260419.mbx

260419.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 19, 2026, Vol. 30, No. 109 Headlines 1988 CLO 4: S&P Assigns BB- (sf) Rating on Class E-R Notes A&D MORTGAGE 2026-NQM3: Fitch Assigns BB(EXP)sf Rating on B1 Certs AIMCO CLO 2018-B: S&P Assigns BB- (sf) Rating on Class E-R3 Notes AIMCO CLO 27: Fitch Assigns 'BB-sf' Rating on Class E Notes ALESCO PREFERRED XVI: Moody's Ups Rating on $85.25MM C Notes to B3 ALLEGRO CLO VII: Moody's Cuts Rating on $20.4MM Cl. E Notes to Caa2 AMERICAN CREDIT 2026-2: S&P Assigns Prelim 'BB-' Rating on E Notes ANCHORAGE CREDIT 20: Moody's Assigns Ba3 Rating to $37.2MM E Notes APIDOS CLO LVI: Moody's Assigns B3 Rating to $550,000 Cl. F Notes ARINI US V: S&P Assigns BB- (sf) Rating on Class E Notes BARINGS CLO 2026-I: Moody's Assigns (P)B3 Rating to Class F Notes BATTALION CLO 31: Fitch Assigns 'BB-sf' Rating on Class E Notes BAYVIEW OPPORTUNITY 2023-CAR2: Moody's Ups Class E Notes to Ba2 BELMONT PARK: S&P Affirms BB- (sf) Rating on Class E Notes BENCHMARK 2018-B1: S&P Lowers Class X-B Certs Rating to 'BB+ (sf)' BINOM MORTGAGE 2026-NQM1: S&P Assigns (P) B(sf) Rating on B-2 Notes BOS TRUST 2026-LYRK: S&P Assigns (P) BB-(sf) Rating on HRR Certs BRAVO RESIDENTIAL 2026-NQM4: S&P Assigns B(sf) Rating on B-2 Notes BREAN ASSET 2025-RM15: DBRS Gives (P)Bsf Rating on Cl. M5 Notes BRIDGECREST LENDING 2026-2: S&P Assigns (P) 'BB' Rating on E Notes CHASE HOME 2026-4: DBRS Gives (P)B(low) Rating to Cl. B-5 Certs CHEVY CHASE 2006-4: Moody's Lowers Rating on 2 Tranches to Caa3 CIFC FUNDING 2017-I: Fitch Affirms BB-sf Rating on Class E-RR Notes CITIGROUP 2015-GC35: Fitch Lowers Rating on 2 Tranches to 'Csf' COLT 2026-3: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs CSAIL 2015-C1: DBRS Confirms Csf Rating on 4 Tranches CSAIL 2016-C5: DBRS Hikes Rating Class X-F Certs to Bsf DIAMETER CAPITAL 6: S&P Assigns BB- (sf) Rating on Class E-R Notes DRYDEN 114 CLO: Moody's Assigns B3 Rating to $4.5MM Class F Notes DRYDEN CLO 60: Moody's Affirms Ba3 Rating on $14.4MM Class E Notes ELMWOOD CLO 15: S&P Lowers Class E-R Notes Rating to 'B+' GS MORTGAGE 2026-RPL1: Fitch Assigns Bsf Final Rating on B-2 Certs HALSEYPOINT CLO 4: S&P Lowers Class E Notes Rating to 'B+ (sf)' HLTN COMMERCIAL 2026-DPLO: DBRS Gives (P)Bsf Rating on HRR Certs HUNDRED ACRE 2021-INV2: Moody's Ups Rating on Cl. B5 Certs from Ba1 INVESCO US 2026-1: Moody's Assigns (P)B3 Rating to $500,000 F Notes JP MORGAN 2018-MINN: Moody's Cuts Rating on Cl. A Certs to Caa1 JP MORGAN 2020-LOOP: Moody's Lowers Rating on 2 Tranches to B3 JPMBB COMMERCIAL 2015-C30: DBRS Cuts Rating on Cl. F Certs to Dsf KRE COMMERCIAL 2026-ICNA: DBRS Gives (P)BB(low) on HRR Certs LCM XIV: Moody's Cuts Rating on $8MM Class F-R Notes to Ca MAGNETITE LV: Fitch Assigns 'BBsf' Rating on Class E Notes MAGNETITE LV: Moody's Assigns B3 Rating to $250,000 F Notes MF1 2022-B1: DBRS Confirms B(low) Rating on 3 Tranches MMCAPS FUNDING XVII: Moody's Upgrades Rating on 2 Tranches to Ba3 MORGAN STANLEY 2026-NEW1: DBRS Gives (P)B Rating to Cl. B-2 Certs MORGAN STANLEY 2026-NEW1: S&P Assigns (P)B(sf) Rating on B-2 Certs MORGAN STANLEY 2026-NQM4: S&P Assigns (P) 'B' Rating on B-2 Certs NELNET STUDENT 2007-1: Moody's Cuts Rating on Cl. A-4 Certs to B1 NEW MOUNTAIN IV FEEDER II: DBRS Confirms BB(low) on Class D Notes NEW MOUNTAIN IV FEEDER III: DBRS Confirms BB(low) on Cl. C Notes NMR TRUST 2026-CGCTR: DBRS Gives (P)BB(low) Rating on Cl. E Certs OAKTREE CLO 2024-26: S&P Assigns (P) BB-(sf) Rating on E-R Notes OBX TRUST 2026-AHC1: Moody's Assigns B3 Rating to Cl. B-5 Certs OBX TRUST 2026-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCTAGON 64: Fitch Affirms BB+sf Rating on Class E Notes OHA CREDIT XV: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R2 Notes PALMER SQUARE 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes PARK AVENUE 2022-1: S&P Lowers Class D Notes Rating to 'B+ (sf)' PCY TRUST 2026-FCMT: Fitch Assigns 'BBsf' Final Rating on HRR Certs PMT LOAN 2026-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs PNW TRUST 2026-ARTE: Moody's Assigns B2 Rating to Cl. F Certs PRKCM 2026-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes RAD CLO 14: Moody's Downgrades Rating on $20MM Class E Notes to B3 REPUBLIC FINANCE 2026-A: S&P Assigns Prelim BB+ Rating on E Notes ROWE CLO 2026-1: Moody's Assigns B3 Rating to $500,000 Cl. F Notes SARATOGA INVESTMENT 2013-1: Moody's Cuts E-R-3 Notes Rating to B1 SILVER POINT 17: Fitch Assigns 'BBsf' Rating on Class E Notes SILVER POINT 17: Moody's Assigns B3 Rating to $250,000 Cl. F Notes STEELE CREEK 2014-1R: Moody's Cuts $18.9MM E Notes Rating to Caa3 TIKEHAU US I: Moody's Cuts Rating on $24MM Class D Notes to Ba1 TRAPEZA CDO III: Moody's Upgrades Ratings on 2 Tranches to Ba3 TRINITAS CLO XXVII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes VNDO TRUST 2016-350P: DBRS Hikes Rating on Cl. E Certs From Bsf WELLS FARGO 2015-LC20: DBRS Cuts Rating on Cl. X-E Certs to Csf WELLS FARGO 2016-C33: DBRS Confirms CCCsf Rating on 2 Tranches WESTGATE RESORTS 2023-1: DBRS Confirms BB(low) on Class D Notes ZAYO ISSUER 2026-1: Fitch Assigns BB-(EXP) Rating on Class C Notes ZAYO ISSUER 2026-1: Moody's Assigns (P)Ba3 Rating to Cl. C Notes [] DBRS Reviews 61 Classes in Eight U.S. RMBS Transactions [] Moody's Upgrades Ratings on 50 Bonds from 6 US RMBS Deals ********* 1988 CLO 4: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-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. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D, E debt following payment in full on the April 15, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R debt was 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 was issued at a floating spread, replacing the current floating spread. -- The non-call period was extended to April 15, 2028 -- The reinvestment period was extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2039. -- No additional assets were purchased on the April 15, 2026, refinancing date, and the target initial par amount was upsized to $450 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- The existing subordinated notes were upsized by $6.91 million to a new total of $48.75 million, and their maturity was 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." 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) Ratings Withdrawn 1988 CLO 4 Ltd./1988 CLO 4 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB+ (sf)' Class E to NR from 'BB+ (sf)' Other Debt 1988 CLO 4 Ltd./1988 CLO 4 LLC Subordinated notes, $48.75 million: NR NR--Not rated. A&D MORTGAGE 2026-NQM3: Fitch Assigns BB(EXP)sf Rating on B1 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to A&D Mortgage Trust 2026-NQM3 (ADMT 2026-NQM3). Entity/Debt Rating ----------- ------ ADMT 2026-NQM3 A-1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates issued by ADMT 2026-NQM3 Mortgage Trust (ADMT 2026-NQM3), as indicated above. The certificates are supported by 945 loans with a balance of $424,139,052.27 as of the cutoff date. This represents the 18th Fitch-rated ADMT transaction and the second Fitch-rated ADMT transaction of 2026. The transaction is expected to close on April 21, 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (A&D) (77.8%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.77% are exempted mortgage loans that were not subject to the ability-to-repay (ATR) Rule, 31.48% are safe harbor QM loans, 20.77% are designated as nonqualified mortgage (non-QM) loans and 2.99% are qualified mortgage rebuttable presumption loans The class A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificate is based on the lower of a fixed rate or the net WAC rate for the related distribution date. The B-1, B-2, and B-3 classes will have a coupon based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. The transaction has a model implied rating variation for class A-2. The model implied rating for A-2 was 'Asf' due to the class taking a small loss of $608,577 in the 'AAsf' backloaded benchmark rating stress scenario starting in period 116. Fitch did not consider this loss material due to the size of the loss (0.14% of the collateral balance), the fact that the loss occurred late in the life of the transaction at period 116, the fact that it only occurred in the 'AAsf backloaded benchmark rating stress and the class passed the other 'AAsf' rating stress with no losses, and the fact that the backloaded benchmark rating stress is the most conservative rating stress that is least likely to occur. Class A-2 received full principal and interest and did not incur any losses in the five other 'AAsf' rating stress scenarios that were run. Per Fitch's U.S. RMBS Rating Criteria, a class does not need to pass all of the rating stresses in order to be assigned that rating. As a result, the committee was comfortable assigning a 'AAsf' rating to class A-2. 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 945 performing, fixed-rate and adjustable-rate loans fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, and planned unit developments [PUDs]) condos/condotel, townhouses, manufactured housing, mixed-use properties, five- to 10-unit multi-family properties, and two- to four-unit multi-family properties, totaling $424,139,052.27. The majority of the loans are first liens (95.9%) while the remaining 4.0% are second liens. The loans are either exempt from QM, are Safe Harbor QM loans, are rebuttable presumption QM loans or are NQM loans. The majority of the loans are underwritten to 12-24 month bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 747 and DTI of 34.26% which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 69.8%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.4%. These strong collateral attributes are referenced in its analysis This transaction has a Final PD of 40.97% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 45.16%. The expected loss in the 'AAAsf' rating stress is 18.09%. Structural Analysis (Mixed): ADMT 2026-NQM3 has a modified sequential structure with limited advancing of delinquent P&I. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, A-1FCF, A-1LCF, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in May 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2, and A-3 classes on and after May 2030. Specifically, on any distribution date occurring on or after the distribution date in May 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF, A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after May 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2, and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF on one hand and to the A-1A and A-1B on the other hand. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1A and A-1B share of losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a five basis point (bp) z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.60% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Mission Global LLC, Maxwell Diligence Solutions, LLC and Clarifii. The third-party due diligence described in Form 15E focused on credit, compliance and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Fitch applies a 5-bps z score reduction for each loan that receives a grade of 'A 'or 'B'. Based on the results of the 100% due diligence performed on the pool, and loans receiving a grade of 'A' or 'B', the overall expected losses were reduced. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC, Clarifii and Maxwell Diligence Solutions, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AIMCO CLO 2018-B: S&P Assigns BB- (sf) Rating on Class E-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt from AIMCO CLO Series 2018-B/AIMCO CLO Series 2018-B LLC, a CLO managed by Allstate Investment Management Co. that was originally rated by S&P in March 2024, when the transaction was reset. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, C-RR, D-1-FR, D-1-R, D-2-R, and E-R debt following payment in full on the April 16, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 16, 2027. -- The previous classes D-1-FR and D-1-R were combined to form the new class D-1-R3. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the new class E-R3 debt. However, we assigned a 'BB- (sf)' rating on the new class E-R3 debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $288.00 million: Three-month CME term SOFR + 1.20% -- Class B-R3, $54.00 million: Three-month CME term SOFR + 1.55% -- Class C-R3 (deferrable), $27.00 million: Three-month CME term SOFR + 1.75% -- Class D-1-R3 (deferrable), $24.75 million: Three-month CME term SOFR + 2.85% -- Class D-2-R3 (deferrable), $4.50 million: Three-month CME term SOFR + 4.40% -- Class E-R3 (deferrable), $15.75 million: Three-month CME term SOFR + 5.60% -- Subordinated notes (deferrable), $63.62 million: 0.000% Previous debt -- Class A-RR, $288.00 million: Three-month CME term SOFR + 1.50% -- Class B-RR, $54.00 million: Three-month CME term SOFR + 2.00% -- Class C-RR (deferrable), $27.00 million: Three-month CME term SOFR + 2.40% -- Class D-1-FR (deferrable), $9.75 million: 7.360% -- Class D-1-R (deferrable), $15.00 million: Three-month CME term SOFR + 3.40% -- Class D-2-R (deferrable), $4.50 million: Three-month CME term SOFR + 4.25% -- Class E-R (deferrable), $15.75 million: Three-month CME term SOFR + 6.30% -- Subordinated notes (deferrable), $63.62 million: S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AIMCO CLO Series 2018-B / AIMCO CLO Series 2018-B LLC Class A-R3, $288.00 million: AAA (sf) Class B-R3, $54.00 million: AA (sf) Class C-R3, $27.00 million: A (sf) Class D-1-R3, $24.75 million: BBB- (sf) Class D-2-R3, $4.50 million: BBB- (sf) Class E-R3, $15.75 million: BB- (sf) Ratings Withdrawn AIMCO CLO Series 2018-B / AIMCO CLO Series 2018-B LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-1-FR to NR from 'BBB (sf)' Class D-1-R to NR from 'BBB (sf)' Class D-2-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt AIMCO CLO Series 2018-B / AIMCO CLO, Series 2018-B LLC Subordinated notes, $63.62 million: NR NR--Not rated. AIMCO CLO 27: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 27, Ltd. Entity/Debt Rating Prior ----------- ------ ----- AIMCO CLO 27, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary AIMCO CLO 27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.39, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant, floored at six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-1, between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BBsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'BBB+sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 27, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ALESCO PREFERRED XVI: Moody's Ups Rating on $85.25MM C Notes to B3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by ALESCO Preferred Funding XVI, Ltd.: US$349,000,000 Class A First Priority Senior Secured Floating Rate Notes due 2038 (current balance of $161,409,764.84) (the "Class A Notes"), Upgraded to Aa1(sf); previously on November 18, 2024 Upgraded to Aa2 (sf) US$20,000,000 Class B Deferrable Second Priority Secured Fixed/Floating Rate Notes due 2038 (the "Class B Notes"), Upgraded to A1 (sf); previously on November 18, 2024 Upgraded to A2 (sf) US$85,250,000 Class C Deferrable Third Priority Mezzanine Secured Floating Rate Notes due 2038 (the "Class C Notes"), Upgraded to B3 (sf); previously on November 18, 2024 Upgraded to Caa1 (sf) ALESCO Preferred Funding XVI, Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A notes and an increase in the transaction's over-collateralization (OC) ratios since March 2025. The Class A notes have paid down by approximately 4% or $7 million since that time, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A, Class B and Class C notes have improved to 166.97%, 148.56% and 101.07%, respectively, from March 2025 levels of 162.77%, 145.52% and 100.23%. Additionally, the rating action is due to improvement in the credit quality of the underlying portfolio since March 2025. Based on Moody's calculations, the weighted average rating factor (WARF) has been improving and is currently 758. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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 (after treating deferring securities as performing if they meet certain criteria): $269,500,000 Defaulted/deferring par: $16,500,000 Weighted average default probability: 6.62% (implying a WARF of 758) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. ALLEGRO CLO VII: Moody's Cuts Rating on $20.4MM Cl. E Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Allegro CLO VII, Ltd.: US$20,400,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance $2,340,963.28), Downgraded to Caa2 (sf); previously on December 11, 2025 Affirmed B1 (sf) Allegro CLO VII, Ltd., originally issued in June 2018 and partially refinanced in June 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation. The downgrade action on Class E notes considers all principal payments made to the Class E notes since issuance and is based on Moody's expectations of the ultimate loss-given-default on the notes as a percent of their original principal balance. Moody's have been informed that in connection with a redemption of the Class E notes, the noteholders agreed to receive an amount less than the original redemption price. As of the last payment date in February 2026, around 88.5% of the original principal balance of Class E notes had been repaid to the noteholders, and no other material repayments are expected. Methodology Used for the Rating Action The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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. AMERICAN CREDIT 2026-2: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 63.02%, 56.95%, 45.31%, 36.46%, and 31.99% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of our expected cumulative net loss of 26.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2026-2 Class A, $338.36 million: AAA (sf) Class B, $59.61 million: AA (sf) Class C, $137.32 million: A (sf) Class D, $114.71 million: BBB (sf) Class E, $57.15 million: BB- (sf) ANCHORAGE CREDIT 20: Moody's Assigns Ba3 Rating to $37.2MM E Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of notes issued by Anchorage Credit Funding 20, Ltd. (the Issuer or Anchorage Credit Funding 20): US$227,200,000 Class A Senior Secured Fixed Rate Notes due 2042, Assigned Aaa (sf) US$35,200,000 Class B Senior Secured Fixed Rate Notes due 2042, Assigned Aa3 (sf) US$17,600,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2042, Assigned A3 (sf) US$18,800,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2042, Assigned Baa3 (sf) US$37,200,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2042, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CBO's portfolio and structure. Anchorage Credit Funding 20 is a managed cash flow CBO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of senior secured loans and senior secured notes and up to 15% of the portfolio may consist of second lien loans. The portfolio is approximately 45% ramped as of the closing date. Anchorage Collateral Management, L.L.C. (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 three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest 50% of unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2903 Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 36.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. APIDOS CLO LVI: Moody's Assigns B3 Rating to $550,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO LVI (the Issuer or Apidos CLO LVI): US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$550,000 Class F Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos CLO LVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 95% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued eight 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: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3046 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ARINI US V: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned 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. BARINGS CLO 2026-I: Moody's Assigns (P)B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued and one class of loans to be incurred by Barings CLO Ltd. 2026-I (the Issuer or Barings 2026-I): US$156,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$100,000,000 Class A-1L Loans maturing 2039, Assigned (P)Aaa (sf) US$200,000 Class F Secured Deferrable Junior Floating Rate Notes due 2039, Assigned (P)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. Barings 2026-I is a managed cash flow CLO. The issued notes and incurred loans will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Barings 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 will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt 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: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 2.8% Weighted Average Recovery Rate (WARR): 44% Weighted Average Life (WAL): 8 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. BATTALION CLO 31: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO 31 Ltd. Entity/Debt Rating ----------- ------ Battalion CLO 31 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating A-L LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Battalion CLO 31 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.56, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.02% 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'Asf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Battalion CLO 31 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. BAYVIEW OPPORTUNITY 2023-CAR2: Moody's Ups Class E Notes to Ba2 --------------------------------------------------------------- Moody's Ratings has upgraded five classes of notes issued by Bayview Opportunity Master Fund VII Trust 2024-CAR1F (BVABS) (BVABS 2024 CAR1F) and BVABS 2023-CAR2 (BOF URSA VII Funding Trust I). BVABS 2024-CAR1F is an auto loan ABS collateralized debt obligation (CDO) collateralized by four classes of previously issued notes (the underlying securities). The underlying securities consist of the Class C and Class D notes previously issued by BVABS 2023-CAR2 (BOF URSA VII Funding Trust I) and BVABS 2023-CAR3 (BOF VII AL Funding Trust I) (together, the underlying transactions). The underlying securities are primarily backed by motor vehicle retail installment loans and automobile secured retail installment sale contracts originated by US Bank National Association (A2, A1(cr), P-1) ("USB"), who is also the servicer for the transactions. The complete rating actions are as follows: Issuer: Bayview Opportunity Master Fund VII Trust 2024-CAR1F (BVABS) Class A Notes, Upgraded to Baa1 (sf); previously on Jan 26, 2024 Definitive Rating Assigned Baa2 (sf) Issuer: BVABS 2023-CAR2 (BOF URSA VII Funding Trust I) Class B Notes, Upgraded to Aaa (sf); previously on Apr 19, 2023 Definitive Rating Assigned Aa3 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Apr 19, 2023 Definitive Rating Assigned A3 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Apr 19, 2023 Definitive Rating Assigned Baa3 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Apr 19, 2023 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE For BVABS 2023-CAR2, the upgrades are primarily driven by the build up of credit enhancement after the three-month 30-day delinquency ratio breached the 3.00% trigger in September 2025, resulting in a mezzanine amortization event. This event shifted the subordinate note waterfall from pro rata to sequential, increasing credit enhancement available to the subordinate notes from build-up of subordination. If the mezzanine delinquency trigger is cured before the transaction reaches 5% pool factor, the waterfall would revert to pro rata principal payments for the subordinated notes, which could reduce a portion of the accumulated enhancement. Moody's believes that it is an unlikely event as the transactions three month 30-day delinquency has increased from 3.07% to 3.57% since the trigger was breached. In addition, the current pool factor is 13.39% and the waterfall will switch to fully sequential once the pool factor reaches 5%. For BVABS 2024-CAR1F, the upgrade action is primarily driven by the upgrades on the underlying securities. The transaction has negative excess spread, however, the structure permits principal collections to be applied toward interest payments and benefits from overcollateralization and a non-declining reserve account. While the mezzanine amortization event in BVABS 2023-CAR2 has resulted in a delay on principal collections from the underlying Class C and D notes, Moody's expects the available funds from CAR2 interest collections, together with principal and interest collections from the BVABS 2023-CAR3 underlying notes to be sufficient to cover interest payments on the notes. