupancy has improved to 91.9%, which is above the YE2024 figure of 79.7%. The mall's noncollateral anchor, JCPenney, was set to be sold to Onyx Partners as part of a $947.0 million deal in July 2025; however, recent articles online have confirmed the collapse of the sale, with JCPenney remaining in operation. An April 2025 appraisal valued the property at $68.5 million, unchanged from its February 2025 value, but down 67.0% from the $212.0 million issuance value. Morningstar DBRS maintained a liquidation scenario based on a 25.0% haircut to the $68.5 million value, resulting in an implied loss of $39.8 million and a loss severity of 63.9%. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-C34: Fitch Affirms CC Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C33 (MSBAM 2017-C33). The Rating Outlook on class C has been revised to Stable from Negative. Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 (MSBAM 2017-C34). The Rating Outlooks on classes A-S and B have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2017-C3 A-3 61767CAT5 LT AAAsf Affirmed AAAsf A-4 61767CAU2 LT AAAsf Affirmed AAAsf A-5 61767CAV0 LT AAAsf Affirmed AAAsf A-S 61767CAY4 LT AAAsf Affirmed AAAsf A-SB 61767CAS7 LT AAAsf Affirmed AAAsf B 61767CAZ1 LT AA+sf Affirmed AA+sf C 61767CBA5 LT A+sf Affirmed A+sf D 61767CAC2 LT BBB-sf Affirmed BBB-sf E 61767CAE8 LT BB-sf Affirmed BB-sf F 61767CAG3 LT B-sf Affirmed B-sf X-A 61767CAW8 LT AAAsf Affirmed AAAsf X-B 61767CAX6 LT A+sf Affirmed A+sf X-D 61767CAA6 LT BBB-sf Affirmed BBB-sf MSBAM 2017-C34 A-2 61767EAB0 LT AAAsf Affirmed AAAsf A-3 61767EAD6 LT AAAsf Affirmed AAAsf A-4 61767EAE4 LT AAAsf Affirmed AAAsf A-S 61767EAH7 LT AAAsf Affirmed AAAsf A-SB 61767EAC8 LT AAAsf Affirmed AAAsf B 61767EAJ3 LT Asf Affirmed Asf C 61767EAK0 LT BBBsf Affirmed BBBsf D 61767EAU8 LT Bsf Affirmed Bsf E 61767EAW4 LT CCCsf Affirmed CCCsf F 61767EAY0 LT CCsf Affirmed CCsf X-A 61767EAF1 LT AAAsf Affirmed AAAsf X-B 61767EAG9 LT BBBsf Affirmed BBBsf X-D 61767EAL8 LT Bsf Affirmed Bsf X-E 61767EAN4 LT CCCsf Affirmed CCCsf X-F 61767EAQ7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.7% compared to 5.6% at prior review for MSBAM 2017-C33 and a slight decrease to 6.5% from 7.1% for MSBAM 2017-C34. There are four Fitch Loans of Concern (FLOCs; 24% of the pool) in MSBAM 2017- C33, all of which are in special servicing and eight FLOCs (26.1%) in MSBAM 2017-C34, which includes four specially serviced loans (9.5%). The affirmations in both transactions reflect the relatively stable pool performance and loss expectations since the last rating action. The Outlook revisions to Stable from Negative reflect increased credit enhancement (CE) and higher certainty of repayment from loans expected to refinance at maturity. Due to the heightened maturity 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 CE. This analysis contributed to the Stable Outlook revisions. The Negative Outlooks across both 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. FLOCs; Largest Loss Contributors: The largest overall contributor to loss expectations in the MSBAM 2017-C33 transaction is the D.C. Office Portfolio loan (6.3%). The loan is secured by a three-building office portfolio totaling 328,319 sf in the Golden Triangle area of the Washington, D.C. CBD. The loan transferred to special servicing in May 2025 and is less than one month delinquent as of March 2026. It has been intermittently 30 days delinquent since the transfer. The appointment of a receiver and workout discussions are ongoing. Tenancy is granular, with approximately 100 tenants. The largest tenants include New Venture Fund (4.2% of NRA; through January 2030), Hightower Holding, LLC (2.3%; December 2030) and National Hispanic Medical Association (2.0%; January 2030). Per the most recent rent roll provided by the special servicer as of YE 2025, portfolio occupancy has declined to 55%, from 58.4% at YE 2024, 70.7% at YE 2023 and 73.7% at YE 2022, driven by rollover of smaller tenants. Occupancy also declined in 2019-2020 following the departure of the prior largest tenant, Liquidity Services, Inc. (8.3%), which vacated in March 2020. Servicer-reported NOI DSCR deteriorated to 0.24x as of March 2025, compared with 0.81x at YE 2024, 1.07x at YE 2023, 1.04x at YE 2022 and 0.97x at YE 2021. The loan is currently cash managed and reported $823,343 ($2.50 psf) in total reserves as of January 2026. According to CoStar and as of 4Q25, the CBD office submarket of Washington, D.C. reported average asking rents of $55.19 psf and a vacancy of 19.3%. Fitch's 'Bsf' rating case loss of 42.8% (prior to concentration adjustments) reflects a 9.50% cap rate on the YE 2024 NOI and incorporates a higher probability of default due to transfer to special servicing. Fitch's rating case loss at the prior rating action was 35.4%. The second largest contributor to loss in the MSBAM 2017-C33 transaction is the 141 Fifth Avenue loan (4.6%), which is secured by a 4,425-sf single-tenant retail condominium located in the Flatiron District of Manhattan. The property is comprised of 3,500 sf of ground floor space and 925 sf of basement storage space and is located at the base of a 12-story mixed-use condominium building. The loan transferred to special servicing in July 2025 due to monetary default. The loan is 90+ days delinquent as of March 2026. The single tenant, HSBC, vacated prior to its October 2022 lease expiration. A cash flow sweep was triggered with approximately $1.6 million collected in reserves as of March 2026. Per servicer updates, a lease covering 100% of the NRA has been executed and is scheduled to commence in July 2026 through July 2036; landlord-required work is already underway. Fitch's 'Bsf' rating case loss of 39.5% (prior to concentration adjustment) reflects the new lease terms, which implies a Fitch-stressed value of $3,037 psf which is in line with the appraised value and factors in a heightened probability of default given the loan's specially serviced status. Expected losses may decline after the newly signed tenant takes occupancy and if the loan becomes current. The largest overall contributor to loss expectations in MSBAM 2017-C34 is the Ocean Park Plaza loan (4.5%), which is secured by a 99,601-sf, class B, office property located in Santa Monica, CA. The loan was flagged as a FLOC due to continued low occupancy. Occupancy was 27% as of September 2025, compared with a historical low of 20% at YE 2023, 48% at YE 2022 and 72% in 2021. The loan remains current as of March 2026. Matchcraft (16% of NRA and 18% of base rent) and Ocean Park Casting (8% of NRA and 11% of base rent) vacated ahead of their respective lease expirations in May 2022 and November 2023. Costar reported a submarket vacancy of 20.2% and rent of $62.09 psf as of Q4 2025. The servicer reported YE 2024 NOI DSCR 0.10x compared with 0.15x at YE 2023, 1.15x at YE 2022 and 1.23x at YE 2021. Fitch's 'Bsf' rating case loss of approximately 51.9% prior to concentration adjustments is based on a 10.0% cap rate, YE 2024 NOI and reflects an increased probability of default due to refinancing concerns. The second largest contributor to overall pool loss expectations in the MSBAM 2017-C34 transaction is 444 West Ocean (2.6%), which is secured by a 187,363 sf CBD office property located in Long Beach, CA. The loan transferred to special servicing in July 2024 due to imminent default. According to servicer updates, foreclosure is anticipated to occur in 2026. The servicer reported TTM March 2025 NOI DSCR was 1.26x compared with 1.01x at YE 2024, 1.15x at YE 2023 and 1.21x at YE 2022. Fitch's 'Bsf' rating case loss of 46.1 % (prior to concentration adjustment) reflects a discount to the most recent appraisal, which reflects a value of $79 psf. Credit Enhancement: As of the February 2026 distribution date, the aggregate balances of the MSBAM 2017-C33 and MSBAM 2017-C34 transactions have been reduced by 22.6% and 8.9%, respectively, since issuance. Realized losses to date total $910 in MSBAM 2017-C33 and $50,916 in MSBAM 2017-C34. Cumulative interest shortfalls of $862,120 are affecting the non-rated class G in MSBAM 2017-C33 and $1 million are affecting the non-rated G class in MSBAM 2017-C34. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not likely due to high CE, their 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 and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These elevated risks loans include D.C. Office Portfolio and 141 Fifth Avenue in MSBAM 2017-C33 and Ocean Park Plaza and 444 West Ocean in MSBAM 2017-C34. Downgrades to the classes rated in the 'BBBsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular retail and office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing and/or as losses are realized or become more certain. Downgrades to distressed 'CCCsf' and 'CCsf ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the '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. 141 Fifth Avenue could experience an increase in value following the execution of a lease covering 100% of the NRA. Upgrades to the 'BBBsf' category rated classes 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 but possible if the performance of the remaining pool is stable, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' and 'CCsf' is 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. MORGAN STANLEY 2018-MP: DBRS Confirms BBsf Rating on Class E Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-MP issued by Morgan Stanley Capital I Trust 2018-MP as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) Morningstar DBRS changed the trends on Classes B, C, D, and E to Negative from Stable. The trend on Class A remains Stable. The loan is secured by the fee-simple and leasehold interests in the Millennium Partners Portfolio, which comprises eight mixed-use office and retail properties totaling 1.55 million square feet (sf) of space in the central hubs of New York; Boston; San Francisco; Washington, D.C.; and Miami. The portfolio has historically demonstrated strong performance, with portfolio occupancy near 100%; however, as of Q3 2025, occupancy declined below 90%, contributing to a 15% decline in overall cash flow when compared with YE2024 reporting. An additional 17.2% of the portfolio's net rentable area (NRA) is scheduled to roll by loan maturity in July 2028, which, when coupled with existing vacancy and softened submarket conditions, may challenge the borrower's ability to backfill the space and further contribute to the declining performance, supporting the assignment of Negative trends as the loan approaches final maturity. The subject whole loan is fixed-rate, interest only for the full 10-year loan term with a $710.0 million first mortgage and $280.2 million of mezzanine debt held outside the trust. Of the first mortgage amount, $225.9 million consists of nonpooled pari passu notes that were securitized in the following Morningstar DBRS-rated commercial mortgage-backed securities (CMBS) transactions: BANK 2019-BNK16, Morgan Stanley Capital I Trust 2018-L1, and BANK 2018-BNK14. The loan is also securitized in the non-Morningstar DBRS-rated transaction BANK 2018-BNK15. The borrower is permitted to release properties subject to certain conditions, including payment of a release amount that is 115% of the allocated loan amount for the released property. There have been no property releases to date. According to the financial reporting ended September 30, 2025, the servicer reported a trailing nine-month annualized net cash flow (NCF) of $50.0 million and a debt service coverage ratio (DSCR) of 1.62 times (x), reflecting a decline from YE2024 levels of $60.2 million and 1.95x, respectively. These results remain below both the Issuer's underwritten NCF of $70.4 million (a DSCR of 2.28x) and the Morningstar DBRS NCF of $55.9 million (a DSCR of 1.81x) derived when credit ratings were assigned in 2020. As of September 2025, Millennium Tower Boston reported the lowest occupancy in the portfolio at 61.7%, following the November 2024 departure of Havas (formerly 7.6% of portfolio NRA), which previously occupied 33.6% of the property's NRA or 7.6% of the portfolio's NRA. The largest remaining tenant, Primark US Corp., representing 31.9% of the NRA, is secured by a long-term lease extending through September 2030. Lincoln Triangle also reported below-portfolio occupancy at 70.0%; however, performance has improved materially from YE2024 levels when occupancy was reported at 52.5%, with base rent as of September 2025 consistent with YE2023 levels. Morningstar DBRS has requested leasing updates for Millennium Tower Boston and Lincoln Triangle; however, no updates have been provided as of the date of this press release. The remaining six portfolio properties reported occupancy levels above 90.0% as of September 2025. Although cash flows have declined from the Morningstar DBRS NCF figure, the transaction benefits from the portfolio's geographic diversity and strong sponsorship by Millennium Partners, an experienced owner and operator with a diversified commercial real estate portfolio valued in excess of $4.0 billion, which has demonstrated a continued commitment to the assets. As part of this review, Morningstar DBRS maintained its approach taken during the May 2024 review, which assumed a Morningstar DBRS Value of $801.6 million. That value was based on the Morningstar DBRS NCF figure of $55.9 million and a capitalization (cap) rate of 7.0%, which was increased from the 6.8% cap rate used in 2020 to reflect generally increased volatility for the office property types within the collateral portfolio. Based on the Morningstar DBRS Value, the whole-loan, loan-to-value ratio (LTV), inclusive of the mezzanine debt of $280.2 million, is 124.1%, and the LTV based on the total mortgage debt is 89.0%. Morningstar DBRS maintained its qualitative adjustments, totaling 1.50% for cash flow volatility because of stable occupancy; 2.50% for property quality because of the concentration of high-end hotels and well-positioned commercial properties benefiting from high traffic; and 2.0% for market fundamentals because of the concentrations in strong submarkets. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-1: Fitch Assigns B+sf Rating on Class B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-1 (MSRM 2026-1). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating A10X LT AAAsf New Rating A11 LT AAAsf New Rating A11X LT AAAsf New Rating A1X LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A2X LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3X LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4X LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5X LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6X LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7X LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8X LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9X LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT B+sf New Rating B+(EXP)sf B6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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 279 prime-quality loans with a total balance of about $356.01 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. Since the presale was published, the collateral was updated to reflect the latest balances and one loan that paid off was dropped from the pool. This had no impact on Fitch's expected losses. The transaction also priced, some exchangeable classes were added (A-10, A-11, A-10X, and A-11X- all rated 'AAAsf/Outlook Stable), balances on the classes were updated and coupons on floating rate/inverse floating rate classes were updated. This had no impact on the CEs, and the classes passed their previously assigned rating stresses. As a result, there are no changes from the expected rating to the final ratings. 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 279 loans with a total unpaid balance of $356.01 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 73.77% (80.48% sustained LTV), and a WA debt-to-income ratio (DTI) of 35.29%. The WA liquid reserves amount to $562,410.98. These strong collateral attributes are reflected in Fitch's loss analysis. MSRM 2026-1 has a final probability of default (PD) of 10.79% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.09%. 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 non-retained 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 37.5% 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. The defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. The percentage points shown in the table to the right reflect the additional MVDs that would have to occur to impact ratings for each defined sensitivity for this transaction. 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 B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 28 classes of residential mortgage-backed securities (RMBS) 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 (83.8% by balance) and GSE-eligible (16.2% by balance) residential mortgages aggregated by Morgan Stanley, including loans aggregated by PennyMac Loan Services, LLC (70.9% by loan balance) and PennyMac Corp. (28.5% 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, Definitive Rating Assigned Aaa (sf) Cl. A-1-X*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aa1 (sf) Cl. A-7-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-8, Definitive Rating Assigned Aa1 (sf) Cl. A-8-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes 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 5.67% 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 Finalizes Bsf Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized and upgraded provisional credit ratings on 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: -- $69.0 million Class A-1FCF at AAA (sf) -- $23.0 million Class A-1LCF at AAA (sf) -- $257.5 million Class A-1 at AAA (sf) -- $224.3 million Class A-1-A at AAA (sf) -- $33.3 million Class A-1-B at AAA (sf) -- $37.1 million Class A-2 at AA (sf) -- $16.2 million Class A-3 at A (high) (sf) -- $23.5 million Class M-1 at BBB (sf) -- $10.6 million Class B-1 at BB (sf) -- $7.4 million Class B-2 at 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 AAA (sf) credit ratings on the Certificates reflect 22.52% of credit enhancement provided by the subordinated Certificates. The AA (sf), A (high) (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 14.30%, 10.70%, 5.50%, 3.15%, and 1.50% 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 certificates. 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. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (April 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM3: Moody's Assigns B3 Rating to B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Definitive Rating Assigned Aaa (sf) Cl. A-1-B, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned 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. MOUNTAIN VIEW 2017-2: Moody's Cuts Rating on $7.4MM F Notes to C ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Mountain View CLO 2017-2 Ltd.: US$25,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Aa1 (sf); previously on October 22, 2025 Upgraded to A1 (sf) Moody's have also downgraded the ratings on the following notes: US$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on October 22, 2025 Downgraded to B3 (sf) US$7,400,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes") (current outstanding balance $8,433,372.76), Downgraded to C (sf); previously on August 20, 2024 Downgraded to Caa3 (sf) Mountain View CLO 2017-2 Ltd., originally issued in January 2018 and refinanced in August 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 January 2023. A comprehensive review of all credit ratings for the respective transaction 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 B notes have been paid in full, and the Class C notes have been paid down by approximately 33.2% or $7.0 million since then. Based on Moody's calculations, the OC ratio for the Class D notes is currently 141.67% versus October 2025 level of 123.15%. The downgrade rating action on the Class E and Class F 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 OC ratios for the Class E and Class F notes are currently 98.20% and 85.19%, respectively, versus October 2025 levels of 100.28% and 92.29%, respectively. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3375, compared to 3059 in October 2025, failing the trigger of 2734. Moody's also notes that the deal's exposure to collateral from issuers rated Caa1 or lower is currently 24.40%, reflecting a potentially greater risk to the junior notes posed by future defaults. No action was taken on the Class C notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. 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: $59,224,249 Defaulted par: $493,937 Diversity Score: 25 Weighted Average Rating Factor (WARF): 3375 Weighted Average Spread (WAS): 3.36% Weighted Average Recovery Rate (WARR): 46.77% Weighted Average Life (WAL): 2.58 years Par haircut in OC tests and interest diversion test: 6.3% 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. NYMT LOAN 2026-INV2: S&P Assigns B- (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to NYMT Loan Trust 2026-INV2's mortgage-backed notes. The note issuance is an RMBS securitization backed by first‑lien, fixed‑ and adjustable‑rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest‑only periods). The loans are secured by single‑family residential properties, townhomes, planned‑unit developments, condominiums, two‑ to four‑family residential properties, and multifamily properties. The pool consists of 1,489 business‑purpose investment property loans (including 30 cross‑collateralized loans backed by 170 properties), which are all ability-to-repay exempt. S&P said, "After we assigned our preliminary ratings on March 25, 2026, the balances on the class A-1FCF and A-1LCF notes decreased to $30.000 million and $10.000 million, respectively, from $67.366 million and $22.455 million. As a result, the balances on the class A-1A and A-1B notes increased to $118.240 million and $21.401 million, respectively, from $76.054 million and $13.766 million. At the same time, the corresponding class A-1 note amount increased to $139.641 million from $89.820 million. The credit enhancement on each class remains unchanged. In addition, the class B-1 notes were priced with a net WAC coupon. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) NYMT Loan Trust 2026-INV2 Class A-1, $139,641,000: AAA (sf) Class A-1A, $118,240,000: AAA (sf) Class A-1B, $21,401,000: AAA (sf) Class A-1FCF, $30,000,000: AAA (sf) Class A-1LCF, $10,000,000: AAA (sf) Class A-2, $20,098,000: AA (sf) Class A-3, $34,139,000: A (sf) Class M-1, $15,418,000: BBB (sf) Class B-1, $12,251,000: BB- (sf) Class B-2, $9,085,000: B- (sf) Class B-3, $4,681,155: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. OAKWOOD MORTGAGE 1999-D: Moody's Raises Rating on A-1 Certs to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class A-1 issued by Oakwood Mortgage Investors, Inc., Series 1999-D. The collateral backing this deal consists of manufactured housing mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating action is as follows: Issuer: Oakwood Mortgage Investors, Inc., Series 1999-D A-1, Upgraded to B2 (sf); previously on Jun 18, 2025 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating upgrade reflects the increased level of credit enhancement available to the bond, the recent performance, and Moody's updated loss expectations on the underlying pool. The rating upgrade is the result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. Credit enhancement grew by 1.5x over the past 12 months. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, 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 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. OBX 2026-AHC1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 62 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-AHC1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by AmeriHome Mortgage Company, LLC. The complete rating actions are as follows: Issuer: OBX 2026-AHC1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3(sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.51%, in a baseline scenario-median is 0.26% and reaches 6.61% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from v 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. OHA CREDIT 25: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 25, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 25, Ltd. A-1 LT AAAsf New Rating A-1 Loans LT AAAsf 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-s New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OHA Credit Funding 25, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. 