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. BVABS 2023-CAR2 (BOF URSA VII Funding Trust I): 1.00% No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGIES The principal methodologies used in rating Bayview Opportunity Master Fund VII Trust 2024-CAR1F (BVABS) were "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. The "Structured Finance CDOs" methodology allows the use of the "look-through approach" to the analytical framework and cash flow modeling of the underlying asset class when the underlying pool of assets is homogenous. Factors that would lead to an upgrade or downgrade of the ratings: Up For BVABS 2023-CAR2, levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's current expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. For BVABS 2024-CAR1F, Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. Given the linkage to the underlying securities, the noteholders are mainly exposed to the credit risks of the underlying securities. An upgrade of the underlying securities could trigger an upgrade on the notes. Down For BVABS 2023-CAR2, levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's current expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. For BVABS 2024-CAR1F, Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Given the linkage to the underlying securities, the noteholders are mainly exposed to the credit risks of the underlying securities. A downgrade of the underlying securities could trigger a downgrade on the notes. BELMONT PARK: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, and C-R debt from Belmont Park CLO Ltd./Belmont Park CLO LLC, a CLO managed by Blackstone Liquid Credit Strategies LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, and C debt following payment in full on the April 15, 2026, refinancing date. S&P also affirmed its ratings on the class D and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 15, 2027. -- The stated maturity and reinvestment period remains unchanged. --No additional assets were purchased on the April 15, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is July 15, 2026. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $240.00 million: Three-month CME term SOFR + 1.28% -- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.50% -- Class B-R, $56.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 3.60% -- Class E (deferrable), $15.40 million: Three-month CME term SOFR + 6.75% Previous debt -- Class A-1, $240.00 million: Three-month CME term SOFR + 1.50% -- Class A-2, $8.00 million: Three-month CME term SOFR + 1.67% -- Class B, $56.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.40% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 3.60% -- Class E (deferrable), $15.40 million: Three-month CME term SOFR + 6.75% 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 demonstrated, in our view, that all but the E class of debt, have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis, as well as the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Belmont Park CLO, Ltd. / Belmont Park CLO LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Ratings Withdrawn Belmont Park CLO, Ltd. / Belmont Park CLO LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Belmont Park CLO, Ltd. / Belmont Park CLO LLC Class D: BBB- (sf) Class E: BB- (sf) Other Debt Belmont Park CLO, Ltd. / Belmont Park CLO LLC Subordinated notes, $44.90 million: NR NR--Not rated. BENCHMARK 2018-B1: S&P Lowers Class X-B Certs Rating to 'BB+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Benchmark 2018-B1 Mortgage Trust, a U.S. CMBS conduit transaction. At the same time, S&P affirmed its ratings on three other classes from the transaction. Rating Actions The downgrades on the class A-M, B, and C certificates and the affirmation ratings on the class A-4, A-5, and A-SB certificates primarily reflect: -- S&P's increased loss assumptions on 90 Hudson ($70.0 million; 9.0% of the total pooled trust balance) and 1114-1126 Lake Street ($11.0 million; 1.4%), which are two specially serviced loans with updated appraisal values that reflect further valuation decline; and -- S&P's lowered net cash flow (NCF) and value for Metro Center V ($12.2 million; 1.6%) due to servicer reported decline in performance at the property securing the loan. -- The downgrade of class C certificates to 'CCC (sf)' from 'B- (sf)' further reflects our qualitative consideration that its repayment is dependent on favorable business, financial, and economic conditions and that the class is vulnerable to default. The downgrades on the class X-A and X-B interest-only (IO) certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A certificates references classes A-1, A-2, A-3, which have since been repaid in full, and classes A-4, A-5, A-SB, and A-M. The notional amount of the class X-B certificates references the class B certificates. S&P said, "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans with reported or expected declines in performance and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine necessary." Portfolio-Level Analysis Update S&P said, "Since our last review in October 2025, we revised our S&P Global Ratings' NCF and expected-case values on the collateral property securing one loan, Metro Center V, due to reported declines in performance at the property securing the loan. We also updated our loss assumptions on two of the five specially serviced loans based on updated appraisal values." 90 Hudson ($70.0 million; 9.0% of the total pooled trust balance) The trust loan represents a pari passu portion within a larger whole loan. As of the March 2026 trustee remittance report, the trust balance is $70.0 million and the whole loan balance is $130.0 million, the same as at issuance. The loan, which is 60-days delinquent in its debt service payments, transferred to special servicing in July 2025 due to imminent default. The property's largest tenant, Lord Abbett, with 261,350 sq. ft.; 60.5% of net rentable area, did not renew its lease at expiration in December 2024. Given the loss of Lord Abbett as a tenant, occupancy at the property has fallen to approximately 38.0% and the property may begin to incur operating shortfalls, which the borrower is unwilling to fund. An updated appraisal indicates the property value to be $54.0 million, down from $216.0 million at issuance, and below the S&P Global Ratings' expected-case value of $89.2 million since our last review. The special servicer's commentary indicates that foreclosure has been filed and a receiver was appointed. The reserve balance is $4.1 million, down from approximately $7.0 million during S&P's last review due to reserve funds being used to pay previously delinquent debt service payments. A $41.5 million appraisal reduction amount is in effect against the trust loan. S&P said, "In our current analysis, we arrived at our near-term loss expectation on the loan based on the September 2025 appraisal value of $54.0 million reported by the servicer, which is 75.0% below the issuance appraisal value of $216.0 million. Based on our revised expected-case value, we expect a significant loss (greater than 60.0%) upon the eventual resolution of the loan." 1114-1126 Lake Street ($11.0 million; 1.4%) The loan transferred to special servicing in June 2020 due to payment default and the property became real estate-owned (REO) in July 2024. A $4.4 million appraisal reduction amount is in effect against the asset. The special servicer anticipates stabilizing the property's operations before marketing it for sale. According to a recent special servicer's commentary, a potential lease may be executed with Xfinity for 3,516 sq. ft. and discussions with other potential tenants are ongoing. The property also requires a replacement of its cooling tower, which is anticipated to cost $160,000. According to the servicer report, there does not appear to be any reserve funds held by the servicer. The property has had several updated appraisals, with the most recent appraisal value of $9.0 million as of October 2025, down marginally from the $10.0 million appraisal value as of February 2025, but significantly below the $19.9 million appraisal at issuance. S&P said, "In our current analysis, we arrived at our near-term loss expectation on the asset based on the latest appraisal value of $9.0 million reported by the servicer, which would indicate a moderate loss (between 26.0% and 59.0%) upon the eventual resolution of the asset." S&P said, "For the remaining specially serviced assets, we will continue to monitor the resolution strategies, For Valencia Town Center ($51.3 million; 6.6% of the total pooled trust balance), the borrower is working with the special servicer and the ground lessor (property is subject to a ground lease expiring in April 2115) for a forbearance before selling the property to repay the loan. The Worldwide Plaza loan ($50.0 million; 6.5%) transferred to special servicing in September 2024 and resolution strategies remain ongoing with discussions between the borrower, the mezzanine lender, and the special servicer. The borrower for the Starwood Capital Group Hotel Portfolio ($11.9 million; 1.5%), has entered into a loan modification, and the borrower is currently performing under the terms of the modification and selling underperforming properties securing the loan." Metro Center V ($12.2 million; 1.6%) The loan is currently on the master servicer's watchlist due to a low reported debt service coverage (DSC) of 0.93x. The loan is secured by a 215,571 sq. ft. office property located in Dublin, Ohio. Servicer-reported performance at the property has declined since issuance with a year-end 2025 occupancy rate of 79.0%, down from 92.0% at issuance. Reported cash flow has also declined to $727,000 as of year-end 2025 from $1.5 million at issuance. The cash flow was $812,000 and $762,000 for 2024 and 2023, respectively. S&P said, "In our current analysis, given the multiple years of cash flow that remain significantly below issuance, we lowered our NCF to $985,472 and maintained our 9.50% capitalization rate. This resulted in an S&P Global Ratings' expected case value of $10.4 million, which is 20.8% lower than our $13.1 million value at last review and 46.0% lower than the $19.2 million appraisal value at issuance. Based on our analysis, our S&P Global Ratings' asset quality score is 2.0 and our S&P Global Ratings' income stability score is 2.5." Transaction Summary As of the March 2026 trustee remittance report, the collateral pool balance was $773.9 million, which is 66.4% of the pool balance at issuance. The pool currently includes 35 loans and one REO asset, down from 49 loans at issuance. Five of these assets ($194.2 million; 25.1% of the total pooled trust balance) are with the special servicer, three ($65.2 million; 8.4%) are defeased, and seven ($104.0 million; 13.4%) are on the master servicer's watchlist. S&P said, "Excluding two of the five specially serviced assets for which we have estimated near-term losses, and adjusting the servicer reported numbers, we calculated an S&P Global Ratings' weighted average DSC of 1.58x and an S&P Global Ratings' weighted average loan-to-value ratio of 106.1% using an S&P Global Ratings' weighted average capitalization rate of 8.42%. Our weighted average asset quality score is 3.04 and our weighted average income stability score is 2.39 for the pool. "To date, the transaction has experienced $24.3 million in principal losses, or 2.1% of the original pool trust balance. We expect losses to reach approximately 6.3% of the original pooled trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of two of the five specially serviced assets." Ratings Lowered Benchmark 2018-B1 Mortgage Trust Class A-M to 'A (sf)' from 'AA- (sf)' Class B to 'BB+ (sf)' from 'BBB (sf)' Class C to 'CCC (sf)' from 'B- (sf)' Class X-A to 'A (sf)' from 'AA- (sf)' Class X-B to 'BB+ (sf)' from 'BBB (sf)' Ratings Affirmed Benchmark 2018-B1 Mortgage Trust Class A-4: AAA (sf) Class A-5: AAA (sf) Class A-SB: AAA (sf) BINOM MORTGAGE 2026-NQM1: S&P Assigns (P) B(sf) Rating on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BINOM Mortgage Loan Trust 2026-NQM1'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 (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, and two- to four-family residential properties. The pool has 670 loans backed by 670 properties, which are QM/safe harbor (APOR), non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of April 14, 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, Binomial Real Estate LLC, and any S&P Global Ratings reviewed originator; -- 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, and is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned BINOM Mortgage Loan Trust 2026-NQM1 Class A-1A, $101,614,000: AAA (sf) Class A-1B, $15,467,000: AAA (sf) Class A-1, $117,081,000: AAA (sf) Class A-1FCF, $87,812,000: AAA (sf) Class A-1LCF, $29,270,000: AAA (sf) Class A-2, $17,632,000: AA (sf) Class A-3, $27,066,000: A (sf) Class M-1, $11,600,000: BBB (sf) Class B-1A, $3,403,000: BB+ (sf) Class B-1B, $4,640,000: BB (sf) Class B-2, $6,496,000: B (sf) Class B-3, $4,331,062: Not rated Class XS, Notional(ii): Not rated Class A-IO-S, Notional(ii): Not rated Class R, Not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. BOS TRUST 2026-LYRK: S&P Assigns (P) BB-(sf) Rating on HRR Certs ---------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings to BOS Trust 2026-LYRK's commercial mortgage pass-through certificates series 2026-LYRK. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan secured primarily by a first-priority mortgage lien on each borrower's leasehold interest in a 495,275 sq. ft., 20-story, LEED Gold–certified class A office tower located in Boston. The preliminary ratings are based on information as of April 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 92.8%, based on S&P Global Ratings' value of the property backing the transaction." Preliminary Ratings Assigned BOS Trust 2026-LYRK Class A, $193,950,000(i): AAA (sf) Class B, $51,590,000(i): AA- (sf) Class C, $38,790,000(i): A- (sf) Class D, $42,280,000(i): BBB- (sf) Class E, $15,390,000(i): BB+ (sf) Class HRR(ii), $18,000,000(i): BB- (sf) (i)The certificate balances are approximate, subject to a variance of plus or minus 5%. (ii)Horizontal risk retention certificates. BRAVO RESIDENTIAL 2026-NQM4: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 1,040 loans, backed by 1,040 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. S&P said, "After we assigned preliminary ratings on April 8, 2026, the Issuer dropped two loans. We ran the updated tape and affirmed previously provided LC feedback. The Issuer resized the bonds proportionally, and we ran the updated structure. The resized bonds did not change the credit enhancement on the transaction. The Issuer resized the class A bonds at pricing, with the credit enhancement remaining the same. After analyzing the final coupons and the updated structure, we assigned ratings to the classes which remain unchanged from the preliminary ratings." The ratings reflect: -- 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." Ratings Assigned(i) BRAVO Residential Funding Trust 2026-NQM4 Class A-1FCF, $30,000,000: AAA (sf) Class A-1LCF, $10,000,000: AAA (sf) Class A-1A, $276,618,000: AAA (sf) Class A-1B, $43,769,000: AAA (sf) Class A-1, $320,387,000: AAA (sf) Class A-2, $38,648,000: AA (sf) Class A-3, $31,509,000: A+ (sf) Class M-1, $32,740,000: BBB- (sf) Class B-1, $13,540,000: BB- (sf) Class B-2, $7,385,000: B (sf) Class B-3, $8,123,555: NR Class SA, $65,579(ii): NR Class FB, $3,397(iii): NR Class AIOS, notional(iv): NR Class 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. BREAN ASSET 2025-RM15: DBRS Gives (P)Bsf Rating on Cl. M5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RM15 (the Notes) to be issued by Brean Asset Backed Securities Trust 2026-RM15 (the Issuer) as follows: -- $201.0 million Class A1 at (P) AAA (sf) -- $35.0 million Class A2 at (P) AAA (sf) -- $236.0 million Class AM at (P) AAA (sf) -- $5.0 million Class M1 at (P) AA (sf) -- $3.9 million Class M2 at (P) A (sf) -- $6.1 million Class M3 at (P) BBB (sf) -- $3.3 million Class M4 at (P) BB (sf) -- $4.6 million Class M5 at (P) B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The (P) AAA (sf) credit ratings reflect 111.9% of cumulative advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 114.3%, 116.2%, 119.1%, 120.6%, and 122.8% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize 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) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds the property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of the April 1, 2026, cut-off date, the collateral has approximately $210.83 million in current unpaid principal balance (UPB) from 583 performing, one called due (because of death), and one defaulted (because of taxes) fixed- and adjustable-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, multifamily (two- to four-family) properties, co-operatives, and townhomes. All loans in this pool were originated in 2025 and 2026, with loan ages ranging from one month to six months. Of the 585 loans, 567 (95.58% of the UPB) are fixed-rate loans with a weighted-average (WA) mortgage interest rate of 8.880%, and 18 (4.42%) are adjustable-rate mortgages with a WA mortgage interest rate of 9.475%, bringing the total pool WA mortgage interest rate to 8.906%. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 notes (collectively, the Class A notes) will reduce to 0.25% if the home price percentage (as measured using the S&P Cotality Case-Shiller U.S. National Home Price NSA Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the Issuer on the Expected Repayment Date in April 2031, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from the auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If, on any payment date, the average one-month conditional prepayment rate over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. 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 Note Amount and Interest Accrual Amounts. 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. BRIDGECREST LENDING 2026-2: S&P Assigns (P) 'BB' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bridgecrest Lending Auto Securitization Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 13, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 62.52%, 57.32%, 48.63%, 38.91%, and 34.19% credit support (hard credit enhancement and a haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss (ECNL) of 27.