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 24.31 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.67% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Funding 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ONITY LOAN 2026-HB1: DBRS Finalizes Bsf Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Asset-Backed Notes, Series 2026-HB1 (the Notes) issued by Onity Loan Investment Trust 2026-HB1 as follows: -- $437.3 million Class A at AAA (sf) -- $30.2 million Class M1 at AA (low) (sf) -- $22.4 million Class M2 at A (low) (sf) -- $22.0 million Class M3 at BBB (low) (sf) -- $22.0 million Class M4 at BB (low) (sf) -- $13.5 million Class M5 at B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The AAA (sf) credit rating reflects 19.2% of credit enhancement (CE). The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 13.6%, 9.5%, 5.4%, 1.4%, and -1.1% of CE, respectively. 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 homeowner's association 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 January 31, 2026 (the Cut-Off Date), the collateral has approximately $541.32 million in unpaid principal balance (UPB) from 1,937 performing and nonperforming home equity conversion mortgage reverse mortgage loans and real estate owned assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The mortgage assets were originated between 2001 and 2022. Of the total assets, 184 have a fixed interest rate (12.70% of the balance), with a 5.190% weighted-average (WA) interest rate. The remaining 1,753 assets have floating-rate interest (87.30% of the balance) with a 5.747% WA interest rate, bringing the entire collateral pool to a 5.676% WA interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides CE 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. Classes M1, M2, M3, M4, and M5 have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the Notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; therefore, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (March 2029) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the Notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the Notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4 and Class M5 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. 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 Amount, Cap Carryover, and Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. PAGAYA AI 2026-R2: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to the ABS issued by Pagaya AI Debt Grantor Trust 2026-R2 and Pagaya AI Debt Trust 2026-R2 (together, PAID 2026-R2). Entity/Debt Rating ----------- ------ Pagaya AI Debt Grantor Trust 2026-R2 and Pagaya AI Debt Trust 2026-R2 A LT AAA(EXP)sf Expected Rating A1 ST F1+(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating AB LT AA-(EXP)sf Expected Rating ABC LT A-(EXP)sf Expected Rating ABCD LT BBB-(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating Certificates LT NR(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating EF LT BB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating FR LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the ABS issued by PAID 2026-R2, as listed above. PAID 2026-R2 is a discrete static pool backed by unsecured consumer loans. Pagaya Structured Products LLC (Pagaya), is the sponsor and administrator of this transaction. Pagaya is a subsidiary of Pagaya US Holding Company LLC, which is ultimately owned by Pagaya Technologies Ltd., a financial technology company organized under the laws of the state of Israel. Pagaya Technologies employs AI and machine learning-based credit technology to assess borrower credit quality in partnership with various marketplace lending platforms and originating banks. This transaction represents the 63rd securitization of unsecured consumer assets for which Pagaya has served as sponsor and administrator. PAID 2026-R2 is sponsored by Pagaya with the majority of the collateral expected to be sourced from prior ABS issuances under the PAID shelf. Specifically, the transferors include Pagaya AI Debt Grantor Trust 2024-2 (PAID 2024-2) and Pagaya AI Debt Grantor Trust 2024-3 (PAID 2024-3), which are securitization issuing entities affiliated with Pagaya from which the depositor, Pagaya Acquisition Trust VI, will acquire unsecured consumer loans during the purchase period. PAID 2026-R2 has no collateral funded at closing. The notes are initially supported by amounts deposited into the purchase account on the closing date. The purchase period begins on the closing date and is expected to last up to 30 days, during which amounts on deposit in the purchase account will be used to purchase unsecured consumer loans from the transferors. The unsecured consumer loans are originated through a network of marketplace lending platforms and originating banks (platform sellers). All loans in PAID 2026-R2 were originated with the assistance of Pagaya Technologies' proprietary credit decisioning model which is deployed and integrated with the Platform Sellers through an API interface. The Platform Sellers in this transaction are Avant, LendingClub, Marlette, Prosper, Upgrade, and Cross River Bank (the latter acting as seller with respect to Rocket Loans and SoFi Loans). In most cases, the loans were originated by the applicable originating banks — LendingClub, WebBank, Cross River Bank, or Blue Ridge Bank, N.A. — and subsequently transferred to the platform sellers pursuant to the applicable bank program documents. The platform sellers then sold the loans to the Original Pagaya Purchasers, which in turn transferred them to the transferors. During the purchase period, the transferors will sell the loans to the depositor, which will then convey them to the grantor trust. Each platform seller, or an affiliate thereof, will continue to act as servicer for the loans originated through its respective platform. KEY RATING DRIVERS Highly Seasoned Collateral: As of the statistical cut-off date of Feb. 28, 2026, the weighted average seasoning of the collateral pool for PAID 2026-R2 is 22 months. The collateral pool will be comprised of loans from prior securitization transactions, PAID 2024-2 (31.23%) and PAID 2024-3 (68.77%). As of the cut-off date, 89.74% of the loans in the collateral pool are current while 90.23% of the loans are not actively modified. The weighted average (WA) FICO score for PAID 2026-R2 is 672, with approximately 3.01% of the pool consisting of borrowers with a FICO score below 600. Consistent with its strategy and recent origination trends, about 59.98% of the PAID 2026-R2 loan pool has an original loan term of 60 months followed by 39.29% with an original term of 36 months. The WA remaining term of the pool is 29 months. The WA annual percentage rate (APR) of the loans is 26.03% and the pool is well diversified, with California accounting for 11.38% of the pool balance. Elevated But Improving Performance Trends: Pagaya's performance deteriorated in 2021 and 2022, broadly in line with the wider unsecured consumer asset class performance. In response, Pagaya tightened its underwriting and reduced originations to high-risk borrowers. These changes resulted in an improved performance for the 2023 vintage and 2024 vintage performance is in-line with 2023; albeit this remains higher than the levels seen from 2018 to 2020. The underlying loans in PAID 2026-R2 were sourced from PAID 2024-2 and PAID 2024-3 and consist of 2024-vintage originations, which have shown relatively better performance following the implemented underwriting changes. Fitch's gross default assumption for the PAID 2026-R2 pool, based on the current composition of loans as of the statistical calculation date and the performance of PAID 2024-2 and 2024-3, is 17.50%. The base case assumption is an expected case reflecting Pagaya's historical performance trends, the previous performance trends of PAID 2024-2 and 2024-3, as well as near-term economic conditions and expectations for additional cooling in the U.S. labor market. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 72.79%, 63.55%, 43.05%, 29.35%, 18.05%, 9.10% and 8.10% of the initial pool balance for class A1, A2, B, C, D, E and F notes, respectively. Fitch modeled the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to them. Fitch applied a 'AAAsf' rating stress of 4.00x the base case gross default rate for the 2026-R2 series. The stress multiples decrease proportionally between the "median" and "low" multiple range for lower rating levels, as described in Fitch's "Consumer ABS Rating Criteria." The gross default multiple reflects the absolute value of the gross default assumption, the length of gross default performance history and exposure to changing economic conditions from higher loan terms. Assurance for True Lender Status for Partner Bank-Loan Origination: Pagaya's securitization transactions involve consumer loans originated through platform sellers including partner banks, WebBank, a Utah-chartered industrial bank, Cross River Bank, a New Jersey state-chartered commercial bank, or Blue Ridge Bank, N.A., a nationally chartered commercial bank. The banks' true lender status in the context of Pagaya's loan acquisition is subject to legal and regulatory uncertainty, particularly if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that any party other than the originating banks is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions, among other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for PAID 2026-R2, which prohibits loans made to borrowers in the state of West Virginia and certain loans made to borrowers in Colorado and Massachusetts. While loans made to borrowers in the states of New York, Vermont and Connecticut with interest rates above each states' usury limits are not excluded from the pool, they represent a smaller proportion of the aggregate current principal balance of the statistical loan pool. Fitch also performed an operational risk review and deemed Pagaya's compliance, legal and operational capabilities acceptable to meet consumer protection regulations. Adequate Servicing Capabilities: Each platform seller or the originating banks or one of their affiliates act as a servicer of all loans purchased by Pagaya. These servicers have an acceptable track record of servicing consumer loans. In addition, Vervent Inc., a Delaware corporation, is the designated back-up servicer for loans other than Rocket Loans and SoFi Loans; and Systems & Services Technologies, Inc. (SST), also a Delaware corporation, is the back-up servicer for Rocket Loans and SoFi. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50%, and examining rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of multiplier compression by projecting expected cash flow and loss coverage over the life of the investments. For this projection, Fitch applies default assumptions that are higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A1/A2/B/C/D/E/F): Expected Ratings: 'F1+sf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' - Increased default base case by 10%: 'F1+sf'/'AAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'B-sf'; - Increased default base case by 25%: 'F1sf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf'; - Increased default base case by 50%: 'F1sf'/'Asf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'NRsf'/'NRsf'; - Reduced recovery base case by 10%: 'F1+sf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'; - Reduced recovery base case by 25%: 'F1+sf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'; - Reduced recovery base case by 50%: 'F1+sf'/'AAsf'/'A+sf'/'A-sf'/'BBB-sf'/'B+sf'/'Bsf'; - Increased default base case by 10% and reduced recovery base case by 10%: 'F1+sf'/'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'Bsf'/'CCCsf'; - Increased default base case by 25% and reduced recovery base case by 25%: 'F1sf'/'A+sf'/'Asf'/'BBBsf'/'BBsf'/'NRsf'/'NRsf'; - Increased default base case by 50% and reduced recovery base case by 50%: 'F2sf'/'A-sf'/'BBB+sf'/'BB+sf'/'Bsf'/'NRsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% less than the projected base case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A1/A2/B/C/D/E/F): Expected Ratings: 'F1+sf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' Decreased default base case by 20%: 'F1+sf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to 150 randomly selected sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on the results of the analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. POST