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x our expected loss level), all else being equal, S&P's preliminary 'A-1+ (sf)'/'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned(i) Bridgecrest Lending Auto Securitization Trust 2026-2 Class A-1, $72.00 million ($82.00 million if upsized): A-1+ (sf) Class A-2, $106.71 million ($123.34 million if upsized): AAA (sf) Class A-3, $106.71 million ($123.34 million if upsized): AAA (sf) Class B, $57.41 million ($66.11 million if upsized): AA (sf) Class C, $74.24 million ($85.49 million if upsized): A (sf) Class D, $87.11 million ($100.31 million if upsized): BBB (sf) Class E, $53.47 million ($61.55 million if upsized): BB (sf) (i)The interest rate and base or upsize amount for each class will be determined on the pricing date. CHASE HOME 2026-4: DBRS Gives (P)B(low) Rating to Cl. B-5 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-4 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-4: -- $468.3 million Class A-1 at (P) AAA (sf) -- $420.6 million Class A-2 at (P) AAA (sf) -- $336.4 million Class A-3 at (P) AAA (sf) -- $336.4 million Class A-3-A at (P) AAA (sf) -- $336.4 million Class A-3-B at (P) AAA (sf) -- $336.4 million Class A-3-X1 at (P) AAA (sf) -- $336.4 million Class A-3-X2 at (P) AAA (sf) -- $336.4 million Class A-3-X3 at (P) AAA (sf) -- $252.3 million Class A-4 at (P) AAA (sf) -- $252.3 million Class A-4-A at (P) AAA (sf) -- $252.3 million Class A-4-B at (P) AAA (sf) -- $252.3 million Class A-4-X1 at (P) AAA (sf) -- $252.3 million Class A-4-X2 at (P) AAA (sf) -- $252.3 million Class A-4-X3 at (P) AAA (sf) -- $84.1 million Class A-5 at (P) AAA (sf) -- $84.1 million Class A-5-A at (P) AAA (sf) -- $84.1 million Class A-5-B at (P) AAA (sf) -- $84.1 million Class A-5-X1 at (P) AAA (sf) -- $84.1 million Class A-5-X2 at (P) AAA (sf) -- $84.1 million Class A-5-X3 at (P) AAA (sf) -- $201.9 million Class A-6 at (P) AAA (sf) -- $201.9 million Class A-6-A at (P) AAA (sf) -- $201.9 million Class A-6-B at (P) AAA (sf) -- $201.9 million Class A-6-X1 at (P) AAA (sf) -- $201.9 million Class A-6-X2 at (P) AAA (sf) -- $201.9 million Class A-6-X3 at (P) AAA (sf) -- $134.6 million Class A-7 at (P) AAA (sf) -- $134.6 million Class A-7-A at (P) AAA (sf) -- $134.6 million Class A-7-B at (P) AAA (sf) -- $134.6 million Class A-7-X1 at (P) AAA (sf) -- $134.6 million Class A-7-X2 at (P) AAA (sf) -- $134.6 million Class A-7-X3 at (P) AAA (sf) -- $50.5 million Class A-8 at (P) AAA (sf) -- $50.5 million Class A-8-A at (P) AAA (sf) -- $50.5 million Class A-8-B at (P) AAA (sf) -- $50.5 million Class A-8-X1 at (P) AAA (sf) -- $50.5 million Class A-8-X2 at (P) AAA (sf) -- $50.5 million Class A-8-X3 at (P) AAA (sf) -- $47.7 million Class A-9 at (P) AAA (sf) -- $47.7 million Class A-9-A at (P) AAA (sf) -- $47.7 million Class A-9-B at (P) AAA (sf) -- $47.7 million Class A-9-X1 at (P) AAA (sf) -- $47.7 million Class A-9-X2 at (P) AAA (sf) -- $47.7 million Class A-9-X3 at (P) AAA (sf) -- $134.6 million Class A-10 at (P) AAA (sf) -- $134.6 million Class A-10-A at (P) AAA (sf) -- $134.6 million Class A-10-B at (P) AAA (sf) -- $134.6 million Class A-10-X1 at (P) AAA (sf) -- $134.6 million Class A-10-X2 at (P) AAA (sf) -- $134.6 million Class A-10-X3 at (P) AAA (sf) -- $84.1 million Class A-11 at (P) AAA (sf) -- $84.1 million Class A-11-X at (P) AAA (sf) -- $84.1 million Class A-12 at (P) AAA (sf) -- $84.1 million Class A-13 at (P) AAA (sf) -- $84.1 million Class A-13-X at (P) AAA (sf) -- $84.1 million Class A-14 at (P) AAA (sf) -- $84.1 million Class A-14-X at (P) AAA (sf) -- $84.1 million Class A-14-X2 at (P) AAA (sf) -- $84.1 million Class A-14-X3 at (P) AAA (sf) -- $84.1 million Class A-14-X4 at (P) AAA (sf) -- $67.3 million Class A-15 at (P) AAA (sf) -- $67.3 million Class A-15-A at (P) AAA (sf) -- $67.3 million Class A-15-B at (P) AAA (sf) -- $67.3 million Class A-15-X1 at (P) AAA (sf) -- $67.3 million Class A-15-X2 at (P) AAA (sf) -- $67.3 million Class A-15-X3 at (P) AAA (sf) -- $67.3 million Class A-16 at (P) AAA (sf) -- $67.3 million Class A-16-A at (P) AAA (sf) -- $67.3 million Class A-16-B at (P) AAA (sf) -- $67.3 million Class A-16-X1 at (P) AAA (sf) -- $67.3 million Class A-16-X2 at (P) AAA (sf) -- $67.3 million Class A-16-X3 at (P) AAA (sf) -- $67.3 million Class A-17 at (P) AAA (sf) -- $67.3 million Class A-17-A at (P) AAA (sf) -- $67.3 million Class A-17-B at (P) AAA (sf) -- $67.3 million Class A-17-X1 at (P) AAA (sf) -- $67.3 million Class A-17-X2 at (P) AAA (sf) -- $67.3 million Class A-17-X3 at (P) AAA (sf) -- $117.8 million Class A-18 at (P) AAA (sf) -- $117.8 million Class A-18-A at (P) AAA (sf) -- $117.8 million Class A-18-B at (P) AAA (sf) -- $117.8 million Class A-18-X1 at (P) AAA (sf) -- $117.8 million Class A-18-X2 at (P) AAA (sf) -- $117.8 million Class A-18-X3 at (P) AAA (sf) -- $468.3 million Class A-X-1 at (P) AAA (sf) -- $9.6 million Class B-1 at (P) AA (low) (sf) -- $9.6 million Class B-1-A at (P) AA (low) (sf) -- $9.6 million Class B-1-X at (P) AA (low) (sf) -- $6.4 million Class B-2 at (P) A (low) (sf) -- $6.4 million Class B-2-A at (P) A (low) (sf) -- $6.4 million Class B-2-X at (P) A (low) (sf) -- $5.2 million Class B-3 at (P) BBB (low) (sf) -- $3.0 million Class B-4 at (P) BB (low) (sf) -- $989.5 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.35% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.40%, 2.10%, 1.05%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 428 loans with a total principal balance of $520,815,382 as of the Cut-Off Date (April 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 four months. They are traditional, prime jumbo mortgage loans. Approximately 62.9% 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. CHEVY CHASE 2006-4: Moody's Lowers Rating on 2 Tranches to Caa3 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings of two bonds issued by Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-4. The collateral backing this deal consists of option ARM mortgages. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-4 Cl. A-2, Downgraded to Caa3 (sf); previously on Jun 12, 2025 Upgraded to Caa1 (sf) Cl. A-2I, Downgraded to Caa3 (sf); previously on Jun 12, 2025 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectations for the affected bonds. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percentage of the original bond balance. No actions were taken on the other rated classes in this deal because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIFC FUNDING 2017-I: Fitch Affirms BB-sf Rating on Class E-RR Notes ------------------------------------------------------------------- Fitch Ratings has affirmed all 12 tranches of CIFC Funding 2014-II-R, Ltd. (CIFC 2014-II-R) and CIFC Funding 2017-I, Ltd. (CIFC 2017-I). The Rating Outlooks on the class E-R and F-R notes of CIFC 2014-II-R, and class E-RR notes of CIFC 2017-I have been revised to Negative from Stable. The Outlooks are Stable for all other rated tranches. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2017-I, Ltd. - Reset A-RR 17181PAC3 LT AAAsf Affirmed AAAsf B-RR 17181PAE9 LT AAsf Affirmed AAsf C-RR 17181PAG4 LT Asf Affirmed Asf D-RR 17181PAJ8 LT BBB-sf Affirmed BBB-sf E-RR 17181QAA5 LT BB-sf Affirmed BB-sf CIFC Funding 2014-II-R, Ltd. B-R 12548RAK0 LT AAsf Affirmed AAsf C-R 12548RAM6 LT Asf Affirmed Asf D-1-R 12548RAP9 LT BBBsf Affirmed BBBsf D-2A-R 12548RAR5 LT BBB-sf Affirmed BBB-sf D-2B-R 12548RAT1 LT BBB-sf Affirmed BBB-sf E-R 12551FAE4 LT BB-sf Affirmed BB-sf F-R 12551FAG9 LT B-sf Affirmed B-sf Transaction Summary CIFC 2014-II-R and CIFC 2017-I are broadly syndicated collateralized loan obligations (CLOs) managed by CIFC Asset Management LLC and its affiliate CIFC CLO Management LLC, respectively. CIFC 2014-II-R originally closed in May 2018, and last reset in September 2024, while CIFC 2017-I originally closed in March 2017 and was last reset in February 2024. Both CLOs will exit their reinvestment periods in 2029 and are secured primarily by first lien senior secured leveraged loans. KEY RATING DRIVERS Cumulative Par Losses and Declining Spread The Negative Outlooks are driven by cumulative portfolio par losses of 1.8% and 0.8% for CIFC 2014-II-R and CIFC 2017-I, respectively, based on the collateral balance adjusted for trustee-reported recoveries on defaulted assets in March 2026. Portfolio losses stemmed from credit risk sales, reducing credit enhancement (CE) and eroding breakeven default rate (BEDR) cushions for the rated notes. The weighted average spread (WAS) declined, further straining BEDR cushions and collateral quality tests. Based on the latest March 2026 trustee reports, portfolio WAS declined to 3.07% from 3.35% at the review in June 2025 for CIFC 2014-II-R, and to 3.16% from 3.36% at the last review in September 2025 for CIFC 2017-I. Both transactions are passing their collateral quality tests, except for their Fitch weighted average recovery rate (WARR) tests, which must be maintained or improved for continued reinvestment. The transactions' average 3.6% in bond exposure, which carry lower recovery values than senior secured loans. Fitch calculated portfolio WARR levels of 71.9% for both transactions, below the covenanted levels of 77.0% and 79.9% for CIFC 2014-II-R and CIFC 2017-I, respectively. Updated Cash Flow Analysis Fitch updated its cash flow analysis of the current portfolios and ran updated Fitch Stressed Portfolio analysis, given the manager's ability to reinvest. The affirmations are in line with their model-implied ratings (MIRs), except for the class E-R notes in CIFC 2014-II-R and class E-RR notes in CIFC 2017-I, whose ratings are one notch above their MIRs. The failures for these two notes were modest and limited to a single scenario for the class E-RR notes in CIFC 2017-I and in back-loaded default timing scenarios for the class E-R notes in CIFC 2014-II-R. Although the class F-R notes in CIFC 2014-II-R continue to pass at its current rating level, Fitch revised the Rating Outlook to Negative on the class due to the limited cushions remaining and its junior position relative to the class E-R notes. The Stable Outlooks of all other rated tranches reflect Fitch's expectation that the notes have sufficient credit protection to withstand potential deterioration in the credit quality of the portfolios under stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to four notches for both CIFC 2014-II-R and CIFC 2017-I, based on their corresponding MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to five notches, for both CIFC 2014-II-R and CIFC 2017-I, based on their corresponding MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC 2014-II-R or CIFC 2017-I. 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. CITIGROUP 2015-GC35: Fitch Lowers Rating on 2 Tranches to 'Csf' --------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed six classes of Citigroup Commercial Mortgage Trust 2015-GC35 commercial mortgage pass-through certificates (CGCMT 2015-GC35). The Rating Outlooks are Negative for five of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-GC35 A-4 17324KAP3 LT AAAsf Affirmed AAAsf A-S 17324KAR9 LT BBBsf Affirmed BBBsf B 17324KAS7 LT BBsf Affirmed BBsf C 17324KAT5 LT CCCsf Downgrade Bsf D 17324KAU2 LT CCsf Downgrade CCCsf E 17324KAA6 LT Csf Downgrade CCsf F 17324KAC2 LT Csf Affirmed Csf PEZ 17324KAY4 LT CCCsf Downgrade Bsf X-A 17324KAV0 LT BBBsf Affirmed BBBsf X-B 17324KAW8 LT BBsf Affirmed BBsf X-D 17324KAX6 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Higher Certainty of Loss: Since Fitch's prior rating action, deal-level 'Bsf' rating case loss has increased from 13.9% of the outstanding transaction balance as of April 2025 to 40.2% as a result of lower valuations on the remaining assets. Based on the original balance and including losses to date, deal-level 'Bsf' rating case loss has increased to 15.5% from 11.9%. All nine remaining loans in the pool are Fitch Loans of Concern (FLOCs; 100% of the pool), including eight (85.2%) in special servicing. Other than South Plains Mall (24.6% of the pool, loan maturity extended to November 2029) and Doubletree Jersey City (14.8%; extended to October 2027), all other loans in the pool are past their scheduled maturity dates. Due to the concentrated nature of the pool 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 the majority of remaining loans as they were all unable to payoff at their originally scheduled maturity dates. The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by Paramus Park (29.5%), and Illinois Center (13.6%), as well as continued high loss expectations for 750 Lexington Avenue (10.6%), and South Plains Mall (24.6%). Loss expectations for these four FLOCs account for approximately 93% of overall pool loss expectations. Class H (non-rated) has realized $7.5 million in losses, largely stemming from the $4.1 million in non-recoverable interest clawed back on 750 Lexington Avenue and $2.3 million on Illinois Center, impacting credit support at the bottom of the capital stack. The Negative Outlooks reflect the potential for further downgrades given the uncertainty with the ultimate recovery of the remaining specially serviced loans, the potential for further declines in value and prolonged workout timelines. The Negative Outlook on class A-4 also reflects the potential for interest shortfalls due to the concentration of non-performing loans and the possibility of future reduced servicer advancing if no performing loans remain and interest payments to this class are impacted. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest contributor and largest increase in overall loss expectations since the prior rating action is the Paramus Park loan, secured by a 302,283-sf portion of a 761,340-sf regional mall located in Paramus, NJ. The loan transferred to special servicing in September 2025, as the loan failed to repay upon its September 2025 loan maturity. The loan is paid through January 2026 and is categorized as in foreclosure, although according to the servicer comments, discussions with the borrower are ongoing. The mall is located in a high-density, heavily retailed market with three other malls (Westfield Garden State Plaza, Bergen Town Center, and The Shops at Riverside) within a four-mile radius. At issuance, the property was the worst performing of the four malls based on inline sales as of issuance. A portion of the non-collateral property, which houses Stew Leonards (approximately 100,000-sf for the former Sears box) sold in May 2025 for $38 million ($210 psf). The property was 67% occupied. Macy's is the primary non-collateral anchor. Collateral occupancy as of the September 2025 rent roll was 86.9%, compared to 79.4% in May 2024, 84% in March 2023, 89% at YE 2022, 82% at YE 2021, and 73% at YE 2020. The September 2025 rent roll shows 16 leases totaling 20.1% of NRA are scheduled to expire 2026, and 11 leases totaling 12.2% in 2027. Comparable in-line tenant sales for tenants under 10,000 sf was $414 psf as of TTM June 2024, after declining to $233 psf in 2020, and is slightly below $429 psf in 2019. Updated sales data has not been provided. Fitch's 'Bsf' rating case loss of 49.5% (prior to concentration add-ons) considers the most recent appraisal value reflecting a value of $203 psf. The expected loss also reflects a high probability of default as the loan is in special servicing and delinquent. Given the infill location, expected recoveries may improve if a viable workout is determined. The second-largest contributor and second-largest increase in overall loss expectations since the prior rating action is the Illinois Center loan, secured by two adjoining 32-story office towers totaling 2.1 million sf in the East Loop submarket of the Chicago CBD. The loan transferred to special servicing in April 2024 for payment default and failed to repay at its scheduled August 2025 maturity date. According to the March 2026 reporting, the loan was last paid in May 2024. Combined occupancy of the two office towers dropped to 34.4% as of the June 2025 rent roll, compared to 36.7% in December 2024, and 47.8% in December 2023. The 111 East Wacker building was 51.7% occupied and the 233 North Michigan building was 17.5% occupied. The Department of Health and Human Services, which previously occupied 8.1% of NRA, vacated in November 2023, and Bankers Life and Casualty, formerly occupying 6.5% of NRA, vacated in August 2023. Several smaller tenants have left following the expiration of their leases. Notably, iHeartMedia + Entertainment reduced its space to 1.4% from 4.6% of NRA, with the lease extending through August 2034. The largest tenants are Taft Stettinius & Hollister (5.1% of NRA through August 2034) and AmTrust (3.3%; June 2026). Upcoming rollover per the June 2025 rent roll includes 9.6% of the NRA rolling in 2026 and 0.3% in 2027. The servicer-reported NOI DSCR was 0.24x at YE 2025, compared to 3Q24 at 1.11x, 1.41x at YE 2023, 1.14x at YE 2022, 1.15x at YE 2021, 1.61x at YE 2020, and 2.19x at YE 2019. The Fitch 'Bsf' rating case loss (prior to concentration add-ons) is 67.3% reflecting an updated Fitch stressed value of approximately $41 psf. The elevated losses reflect prolonged underperformance and significant required capital expenditure to re-tenant the buildings. The Negative Outlooks consider the potential for expected recoveries to decline as a result of further value degradation and a prolonged workout. The third-largest contributor to overall loss expectations is the 750 Lexington Avenue loan, secured by the leasehold interest in a 361,443-sf office property with ground floor retail located in Manhattan's Plaza District. The loan transferred to special servicing in October 2023 for delinquent payments. The loan failed to repay upon its scheduled October 2025 maturity date. The foreclosure sale was completed in January 2026, and the asset is now REO. The property's largest tenants include WeWork (21.6% of NRA leased through February 2029), The Invus Group (5.9%; January 2026 - appears to remain at subject per online searches, although updated lease terms have not been provided), Stemline Therapeutics, Inc. (4.5%; May 2028) and Odeon Capital Group, LLC (3.9%; May 2029). Sephora is the largest retail tenant (1.8%; recently extended by 12 years through January 2037). A 7,676-sf portion of the 24,602-sf land parcel is subject to a ground lease until Dec. 31, 2077. The ground rent expense recently increased to $6.4 million, as part of a scheduled rent reset based on 110% of the prior year's rent or 9% of the land value. The ground rent expense increases again in 2030. The WeWork lease was executed to consist of two portions, both at below-market rents and expiring in March 2035, with the tenant receiving a total of 32 months of free rent spread over its lease term. The first portion of the lease (82,500 sf; 21.6% of NRA) commenced in March 2018 at rents of $65 psf, which helped to drive occupancy up to 89.2% in June 2018 from 66% in June 2017. The second portion of the lease, which includes an additional 30,775 sf (8.6% of NRA) on the 10th and 11th floors, was expected to commence in February 2020; these remain vacant. Per the December 2024 rent roll, WeWork is now paying $42 psf, compared to itsr previous rate of $70 psf, which reduces the overall income at the property by approximately $2.3 million annually. As of the June 2025 rent roll, the property was 73.1% occupied, compared to 69% at YE 2024, and 68% in 2Q23. The servicer-reported YE 2024 NOI DSCR was 0.06x, compared to 0.45x at YE 2024, 0.66x at YE 2022, 1.15x at YE 2021, and 2.26x at YE 2020. The loan began amortizing in November 2020. $4,132,109 of advances clawed back by the master servicer in October 2025. Fitch's 'Bsf' rating case loss of 73.0% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of $92 psf. Increased CE: As of the March 2026 distribution date, the pool's aggregate balance has been reduced by 63.2% to $406.7 million from $1.16 billion at issuance. Two loans comprising 39.3% of the pool, South Plains Mall and Doubletree New Jersey, have modified maturity dates in 2029 and 2027, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated class with a Negative Outlook 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 or are expected to occur; - Downgrades in the 'BBBsf', and 'BBsf' rated categories are likely with continued performance deterioration and value declines of the FLOCs, particularly Paramus Park, Illinois Center, 750 Lexington Avenue, and South Plains Mall. Prolonged disposition timelines may also contribute to further downgrades. - Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'BBBsf' and 'BBsf' category rated classes are possible with significantly improved recovery expectations but would be limited based recovery timelines. Classes would not be upgraded above 'AA+sf' if there is likelihood of interest shortfalls; - Upgrades to the 'CCCsf', 'CCsf' and 'Csf' category 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. COLT 2026-3: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by COLT 2026-3 Mortgage Loan Trust (COLT 2026-3). Entity/Debt Rating ----------- ------ COLT 2026-3 A1FCF LT AAA(EXP)sf Expected Rating A1FCX LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 644 nonprime loans with a total balance of approximately $339.4 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 741 and 32.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 70.3% mark-to-market combined LTV (cLTV). Overall, 37.3% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 99.1% of the loans are clean and current. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-3 has a final probability of default (PD) of 47.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.5%. The expected loss in the 'AAAsf' rating stress is 20.3%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-3 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/ A-1LCF (sequentially), A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects COLT 2026-3 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to COLT 2026-3; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Consolidated Analytics, Digital Risk, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and 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. CSAIL 2015-C1: DBRS Confirms Csf Rating on 4 Tranches ----------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C1 issued by CSAIL 2015-C1 Commercial Mortgage Trust as follows: -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-B at AA (sf) -- Class X-D at CCC (sf) -- Class X-E at C (sf) -- Class X-F at C (sf) The trend on Class C is Negative. Classes D, E, F, X-D, X-E, and X-F have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating confirmations reflect Morningstar DBRS' updated recoverability analysis of the six remaining loans in the pool, including liquidation scenarios for the three specially serviced loans, representing 44.9% of the pool, based on conservative haircuts to the most recent appraised values. The liquidation analysis suggests losses would fully erode up to Class E and approximately 25% of the Class D certificate balance. Morningstar DBRS also maintained the Negative trend on Class C to reflect the potential for future value declines for the assets in special servicing. As of the March 2026 remittance, cumulative interest shortfalls increased to $2.6 million from $1.8 million at Morningstar DBRS' last review; however, they were still contained to the nonrated Class NR. The main contributors of the shortfalls were the Westfield Trumbull loan (Prospectus ID#4, 34.9% of the current pool balance), secured by 462,869 square feet (sf) of a 1.1 million-sf regional mall in Trumbull, Connecticut, and the Bayshore Mall loan (Prospectus ID#14, 8.9% of the current pool balance), secured by 515,912 sf of an enclosed mall in Eureka, California, which is currently cash managed and has been deemed nonrecoverable. In its recoverability analysis, Morningstar DBRS estimates that interest shortfalls may continue to accrue to subordinate classes and could reach Class D, further supporting the Negative trend on Class C given Morningstar DBRS' tolerance for unpaid interest at the A (low) (sf) credit rating category is only one to two remittance periods. As of the March 2026 remittance, the trust had incurred losses of $37.8 million, up from $32.4 million at the last credit rating action in May 2025. The formerly specially serviced loan, Westfield Wheaton (Prospectus ID#5), was liquidated with the December 2025 remittance, resulting in a $4.4 million loss to the trust. Morningstar DBRS had previously projected a more conservative loss estimate of $9.6 million at the last credit rating action. The largest loan in special servicing, Westfield Trumbull, is pari passu with notes securitized in the CSAIL 2015-C2 Commercial Mortgage Trust and CSAIL 2015-C3 Commercial Mortgage Trust transactions, which are also rated by Morningstar DBRS. The loan transferred to special servicing in March 2025 because of imminent monetary default; a receiver was appointed in June 2025, and as of the latest reporting, the property was being marketed for sale, with an initial call for offers in February 2026. Per the June 2025 rent roll, occupancy was 78.3%, remaining in line with the previous year's figure with minimal rollover concerns over the next 12 months. Although no new appraisal has been finalized, given the declining occupancy, cash flows, and overall challenges in the retail sector, Morningstar DBRS continues to expect a significant decline in value from the November 2014 appraised value of $262.0 million. As such, Morningstar DBRS applied an 80.0% haircut to the November 2014 appraisal, resulting in a $57.4 million projected loss and a loss severity approaching 75.0%. The Bayshore Mall loan is secured by 515,912 sf of an enclosed regional mall in Eureka. The loan transferred to special servicing in November 2024 for maturity default. A receiver was appointed in February 2025, and the loan remains in cash management with the servicer pursuing alternate recovery strategies. As of the July 2025 rent roll, the property was 57.8% occupied, representing a moderate decline from the previous year with minimal tenant rollover risk over the next 12 months. Financial performance remains consistent year over year; however, it is still below breakeven and well below issuance expectations. At issuance, the property's value was $69.0 million, but it had continued to decline to $12.0 million as of January 2026. Morningstar DBRS applied a 20.0% haircut to the January 2026 appraisal, resulting in an implied loss of $15.3 million and a loss severity nearing 80.0%. 