ROAD 2026-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by Post Road Equipment Finance 2026-1, LLC. Entity/Debt Rating ----------- ------ Post Road Equipment Finance 2026-1 A-1 ST F1+(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 LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral — Strong Historical Asset Performance: Post Road's originations have seen minimal defaults and losses since inception. There have been 22 instances of default since 2017, with a recovery rate of approximately 100% in 15 of the 18 resolved cases. Bankruptcies were the main driver of defaults, with 16 instances where Post Road contracts were accepted and paid in all cases. In three non-bankruptcy-related defaults, Post Road received sufficient sales proceeds to satisfy outstanding contract terms. Fitch did not consider 18 default observations, with average recovery of 98%, a sufficient dataset from which to derive recovery rate assumptions. Consequently, Fitch relied on a range of appraisal values provided by Post Road, including net orderly values (NOLVs), orderly liquidation values (OLVs) and liquidation values in place (LVIPs), to determine recovery rate assumptions for each equipment type. These appraisals were conducted by established third-party appraisers in the equipment space. Lease-End Residual Value Risk: The residual value of the leased equipment accounts for 4.83% of the pool on a discounted basis. Of this, 4.63% presents exposure to residual risk, while the remaining 0.20% relates to residuals that are guaranteed by the obligors. Concentration Risk, Portfolio Credit Model Approach to Derive Loss Hurdle: 2026-1 exhibits a high degree of concentration, with the underlying collateral consisting of 216 contracts across 59 obligors. The top 10 obligors total 47.81%, up from 36.61% and 41.20% in PREF 2025-1 and 2024-1, respectively. Due to the limited loss history and significant obligor concentration, Fitch will determine credit loss hurdles using its Portfolio Credit Model (PCM), in accordance with its "U.S. Equipment Lease and Loan ABS Rating Criteria." Structural Analysis - Adequate Credit Enhancement: The Post Road 2026-1 notes benefit from: credit enhancement (CE) in the form of overcollateralization (OC), initially sized at 8.60% of initial aggregate securitization value; a 1% non-declining reserve account; excess spread; and, for class A, B, C and D notes, subordination. Total initial hard CE for class A, B, C, D and E notes is 32.10%, 26.80%, 21.30%, 16.90% and 9.60%, respectively. This is sufficient to support Fitch's total stressed loss expectation of 32.66%, 27.35%, 21.47%, 16.15% and 11.13% at the 'AAAsf', 'AAsf', 'Asf', 'BBBsf' and 'BBsf' rating categories, respectively. Adequate Servicer: Post Road has demonstrated adequate capabilities as originator, underwriter and servicer, as evidenced by its managed portfolio and delinquency and loss performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce loss levels higher than the rating case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity to account for the potential increase in default rates by assuming the ratings of each obligor were downgraded by one-notch from the assumed ratings in Fitch's rating case scenario. This stress would also have an impact of up to one category on the ratings of the transaction. Additionally, recoveries were stressed by applying haircuts of 25% and 50% to 'AAAsf' recovery rates on each contract. These stressed recovery rate scenarios had an impact of up to three categories on the ratings of the transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance, driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If total loss expectation is 20% less than projected, the expected subordinate note ratings could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by RSM US LLP. The third-party due diligence described in Form 15E focused on comparing or recalculating certain information with respect to 50 contracts. 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. PRET 2025-RPL2: DBRS Confirms BBsf rating on Cl. B-1 Debt --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed nine classes in PRET 2025-RPL2 Trust, a U.S. residential mortgage-backed securities (RMBS) transaction. The reviewed transaction is classified as reperforming mortgages. Morningstar DBRS confirmed its credit ratings on nine classes. The ratings are as follows: PRET 2025-RPL2 TRUST Mortgage-Backed Notes Class Rating Action ----- ------ ------ Class A-1 AAA(sf) Confirmed Class A-2 AA(high)(sf) Confirmed Class A-3 AA(high)(sf) Confirmed Class A-4 A(sf) Confirmed Class M-1 A(sf) Confirmed Class A-5 BBB(sf) Confirmed Class M-2 BBB(sf) Confirmed Class B-1 BB(sf) Confirmed Class B-2 B(high)(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION 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. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. PRKCM 2026-AFC2: S&P Assigns Prelim B (sf) Rating on Cl. B-1 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2026-AFC2 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 1,040 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on the term sheet as of April 6, 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 originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) PRKCM 2026-AFC2 Trust Class A-1A, $134,437,000: AAA (sf) Class A-1B, $20,066,000: AAA (sf) Class A-1, $154,503,000: AAA (sf) Class A-1FCF, $112,500,000: AAA (sf) Class A-1LCF, $37,500,000: AAA (sf) Class A-2, $31,835,000: AA (sf) Class A-3, $23,925,000: A+ (sf) Class M-1, $16,214,000: BBB (sf) Class B-1, $8,502,000: BB (sf) Class B-2, $5,932,000: B (sf) Class B-3, $4,548,192: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the term sheet dated March 31, 2026. The preliminary ratings address the ultimate payment of interest and principal. (ii) The notional amount is initially $395,459,192 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. PRPM 2026-RCF2: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRPM 2026-RCF2, LLC (PRPM 2026-RCF2). Entity/Debt Rating Prior ----------- ------ ----- PRPM 2026-RCF2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf M2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,008 loans with a balance of $353.58 million as of the cutoff date. This will be the 12th PRPM RCF transaction to be rated by Fitch and the second RCF transaction of 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only performing and reperforming mortgage secured by senior and junior liens on single family residential properties, planned unit developments, condominiums, two-to-four family residential properties, manufactured housing, townhouses, cooperative shares, a five-to-ten unit multi-family property and a condotel. Based on the transaction documents, 76.5% of the pool loans represent collateral with a defect or exception to guidelines that precludes the loans from a government-sponsored enterprise (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans (RPLs) or seasoned non-qualified mortgage (non-QM) loans or ITIN loans. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 74.5% of the loans; Fay Servicing, rated 'RSS2' by Fitch, will service 4.2%; and NewRez LLC dba Shellpoint Mortgage Servicing, rated 'RSS2+' by Fitch, will service 21.3%. A majority of the loans adhere to QM or are exempt from QM Rules. Only 16.5% are non-QM loans. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in March 2030. Fitch was only asked to rate the class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 730, current WA FICO of 709 and a 39.3% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an original combined loan-to-value ratio (cLTV), as determined by Fitch, of 79.6%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 79.2%. Of the loans in the pool, 76.5% are loans that are considered S&D, 5.5% are RPLs, 2.6% are ITIN loans and 15.5% are seasoned non-QM loans. A majority of the loans are fully documented, but 28.4% are less than full documentation (bank statement, DSCR or other). PRPM 2026-RCF2 has a final probability of default (PD) of 49.10% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 46.06%. The expected loss in the 'AAAsf' rating stress is 22.61%. Structural Analysis (Mixed): The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds. In a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). As P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (March 2030), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of "A" or "B" since these loans have a material defect. The loans are penalized for having "C" and "D" grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF2 to be fully de-linked and 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 PRPM 2026-RCF2, and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.4%, at 'AAA'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) by the following TPR firms: Canopy, Clarifii, Clayton, Consolidated Analytics, Incenter, Infinity, Opus, Selene and Situs AMC, Each of these TPR firms are assessed as an acceptable TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, modification and title/lien review, as applicable to each TPR's scope of review. A title/lien review was conducted on the seasoned loans in the pool. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations on loans with grades of 'C' or 'D' that had material findings. These material findings consisted of missing HUD-1s, ATR Risk loans, loans with potential lien issues or the property had a PACE loan associated with it, underwriting defects involving documentation issues and underwriting defects involving occupancy issues. Fitch increased the loss severity and or probability of default on these loans to address these findings. Fitch considered this information in its analysis and, as a result, the losses increased. 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 the third-party review firms to perform the review. Loans reviewed under these engagements were given initial and final compliance grades (100% of the pool). The sponsor also engaged TPRs to conduct a title review/lien search. U.S Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post-close quality control (QC) performed by the GSEs the S&D portion of the pool. The GSE post-close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post-close QC consistent with rating agency standards. As a result, Fitch used the GSE's post-close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post-close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions Fitch used in its loss analysis and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review, all of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has several exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans and increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered S&D with material findings. 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 were 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. ROWE CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to ROWE CLO 2026-1 Ltd. Entity/Debt Rating ----------- ------ Rowe CLO 2026-1 Ltd. A-1 LT NRsf New Rating A-1 Loans 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 BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary ROWE CLO 2026-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by T. Rowe Price Associates, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.8% first lien senior secured loans and has a weighted average recovery assumption of 75.17%. 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 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentration is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, 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 'Bsf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, '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 ROWE CLO 2026-1 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. SAIF SECURITIZATION 2026-CES1: DBRS Finalizes B(low) on B-2 Debt ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its Provisional credit ratings on the Asset-Backed Securities, Series 2026-CES1 (the Notes) issued by SAIF Securitization Trust 2026-CES1 (SAIF 2026-CES1 or the Issuer) as follows: -- $185.9 million Class A-1A at AAA (sf) -- $13.0 million Class A-1B at AAA (sf) -- $198.9 million Class A-1 at AAA (sf) -- $12.9 million Class A-2 at AA (low) (sf) -- $10.5 million Class A-3 at A (low) (sf) -- $9.5 million Class M-1 at BBB (low) (sf) -- $7.2 million Class B-1 at BB (low) (sf) -- $5.0 million Class B-2 at B (low) (sf) The AAA (sf) credit rating reflects 19.75% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 14.55%, 10.30%, 6.45%, 3.55%, and 1.