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. Classes X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2016-C5: DBRS Hikes Rating Class X-F Certs to Bsf ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C5 issued by CSAIL 2016-C5 Commercial Mortgage Trust as follows: -- Class C to AAA (sf) from AA (low) (sf) -- Class X-D to A (high) (sf) from BBB (low) (sf) -- Class D to A (sf) from BB (high) (sf) -- Class E to BB (low) (sf) from CCC (sf) -- Class X-E to BB (sf) from CCC (sf) -- Class F to B (low) (sf) from C (sf) -- Class X-F to B (sf) from C (sf) Morningstar DBRS also changed the trends on Classes D and X-D to Positive from Negative and changed the trends on Classes E, X-E, F, and X-F to Positive. The trend on Class C remains Stable. Morningstar DBRS downgraded Classes D, X-D, E, X-E, F, and X-F as part of its previous credit rating action in January 2025, primarily as a result of Morningstar DBRS' projected loss expectations of $38.4 million, which were expected to fully erode the unrated Class NR and erode the majority of the Class F certificate, significantly reducing the credit support for the Class D and E certificates. At that time, Morningstar DBRS also maintained Negative trends on Classes D and X-D. Morningstar DBRS' projected loss expectations (approximately $30.8 million) were largely tied to the 401 Market loan (Prospectus ID #5); however, despite the underlying collateral's occupancy rate plummeting below 35.0% and soft submarket fundamentals, after a 12-month stint in special servicing, the loan disposed from the pool in October 2025 with realized losses of just $0.52 million, significantly below Morningstar DBRS' expectations. As of the March 2026 remittance, three of the original 59 loans remained in the pool, reflecting a collateral reduction of 87.9% and cumulative realized losses of $11.4 million. In the analysis for this review, Morningstar DBRS considered a recoverability analysis with liquidation scenarios for the two specially serviced loans (22.7% of the pool), the results of which suggest Morningstar DBRS' expected liquidated losses of $4.7 million for the remaining pool would be contained to the unrated Class NR, thereby supporting the credit rating upgrades and Positive trends. Morningstar DBRS further notes that the largest loan in the pool, FedEx Brooklyn (Prospectus ID#2; 77.3% of the pool), is secured by a 278,721-square foot (sf) industrial warehouse that FedEx Corporation fully leases through December 2030, several months after the loan's maturity date, and had a servicer-reported debt service coverage ratio (DSCR) of 1.76 times (x) as of September 2025. The loan began amortizing after not repaying at the anticipated repayment date in November 2025 and cash management has been triggered, with excess cash routed into a reserve account. Given the property's healthy performance metrics and desirable location close to major highways combined with the expected paydown and accumulating reserves leading up to maturity, Morningstar DBRS expects the loan to continue to perform and ultimately repay upon maturity. The Sheraton Lincoln Harbor Hotel loan (Prospectus ID#12; 14.9% of the pool) is secured by a 343-room full-service hotel in Weehawken, New Jersey. The loan transferred to special servicing in January 2021, and foreclosure was filed in March of 2021. The property was ultimately sold in August 2025 for $65.5 million. As part of the assumption, maturity was extended two years to October 2027. The loan is now current, and performance has rebounded as evidenced by the YE2025 DSCR of 1.82x compared with the YE2024 DSCR of 1.0x. According to the special servicer, a return to the master servicer is expected in Q2 2026. As of the December 2025 STR, Inc. report, the property reported an occupancy rate of 89.1%, with average daily revenue of $207.40 and revenue per available room of $184.70, with demand segmentation led by corporate travel and the airline business. While there has been a recent uptick in performance, an appraisal dated November 2025 valued the property at $71.7 million compared with the June 2024 appraisal value of $82.6 million and the issuance appraisal value of $128.0 million. For this review, Morningstar DBRS liquidated the loan based on a 20% haircut to the most recent appraised value, resulting in an implied loss approaching $3.6 million or a loss severity of approximately 22%. The 579 Executive Campus loan (Prospectus ID# 28; 7.8% of the pool) transferred to special servicing in September 2025 because of imminent monetary default ahead of its October 2025 maturity. According to the most recent servicer commentary, a forbearance memo was fully approved as of January 2026. The loan is secured by a 110,598-sf industrial property in Westerville, Ohio, about 15 miles north of Columbus, Ohio. The largest tenant (62.4% of net rentable area) has a lease expiration in December 2029. The remainder of the rent roll is granular, with minimal rollover in the next few years. As of March 2025, the loan reported a trailing 12-month DSCR of 1.0x with an occupancy rate of 86.0%, which is in line with YE2024 figures but lower than the YE2022 figures when the loan reported a DSCR of 1.99x and an occupancy rate of 100.0%. In the analysis for this review, Morningstar DBRS liquidated the loan based on a 20% haircut to the October 2025 appraised value of $10.4 million, resulting in an implied loss of $1.1 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. 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. Classes X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DIAMETER CAPITAL 6: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, and D-2R debt and new class E-R debt from Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC, a CLO managed by Diameter CLO Advisors LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2A, A-2B, B, C-1, C-2, and D debt following payment in full on the April 15, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and D-2R debt and new class E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and D-2R debt and new class E-R debt was issued at a floating spread, replacing the current fixed coupon and floating spread. -- The stated maturity, reinvestment period, non-call period, weighted average life test date were extended by two years. -- The non-call period was extended to April 15, 2028. -- The reinvestment period was extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2039. -- Additional assets were purchased on April 15, 2026, refinancing date, and the target initial par amount remains at $500.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC Class A-1R, $315.000 million: AAA (sf) Class A-2R, $5.000 million: AAA (sf) Class B-R, $60.000 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-1R (deferrable), $30.000 million: BBB- (sf) Class D-2R (deferrable), $2.500 million: BBB- (sf) Class E-R (deferrable), $15.625 million: BB- (sf) Ratings Withdrawn Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC Class A-1 to NR from 'AAA (sf)' Class A-2A to NR from 'AA (sf)' Class A-2B to NR from 'AA (sf)' Class B (deferrable) to NR from 'A (sf)' Class C-1 (deferrable) to NR from 'BBB (sf)' Class C-2 (deferrable) to NR from 'BBB- (sf)' Class D (deferrable) to NR from 'BB- (sf)' Other Debt Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC Subordinated notes, $43.40 million: NR NR--Not rated. DRYDEN 114 CLO: Moody's Assigns B3 Rating to $4.5MM Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Dryden 114 CLO, Ltd. (the Issuer or Dryden 114): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (the Class A-1 Notes), Assigned Aaa (sf) US$4,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039 (the Class F Notes), Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Dryden 114 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans or bonds. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. PGIM, Inc. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue ten 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 transactions 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: $400,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2742 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. DRYDEN CLO 60: Moody's Affirms Ba3 Rating on $14.4MM Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 60 CLO, Ltd.: US$22M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 8, 2025 Upgraded to Aa1 (sf) US$24M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on May 8, 2025 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$256M (Current outstanding amount US$47,494,526) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 23, 2018 Assigned Aaa (sf) US$48M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 8, 2025 Upgraded to Aaa (sf) US$14.4M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 23, 2018 Assigned Ba3 (sf) Dryden 60 CLO, Ltd., issued in August 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class C and D 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 May 2025. The affirmations on the ratings on the Class A, B and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD97.9 million (38.2% of original balance) since the last rating action in May 2025 and USD208.5 million (81.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated February 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 173.85%, 141.30%, 117.33% and 106.49% compared to May 2025[2] levels of 138.99%, 124.79%, 112.28% and 105.91%, 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: USD166.6m Defaulted Securities: USD1.9m Diversity Score: 65 Weighted Average Rating Factor (WARF): 2814 Weighted Average Life (WAL): 3.17 years Weighted Average Spread (WAS): 3.03% Weighted Average Recovery Rate (WARR): 47.37% Par haircut in OC tests and interest diversion test: 0.65% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ELMWOOD CLO 15: S&P Lowers Class E-R Notes Rating to 'B+' --------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R debt from Elmwood CLO 15 Ltd. and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1-R, A-2-R, B-R, C-R, and D-R debt from the same transaction. The transaction, a U.S. collateralized loan obligation managed by Elmwood Asset Management LLC, was originally issued in March 2022. It underwent a refinancing in July 2025 and will exit its reinvestment period in April 2027. On Feb. 5, 2025, S&P had placed its rating on the class E-R debt on CreditWatch Negative primarily due to relevant class's declining credit support, the portfolio's par loss, and indicative cash flow results. The rating actions follow its review of the transaction's performance using data from the March 2026 trustee report. All reported overcollateralization (O/C) ratios have declined compared to those in the June 2025 trustee report: -- The class A/B O/C ratio declined to 128.96% from 129.41%, -- The class C O/C ratio declined to 119.52% from 119.94%, -- The class D O/C ratio declined to 111.69% from 112.08%, -- The class E O/C ratio declined to 106.53% from 106.90%, The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating actions in July 2025. All coverage tests are currently passing with adequate cushion. Additionally, the reinvestment overcollateralization test, which measures the O/C level at class E-R, declined to 106.53% from 106.90 and yet is still passing. In case this test is not satisfied during the reinvestment period, the lesser of 50.00% of remaining interest proceeds or the amount necessary to bring the test back into compliance at the discretion of the manager will be deposited into the principal collection account for the purchase of additional collateral obligations or will be allocated toward the paydown of the senior notes according to the principal payment sequence. The par losses sustained by the portfolio, coupled with decline in the portfolio's WAS, have weakened cash flow results particularly at the junior level of the capital structure. As a result, the E-R debt was no longer passing cash flows at the initial rating levels. S&P said, "Following the decline in credit support and indicative cash flow results, we lowered our rating on the class E-R to 'B+(sf)'. Although the cash flow results pointed to a lower rating for the class E-R debt, we limited the downgrade to one notch based on its credit enhancement level, low exposure to 'CCC/CCC-' rated assets, and improved collateral quality, as reflected in the S&P Global Ratings weighted average rating factor (SPWARF)." However, any increase in defaults or par losses could lead to potential negative rating actions in the future. The affirmed ratings reflect adequate credit support at the current rating levels and passing cash flows. Though the cash flow results indicated a higher rating for the class B-R and C-R debt, our action considered that the CLO is still in its reinvestment period (scheduled to end in April 2027) and that future reinvestment activity could change some of the portfolio characteristics. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary Rating Lowered And Removed From CreditWatch Elmwood CLO 15 Ltd. Class E-R to 'B+' from 'BB-/Watch Neg' Ratings Affirmed Elmwood CLO 15Ltd. Class A-1-R: AAA (sf) Class A-2-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) GS MORTGAGE 2026-RPL1: Fitch Assigns Bsf Final Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2026-RPL1 (GSMBS 2026-RPL1). Entity/Debt Rating ----------- ------ GSMBS 2026-RPL1 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating Transaction Summary The notes are supported by 2,107 seasoned performing and reperforming loans with a total balance of approximately $301 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-RPL1 has a final probability of default (PD) of 42.4% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 28.9%. The expected loss in the 'AAAsf' rating stress is 12.3%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-RPL1 are based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch expects SPL/RPL pools to have full diligence completed. Specifically, for loans that have an application date on or after Jan. 10, 2014, Fitch expects a full due diligence scope that includes a review of credit, regulatory compliance and property valuation. For loans with an application date prior to Jan. 10, 2014, Fitch primarily receives a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Fitch's review of the operational risk for this transaction did not have an impact on the analysis. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-RPL1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at closing. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-RPL1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton and Opus. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 30bps. HALSEYPOINT CLO 4: S&P Lowers Class E Notes Rating to 'B+ (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from HalseyPoint CLO 4 Ltd. a broadly syndicated U.S. CLO managed by HalseyPoint Asset Management LLC, and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A, B, C, D-1, and D-2 debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the March 2026 trustee report. Following are the changes in the overcollateralization (O/C) ratios in the March 2026 trustee report compared to those in the June 2021 trustee report when the CLO went effective: -- The class A/B O/C ratio declined to 128.52% from 131.72%. -- The class C O/C ratio declined to 119.48% from 122.45%. -- The class D O/C ratio declined to 111.63% from 114.40%. -- The class E O/C ratio declined to 107.04% from 109.70%. The transaction also has an interest diversion test, which measures the O/C level at class E; it has also declined to 107.04% from 109.70% but remains above the test threshold of 105.60%. In the event this test is not satisfied during the reinvestment period, the lesser of 50.00% of remaining interest proceeds and the amount necessary to bring the test back into compliance at the discretion of the manager will be deposited into the principal proceeds collection account to apply toward the purchase of additional collateral or to pay down the senior notes according to the principal payment sequence. The transaction's reinvestment period, and, subsequently, the interest diversion test, ends in July 2026. The decline in the O/C levels is primarily due to par losses. The downgrade reflects the decline in credit support available to the class E debt, which in turn affected the cash flows that were no longer passing at its previous rating. Although the cash flow results indicated a three-notch lower rating for the class E debt, at this time S&P limited the downgrade to one notch after considering the portfolio's low exposure to 'CCC' and 'CCC-' rated assets, no exposure to defaults, passing O/C test, and the tranche's credit enhancement at its new (lowered) rating. However, any increase in defaults, further deterioration in the credit quality of the pool, or par losses could lead to potential negative rating actions in the future. On a standalone basis, the results of the cash flow analysis indicated one-notch lower ratings on the class D-1 and D-2 debt than today's rating actions reflect. However, S&P affirmed their ratings after considering the margin of failure, credit enhancement commensurate with the current rating levels, and that the transaction is due to enter the amortization period following the end of the reinvestment period in July 2026. Once amortization begins, paydowns to the senior debt--all else being equal--may potentially improve the credit support available across the transaction. The affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in further changes in the ratings. S&P said, "Also, we note the cash flow results indicated a higher rating for the class B debt. But we considered that the transaction is still in its reinvestment period, which is not scheduled to end until July 2026, and that it has not yet paid down any principal to the rated debt. Future reinvestment activity could change some of the portfolio characteristics. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch HalseyPoint CLO 4 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed HalseyPoint CLO 4 Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D-1: BBB+ (sf) Class D-2: BBB- (sf) HLTN COMMERCIAL 2026-DPLO: DBRS Gives (P)Bsf Rating on HRR Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-DPLO (the Certificates) to be issued by HLTN Commercial Mortgage Trust 2026-DPLO (HLTN 2026-DPLO): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (high) (sf) -- Class HRR at (P) B (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The HLTN Commercial Mortgage Trust 2026-DPLO (HLTN 2026-DPL0) transaction is collateralized by the borrower's fee-simple interest in the Diplomat Beach Resort, a 1000-key, full-service, luxury beachfront resort in Hollywood, Florida. Specifically, the property is set along the scenic Atlantic coast in the Hallandale Beach area, which is known for its unique blend of scenic wide sand beaches and has accessibility to both Miami and Fort Lauderdale. The hotel has won numerous accolades, including Best Family Resort by Travvy Awards in 2019. It was also listed as one of the top resorts in Florida by Conde Nast Traveler in 2018 and was the 2016 AAA Four Diamond Award Winner. The existing improvements of the 33-story resort were built in 2002 and include 1,000 guestrooms inclusive of 98 suites, 227,700 square feet (sf) of indoor and outdoor meeting space, including approximately 209,000 sf of indoor meeting space concentrated in the convention center; and 18,700 sf of outdoor group space. The hotel also features extensive amenities including four restaurants, two cafe/grab-and-go options, multiple outdoor pools, Club Signia, semi-private beachfront access, and a 15,000-sf spa and wellness space. The current sponsor acquired the property for $835.0 million in February 2023 and has since invested $79.7 million into the property to complete a comprehensive renovation. Notably, $43.6 million of the $79.7 million spent on renovations were elective capital investments the sponsor, jointly with Hilton Hotels & Resorts (Hilton), decided to undertake, demonstrating the sponsor's strong conviction in the asset and a clear belief in its ability to drive value beyond hotel brand-mandated capital investments. The renovation focused on two main pillars: an impressive arrival experience and elevated food and beverage (F&B) offerings. The lobby was reimagined with contemporary fixtures and furniture while integrating lush local plants, creating a "social destination" for guests. The F&B outlets were upgraded, including the revamped Solara Bar, which serves as the destination bar located at the heart of the hotel, emanating energy and vibrancy throughout the entire lobby. Outdoor seating, including a newly renovated pool deck, were introduced for Palmea Kitchen and Solara. Diplomat Prime was redesigned with a clean and modern aesthetic and will act as the signature chef-driven restaurant at the hotel with Jorge Negron at the helm. The Press also received significant renovations and was repositioned as an all-day cafe offering fresh, hand-crafted pastries; sandwiches; smoothies; and juices. These renovations, anchored by the existing 200,000-sf convention center, have positioned the property for a brand conversion from Curio Collection to Signia, which is anticipated to occur on May 1, 2026. Hilton's Signia brand was established in 2019 to cater to the upper end of the meetings and events demand segment. Key features of the Signia brand include a wide range of amenities; personalized services; world-class culinary offerings; and relatively large, digitally integrated guestrooms, allowing guests and planners to control temperature and other features in their rooms and meeting areas via a mobile app. Other additions such as the Verandah Social Club and Club Signia should also elevate the hotel's status, appealing to high-end guests/groups seeking privacy, exclusivity, and refined service. Morningstar DBRS expects the hotel's competitive position to improve given the transformative capital improvements at the property. The transaction sponsor is a joint venture between Trinity GP Fund I L.P., backed by Trinity Real Estate Investments, LLC (Trinity) and UBS. Trinity is a private real estate investment firm with a primary focus on hotels and resorts. Since inception, Trinity has invested in more than $10.0 billion assets, including nearly $7.0 billion in hotel and resort assets representing over 15,500 keys. Trinity covers the full spectrum of property investment, development management, strategic operations, and accounting. The property is currently flagged as a Curio Collection by Hilton. In 2014 the hotel went through a brand change to Curio Collection from Westin. The current management agreement with Hilton commenced in February 2023 and has an initial maturity date of 2063 with three automatic 10-year extension periods. The loan is a two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the weighted-average mortgage loan component spread of 2.662%. The borrower will enter into an interest rate agreement with an assumed SOFR cap of 4.440% during the initial term. The transaction will represent a cash-out financing, with the sponsor cashing out approximately $14.9 million of equity. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. 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. HUNDRED ACRE 2021-INV2: Moody's Ups Rating on Cl. B5 Certs from Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of ten bonds issued by Hundred Acre Wood Trust 2021-INV1 and Hundred Acre Wood Trust 2021-INV2. The collateral backing these deals consists of investment property mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Hundred Acre Wood Trust 2021-INV1 Cl. B2, Upgraded to Aa2 (sf); previously on Aug 26, 2024 Upgraded to Aa3 (sf) Cl. B2A, Upgraded to Aa2 (sf); previously on Aug 26, 2024 Upgraded to Aa3 (sf) Cl. B3, Upgraded to A1 (sf); previously on Jun 9, 2025 Upgraded to A2 (sf) Cl. B4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. BX2*, Upgraded to Aa2 (sf); previously on Aug 26, 2024 Upgraded to Aa3 (sf) Issuer: Hundred Acre Wood Trust 2021-INV2 Cl. B2, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B2A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B5, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. BX2*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (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 transactions Moody's reviewed continue to display strong collateral performance, with cumulative loss under .04% 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 the non-exchangeable tranches upgraded has grown, on average, 1.3x since closing. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in 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. INVESCO US 2026-1: Moody's Assigns (P)B3 Rating to $500,000 F Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of notes to be issued by Invesco US CLO 2026-1, Ltd. (the Issuer or Invesco 2026-1): US$315,000,000 Class A Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$65,000,000 Class B Senior Secured Floating Rate Notes due 2039, Assigned (P)Aa2 (sf) US$500,000 Class F Deferrable Junior Secured Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed above are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Invesco 2026-1 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 senior unsecured loans, second lien loans, first-lien last-out loans and permitted debt securities. Moody's expects the portfolio to be approximately 95% ramped as of the closing date. Invesco CLO Equity Fund 5, L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue 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: 75 Weighted Average Rating Factor (WARF): 2715 Weighted Average Spread (WAS): 2.90% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. JP MORGAN 2018-MINN: Moody's Cuts Rating on Cl. A Certs to Caa1 --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-MINN, Commercial Mortgage Pass-Through Certificates, Series 2018-MINN as follows: Cl. A, Downgraded to Caa1 (sf); previously on Oct 9, 2025 Downgraded to B1 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Oct 9, 2025 Downgraded to B3 (sf) Cl. C, Downgraded to C (sf); previously on Oct 9, 2025 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Oct 9, 2025 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Oct 9, 2025 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Oct 9, 2025 Affirmed C (sf) RATINGS RATIONALE The ratings on three principal and interest (P&I) classes, Cl. A, Cl. B and Cl. C were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from a decline in value due to a significant decline in year-end 2025 cashflow, the prolonged delinquency, higher outstanding servicer advances, increased interest shortfalls and accumulation of non-recoverable interest. The floating rate loan has been real estate owned (REO) since October 2023, and the master servicer made a non-recoverability determination in February 2025. The outstanding interest shortfalls totaled $24.2 million (which includes $16.5 million of cumulative non-recoverable interest). In addition, as of the March 2026 remittance statement there were outstanding advances (P&I, other and cumulative accrued unpaid advance interest) of $26.4 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The loan was last paid through its August 2023 payment date. The downgrades also reflect the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution given the Minneapolis hotel market continues to lag behind pre-pandemic performance levels, with recent Revenue per Available Room (RevPAR) below 2019 levels. The property's performance improved year-over-year in 2024, however, year-end 2025 net cash flow (NCF) was 18% lower than 2024 primarily due to lower occupancy and revenue. Recent servicer commentary indicates the property has been listed for sale. The ratings on Cl. D, Cl. E and Cl. F were affirmed because the ratings are consistent with Moody's expected loss. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan and/or an increase in realized and expected losses. DEAL PERFORMANCE As of the March 2026 distribution date, the transaction's aggregate certificate balance remains unchanged at $180.0 million from securitization. The interest-only floating rate loan had a final maturity date in November 2023 (inclusive of three one-year extensions) and is secured by the leasehold interest in the Hilton Minneapolis. The loan has been in special servicing since May 2020, originally stemming from the pandemic related closure, and became REO in October 2023. The loan was subsequently deemed non-recoverable in February 2025. The property is a full-service hotel with approximately 60,500 SF of meeting and event space with a 24,780 SF grand ballroom, the largest ballroom in the state of Minnesota. It is also the largest hotel in the Minneapolis-St. Paul area in terms of room count (821 guestrooms) and meeting space. The hotel hosts events for large groups as well as accommodates spillover needs and room demand for the Minneapolis Convention Center located three blocks away. The property was constructed in 1992 and is subject to a 100- year ground lease with the City of Minneapolis expiring in October 2091. However, starting 2019, the property was not obligated to pay any ground rent for the duration of the ground lease. The property's performance initially rebounded from its post-pandemic lows in 2022 and continued to improve through 2024. The property generated $13.2 million net cash flow (NCF) in 2024 versus $12.4 million in 2023 and $12.3 million in 2022. However, the recently reported year-end 2025 NCF was $10.9 million, approximately 18% below 2024, primarily driven by lower occupancy and revenue and higher expenses. Whereas prior to the pandemic, property occupancy rates were consistently above 70%, post pandemic occupancy rates at the property have been in the low-mid 50% range. Due to the higher interest rate environment, the loan has had a DSCR below 1.0X during 2023, 2024 and most of 2025 and remains last paid through its August 2023 payment date. The property is need of capital improvements but due to its delinquent status and high outstanding advances, there is insufficient cash flow for any significant renovations. The Downtown Minneapolis hotel market has been unable to return to its pre-pandemic levels. According to CBRE EA, Minneapolis CBD RevPAR reached $97.60 in 2025, 10.5% lower than its RevPAR of $109.03 in 2019. Moody's NCF decreased to $10.3 million from $10.8 million at the last review. The first mortgage balance of $180.0 million represents a Moody's LTV of 202%. The most recent appraisal from 2024 valued the property at $206.3 million, up slightly from $204.5 million in 2023 but less than total exposure including advances and non-recoverable interest. As of the most recent distribution date, there are outstanding advances totaling approximately $26.4 million and interest shortfalls totaling approximately $24.2 million (which includes $16.5 million of cumulative non-recoverable interest). Including the outstanding advances and non-recoverable interest, the total loan exposure increases to $222.9 million. Due to the non-recoverability determination, Moody's expects interest shortfalls to accumulate across all classes until the ultimate disposition of the asset. JP MORGAN 2020-LOOP: Moody's Lowers Rating on 2 Tranches to B3 -------------------------------------------------------------- Moody's Ratings has downgraded six classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP, Commercial Mortgage Pass-Through Certificates, Series 2020-LOOP: Cl. B, Downgraded to Ba3 (sf); previously on Aug 8, 2024 Downgraded to Baa2 (sf) Cl. C, Downgraded to B3 (sf); previously on Aug 8, 2024 Downgraded to Ba2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Aug 8, 2024 Downgraded to B2 (sf) Cl. E, Downgraded to C (sf); previously on Aug 8, 2024 Downgraded to Caa1 (sf) Cl. F, Downgraded to C (sf); previously on Aug 8, 2024 Downgraded to Caa3 (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Aug 8, 2024 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from the recent declines in property cash flow and occupancy as well as the weaker Chicago office fundamentals. The loan transferred to special servicing in February 2026 due to imminent default ahead of its December 2026 maturity date. The loan had previously transferred to special servicing in November 2021 as a result of the borrower filing for bankruptcy. A loan modification agreement was subsequently closed in August 2023, and the loan was returned to master servicer in November 2023. As of the March 2026, the loan is last paid through January 2026. The loan is secured by the fee interest in a Class A office building in the Central Loop submarket of Chicago, IL. The property's net cash flow (NCF) has declined since securitization as a result of decline in revenues due to a decline in occupancy combined with an increase in operating expenses. The property's occupancy and cash flow have recently further significantly declined due to the downsizing of the largest tenant, Northen Trust, which reduced its space to approximately 247,000 square feet (SF) from 400,000 SF in January 2026 as part of a lease extension through December 2027. The downgrades also reflect the interest shortfalls and the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution. As of the March 2026 remittance date, the master servicer has made a non-recoverability determination, in relation to P&I advances, on the B-note. This has resulted in interest shortfalls to impact up to Cl. C. Moody's expects interest shortfalls to continue and may impact up to Cl. B The trust component includes an A-1 note ($1 million) and a $132.1 million subordinate B-note of a total $240 million mortgage loan. The remaining $106.9 million of A-notes are pari passu with the A-1 note and senior in payment priority to the B-note. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. The rating on the interest only (IO) class, Cl. X-B, was downgraded due to decline in the credit quality of its referenced classes. 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in loan performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or increase in shortfalls. DEAL PERFORMANCE As of the March 2026 distribution date, the transaction's certificate balance was $133.1 million, the same as at securitization. The interest only loan has a fixed interest rate of 3.9% and matures in December 2026. The loan is secured by a fee simple interest in 181 W. Madison Street, a 946,099 SF, Class A, multi-tenant office building located in the Central Loop submarket of downtown Chicago, Illinois. The whole loan balance is $240 million, which includes the trust balance of $133.1 million and three other companion loans ($106.9 million) that have been securitized in BMARK 2020-IG1 (A-3 Note), BMARK 2020-IG2 (A-4 Note), and BMARK 2020-B16 (Note A-2). The trust portion contains senior note ($1 million A-1 Note) and junior note ($132.1 million B-note).The non-trust A-notes and trust A-note are senior in right of payment to trust B-note. The property was built in 1990 and renovated in 2016. The three largest tenants at the property include The Northern Trust Company (26% of the net rentable area (NRA)), Quantitative Risk Management (11% of the NRA; lease expiration in March 2027), and Union Tank Car Company (5% of the NRA; lease expiration in February 2039). As of September 2025, the property was 86% leased compared to 88% at securitization. The Northen Trust, which has been at this property since 2000, reduced their space to approximately 247,000 SF (26% of the NRA), from approximately 400,000 SF (42% of the NRA) as part of a lease extension through December 2027. As a result, occupancy is expected to decline further from 86% reported in September 2025. The lease terms also include a four-month free rent period from January through April 2026. The property's net operating income (NOI) for the trailing twelve-month period ending November 2025 was $14.1 million, compared to $14.3 million for the full year 2024 and $13.9 million and $14.7 million in 2023 and 2022, respectively. The property was generating $21.8 million of NOI at securitization. While cash flow remains significantly below securitization levels, operating performance has been relatively stable since 2022. However, the downsizing of the largest tenant and the related free rent are expected to put pressure on the near-term cash flow. Moody's NCF has been lowered to approximately $10.0 million from $11.5 million at the last review. The loan transferred to special servicing in February 2026 due to imminent default. The servicer commentary indicates the borrower's 2026 budget indicates that the property is not expected to generate sufficient cash flow to cover debt service, and the borrower has indicated they do not intend to contribute additional capital to cover projected shortfalls. As of March 2026, the master servicer has deemed the B-note to be non-recoverable. The Chicago Central Loop submarket fundamentals have continued to weaken since securitization and the coronavirus pandemic. According to Cushman & Wakefield the Class A vacancy rate was 17% as of 2025, compared to 14% securitization. Moody's LTV ratio for the first mortgage balance is 222% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 221% based on Moody's Value using a cap rate adjusted for the current interest rate environment compared to 166% at the last review. Moody's stressed debt service coverage ratio (DSCR) is 0.45X compared to 0.52X at the last review. There are minimal outstanding advances but there are interest shortfalls of $408,474 impacting up to Class C as of the March 2026 distribution date. JPMBB COMMERCIAL 2015-C30: DBRS Cuts Rating on Cl. F Certs to Dsf ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as follows: -- Class X-B to BBB (sf) from A (sf) -- Class B to BBB (low) (sf) from A (low) (sf) -- Class C to CCC (sf) from BB (high) (sf) -- Class X-C to CCC (sf) from BBB (low) (sf) -- Class EC to CCC (sf) from BB (high) (sf) -- Class F to D (sf) from C (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class X-D at C (sf) Morningstar DBRS discontinued the credit rating on Class X-E. The trends on Classes A-S, B, X-A, and X-B are Negative. Classes C, D, E, F, X-C, X-D, and EC have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). Since the prior credit rating action in April 2025, 38 loans have been repaid from the trust with no realized losses. However, with the March 2026 reporting, a $5.2 million loss was passed through to the trust to cover outstanding advances made for the Sunbelt Portfolio loan (Prospectus ID#3, 16.8% of the pool), which were deemed nonrecoverable. This brought cumulative realized losses to $48.8 million, fully eroding the nonrated Class NR certificate balance, and partially eroding the rated Class F certificate balance. As a result, Morningstar DBRS downgraded its credit rating on Class F to D (sf) and withdrew its credit rating on the associated notional Class X-E. Following the credit rating downgrade, Morningstar DBRS will subsequently discontinue and withdraw its credit rating on Class F. As of March 2026 reporting, seven loans remained in the pool, all of which were in special servicing following maturity defaults. Of these seven loans, foreclosure was actively being pursued on three, two were listed with forbearance or modifications as the workout strategy, one was in receivership, and one was real estate owned. All loans received updated appraised values during the second half of 2025, with six of the seven appraisals reflecting significant value declines from issuance appraised values, ranging from 25% to 85%, with a weighted-average value decline of nearly 50%. The credit rating downgrades on Classes B, C, X-B, X-C and EC, which previously carried Negative trends, reflect the increased loss expectations for the remaining loans in the pool based on a recoverability analysis. With this review, Morningstar DBRS considered liquidation scenarios for five of the seven loans (64.2% of the pool), resulting in loss projections exceeding $95.0 million, which would erode approximately 80% of Class D and fully wipe out Classes E and F. In addition, interest shortfalls continue to accrue, with Class D receiving partial interest payments over the last three reporting periods. The Negative trends reflect Morningstar DBRS' concerns regarding the likelihood that unpaid interest will continue to accrue and the potential for further value deterioration. The three largest loans contributing to projected losses are One Shell Square (Prospectus ID#1, 21.9% of the pool), Sunbelt Portfolio, and Castleton Park (Prospectus ID#6, 12.3% of the pool); the latter two of which were liquidated with similar loss projections during the previous credit rating action. Loss projections for these three loans with this review were greater than $82.0 million, with loss severities ranging between 42% and 59%. One Shell Square, secured by a 1.2 million-square-foot (sf) office tower in the central business district of New Orleans, transferred to special servicing following its July 2025 maturity. While the loan remains current on payments, the servicer is dual tracking foreclosure with workout discussions ongoing. The property is performing with a healthy debt service coverage ratio of 1.65 times according to the trailing 12-months ended September 30, 2025, financials; however, occupancy has fallen to 79.0%, with the Shell Oil Company (Shell; 24.9% of the net rentable area (NRA)) and Adam & Associates (Adam; 6.2% of NRA) leases expiring prior to YE2026. While Shell has extension options available, the tenant will be relocating its headquarters to a newly constructed building in the River District neighborhood, and it is unclear if Adam will renew after only signing a one-year extension in 2025. The August 2025 appraised value of $89.9 million, is roughly a 50% decline from the issuance appraised value of $180.6 million, and Morningstar DBRS anticipates further value volatility following the departure of key tenants and soft market conditions with vacancy hovering around 20.0%. In the analysis for this review, Morningstar DBRS liquidated the loan from the trust with a conservative 25% haircut to recent appraised value, resulting in projected loss of nearly $31.0 million or a loss severity approaching 45%. While the trust benefits from the senior debt position on Pearlridge Center (Prospectus ID#2, 21.7% of the pool), the August 2025 appraised value of $176.5 million reflects a significant decrease from the issuance appraised value of $427.5 million, increasing the loan-to-value ratio to 73.9% on the senior loan amount (31.5% at issuance) and 127.5% on the whole-loan amount (52.6% at issuance). Morningstar DBRS rates the WP Glimcher Mall Trust 2015-WPG transaction, which holds the subordinate debt, and placed the transaction Under Review with Negative Implications in December 2025. For more information on this loan, please see https://dbrs.morningstar.com/research/468865. 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. Classes X-E, X-B, X-D, X-A, and X-C are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. KRE COMMERCIAL 2026-ICNA: DBRS Gives (P)BB(low) on HRR Certs ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-ICNA (the Certificates) to be issued by KRE Commercial Mortgage Trust 2026-ICNA: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (high) (sf) -- Class HRR at (P) BB (low) (sf) All trends are Stable. The KRE Commercial Mortgage Trust 2026-ICNA single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in The Icona, a 752,132-square-foot (sf) two-tower office and retail property. The property is in Mission Bay, San Francisco, and is a LEED Platinum-certified urban research campus with mixed-use life sciences lab, office, and retail space. The property was constructed in 2018 by Kilroy Realty Corporation and was subsequently acquired by the sponsor, KKR Real Estate (KKR) in 2021 for approximately $1.08 billion; this financing was securitized in the commercial mortgage-backed securities transaction DROP Mortgage Trust 2021-FILE. Since acquiring the property in 2021, the sponsor has invested approximately $81.0 million in capital expenditures (capex). Approximately $40.0 million was used to transform traditional office space into speculative lab space in the north tower. An additional $38.5 million was used in tenant improvements for the converted VIR Biotechnology Inc. (VIR) space. The office portion of the property was initially 100% leased to Dropbox as its headquarters. In October 2020, Dropbox decided to shift the company to incorporate a Virtual First strategy and made virtual work customary for its employees following the coronavirus pandemic. In 2023, the sponsor and Dropbox negotiated a lease amendment where Dropbox reduced its footprint at the property with the payment of a termination fee of approximately $475 per sf. Following the giveback of space, the sponsor was then able to sign direct leases at the property with tenants that previously subleased space from Dropbox. As of March 2026, the property was 85.9% leased to five unique office, retail, and life sciences tenants. The largest tenant, Dropbox, represents 438, 941 sf of space, or 58.4% of the total net rentable area (NRA); Dropbox currently subleases almost all of its remaining space, including 282,126 sf of space to OpenAI, through the remainder of its initial lease term until 2033. The second-largest tenant is VIR, which leases approximately 133,896 sf of space, or 17.8% of the total NRA; its lease extends until December 2033. The third-largest tenant is Nudge, which leases 62,250 sf of space, or 8.3% of the total NRA; Nudge currently has an executed lease in place and will move in starting March 2027, with its lease extending until August 2035. Both Nudge and VIR were previously subleasing space through Dropbox. In total, only 1.3% of the NRA will roll through 2031, which is the final year of fully extended loan maturity. The property currently has a weighted-average lease term of 8.2 years and therefore is not structured with any upfront reserves. However, the borrower has the right to enter in a partial termination with Dropbox following specific conditions, such as if the borrower enters into either a direct lease with any subtenant that is then subleasing such terminated space from Dropbox or a new lease with a new tenant for such terminated spaced if certain conditions are met. Any termination fee received will go into a reserve to address gap rent or leasing costs. The sponsor for this transaction is KKR, a leading global real estate platform with more than $85.0 billion in assets under management as of September 2025. KKR's real estate platform consists of equity and credit across the Americas, Europe, and Asia; through its diversified assets, the company spans all asset classes including office, hospitality, and multifamily. KKR has a vested interest in the success of The Icona as exhibited by its $500 million invested in the subject and $40.0 million in capex. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related principal distribution amounts and interest distribution amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the credit ratings do not address Spread Maintenance Payments. 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. LCM XIV: Moody's Cuts Rating on $8MM Class F-R Notes to Ca ---------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by LCM XIV Limited Partnership: US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031 (current balance of $16,643,137.71), Upgraded to Aaa (sf); previously on October 3, 2025 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$8,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2031 (current balance of $8,494,408.62), Downgraded to Ca (sf); previously on March 13, 2025 Downgraded to Caa3 (sf) LCM XIV Limited Partnership, originally issued in July 2013 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratio since October 2025. The Class A-R, Class B-R, and Class C-R notes have been paid down in full and the Class D-R notes have been paid down by approximately 27.6% or $6.4 million since then. Based on Moody's calculations, the OC ratio for the Class D-R notes is currently 249.14%, versus October 2025 level of 128.94%. The downgrade rating action on the Class F-R notes reflect the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO. Based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and the current level is 4989 compared to 3688 in October 2025. Furthermore, based on Moody's calculations, the OC ratio for the Class F-R notes is currently 93.42%, versus October 2025 level of 100.28%. No action was taken on the Class E-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $41,313,442 Defaulted par: $1,880,920 Diversity Score: 19 Weighted Average Rating Factor (WARF): 4989 Weighted Average Spread (WAS): 3.89% Weighted Average Recovery Rate (WARR): 43.95% Weighted Average Life (WAL): 2.79 years Par haircut in OC tests and interest diversion test: 24.14% 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. MAGNETITE LV: Fitch Assigns 'BBsf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite LV, Limited. Entity/Debt Rating ----------- ------ Magnetite LV, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite LV, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. 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. 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% first-lien senior secured loans and has a weighted average recovery assumption of 72.69%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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, 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, and 'A-sf' for class D 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 Magnetite LV, Limited. 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. MAGNETITE LV: Moody's Assigns B3 Rating to $250,000 F Notes ----------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Magnetite LV, Limited (the Issuer or Magnetite LV): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Deferrable Mezzanine Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Magnetite LV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 80% ramped as of the closing date. BlackRock Financial Management, Inc. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: 65 Weighted Average Rating Factor (WARF): 2985 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. MF1 2022-B1: DBRS Confirms B(low) Rating on 3 Tranches ------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of commercial mortgage-backed notes issued by MF1 2022-B1 LLC (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AAA (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (low) (sf) -- Class E Notes at BBB (high) (sf) -- Class F Notes at BBB (low) (sf) -- Class G Notes at BB (high) (sf) -- Class G-E Notes at BB (high) (sf) -- Class G-X Notes at BB (high) (sf) -- Class H Notes at BB (low) (sf) -- Class H-E Notes at BB (low) (sf) -- Class H-X Notes at BB (low) (sf) -- Class I Notes at B (low) (sf) -- Class I-E Notes at B (low) (sf) -- Class I-X Notes at B (low) (sf) In addition, Morningstar DBRS changed the trends on Classes G, G-E, G-X, H, H-E, H-X, I, I-E, and I-X to Stable from Negative. The trends on all other classes remain Stable. The trend changes reflect Morningstar DBRS' updated credit view of the underlying collateral following the repayment of 10 loans, totaling $607.0 million, since the last review in May 2025 and the subsequent reinvestment of principal proceeds into new loans during the reinvestment period, which has been extended to December 2026. Loans that repaid include the former largest specially serviced loan, 175 West 87th Street (Prospectus ID#3; previously representing 6.1% of the pool). At the prior credit rating action, Morningstar DBRS applied upward adjustments to both as-is and as-stabilized loan-to-value ratios (LTVs) and increased the probability of default (POD) for several of these now-repaid loans, which at the time constituted larger exposures in the pool and resulted in elevated loan-level loss expectations. Following their repayment, overall credit metrics for the remaining collateral have improved. Morningstar DBRS expects the remaining rated classes to remain well-insulated from losses, supported by the substantial subordination provided by the nonrated Income Notes, which currently have an outstanding balance of $99.5 million. The credit rating confirmations reflect the overall stable performance of the transaction since the previous review. With the exception of one loan, all loans in the pool are secured by multifamily properties, which have historically proved better able to retain property value and cash flow compared with other property types. 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 33 floating-rate mortgage loans secured by 76 mostly transitional properties with a cut-off balance totaling $1.625 billion. As of the March 2026 remittance, the pool comprises 31 loans secured by 68 properties with a cumulative trust balance of $1.625 billion. Most loans are in a period of transition with plans to stabilize and improve their assets' values. The transaction had a Reinvestment Period that originally was scheduled to expire during the November 2024 Payment Period but was extended to December 2026. Since the previous credit rating action, nine loans, representing 34.8% of the pool, have been added to the trust. Based on the issuance as-is and stabilized appraisal values for the outstanding loans in the pool, both the weighted-average as-is and stabilized LTVs have slightly increased from issuance. Morningstar DBRS recognizes that select property values may be inflated given the concentration of individual property appraisals that were completed before 2023, which may not reflect the current rising interest rate or widening capitalization rate (cap rate) environments. Additionally, given the lag in business plan progressions and exit strategies for select loans in the pool, the borrowers of 11 loans, representing 35.1% of the current trust balance, have received loan modifications and/or forbearances. Common terms of these modifications include interest deferrals via hard and soft pay structures, the purchase of new interest rate cap agreements, and funding interest reserves. As such, Morningstar DBRS applied upward LTV adjustments and/or increased PODs to reflect the increased business plan execution risk and delinquencies across multiple loans, representing more than 46.0% of the current trust balance, in the analysis for this review. Through February 2026, the collateral manager had advanced cumulative loan future funding of $142.3 million to 19 of the outstanding individual borrowers. The loan with the largest future funding advances to date is The 600 loan (Prospectus ID#38; 0.1% of the pool balance; $57.5 million of future funding advanced), which is secured by a 404-unit multifamily property in Birmingham, Alabama. The advanced funds have primarily been used to complete the reconstruction of the property, which was formerly an office tower known as the BellSouth City Center. According to the Q4 2025 reporting, the borrower continues to lease up the property, and it was 72.5% physically occupied as of November 2025. An additional $109.6 million of loan future funding allocated to 20 loans remains outstanding. These funds are also scheduled to be used for capital improvement purposes, with select amounts allocated to individual borrowers for debt service shortfalls and/or property performance-based earn out reserves. As of the March 2026 Remittance Report, two loans are in special servicing: The Reserve at Brandon (Prospectus ID#8; 3.7% of the pool), which is listed as 90 days delinquent, and 410 Rossmore (Prospectus ID#31, 2.4% of the pool), which remains current on its payments after transferring to special servicing in January 2026 because of imminent maturity default. Based on the most recent update from the servicer, the 410 Rossmore loan is awaiting modification, the terms of which were finalized in December 2025. The Reserve at Brandon is secured by a 982-unit, garden style, multifamily property in Brandon, Florida, and transferred to special servicing in January 2026 for imminent monetary default. Through February 2026, $19.8 million of its future funding has been advanced (with an additional $7.8 million remaining), to finance the capital improvement plan for a full renovation of the property, which was 81% complete and 84.3% occupied, as of October 2025. However, the property's performance remains below issuance expectations and an updated November 2025 appraisal valued property at $188.8 million, which represents an 18.8% and a 21.0% decline from its issuance as-is and stabilized values of $232.5 million and $239.0 million, respectively. Given these updates, Morningstar DBRS applied an elevated haircut to the as-is and stabilized LTVs in the analysis for this review and increased the POD to account for a potential further value decline. The resulting expected loss for loan is nearly three times the pool average. There are 23 loans (65.6% of the pool) being monitored on the servicer's watchlist, most of which are flagged for low debt service coverage ratios and upcoming loan maturity. Excluding two loans (5.5% of the pool) that are currently deemed as performing matured balloons, there are 20 loans (over 60.0% of the pool) that are set to mature through the next 12 months. However, all the outstanding loans have built-in extension options available, and should the borrowers fail to exercise those options, Morningstar DBRS expects additional modifications will likely be executed. 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. Classes G-X, H-X, and I-X are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. MMCAPS FUNDING XVII: Moody's Upgrades Rating on 2 Tranches to Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by MMCAPS Funding XVII, Ltd.: US$33,000,000 B Floating Rate Notes due 2035, Upgraded to Aaa (sf); previously on June 10, 2024 Upgraded to Aa1 (sf) US$35,475,000 C-1 Floating Rate Deferrable Interest Notes due 2035, Upgraded to Ba3 (sf); previously on June 10, 2024 Upgraded to B2 (sf) US$35,475,000 C-2 Fixed Rate Deferrable Interest Notes due 2035, Upgraded to Ba3 (sf); previously on June 10, 2024 Upgraded to B2 (sf) MMCAPS Funding XVII, Ltd., issued in September 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the senior notes resulting in the increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio. The Class A-1 notes were fully paid off and the Class A-2 notes have paid down by approximately 9.2% or $1.8 million since September 2025, using both the principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-2, Class B and Class C notes have improved to 732.21%, 255.75% and 106.61%, respectively, from one year ago levels of 612.2%, 242.4% and 105.4%, respectively. The Class A-2 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 672 from 728 since one year ago. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $129.7 million Weighted average default probability: 4.94% (implying a WARF of 672) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-2 notes because its expected loss remains commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. MORGAN STANLEY 2026-NEW1: DBRS Gives (P)B Rating to Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NEW1 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1 (the Issuer) as follows: -- $100.0 million Class A-1FCF at (P) AAA (sf) -- $33.3 million Class A-1LCF at (P) AAA (sf) -- $133.3 million Class A-1 at (P) AAA (sf) -- $116.5 million Class A-1-A at (P) AAA (sf) -- $16.8 million Class A-1-B at (P) AAA (sf) -- $18.3 million Class A-2 at (P) AA (sf) -- $17.8 million Class A-3 at (P) A (sf) -- $16.1 million Class M-1 at (P) BBB (sf) -- $6.9 million Class B-1 at (P) BB (sf) -- $6.7 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. Class A-1 is an exchangeable certificate while Classes A-1FCF and A-1LCF are exchange certificates. The final initial Class Balance of each class of Certificates will be set forth in the final private placement memorandum. In the event the final aggregate initial Class Balance of the Class A-1-A Certificates and Class A-1-B Certificates is equal to the Aggregate Initial Class A-1 Balance, the Class A-1FCF Certificates and Class A-1LCF Certificates will not be issued. In the event the final aggregate initial Class Balance of the Class A-1FCF Certificates and Class A-1LCF Certificates is equal to the Aggregate Initial Class A-1 Balance, the Class A-1-A Certificates and Class A-1-B Certificates (and therefore, the Class A-1 Certificates) will not be issued. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 20.45% of credit enhancement provided by the subordinated Certificates. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 15.00%, 9.70%, 4.90%, 2.85%, and 1.15% 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 573 loans with a total principal balance of approximately $335,090,474 as of the Cut-Off Date (April 1, 2026). The pool is, on average, two months seasoned with loan ages ranging from zero to eight months. All of the Mortgage Loans were originated by Nexera Holding LLC d/b/a NewFi Lending. Rocket Mortgage, LLC d/b/a Rushmore Servicing will service 72.5% of the loans, NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 27.5% of the loans . Computershare Trust Company, N.A will act as Custodian. Rocket 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, 66.9% of the loans by balance are designated as non-QM. Approximately 33.1% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. 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 April 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 (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 May 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 (May 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-NEW1: S&P Assigns (P)B(sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1's mortgage-backed notes. The note issuance is first-lien, fixed-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of two months. The mortgage loans primarily have a 30-year maturity. There are 28 loans with 40-year maturities and three loans with 15-year maturities. The loans are secured by single-family residential properties (including townhouses), planned-unit developments, condominiums, and two- to four-family residential properties residential properties. The pool consists of 573 loans backed by 573 properties, which are non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of April 9, 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 and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty (R&W) framework; -- The mortgage originator, Nexera Holding LLC doing business as NewFi Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1 Class A-1FCF, $99,960,000: AAA (sf) Class A-1LCF, $33,320,000: AAA (sf) Class A-1, $133,280,000: AAA (sf) Class A-1-A, $116,520,000: AAA (sf) Class A-1-B, $16,760,000: AAA (sf) Class A-2, $18,266,000: AA (sf) Class A-3, $17,760,000: A (sf) Class M-1, $16,085,000: BBB (sf) Class B-1, $6,869,000: BB (sf) Class B-2, $5,696,000: B (sf) Class B-3, $3,854,473: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,757,473: NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $335,090,474. NR--Not rated. N/A--Not applicable. MORGAN STANLEY 2026-NQM4: S&P Assigns (P) 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 35 loans with 40-year maturities and four loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, five- to 10-unit multifamily and mixed-use residential properties. The pool consists of 873 loans backed by 896 properties, which are QM/non-HPML (APOR), QM/HPML (rebuttable presumption), non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of April 16, 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 and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM4 Class A-1FCF, $119,580,000: AAA (sf) Class A-1LCF, $39,860,000: AAA (sf) Class A-1, $159,440,000: AAA (sf) Class A-1-A, $138,659,000: AAA (sf) Class A-1-B, $20,781,000: AAA (sf) Class A-2, $21,863,000: AA- (sf) Class A-3, $39,892,000: A- (sf) Class M-1, $13,713,000: BBB- (sf) Class B-1, $7,480,000: BB (sf) Class B-2, $8,518,000: B (sf) Class B-3, $5,195,203: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $20,779,203: NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $415,541,203. NR--Not rated. N/A—Not applicable. NELNET STUDENT 2007-1: Moody's Cuts Rating on Cl. A-4 Certs to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating of the Class A-4 notes issued by Nelnet Student Loan Trust 2007-1, which is sponsored and administered by Nelnet, Inc. The securitization is backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The rating action is as follows: Issuer: Nelnet Student Loan Trust 2007-1 Cl. A-4, Downgraded to B1 (sf); previously on Jun 12, 2025 Downgraded to Ba2 (sf) RATINGS RATIONALE The rating action is primarily driven by the updated performance of the transaction and updated expected loss on the tranche across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss of the tranche using 28 cash flow scenarios with weights accorded to each scenario. The downgrade action is a result of Moody's analysis indicating that the notes will not pay off by final maturity date in some of Moody's 28 cash flow scenarios, thus causing the bond to incur an expected loss that is higher than the expected loss benchmarks set in Moody's idealized loss tables for the current rating. No actions were taken on the other rated class in this deal because its expected loss remains commensurate with the current rating, after taking into account the updated performance information, the structural feature, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "FFELP Student Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the rating of the bonds if Moody's were to downgrade the rating on the United States government. Further, Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the ratings owing to a reduction in credit enhancement. NEW MOUNTAIN IV FEEDER II: DBRS Confirms BB(low) on Class D Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on New Mountain Guardian IV Income Rated Feeder II, Ltd. (the Feeder Fund) including the Class A Senior Secured Deferrable Floating Rate Notes due 2037 (the Class A Notes) at AA (low); the Class B Senior Secured Deferrable Floating Rate Notes due 2037 (the Class B Notes) at A (low); the Class C Senior Secured Deferrable Floating Rate Notes due 2037 (the Class C Notes) at BBB (low); and the Class D Senior Secured Deferrable Floating Rate Notes due 2037 (the Class D Notes) at BB (low). All credit ratings have Stable trends. The credit ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS Morningstar DBRS could upgrade the credit ratings if the composition of the fund were to be of a higher credit quality than anticipated or include a higher percentage of senior secured first-lien loans to corporate borrowers. Morningstar DBRS could downgrade the credit ratings if the asset analysis assessment were weaker than anticipated, which could be driven by: (1) weaker-than-expected credit risk of investments, (2) lesser diversity of portfolio investments than planned, and/or (3) a persistently lower asset coverage ratio (ACR) than anticipated without a credible plan to remediate. CREDIT RATING RATIONALE The Class A Notes, Class B Notes, Class C Notes, and Class D Notes (together, the Rated Notes) are issued by the Feeder Fund. The Feeder Fund will also issue unrated Class E Notes and Income Notes. The Feeder Fund invests in New Mountain Guardian IV Income Fund, L.L.C. (NMG Income or the Main Fund) through its purchase of business development company (BDC) shares in the Main Fund. The Main Fund is an unlevered vehicle that utilizes a modest bank line that is intended to function as a liquidity facility only. The Main Fund, in combination with New Mountain Guardian IV BDC, L.L.C., is part of the fourth fund (Fund IV) in a series of private credit funds managed by New Mountain Capital, LLC (NMC). NMC focuses on direct lending to U.S. middle and upper middle market companies and intends to pursue the same investment strategy with Fund IV as with its predecessor funds. The portfolio has approximately 116 obligors totaling $483 million as of December 31, 2025. The investment portfolio includes first- and second-lien loans, as well as a small portion of mezzanine loans. NMG Income's final draw was December 2025. Following the final draw, NMG Income will have an investment period ending in March 2029 and a two-year amortization period, with up to two one-year extension options. During the amortization period, interest and principal on the Class A Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes will be paid sequentially. The credit ratings on the Rated Notes are supported by the Feeder Fund's BDC shares in the Main Fund, which is considered a strategic investment vehicle managed by NMC. The Main Fund is an unleveraged vehicle that is part of Fund IV in a series of funds managed by NMC, where the previous funds have demonstrated a strong investment and performance track record. As part of its surveillance process, Morningstar DBRS analyzed the current investment portfolio, which is largely ramped, and compared this with the expected portfolio that was constructed based on NMC's historical track record in the fund series, and expectations for NMG Income. The portfolio is ramping as expected. For the Class A Notes, Morningstar DBRS used specific documentation parameters including eligibility criteria, concentration limits, and overcollateralization tests, among other factors, to construct a worst-case scenario in assigning the credit rating. Specifically, Morningstar DBRS uses its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, industry diversity, and seniority of each debt investment. Morningstar DBRS has privately assessed the credit quality of the debt investments made into the Main Fund, and these results have been in line with expectations. As investments are made within NMG Income, Morningstar DBRS will continue to assess the credit quality of a majority of the investments in the portfolio. These portfolio characteristics are aggregated to determine the fund ACR ranges applicable to the Rated Notes. The investments within NMG Income, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio of approximately 35%. While the Main Fund is a BDC, it has a term and is not intended to be perpetual. It is similar to a closed-end fund with a term, but with additional regulatory requirements that increase transparency. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. The Main Fund had a subscription line that has been terminated as all capital has been called. Morningstar DBRS analysis, which incorporates the aforementioned analytical factors, implies credit ratings of AA for the Class A Notes, "A" for the Class B Notes, BBB for the Class C Notes, and BB for the Class D Notes. This rating level incorporates a strong fund manager review, fund composition, and quantitative modelling. The AA (low) credit rating on the Class A Notes, A (low) credit rating on the Class B Notes, BBB (low) credit rating on the Class C Notes, and BB (low) credit rating on the Class D Notes are each one notch lower than the implied ratings mentioned above because of the effective subordination of the Rated Notes claim on the Main Fund assets. Notes: All figures are in U.S. dollars unless otherwise noted. NEW MOUNTAIN IV FEEDER III: DBRS Confirms BB(low) on Cl. C Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on New Mountain Guardian IV Rated Feeder III, Ltd. (the Feeder Fund), including the Class A-2a Senior Secured Deferrable Floating Rate Notes due 2037 (the Class A-2a Notes) at AA (low), the Class A-2b Senior Secured Deferrable Floating Rate Notes due 2037 (the Class A-2b Notes) at A (low), and the Class C Senior Secured Deferrable Floating Rate Notes due 2037 (the Class C Notes) at BB (low) (together, the Rated Notes). All credit ratings have Stable trends. The credit ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS Morningstar DBRS could upgrade the credit ratings if the composition of the fund were to (1) be of a higher credit quality than anticipated; (2) include a higher percentage of first-lien senior secured loans; and/or (3) remain highly diversified. Additionally, Morningstar DBRS could upgrade the credit ratings if the New Mountain Guardian IV BDC, L.L.C. (NMG IV or the Main Fund) senior secured debt facilities were paid down and terminated. Morningstar DBRS could downgrade the credit ratings if the asset analysis assessment were weaker than anticipated, which could be driven by (1) weaker-than-expected credit and/or recovery risk of individual investments, (2) significantly less diversity in portfolio investments than in the current pool, (3) persistently lower fund asset coverage ratios (ACRs) than anticipated without a credible plan to remediate, and/or (4) ineffective management of foreign exchange risk and outsized non-USD investments. Additionally, Morningstar DBRS could downgrade the investment-grade debt credit ratings if the fixed-charge coverage ratio were maintained at less than 1.5 times (x) for an extended period without a credible plan for remediation. CREDIT RATING RATIONALE The credit ratings are supported by the Feeder Fund's ownership in the Main Fund, which is considered a strategic investment vehicle managed by New Mountain Capital, LLC (NMC). The Main Fund is the fourth in a series of funds managed by NMC, wherein the previous funds have demonstrated a strong investment and performance track record. Given NMC's demonstrated track record of underwriting and risk management, as well as successful initial fundraising for the Main Fund, Morningstar DBRS assumes NMG IV will continue to ramp up as anticipated. Morningstar DBRS reviewed the loan-level details of the actual investments in the Main Fund. Specifically, Morningstar DBRS used its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and expected recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, and industry diversity and seniority of each debt investment. Morningstar DBRS privately assessed the credit quality of a majority of the debt investments in the Main Fund and used these assessments within its modeling tools. As investments are made within NMG IV, Morningstar DBRS expects to continue to assess the credit quality of a majority of the investments in the portfolio. Additionally, foreign exchange (FX) risk was assessed and reflected in the fund's ACR range. The FX assessment considers the Main Fund's modest exposure to non-U.S.-dollar-denominated investments and the fund manager's FX management capabilities and expertise. These portfolio characteristics are aggregated to determine the ACR ranges applicable to the Rated Notes. The investments within NMG IV, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio (LTV) of about 35%. While the Main Fund is a business development company (BDC), it has a term and is not intended to be perpetual. It is similar to a general partner/limited partner fund, but with additional disclosure requirements consistent w/BDCs. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. The Main Fund uses leverage via asset-backed facilities and is expected to maintain fund-level leverage of approximately 0.75:1 at NMG IV, but maintains additional capacity in its bank facilities as a source of liquidity. The Main Fund had a subscription line that has been terminated as all capital has been called. Morningstar DBRS' analysis, which incorporates the aforementioned analytical factors, implies a credit rating of AA for the Class A-2a Notes, "A" for the Class A-2b Notes, and BB for the Class C Notes. This credit rating level incorporates a strong fund manager assessment, actual fund composition, assessment of credit quality on existing and anticipated investments, and quantitative modeling. Morningstar DBRS used the low end within the fund ACR ranges for the Rated Notes. The cumulative advance rates on the Rated Notes are based on the above assessment, resulting in a cumulative advance rate of 56% for the Class A-2a Notes, 67% for the Class A-2b Notes, and 79% for the Class C Notes. The cumulative advance rate for the Class A-2a Notes of 56% conservatively assumes that the asset-backed facilities have been maximized, given the relatively higher implied credit rating of AA, while the cumulative advance rates for the Class A-2b Notes and Class C Notes consider expected usage of the asset-backed facilities. The AA (low) credit rating on the Class A-2a Notes, A (low) credit rating on the Class A-2b Notes, and BB (low) credit rating on the Class C Notes are each one notch lower than the implied credit ratings mentioned above as a result of the effective subordination of the Rated Notes' claim on the Main Fund assets, and the senior position of the asset-backed facilities. Notes: All figures are in U.S. dollars unless otherwise noted. NMR TRUST 2026-CGCTR: DBRS Gives (P)BB(low) Rating on Cl. E Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-CGCTR (the Certificates) to be issued by NMR Trust 2026-CGCTR (NMR 2026-CGCTR): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The NMR 2026-CGCTR single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in Citigroup Center, an 805,877-square-foot (sf), 34-story, Class A office tower in Miami. The property is centrally located in downtown Miami near Brightline's Miami Central Station, South Beach, and Miami International Airport. Moreover, various entertainment options and eateries are within walking distance of the property. The property was developed in 1983, and the current sponsor renovated it in 2021 for $298.5 million ($370.4 per square foot (psf)) and has since invested $30.7 million ($38.1 psf) for a total cost basis of approximately $358.7 million ($445.1 psf). The renovations were aimed at elevating tenants' experience with a new valet program, a newly renovated lobby with a cafe, and a 6,700-sf vibrant indoor/outdoor restaurant, Cactus Club. As part of the renovations beginning in Q3 2022, the building features 130,299 sf of move-in ready spec suites, which have been highly sought after by small- to midsized firms as they offer high-end, turn-key office solutions that allow tenants to move in immediately. Because of the success of the capex project, the borrower's future capex budget of $8.9 million includes the renovation of an additional 37,740 sf in a fourth phase of the buildout program. Citigroup Center is one of the largest Class A office buildings in Florida in terms of square footage; as of April 2026, the property was 74.9% leased with a weighted-average remaining lease term (WARLT) of 5.2 years. The largest tenant, Citigroup (Citi), has maintained tenure in the building since the early 1990s; its latest lease commencement for 122,678 sf (15.2% of net rentable area (NRA)) began in January 2015 and expires in January 2030. Since January 2025, 102,839 sf (12.8% of NRA) has been newly leased at base rents approximately 31.8% lease spreads. Overall, 146,485 sf in new, renewal, or expansion leasing has occurred during the same timeframe. Of the 10 investment-grade tenants at the property, three, making up 4.1% of the total NRA, meet the Morningstar DBRS long-term credit tenant criteria, with leases expiring three years beyond the fully extended loan term. Senior loan proceeds of $216.8 million ($269.0 psf) along with $58.2 million ($72.0 psf) of mezzanine debt will be used to refinance existing debt of $215.9 million; return $10.1 million equity to the sponsor; fund contractual tenant improvements/leasing commission, upfront tax and insurance reserves, free rent, and gap rent; and cover closing costs. About $26.2 million of the total $58.2 million mezzanine debt will be funded in the future. MRESS TRS SN I LLC is expected to provide $26.2 million of future mezzanine financing for funding of future leasing costs, including tenant improvements, leasing commissions, and capex. The sponsor for this transaction is a joint venture among Monarch Alternative Capital (Monarch), Tourmaline, and CP Group. CP Group originally owned 100.0% of the property prior to Monarch Alternative Capital and Tourmaline acquiring a 98.8% interest in the property with CP Group retaining a 1.2% interest Monarch is a global opportunistic credit and real estate investment firm. With more than 30 years of experience, Monarch has approximately $16.0 billion in assets under management. CP Group is a vertically integrated commercial real estate firm and value-add investor primarily focused on the Sunbelt market. The firm has acquired, repositioned, and operated over 170 office and mixed-use properties, totaling more than 64.0 million sf valued at approximately $8.0 billion. Tourmaline was recently founded in 2021 and is an active real estate owner and operator with approximately $3.0 billion in closed transactions to date. The firm manages approximately 5.7 million sf across 14 assets, including two office properties in Miami. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. 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. OAKTREE CLO 2024-26: S&P Assigns (P) BB-(sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D1-R, D2-R, and E-R debt and proposed new class X debt from Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 LLC, a CLO managed by Oaktree CLO Management Co. LLC that was originally issued in May 2024. The preliminary ratings are based on information as of April 10, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A1, A2, B, C, D1, D2, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D1-R, D2-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 and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D1-R, D2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The stated maturity, reinvestment period, and non-call period will be extended by two years. -- The non-call period will be extended to April 20, 2028. -- The reinvestment period will be extended to April 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to April 20, 2039. -- No additional assets will be purchased on the April 20, 2026, refinancing date, and the target initial par amount will remain at $400 mil. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- Proposed new class X debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the first eight payment dates in equal installments of $375,000, beginning on the July 20, 2026, payment date and ending April 20, 2028. -- 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 Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 LLC Class X, $3.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D1-R (deferrable), $24.00 million: BBB- (sf) Class D2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 LLC Subordinated notes, $38.00 million: NR NR--Not rated. OBX TRUST 2026-AHC1: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3(sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Cl. A-1A Loans assigned on April 03, 2026, because the Cl. A-1A Loans was not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.51%, 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 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. OBX TRUST 2026-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 64 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-INV2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages that OBX purchased from Bank of America, National Association, who in turn aggregated them from multiple originators, including PennyMac Loan Services, LLC ("PennyMac"; 94.3% by balance), and from aggregator MAXEX Clearing LLC (MAXEX; 0.9% by balance). PennyMac (94.3% by balance) and NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint"; 5.7% by balance) are the servicers. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV2 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-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, 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) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A 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 0.65%, in a baseline scenario-median is 0.38% and reaches 6.78% 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. OCTAGON 64: Fitch Affirms BB+sf Rating on Class E Notes ------------------------------------------------------- Fitch Ratings has affirmed the ratings on seven classes of notes for Octagon 64, Ltd. (Octagon 64). Fitch has also revised the Rating Outlook on the class E notes to Negative from Stable. The Outlook remains Stable for all other rated tranches. Entity/Debt Rating Prior ----------- ------ ----- Octagon 64, Ltd. A-1-R 67579AAW7 LT AAAsf Affirmed AAAsf A-2-R 67579AAY3 LT AAAsf Affirmed AAAsf B-1-R 67579ABA4 LT AA+sf Affirmed AA+sf B-2 67579AAU1 LT AA+sf Affirmed AA+sf C-R 67579ABC0 LT A+sf Affirmed A+sf D-R 67579ABE6 LT BBB+sf Affirmed BBB+sf E 67579BAA3 LT BB+sf Affirmed BB+sf Transaction Summary Octagon 64 is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Credit Investors, LLC that originally closed in June 2022. The transaction was partially refinanced in June 2025 and will exit its reinvestment period in July 2027. This transaction is secured primarily by first lien senior secured leveraged loans. KEY RATING DRIVERS Cumulative Par Losses and Compressed Portfolio Spread The Negative Outlook on the class E notes is driven by cumulative portfolio par losses increasing to 1.4% from 0.4% since refinancing in June 2025, based on the collateral balance adjusted for trustee-reported recovery amounts on defaulted and deferring assets against the post-refinancing target portfolio par amount. Portfolio losses stemmed from defaults and credit risk sales, reducing credit enhancement levels and eroding breakeven default rate cushions for the rated notes. The reported minimum floating spread decreased to 3.02% from 3.18% since refinancing. The reported minimum floating spread and minimum fixed coupon tests have failed since January 2025. Stable Credit Quality and Portfolio Composition The credit quality of the performing portfolio has remained at the 'B'/'B-' rating level since last review. As of March, the Fitch-calculated weighted average rating factor (WARF) of the performing portfolio remained stable at 24.1 since refinancing. The portfolio includes 418 obligors, with the top 10 obligors accounting for 7.0% of the portfolio balance, versus 411 obligors and 7.7% at refinancing. Exposure to assets with a Negative Outlook and Fitch's watchlist currently stands at 12.9% and 5.7%, respectively. There is one Fitch recognized default, comprising 0.2% of the portfolio. Cash Flow Analysis Fitch ran its cash flow analysis of the current portfolios. The affirmations are in line with their model-implied ratings (MIRs), except for the class E notes whose ratings are two notches above MIRs. As the transaction remains in its reinvestment period, with the potential of portfolio improvement, Fitch affirmed the rating on all classes and revised the Outlook to Negative from Stable for class E notes due to its sensitivity to further portfolio deterioration and portfolio loss. The Stable Outlooks of all other rated tranches reflect Fitch's expectation that the notes have sufficient credit protection to withstand potential deterioration in the credit quality of the portfolios under stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two categories, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, a 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to one category based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 64, 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. OHA CREDIT XV: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to OHA Credit Partners XV, Ltd. reset transaction. Entity/Debt Rating ----------- ------ OHA Credit Partners XV, Ltd. A-1-R2 LT AAA(EXP)sf Expected Rating A-2-R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA(EXP)sf Expected Rating C-R2 LT A(EXP)sf Expected Rating D1-R2 LT BBB-(EXP)sf Expected Rating D2-R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary OHA Credit Partners XV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. It originally closed on Dec. 21, 2017, and refinanced on March 28, 2024. This is the second refinancing where the existing secured notes will be refinanced in whole on May 1, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $597 million of primarily first lien senior secured leveraged loans (excluding defaulted obligations). 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 23.52 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.77% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.59% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% 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, floored at six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1-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 D1-R2, between less than 'B-sf' and 'BB+sf' for class D2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AAsf' for class C-R2, 'A-sf' for class D1-R2, 'BBB+sf' for class D2-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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Partners XV, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PALMER SQUARE 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, and D-R debt from Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC, a CLO managed by Palmer Square Capital Management LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A, B, C, and D debt following payment in full on the April 10, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was 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 replacement class A-R, B-R, C-R, and D-R debt was issued at a lower spread over three-month term SOFR than the previous debt. -- The non-call period was extended to April 10, 2027. -- No additional assets were purchased on the April 10, 2026, refinancing date. 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-R, $352.00 million: Three-month CME term SOFR + 1.24% -- Class B-R, $66.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $33.00 million: Three-month CME term SOFR + 1.95% -- Class D-R (deferrable), $33.00 million: Three-month CME term SOFR + 3.10% Previous debt -- Class A, $352.00 million: Three-month CME term SOFR + 1.50% -- Class B, $66.