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. SAIF 2026-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 3,454 mortgage loans with a total principal balance of $247,886,898 as of the Cut-Off Date (February 28, 2026). SAIF 2026-CES1 represents the third CES securitization by SAGE Residential AIF I, LLC. Carrington Mortgage Loans, LLC is the top originator and servicer for 63.3.% of the mortgage pool, followed by PHH Mortgage Corporation for 33.0% and Planet Home Lending, LLC for 3.7%. Wilmington Savings Fund Society, FSB will act as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Custodian. SAIF III Master Servicing, LLC will act as the Securities Servicing Administrator. The portfolio, on average, is five months seasoned though seasoning ranges from two months to 19 months. Borrowers in the pool represent prime and near-prime credit quality -- with a weighted-average Morningstar DBRS-calculated current FICO score of 726, Issuer-provided original combined loan-to-value ratio of 68.7%, and the vast majority of the loans originated with full documentation standards. Nearly all the loans in the pool (99.2%) are current and 97.8% of them have never been delinquent since origination. Based on Issuer-provided information, the loans in the pool are all subject to the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules as they are made to investors for business purposes. The loans subject to the ATR rules are designated as QM Safe Harbor (9.4%), QM Rebuttable Presumption (14.3%), and Non-QM (76.2%) by unpaid principal balance (UPB). There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens; and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total UPB will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall. In addition, the principal balance of any class of Notes previously reduced by the allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumed reduced recoveries upon default of loans in this pool. On or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date when the UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (an affiliate of the Sponsor) may redeem all of the outstanding Notes (Optional Redemption) at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the Noteholders in accordance with the priority of payments. The Controlling Holder, 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. This transaction incorporates a sequential-pay cash flow structure; however, the Class A-1A and A-1B Notes are paid pro rata. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). For this transaction, the Class A-1A, A-1B, A-2, A-3, and M-1 fixed interest rates step up by 100 basis points on and after the payment date in April 2030. The credit ratings reflect transactional strengths that include the following: -- Robust equity, documentation standards, and near-prime credit quality -- Certain second-lien attributes -- Satisfactory third-party due diligence review -- Current loan status -- Improved underwriting standards The transaction also includes the following challenges: -- Financially leveraged borrowers -- Representations and warranties framework -- No servicer advances of delinquent principal or interest -- Limited third-party diligence valuation review The full description of the strengths, challenges, and mitigating factors is detailed in the related report. 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 for each of the rated Notes are the related Interest Payment Amount, Interest Carryforward Amount, and Class Principal Amount. The associated financial obligations are listed at the end of this Press Release. Morningstar DBRS' credit ratings on the Class A-1A, A-1B, A-2, A-3, and M-1 Notes also address the credit risk associated with the increased rate of interest applicable if the Class A-1A, A-1B, A-2, A-3, and M-1 Notes remain outstanding on or after the distribution date in April 2030 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. SEQUOIA MORTGAGE 2026-5: Fitch Assigns B(EXP)sf Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-5 (SEMT 2026-5). Entity/Debt Rating ----------- ------ SEMT 2026-5 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 ACH67 LT AAA(EXP)sf Expected Rating A32 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 Transaction Summary The certificates are supported by 576 loans with a total balance of approximately $744.20 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 777 and 36.5% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 72.2% mark-to-market combined LTV (cLTV). Overall, 93.4% 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 2026-5 has a final probability of default (PD) of 10.23% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.20%. The expected loss in the 'AAAsf' rating stress is 3.60%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-5 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 94.3% 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 that 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 2026-5 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 2026-5 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 37.4% 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, 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 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. SIGNAL PEAK 1: S&P Lowers Class E-R3 Notes Rating to 'B (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E-R3 and F-R3 debt from Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC, a broadly syndicated U.S. CLO transaction managed by ORIX Advisers LLC. At the same time, S&P affirmed its ratings on the class A-R4 loan, and class A-R4, B-R4, C-R4, and D-R4 debt from the same transaction. S&P also removed its ratings on the class D-R4, E-R3, and F-R3 debt from CreditWatch, where it had placed them with negative implications on Feb. 5, 2026. S&P had placed its ratings on the class D-R4, E-R3, and F-R3 debt on CreditWatch negative primarily due to the tranches' decreased credit support, the portfolio's par loss since the transaction partially refinanced in December 2024, and the tranche's indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from February 2026 trustee report. All reported overcollateralization (O/C) ratios have declined since the January 2025 trustee report: -- The senior class A/B O/C ratio declined to 126.12% from 127.01%. -- The class C O/C ratio declined to 118.34% from 119.17%. -- The class D O/C ratio declined to 110.17% from 110.95%. -- The class E O/C ratio declined to 104.75% from 105.49%. The decline in O/C ratios reflects the aggregate par loss the portfolio has sustained since January 2025, although all coverage tests are currently passing, albeit with only a tight margin of compliance for the junior class E O/C test. The transaction is expected to enter into its amortization phase once the scheduled reinvestment period ends in April 2026. The lowered ratings on the class E-R3 and F-R3 debt reflect the decreased credit support and failing cash flows at the previous respective rating levels. In addition to par losses, the portfolio saw a sizeable decline in weighted average spread, to 3.05% as of February 2026 from 3.24% as of January 2025, which is constraining the cash flow results for these tranches. The amount of 'CCC' rating category assets held in the portfolio has also increased to $22.64 million as of February 2026 from $18.14 million as of January 2025. S&P also noted that some of these assets are currently priced at levels significantly lower than par. S&P said, "We now believe, based on its current subordination level, that the class F-R3 debt requires favorable conditions in order to meet its payment obligations and thus meets our definition of a 'CCC' rating category. Although our cash flows indicated a lower rating, we lowered the rating by only one notch to 'CCC+ (sf)' based on the portfolio's relatively low exposure to 'CCC' and 'CCC-' assets. Similarly, the subordination level of the class E-R3 debt is currently lower than average for tranches in the 'B' rating category. While the tranche's cash flow results indicated that it passes at one notch below the current rating ('B+ (sf)'), we considered that the tranche was passing at that level by only a slim margin and, based on the tranche's current subordination, lowered the rating by two notches to 'B (sf) '. We removed both ratings from CreditWatch Negative. "We affirmed the ratings on the class A-R4 loan, and class A-R4, B-R4, C-R4, and D-R4 debt and removed the rating on the class D-R4 debt from CreditWatch negative. Although our cash flow results indicated a one-notch higher rating for the class B-R4 and C-R4 debt, we chose to affirm these ratings after considering that their subordination levels are more in line with the current ratings. Additionally, although our cash flow results indicated a one-notch lower rating for the class D-R4 debt, we opted to affirm this rating at this time based on the tranche's very slim margin of failure at the current rating, current subordination level, and potential for the subordination to improve once the CLO enters its amortization phase next month and paydowns commence, as well as the portfolio's relatively low exposure to 'CCC' and 'CCC-' assets. However, any further decline in credit support for this tranche or any increase in par losses could lead to negative rating actions in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default under various interest rates and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis and other qualitative factors, as applicable, demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." Ratings Lowered And Removed From CreditWatch Signal Peak CLO 1 Ltd. Class E-R3, to 'B (sf)' from 'BB- (sf)/Watch Negative' Class F-R3 to 'CCC+ (sf)' from 'B- (sf)/Watch Negative' Rating Affirmed And Removed From CreditWatch Signal Peak CLO 1 Ltd. Class D-R4, to 'BBB (sf)' from 'BBB (sf)/Watch Negative' Ratings Affirmed Signal Peak CLO 1 Ltd. Class A-R4 loans, 'AAA (sf)' Class A-R4, 'AAA (sf)' Class B-R4, 'AA (sf)' Class C-R4, 'A (sf)' SIGNAL PEAK 3: Fitch Assigns 'B-sf' Rating on Class F-R4 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Signal Peak CLO 3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Signal Peak CLO 3, Ltd. X-R4 LT AAAsf New Rating A-1R4 LT AAAsf New Rating A-2R4 LT AAAsf New Rating B-R4 LT NRsf New Rating C-R4 LT NRsf New Rating D-1R4 LT BBB-sf New Rating D-2R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating F-R4 LT B-sf New Rating X-J-R4 LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Signal Peak CLO 3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Orix Advisers, LLC. The transaction originally closed in August 2016 under the name of Mariner CLO 2016-3, Ltd, and then refinanced in July 2017, March 2020 and February 2024, respectively. This will be the fourth refinancing. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $300 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.07, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.84% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41% 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 weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R4, between 'BBB+sf' and 'AA+sf' for class A-1R4, between 'BBB+sf' and 'AA+sf' for class A-2R4, between less than 'B-sf' and 'BB+sf' for class D-1R4, between less than 'B-sf' and 'BB+sf' for class D-2R4, and between less than 'B-sf' and 'B+sf' for class E-R4 and less than 'B-sf' for class F-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R4, class A-1R4 and class A-2R4 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 'A-sf' for class D-1R4, 'A-sf' for class D-2R4, and 'BBB+sf' for class E-R4, 'BB+sf' for class F-R4. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Signal Peak CLO 3, 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. SLG OFFICE 2026-OMA: Fitch Assigns 'B-sf' Final Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to SLG Office Trust 2026-OMA commercial mortgage pass-through certificates, series 2026-OMA: - $809,400,000 class A 'AAAsf'; Outlook Stable; - $127,600,000 class B 'AA-sf'; Outlook Stable; - $110,300,000 class C 'A-sf'; Outlook Stable; - $155,300,000 class D 'BBB-sf'; Outlook Stable; - $238,000,000 class E 'BB-sf'; Outlook Stable; - $126,900,000 class F 'Bsf'; Outlook Stable; - $82,500,000(a) class HRR 'B-sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust expected to comprise a $1.65 billion, five-year, fixed-rate, interest-only commercial mortgage loan. The mortgage loan is secured by the borrower's fee simple interest in One Madison Avenue (One Madison), a 1.37 million-sf, 27-story, class A office tower located in the Flatiron District of Manhattan. Mortgage loan proceeds are used to refinance $1.18 billion of existing debt, fund $136.0 million of upfront reserves related to ongoing landlord obligations and free rent, fund $11.1 million of ICAP reserve, return $307.9 million of equity and pay $15.0 million in closing costs. The sponsor is a joint venture (JV) between National Pension Service of the Republic of Korea, Mastern Investment Management, SL Green Realty Corp. and Hines Interests Limited Partnership (Hines). The loan is co-originated by Wells Fargo Bank, National Association, Goldman Sachs Bank USA, JPMorgan Chase Bank, National Association, Bank of America, N.A. and German American Capital Corporation. Trimont LLC serves as the master servicer, and Argentic Services Company LP serves as the special servicer. Computershare Trust Company, National Association acts as trustee and certificate administrator; Park Bridge Lender Services LLC acts as operating advisor. The certificates follow a sequential-pay structure. Senior trust notes are pari passu in right of payment with each other, and senior in right of payment with the junior trust notes. The transaction is closed on April 7, 2026. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $109.0 million, 17.9% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $1.5 billion for the property. The Fitch cap rate is among the lowest applied to an office building, given the recent redevelopment, and its location and tenancy. High Fitch Leverage: The total $1.65 billion mortgage loan equates to total senior debt of approximately $1,205 psf, with a Fitch stressed loan-to-value ratio (LTV), debt service coverage ratio (DSCR) and debt yield (DY) of 109.8%, 0.80x and 6.6%, respectively. Trophy Quality Asset; Strong Manhattan Location: The loan is secured by the One Madison Avenue property, a 1,369,463-sf, 27-story, class A office tower located in the Gramercy Park submarket of Midtown Manhattan. The property is located directly on Madison Square Park in the Flatiron District of Manhattan and can easily accessed via the MTA's R, W and 6 subway lines. The property has received a LEED-Gold certification and features high-end finishes. The sponsors invested approximately $2.3 billion in 2020 to redevelop the property by adding a new 18-story tower with average 34,000-sf floorplates, 60-foot column-free clear spans, and 14'-3" ceiling heights to the original nine-story base building (the Podium). Fitch assigned One Madison Avenue a property quality grade of "A-". Long-Term Investment-Grade/Creditworthy Tenancy with Limited Rollover: The property is currently 98.9% physically occupied by 16 office and retail tenants and has a weighted average remaining lease term (WARLT) of 12.2 years. Two long-term, investment-grade/creditworthy tenants represent 52.3% of the NRA and 55.0% of Fitch's base rent. The largest tenant is Franklin Templeton, which is considered creditworthy; it consolidated seven of its previous New York City offices into one location, occupying 354,603 sf (25.9% of NRA and 30.6% of Fitch's base rent). The second-largest tenant, IBM (rated A- by Fitch), leased 362,092 sf (26.4% of NRA and 24.4% of Fitch's base rent). Other notable tenants include Coinbase and Chelsea Piers. Given the new construction and long-term leases signed by several of the major tenants, no tenant leases expire before 2031. However, both Franklin Templeton and IBM each have contraction options to reduce their NRA by 35,898 sf (effective June 2032, the earliest option date) and 46,332 sf (effective December 2029), respectively. Institutional Sponsorship: The sponsor is a JV between National Pension Service of the Republic of Korea, Mastern Investment Management, SL Green Realty Corp. and Hines. These companies also represent the JV for One Vanderbilt. SL Green is an institutional sponsor rated 'BB+' by Fitch and Manhattan's largest office landlord. The company is a fully integrated REIT focused on acquiring, managing and maximizing the value of Manhattan commercial properties. As of Sept. 30, 2025, it held interests in 53 buildings totaling 30.7 million sf, including ownership interests in 27.1 million sf of Manhattan properties, and 2.7 million sf securing debt and preferred equity investments. The National Pension Service of the Republic of Korea is one of the largest pension funds in the world with approximately $900 billion in assets as of July 31, 2025. Mastern Investment Management, founded in 2009, is a South Korea-based global real estate investment manager with more than $24.4 billion in assets under management. Founded in 1957, Hines Interests Limited Partnership is a privately held real estate investment and development company that has developed, redeveloped or acquired 1,857 properties totaling more than 636 million sf. 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'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/ 'Bsf'/'CCC+sf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'BB-sf'/'B+sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. SYMPHONY CLO 53: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Symphony CLO 53 Ltd./Symphony CLO 53 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 Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC. The preliminary ratings are based on information as of April 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Symphony CLO 53 Ltd./Symphony CLO 53 LLC Class A, $170.00 million: AAA (sf) Issuer loans, $86.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $19.50 million: A (sf) Class C-2 (deferrable), $4.50 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.80 million: NR NR--Not rated. SYMPHONY CLO XXI: S&P Lowers Class E-R Notes Rating to 'B (sf)' --------------------------------------------------------------- S&P Global Ratings took various rating actions on multiple classes of notes from Symphony CLO XXI Ltd., a U.S. CLO managed by Nuveen Asset Management LLC. S&P raised its rating on the class B-R2 debt, and S&P lowered its rating on the class E-R debt and the associated MASCOT notes and removed this rating from CreditWatch, where S&P placed it with negative implications on Feb. 5, 2026. At the same time, S&P affirmed its ratings on the class A-R2, C-R2, D-1-R2, and D-2-R2 debt. S&P said, "The rating actions follow our review of the transaction's performance using data from the February 2026 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances, such as this one, where the ratings on the tranches move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns that increased the senior credit support and faced principal losses that decreased the junior credit support." The transaction has paid $82.93 million in paydowns to the class A-R2 debt since our Feb. 21, 2025, rating actions, when the transaction underwent a refinancing. The reported overcollateralization (O/C) ratios have changed since the March 2025 trustee report: -- The class A/B O/C ratio improved to 137.73% from 129.14%. -- The class C O/C ratio improved to 123.25% from 119.18%. -- The class D O/C ratio improved to 111.96% from 110.97%. -- The class E O/C ratio declined to 105.66% from 106.21%. The senior O/C ratios experienced positive movements due to the lower balance of senior debt along with improvement in 'CCC/D' assets, which resulted in decreased haircuts in the O/C ratios. Collateral obligations with ratings in the 'CCC' category are at $20.84 million, or 7.40% of the portfolio, as of the February 2026 trustee report, compared with $33.64 million, or 8.92%, reported as of March 2025. Defaults in the portfolio have also decreased and are at $136,973 compared with $3.29 million as of the same report dates. Despite this, the junior O/C ratio declined due to par losses, which offset any benefit for the class E-R debt and the associated MASCOT notes that resulted from the senior debt paydowns and lower O/C ratio haircuts. In addition, the weighted average spread has dropped, which also contributed to weakened cash flows on the class E-R debt and the associated MASCOT notes. Given that the class E-R debt is lower in the capital structure, it is more sensitive to such changes as the portfolio amortizes. The upgraded rating reflects the increased credit support available to the class B-R2 debt at the prior rating level, and the affirmed ratings reflect adequate credit support at the current rating levels. S&P said, "On a standalone basis, our cash flow analysis indicates the potential for a one-notch higher rating on the class C-R2 debt. However, our decision to affirm reflects our consideration of its existing subordination level, which is commensurate with similar CLO tranche ratings, and our preference for a higher cash flow cushion based on the results of sensitivity runs we ran to given portfolio's exposure to assets in the 'CCC' category and to those with a low market price. "On the other hand, the results of the cash flow analysis indicated a one-notch lower rating on the class D-2-R2 debt than today's rating action reflects. However, we affirmed the rating on class D-2-R2 debt after considering the credit enhancement and our expectation that continued paydowns to the senior debt may further improve the O/C ratio and cash flow results." Any deterioration in the credit support available to the class D-2-R2 debt could result in rating changes. The lowered ratings of the class E-R debt and the associated MASCOT notes reflect the decrease in their credit support available and failing cash flows due to a combination of par losses and a decrease in the weighted average spread of the portfolio. As market conditions evolve, the 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 this junior tranche. S&P said, "Though cash flows point to a lower rating on the class E-R debt and associated MASCOT notes, we limited the downgrade to two notches based on its current subordination and relatively low exposure to 'CCC' and 'CCC-' assets. At this point, we feel this tranche is not 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 does not meet our definition of 'CCC' risk. We also don't expect default to be a virtual certainty; thus, it does not meet our definition of 'CC' risk. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. "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 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." Rating Raised Symphony CLO XXI Ltd. Class B-R2 to 'AA+ (sf)' from 'AA (sf)' Rating Lowered And Removed From CreditWatch Negative Symphony CLO XXI Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-1R to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-1XR to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-2R to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-2XR to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-3R to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-3XR to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-4R to 'B (sf)' from 'BB- (sf)/CW Neg' Class E-4XR to 'B (sf)' from 'BB- (sf)/CW Neg' Ratings Affirmed Symphony CLO XXI Ltd. Class A-R2: AAA sf) Class C-R2: A (sf) Class D-1-R2: BBB-(sf) Class D-2-R2: BBB-(sf) TRINITAS CLO XXVIII: S&P Assigns (P) BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-L-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt from Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in May 2024. The preliminary ratings are based on information as of April 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 27, 2026, refinancing date, the proceeds from the replacement class A-L-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-1L, A-1N, A-2, B, C-1, C-2, D and E debt and assign ratings to the replacement A-L-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt and proposed new 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 C-R debt is expected to be issued at a floating spread, replacing the existing class C-1 floating-rate debt and class C-2 fixed-rate debt. -- The reinvestment period and non-call period will be extended by two years. -- The concentration limit for the fixed-rate assets has been revised downward from 5% to 4%. -- The non-call period will be extended to April 25, 2028. -- The reinvestment period will be extended to April 25, 2031. -- The legal final maturity dates for the replacement class B-R, C-R, D-1-R, D-2-R, and E-R debt, proposed new class X debt, and the existing subordinated notes will be extended to April 25, 2039, while the legal maturity dates for the class A-L-R and A-R debt will be extended to April 25, 2038. -- No additional assets will be purchased on the April 27, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2026. -- The proposed new class X debt will be issued in connection with this refinancing and is expected to be paid down using interest proceeds during eight payment dates in equal installments of $287,500.00, beginning with the second payment date. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC Class X, $2.30 million: AAA (sf) Class A-L-R, $125.00 million: AAA (sf) Class A-R, $123.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $28.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC Subordinated notes, $41.80 million: NR NR--Not rated. VENTURE XXX CLO: Moody's Cuts Rating on $31.5MM Cl. E Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Venture XXX CLO, Limited: US$43,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on August 11, 2025 Upgraded to Aa2 (sf) Moody's have also downgraded the ratings on the following notes: US$38,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031, Downgraded to Baa3 (sf); previously on November 14, 2023 Upgraded to Baa2 (sf) US$31,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa2 (sf); previously on August 11, 2025 Downgraded to B2 (sf) Venture XXX CLO, Limited, originally issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 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 July 2025. The Class A-1 notes have been paid down by approximately 67.7% or $113.9 million since then. Based on Moody's calculations, the OC ratios for Class C notes is currently 131.72%, versus July 2025 level of 121.99%. The downgrade rating actions on Class D and Class E notes reflect 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 weighted average rating factor (WARF) has been deteriorating, and the current level is 3482 compared to 3083 in July 2025. Furthermore, based on Moody's calculations, the OC ratios for the Class D and Class E notes are 110.23% and 97.10%, respectively, versus July 2025 levels of 110.21% and 102.04%, respectively. No actions were taken on the Class A-1, Class A-2 and Class B notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $265,180,544 Defaulted par: $7,479,581 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3482 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 45.6% Weighted Average Life (WAL): 2.78 years Par haircut in OC tests and interest diversion test: 4.43% 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-R3: Fitch Rates Class B-2 Notes 'B-(EXP)' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R3 (Verus 2026-R3). Entity/Debt Rating ----------- ------ VERUS 2026-R3 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-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating DA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2026-R3 notes are supported by 925 loans with a balance of $497.0 million as of April 1, 2026 (the cutoff date). The transaction is scheduled to close on April 17, 2026. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Currently, 1.9% of the pool is delinquent, 10.9% is current but has experienced delinquency within the past 12 months, and 87.2% is clean and current. Primary residence loans comprise 65.4% of the Verus 2026-R3 transaction pool, followed by second home and investor loans at 34.6%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 28.1%, and 37.0% were originated to a bank statement program. The remaining 34.9% of the population was underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment 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-R3 has a final probability of default (PD) of 46.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.0%. The expected loss in the 'AAAsf' rating stress is 15.9%. Structural Analysis: Verus 2026-R3 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement 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 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Verus 2026-R3 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 Verus 2026-R3; 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. CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's "U.S. RMBS Ratings Criteria" to scale down the Z-score adjustment 33% starting after year two and 100% removal by end of year five. Currently, additional PD adjustments are applied to the final PD using a Z-score adjustment that is static over time, regardless of seasoning. These adjustments are designed to capture risk factors not present in the historical data, which diminishes as loans season. 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 TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. 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 2016-NXS5: Fitch Lowers Rating on Two Tranches to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed two classes of Wells Fargo Commercial Mortgage Trust 2016-NXS5 (WFCM 2016-NXS5) commercial mortgage pass-through certificates. Following the downgrades, classes B, C, D, and X-B were assigned Negative Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-NXS5 B 95000CBG7 LT Asf Downgrade AA-sf C 95000CBH5 LT BBB-sf Downgrade A-sf D 95000CBJ1 LT B-sf Downgrade BB+sf E 95000CAJ2 LT CCsf Downgrade CCCsf F 95000CAL7 LT Csf Downgrade CCsf G 95000CAN3 LT Csf Affirmed Csf X-B 95000CBF9 LT Asf Downgrade AA-sf X-F 95000CAC7 LT Csf Downgrade CCsf X-G 95000CAE3 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The transaction is highly concentrated, with only eight loans remaining, all of which are in special servicing. The downgrades reflect both an increase in expected loss as well as greater certainty of expected losses on the remaining assets in the pool, all of which are past maturity and in default. The increase in expected losses since the last rating action is driven by an updated appraisal value for specially serviced 10 South LaSalle Street (the largest remaining loan at 43% of the pool). Due to the transaction concentration, 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's analysis also considered the remaining loans' expected recovery timelines. The Negative Outlooks reflect the risk of future downgrades due to further declines in recovery expectations on the remaining defaulted assets, prolonged workouts that could delay recoveries, and rising interest shortfalls from reduced servicer advancing. Largest Contributors to Loss: The largest contributor to overall loss expectations is the 10 South LaSalle Street loan, which transferred to special servicing in August 2022 due to imminent monetary default. As of the YE 2025 rent roll, occupancy at the property declined to 48% from 67.6% in September 2024 due to the departure of the largest tenant, Chicago Title Insurance (13.6% of NRA), which vacated upon lease expiration in March 2025. In addition, the third-largest tenant, Clausen Miller PC (5.4%), also vacated following its lease expiration in December 2025. According to CoStar, comparable office properties in the Central Loop office submarket had 23.9% vacancy and market asking rent of $37.28. Per the YE 2025 rent roll, the property had an average rent of $18.40. In comparison, the total submarket had a 24.1% vacancy rate and market asking rent of $37.65. Fitch's 'Bsf' rating case loss of 74.7% (prior to concentration add-ons) reflects the most recent servicer-reported appraised value, which is approximately 84% below the appraisal value at issuance, and represents a recovery value of approximately $40 psf. Fitch's prior analysis, which was based on a stressed cash flow anticipating tenant departures and a 10% cap rate, assumed a recovery value of approximately $50 psf. 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 overall loss expectations is 1006 Madison Avenue (9.7%), which has been in special servicing since October 2018. The asset is a 3,915-sf retail property located in Manhattan at 78th and Madison Avenue. The single tenant, Roland Mouret, vacated in 2022 ahead of its scheduled lease expiration in 2025 and the loan became REO in August 2022. Per the rent roll provided in the July 2025 appraisal, the property was 100% occupied by Dr. Barbara Sturm (a boutique spa) with a move-in date of October 2022 and expiration of February 2028. Per the special servicer, the property is expected to be marketed for sale in late 2026. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 81.1% reflects a discount to the most recent servicer-reported appraised value, equating to a stressed value of $1,861 per SF. The third-largest contributor to overall loss expectations is the 4400 Jenifer Street loan (14.2%), which transferred to special servicing in January 2026 following its inability to refinance at maturity. The property is an 83,047 sf office building located in northwest Washington, D.C. Per the servicer-provided September 2025 rent roll, the property is 83.5% occupied, an increase from 80% at YE 2024 and 68% at YE 2023; however, still below 100% occupancy at issuance. Occupancy increased since YE 2023 due to two new leases signed, including Mother Miracle (11.7%) in 2024 and Melhor Life Solutions (3.9%) in September 2025. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 45.5% reflects a 10% cap rate and a 10% stress to the YE 2024 NOI. Credit Enhancement, Interest Shortfalls and Realized Losses: As of the March 2026 distribution date, the pool's aggregate principal balance has been paid down by 80% to $174.3 million from $875.1 million at issuance. Eight of the original 64 loans remain outstanding. Cumulative interest shortfalls total approximately $10 million with monthly shortfalls impacting classes C through H. There has been $16.9 million in realized losses to date, $10 million of which are from the servicer's recovery of past advances from 1006 Madison Avenue, Shilo Inn Ocean Shores & Nampa, and Shilo Inn Warrenton. Outstanding advances are approximately $8.2 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'Asf', 'BBB-sf', and 'B-sf' rated categories are possible if resolutions take longer than expected and losses on the remaining assets are more certain, most notably on 10 South LaSalle, 4400 Jenifer Street and1006 Madison Ave. Downgrade potential also exists if loans expected to dispose in the near term, including Shilo Inn Ocean Shores & Nampa, and Shilo Inn Warrenton, have extended recovery timelines. Downgrades to 'CCsf' and 'Csf' rated classes would occur as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'Asf', 'BBB-sf', and 'B-sf' category rated classes are not expected, given the concentration of defaulted assets and volatility in recovery prospects and timelines; however, upgrades are possible with significantly better recoveries than expected, increased CE from paydowns, and/or stable to improved pool-level loss expectations and improved performance or valuations on the remaining assets. However, upgrades would be limited based on sensitivity to future concentration and would only occur with sustained improved performance of the remaining pool. Upgrades to the distressed 'CCsf' and 'Csf' rated classes are not likely but are possible with better-than-expected recoveries on specially serviced assets. 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. WESTGATE RESORTS 2026-1: DBRS Finalizes BB(low) Rating on D Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by Westgate Resorts 2026-1 (Westgate 2026-1 or the Issuer): -- $80,400,000 Timeshare Collateralized Notes, Series 2026-1, Class A rated AAA (sf) -- $63,300,000 Timeshare Collateralized Notes, Series 2026-1, Class B rated A (low) (sf) -- $44,700,000 Timeshare Collateralized Notes, Series 2026-1, Class C rated BBB (low) (sf) -- $18,600,000 Timeshare Collateralized Notes, Series 2026-1, Class D rated BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Credit enhancement will be in the form of subordination, OC, amounts held in the reserve account, and excess spread, which create credit enhancement levels that are commensurate with the credit ratings. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating on the A class of notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity. The credit ratings on the B, C, and D class notes address the ultimate payment of interest and the ultimate payment of principal on or before the final legal maturity. (3) Westgate 2026-1 employs a full turbo structure where all excess cashflow is used to repay note holders with no excess spread going back to issuer until the notes are paid in full. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (5) Westgate's 40+ year operating history and its capabilities with regard to developing and managing timeshare resorts, as well as the origination, underwriting, and servicing of Timeshare Loans. -- Morningstar DBRS has performed an operational review of Westgate and considers the entity to be an acceptable originator and servicer of Timeshare Loans. -- The Westgate senior management team averages 40 plus years of experience in timeshare development, marketing, and management. (6) The credit quality of the collateral and the consistent performance of Westgate's timeshare loans portfolio. -- Average availability of historical performance data and a history of consistent performance on the Westgate portfolio. -- As of Statistical Calculation Date, the timeshare loans are seasoned approximately 34 months and contain Westgate originations from 2016 through 2026. The weighted-average (WA) remaining life of the initial timeshare loans is approximately 83 months. The WA FICO score of the initial timeshare loans is 737 (excludes foreign borrowers) and contains no FICO scores below 605. (7) The legal structure and legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of each of the depositor and the Issuer with Westgate, and ensure that the Issuer has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are Accrued Interest, Deferred Interest, and Outstanding Principal Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is Interest on Accrued Interest at the Note Rate on Class A Notes for the related Accrual Period. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C23: Fitch Lowers Rating on 3 Tranches to Csf ------------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed four classes of WFRBS Commercial Mortgage Trust Series 2014-C22 (WFRBS 2014-C22) commercial mortgage pass-through certificates. Fitch has assigned classes B and C Negative Outlooks following their downgrades. Fitch has also downgraded three classes and affirmed seven classes of WFRBS Commercial Mortgage Trust 2014-C23 (WFRBS 2014-C23) commercial mortgage pass-through certificates. The Rating Outlook for classes A-S and X-A have been revised to Stable from Negative. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- WFRBS 2014-C22 A-S 92890KBC8 LT AAsf Affirmed AAsf B 92890KBF1 LT BBsf Downgrade BBB-sf C 92890KBG9 LT Bsf Downgrade BB-sf D 92890KAJ4 LT Csf Downgrade CCCsf E 92890KAL9 LT Csf Downgrade CCsf F 92890KAN5 LT Csf Affirmed Csf X-A 92890KBD6 LT AAsf Affirmed AAsf X-C 92890KAA3 LT Csf Downgrade CCsf X-D 92890KAC9 LT Csf Affirmed Csf WFRBS 2014-C23 A-S 92939HBA2 LT AAsf Affirmed AAsf B 92939HBB0 LT BBBsf Affirmed BBBsf C 92939HBC8 LT BBsf Affirmed BBsf D 92939HAJ4 LT Csf Downgrade CCCsf E 92939HAL9 LT Csf Downgrade CCsf F 92939HAN5 LT Csf Affirmed Csf PEX 92939HBD6 LT BBsf Affirmed BBsf X-A 92939HBE4 LT AAsf Affirmed AAsf X-C 92939HAA3 LT Csf Downgrade CCsf X-D 92939HAC9 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration; Adverse Selection The downgrades reflect the decline in value for the Columbus Square Portfolio and increased certainty of loss for the distressed classes. The downgrades also consider the increased potential for impaired recoveries due to loan workouts, including the reported pending sale of Bank of America Plaza. The Negative Outlooks reflect the risk of future downgrades due to further declines in recovery expectations on the remaining defaulted assets, prolonged workouts that could delay recoveries, and rising interest shortfalls from reduced servicer advancing. Downgrade of the A-S class in the WFRBS 2014-C22 transaction is possible without sufficient near-term recovery proceeds from the Offices at Broadway Station and Bank of America loans to repay the class. The Outlook revisions to Stable from Negative in the WFRBS 2014-C23 transaction reflect increased credit enhancement (CE) and higher certainty of repayment from loans expected to refinance at maturity. Due to the heightened maturity 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 CE. This analysis contributed to the Stable Outlook revisions. The two transactions are highly concentrated. The WFRBS 2014-C22 transaction has six loans remaining, all of which are in special servicing (100% of the pool), while WFRBS 2014-C23 has four loans remaining, two of which are in special servicing (79.3% of the pool). Largest Contributors to Loss Expectations The largest contributor to overall loss expectations in both WFRBS 2014-C22 and WFRBS 2014-C23 is the specially serviced Bank of America Plaza loan, which is secured by a 1.4 million-sf, LEED Gold-certified office building located in downtown Los Angeles, CA. The loan transferred to special servicing in July 2024 due to imminent maturity default. In April 2025, the special servicer filed a foreclosure complaint, and a receiver was appointed in May 2025. In March 2026, the property was reported to be under contract for sale. Fitch's expected loss of 55.0% (prior to concentration add-ons) reflects a Fitch stressed value of $135 psf in line with comparable sales and recent appraisal values in the submarket. The second-largest contributor to loss in WFRBS 2014-C22 is the specially serviced Stamford Plaza Portfolio loan (22.1% of the pool). The loan is secured by four office properties totaling 982,483 sf in Stamford, CT. The loan transferred to special servicing in September 2024 due to maturity default. The loan is currently in cash management, with a receiver in place to address leasing across the portfolio. Reported occupancy as of YE 2025 was 66%, compared to 67% at YE 2024 and 90% at issuance. Due to the decline in occupancy, NOI DSCR has remained below 1.00x since YE 2018. Fitch's current loss expectation of approximately 53.2% (prior to concentration add-ons) reflects a Fitch stressed value for the four properties resulting in a recovery of $118 psf. The Columbus Square Portfolio loan represents the third-largest loss driver in WFRBS 2014-C22 and the second-largest in WFRBS 2014-C23, accounting for 27.6% and 29.0% of each pool, respectively. The loan is secured by a multibuilding mixed-use portfolio totaling 494,000 sf, located in New York, NY, on Manhattan's Upper West Side. The loan returned to special servicing in September 2025 due to various defaults related to the lockbox and loan payments, as well as the failure to replace the guarantor. The sponsor has faced widespread defaults, foreclosures, and loan restructurings across its portfolio. A loan modification was executed in March 2024 that extended the loan's maturity date to August 2027 from August 2024 and implemented a cash trap to hyper-amortize the loan through the extended maturity. The servicer is dual-tracking discussions with the borrower while also pursuing foreclosure and receivership actions. A foreclosure complaint and receivership motion were filed in January 2026. Fitch's 'Bsf' rating case loss of 31.3% (prior to concentration add-ons) reflects a Fitch stressed value resulting in a recovery value of $526 psf. Additional specially serviced loans in WFRBS 2014-C22 include Offices at Broadway Station (11.5% of the pool), Parkside Development Company (1.3%), and Rite Aid Portfolio (0.5%). The third-largest loss driver in WFRBS 2014-C23 is the 677 Broadway loan (10.2%), secured by a 177,039-sf office property located in Albany, NY. The loan transferred to special servicing in September 2024 and returned to the master servicer following a loan modification in July 2025. The loan modification extended the maturity date by an additional year, to September 2026, in exchange for an upfront equity contribution to be used toward future leasing expenses. The property reported 2025 occupancy of 77%, an improvement from 64% at YE 2022 and 60% at YE 2021, but still below the 96% occupancy level at issuance. Fitch's 'Bsf' rating case loss of 14.6% (prior to concentration add-ons) reflects YE 2025 NOI and a 10% cap rate. Changes in Credit Enhancement As of the March 2025 distribution date, the aggregate balance of WFRBS 2014-C22 has been reduced by 72.8% to $405.2 million from $1.49 billion at issuance. The aggregate balance of WFRBS 2014-C23 has been reduced by 75.4% to $231.5 million from $940.8 million at issuance. Interest shortfalls in WFRBS 2014-C22 totaling $13.5 million are affecting classes B, C, D, E, F, and the non-rated class G. Interest shortfalls in WFRBS 2014-C23 totaling $2.6 million are affecting classes D, E, F, and the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAsf' and 'BBBsf' categories could occur with an increase in loss expectations on larger specially serviced or modified loans, including Bank of America Plaza, Columbus Square Portfolio, and Stamford Plaza Portfolio in WFRBS 2014-C22, and Bank of America Plaza, Columbus Square Portfolio, and 677 Broadway in WFRBS 2014-C23. Downgrades of the 'AAsf' class in the WFRBS 2014-C22 transaction could occur without sufficient near-term recovery proceeds from the Offices at Broadway Station and Bank of America loans to repay the class and/or if interest shortfalls increase to impact the class. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories, as well as distressed-rated classes, could occur with higher-than-expected losses on specially serviced loans and/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 'BBBsf' categories are not anticipated, but may be possible if recoveries on specially serviced loans upon disposition are significantly better than expected. Upgrades to classes rated in the 'BBsf' and 'Bsf' categories, as well as distressed-rated classes, are not anticipated given the adverse selection and concentration of defaulted loans in each transaction. 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. [] DBRS Takes Actions on 18 CPS Auto Receivables Trust Deals ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) upgraded 14 credit ratings, confirmed 45 credit ratings, and discontinued one credit rating from 18 CPS Auto Receivables Trust Transactions. The Issuers are: CPS Auto Receivables Trust 2025-C CPS Auto Receivables Trust 2025-D CPS Auto Receivables Trust 2022-B CPS Auto Receivables Trust 2024-D CPS Auto Receivables Trust 2022-D CPS Auto Receivables Trust 2022-C CPS Auto Receivables Trust 2023-D CPS Auto Receivables Trust 2023-C CPS Auto Receivables Trust 2023-B CPS Auto Receivables Trust 2023-A CPS Auto Receivables Trust 2024-C CPS Auto Receivables Trust 2021-C CPS Auto Receivables Trust 2024-B CPS Auto Receivables Trust 2021-D CPS Auto Receivables Trust 2024-A CPS Auto Receivables Trust 2025-A CPS Auto Receivables Trust 2025-B CPS Auto Receivables Trust 2022-A The Affected Ratings are available at https://tinyurl.com/mrynbzvk The credit rating actions are based on the following analytical considerations: -- For CPS Auto Receivables Trust 2021-C, current losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectation. The current levels of hard credit enhancement (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. -- For CPS Auto Receivables Trust 2021-D through CPS Auto Receivables Trust 2025-A, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2025-B through CPS Auto Receivables Trust 2025-D, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectations. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- Current credit enhancement levels have increased compared to initial levels. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have declined during the current payment date. -- The transaction capital structures and form and sufficiency of available CE. -- 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: March 2026 Update," published on March 27, 2026. 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 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ********* 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. 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