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $33.00 million: Three-month CME term SOFR + 2.30% -- Class D (deferrable), $33.00 million: Three-month CME term SOFR + 3.40% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC Class A-R, $352.00 million: AAA (sf) Class B-R, $66.00 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Class D-R (deferrable), $33.00 million: BBB- (sf) Ratings Withdrawn Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC Class E (deferrable): BB- (sf) Other Debt Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC Subordinated notes, $48.80 million: NR NR--Not rated. PARK AVENUE 2022-1: S&P Lowers Class D Notes Rating to 'B+ (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D debt from Park Avenue Institutional Advisers CLO Ltd. 2022-1 and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1, A-2, B-1, B-2, C-1, and C-2 debt from the same transaction. The transaction, managed by HPS Investment Partners LLC, is a collateralized loan obligation that closed in 2024. It is still reinvesting and will exit its reinvestment period in April 2027. On Feb. 5, 2026, S&P placed its rating on the class D debt on CreditWatch with negative implications primarily due to the relevant class's decreased credit support, the portfolio's par losses since the 2022 closing, and indicative cash flow results. The rating actions follow its review of the transaction's performance using data from the February 2026 trustee report. All reported overcollateralization (O/C) ratios have declined compared to those at close: -- The class A O/C ratio declined to 130.04% from 131.58%. -- The class B O/C ratio declined to 120.53% from 121.95%. -- The class C O/C ratio declined to 112.31% from 113.64%. -- The class D O/C ratio declined to 107.43% from 108.70%. The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since closing. All coverage tests are currently passing with adequate cushion. Additionally, the reinvestment overcollateralization test, which measures the O/C level at class D, declined to 107.43% from 108.7%; it is still passing. In case this test is not satisfied during the reinvestment period, the lesser of 50.00% of remaining interest proceeds or the amount necessary to bring the test back into compliance at the discretion of the manager will be deposited into the principal collection account for the purchase of additional collateral obligations or will be allocated toward the paydown of the senior notes according to the principal payment sequence. Assets rated in the 'CCC' category increased to $12.26 million from $2.00 million, as of the February 2026 trustee report and close in 2022, respectively, and the decline in the portfolio's weighted average spread and recovery rates have constricted the break-even default rates, resulting in overall weakened cash flow results. The lowered rating on the class D debt reflects the deterioration in the transaction's credit profile since our previous review and the cash flow failure at the prior rating level. S&P said, "Although our cash flow results indicated a lower rating on class D, on a standalone basis, we restricted the downgrade to one notch after considering qualitative factors including its credit enhancement and the relatively low exposure to 'CCC/CCC-' and 'D/SD' rated collateral obligation." On a standalone basis, the results of the cash flow analysis indicated lower ratings on class C-2 than the ratings reflected in today's rating actions. S&P said, "However, we affirmed the rating after considering the margin of failure, the credit support commensurate with the current rating level, and the relatively low exposure to 'CCC/CCC-' and 'D/SD' rated collateral obligations." The affirmed ratings reflect adequate credit support at the current rating levels. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches." The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Park Avenue Institutional Advisers CLO Ltd. 2022-1. Class D to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Park Avenue Institutional Advisers CLO Ltd. 2022-1 Class A-1: AAA (sf) Class A-2: AA (sf) Class B-1: A (sf) Class B-2: A (sf) Class C-1: BBB+ (sf) Class C-2: BBB- (sf) PCY TRUST 2026-FCMT: Fitch Assigns 'BBsf' Final Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to PCY Trust 2026-FCMT commercial mortgage pass-through certificates, series 2026-FCMT (PCY 2026-FCMT) as follows: - $284,300,000a class A 'AAAsf'; Outlook Stable; - $48,900,000a class B 'AA-sf'; Outlook Stable; - $38,400,000a class C 'A-sf'; Outlook Stable; - $54,200,000a class D 'BBB-sf'; Outlook Stable; - $15,950,000a class E 'BB+sf'; Outlook Stable; - $23,250,000ab class HRR 'BBsf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. The ratings are based on information provided by the issuer as of April 10, 2026. Transaction Summary PCY 2026-FCMT represents the beneficial interest in a trust that holds a five-year, fixed-rate, interest-only $465.0 million mortgage loan. The loan is secured by the fee simple interest in the 866,315-sf (646,900 collateral sf) Fashion Centre Mall, a super-regional mall, the 12-story (168,356 sf) Metro Tower at Pentagon City (an office building), and the leased fee interest in the Ritz-Carlton Pentagon City located in Arlington, VA. Loan proceeds, along with approximately $29.9 million of sponsor equity, were used to refinance $455.0 million of existing debt, fund about $26.6 million of outstanding tenant improvements and leasing commissions (TI/LCs) and approximately $3.3 million of gap/free rent, and pay closing costs. The loan is sponsored by Simon Property Group L.P. (Simon) and Institutional Mall Investors LLC (IMI). The loan was co-originated by Goldman Sachs Bank USA, Wells Fargo Bank, National Association and Barclays Capital Real Estate Inc. Midland Loan Services, a Division of PNC Bank, National Association, will be the servicer, and Situs Holdings LLC will be the special servicer. Computershare Trust Company, National Association will be the trustee, certificate administrator and custodian. Park Bridge Lender Services LLC will be the operating advisor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the property is estimated at $40.6 million after deducting for the portion of Fitch's NCF attributable to Macy's, which is subject to a free release. Fitch applied a 7.75% cap rate to derive a Fitch value of $524.1 million. Fitch's unadjusted NCF is $40.8 million. This is 12.5% lower than the issuer's NCF of $46.7 million. Moderate Fitch Stressed Leverage: The $465.0 million mortgage loan equates to total senior debt of $570 psf, with a Fitch stressed debt service coverage ratio, loan-to-value ratio and debt yield of 1.00x, 88.7% and 8.7%, respectively. The mortgage loan represents 59.8% of the property's as-is appraised value of $777.7 million. Strong Competitive Position: The collateral comprises a super-regional mall, an office tower and the ground beneath a Ritz-Carlton hotel in Arlington, VA, situated at the confluence of I-395 and US-1, just south of Washington, D.C. The mall hosts a tenancy lineup that includes Macy's (leased fee), Nordstrom (noncollateral), Zara, Primark, Uniqlo and Apple. It operates within a primary trade area (five-mile radius) that includes approximately 820,000 residents with an average household income of roughly $150,000. Nearby malls include Ballston Quarter (three miles), Tanger Outlets (six miles), Springfield Town Center (nine miles) and The Mall at Prince Georges (nine miles). Strong Sales Performance: The property, excluding the Ritz-Carlton and non-collateral anchor Nordstrom, reported strong overall sales of about $270.5 million in 2023, $283.5 million in 2024, and $285.7 million in 2025. The Fitch-comparable in-line sales for 2023 through 2025 were $1,014 psf ($783 psf excluding Apple), $1,015 psf ($823 psf) and $1,024 psf ($832 psf), respectively. The Fitch-comparable in-line occupancy cost was 16.8% (20.0% excluding Apple) as of YE 2025. Fashion Centre Mall's Fitch comparable 2025 in-line sales of $832 psf (ex. Apple) are significantly higher than its competitive set's average sales of $500 psf, per Green Street as of March 2026. Institutional Sponsorship and Management: The loan is sponsored by Simon and IMI. Simon (NYSE: SPG), an S&P 100 company, is a fully integrated real estate company that owns shopping, dining, entertainment and mixed-use destinations across North America, Europe and Asia. Its portfolio spans 212 income-producing properties spanning 188.4 million sf across 37 states and Puerto Rico. IMI is a co-investment venture owned by California Public Employees' Retirement System (CalPERS), the nation's largest public pension fund, and an affiliate of Miller Capital Advisory, which serves as investment manager for CalPERS. The IMI portfolio features some of the most dominant super-regional malls in the U.S., including but not limited to Houston Galleria, Oakbrook Center and Scottsdale Fashion Square. 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'/'BBsf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-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'/'BBsf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBB-sf'/'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers 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. PMT LOAN 2026-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 71 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-INV4, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-37, Definitive Rating Assigned Aaa (sf) Cl. A-37X*, Definitive Rating Assigned Aaa (sf) Cl. A-38, Definitive Rating Assigned Aaa (sf) Cl. A-38X*, Definitive Rating Assigned Aaa (sf) Cl. A-39, Definitive Rating Assigned Aaa (sf) Cl. A-39X*, Definitive Rating Assigned Aaa (sf) Cl. A-40, Definitive Rating Assigned Aaa (sf) Cl. A-40X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on March 25, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.48% and reaches 7.80% at a stress level consistent with oue Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PNW TRUST 2026-ARTE: Moody's Assigns B2 Rating to Cl. F Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by PNW Trust 2026-ARTE, Commercial Mortgage Pass-Through Certificates, Series 2026-ARTE: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first-lien mortgage on the borrower's fee simple interest in 788 106th Ave (the "Property"), a Class A office building located in downtown Bellevue, WA. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Artise is a 25-story, Class A office tower located at the corner of NE 8th Avenue and 106th Avenue in downtown Bellevue, WA. The tower was developed in 2024 encompassing 606,583 SF of premium office space and 5,282 SF of ground floor retail space. The Property is 99.1% leased to Amazon, who executed a long-term lease prior to the groundbreaking of its construction. Amazon is still completing its interior buildout with a targeted occupancy date for later this year. The Property was developed to align with Amazon's broader corporate strategy of expanded headcount in Bellevue. Over 3,000 employees are expected to work out of the tower five days a week. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The 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 0.99X and Moody's first mortgage actual stressed DSCR is 0.67X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $525,000,000 represents a Moody's LTV ratio of 124.9% based on Moody's value. The adjusted Moody's LTV ratio for the first mortgage balance is 124.8% (compared to 124.3% at Moody's provisional ratings) 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 property's overall quality grade is 0.25. Notable strengths of the transaction include: superior asset quality, long-term investment-grade tenancy, Amazon's commitment to the market, location, below-market rent, and experienced sponsorship with deep market knowledge. Notable concerns of the transaction include: single tenancy, Amazon's corporate layoffs planned, soft market fundamentals, high MLTV, full-term IO, single asset transaction, and legal considerations. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. PRKCM 2026-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 1,037 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. S&P said, "After we assigned preliminary ratings on April 6, 2026, three loans were dropped from the pool and the resulting pool balance reduction was distributed proportionally among the classes, which resulted in no change in credit enhancement. The class A-1FCF and A-1LCF notes were also removed. After reviewing the final structure, we assigned final ratings that are consistent with the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage 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." Ratings Assigned(i) PRKCM 2026-AFC2 Trust Class A-1A, $262,689,000: AAA (sf) Class A-1B, $39,208,000: AAA (sf) Class A-1, $301,897,000: AAA (sf) Class A-2, $31,562,000: AA (sf) Class A-3, $23,721,000: A+ (sf) Class M-1, $16,075,000: BBB (sf) Class B-1, $8,430,000: BB (sf) Class B-2, $5,881,000: B (sf) Class B-3, $4,509,130: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class R, Not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is currently $392,075,130 and equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. RAD CLO 14: Moody's Downgrades Rating on $20MM Class E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following note issued by Rad CLO 14, Ltd.: US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B3 (sf); previously on December 14, 2021 Assigned Ba3 (sf) Rad CLO 14, Ltd., originally issued in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's March 2026 report[1], the OC ratio for the Class E notes is reported at 105.13% versus March 2025[2] level of 107.35%. Furthermore, the trustee-reported weighted average spread (WAS) [3] have been deteriorating and the current levels are 3.07% compared to 3.35%, respectively, in March 2025 [4]. No action was taken on the Class A 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: $483,221,307 Defaulted par: 1,776,951 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2922 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 45.99% Weighted Average Life (WAL): 4.91 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 this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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. REPUBLIC FINANCE 2026-A: S&P Assigns Prelim BB+ Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Republic Finance Issuance Trust 2026-A's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of April 16, 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: -- Initial hard enhancement of approximately 38.75%, 29.00%, 20.00%, 13.25%, and 8.25% for the class A, B, C, D, and E notes, respectively, including the nonamortizing reserve account. -- The fully funded, nonamortizing reserve account of $2.83 million (approximately 0.75% of the initial loan pool). -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- S&P said, "Our worst-case, weighted average base-case loss for this transaction of 15.79%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Our base case also accounts for historical volatility observed in annualized gross loss rates for Republic Finance LLC's managed loan portfolio over time." -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 16, 2025. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $28.30 million (approximately 7.50% of the initial loan pool). -- The transaction's legal structure. -- In rating this transaction, S&P Global Ratings will review the relevant legal matters outlined in its criteria. Preliminary Ratings Assigned(i) Republic Finance Issuance Trust 2026-A Class A, $233.91 million: AAA (sf) Class B, $36.78 million: AA+ (sf) Class C, $33.95 million: A+ (sf) Class D, $25.47 million: BBB (sf) Class E, $18.86 million: BB+ (sf) (i)The actual size of these tranches will be determined on the pricing date. ROWE CLO 2026-1: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by ROWE CLO 2026-1 Ltd. (the Issuer or ROWE 2026-1): US$186,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$70,000,000 Class A-1 Loans maturing 2039, Assigned Aaa (sf) US$500,000 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-1 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. ROWE 2026-1 is a managed cash flow CLO. The issued debt 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 not senior secured loans. The portfolio is approximately 85% ramped as of the closing date. T. Rowe Price Associates, Inc. (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. This is the Manager's first CLO. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2974 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. SARATOGA INVESTMENT 2013-1: Moody's Cuts E-R-3 Notes Rating to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Saratoga Investment Corp. CLO 2013-1, Ltd.: US$26,000,000 Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class C-FL-R-3" Notes), Upgraded to Aa1 (sf); previously on March 26, 2024 Upgraded to Aa3 (sf) US$6,500,000 Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes due 2033 (the "Class C-FXD-R-3" Notes), Upgraded to Aa1 (sf); previously on March 26, 2024 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$27,625,000 Class E-R-3 Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class E-R-3" Notes), Downgraded to B1 (sf); previously on February 26, 2021 Definitive Rating Assigned Ba3 (sf) Saratoga Investment Corp. CLO 2013-1, Ltd., originally issued in October 2013 and last partially refinanced in June 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since March 2025. The Class A-1-R-4 notes have been paid down by approximately 42.07% or $113.9 million since March 2025. Based on the trustee's March 2026 report [1], the OC ratios for the Class C notes are reported at 125.90% versus in March 2025 [2], level of 119.34%. The downgrade rating action on the Class E-R-3 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 transaction has lost approximately 5.7% of the initial par amount, or $37 million since closing. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level is 3.43% in March 2026 report [3], compared to 3.64% in March 2025 [4]. No actions were taken on the Class A-1-R-4, Class A-2-R-4, Class B-FL-R-3, Class B-FXD-R-3 and Class D-R-3 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: $411,652,216 Defaulted par: $8,116,580 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2866 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.47% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.28% Weighted Average Life (WAL): 3.8 years Par haircut in OC tests and interest diversion test: 0.48% 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, 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. SILVER POINT 17: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 17, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 17, Ltd. A-1 LT NRsf N ew Rating A-1A LT NRsf New Rating A-1B 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 Equity LT NRsf New Rating F LT NRsf New Rating Transaction Summary Silver Point CLO 17, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point CLO Equity Fund II Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans and has a weighted average recovery assumption of 74.81%. 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 17, 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. SILVER POINT 17: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued and two classes of loans incurred by Silver Point CLO 17, Ltd. (the Issuer or Silver Point 17): US$70,000,000 Class A-1 Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$161,000,000 Class A-1A Loans maturing 2039, Assigned Aaa (sf) US$84,000,000 Class A-1B Loans maturing 2039, Assigned Aaa (sf) US$250,000 Class F Secured 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-1A Loans and Class A-1B 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. Silver Point 17 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 not senior secured loans or eligible investments. The portfolio is approximately 90% ramped as of the closing date. Silver Point CLO Equity Fund II Manager, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2799 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or 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. STEELE CREEK 2014-1R: Moody's Cuts $18.9MM E Notes Rating to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Steele Creek CLO 2014-1R, Ltd.: US$26,400,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Aa2 (sf); previously on October 15, 2025 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$18,900,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on October 15, 2025 Downgraded to Caa1 (sf) Steele Creek CLO 2014-1R, Ltd., issued in March 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2022. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2025. The Class B notes have been paid down in full and the Class C notes have been paid down by approximately 16.9% or $4.1 million since then. Based on Moody's calculations, the OC ratio for the Class D notes is currently 140.35%, versus October 2025 level of 125.83%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and par loss 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 3425 compared to 3140 in October 2025. Furthermore, based on Moody's calculations, the OC ratio for the Class E notes is currently 99.59%, versus October 2025 level of 102.62%. No action was taken on the Class C notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $64,819,267 Defaulted par: $4,862,317 Diversity Score: 27 Weighted Average Rating Factor (WARF): 3425 Weighted Average Spread (WAS): 3.17% Weighted Average Recovery Rate (WARR): 46.77% Weighted Average Life (WAL): 2.41 years Par haircut in OC tests and interest diversion test: 6.75% 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. TIKEHAU US I: Moody's Cuts Rating on $24MM Class D Notes to Ba1 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Tikehau US CLO I Ltd.: US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2035, Downgraded to Ba1 (sf); previously on December 23, 2021 Assigned Baa3 (sf) US$21,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B2 (sf); previously on December 23, 2021 Assigned Ba3 (sf) Tikehau US CLO I Ltd., issued in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class D and Class E notes reflect the specific risks to more junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's March 2026 report, the OC ratios for the CLO Class D and Class E notes were 110.52% and 104.22%, respectively[1] versus 112.57% and 106.15%, respectively[2] in March 2025. Additionally, based on the trustee March 2026 report, the weighted average rating factor (WARF) has been deteriorating and the current level is 3038[3], compared to 2944[4] in March 2025, failing the maximum test level of 2822. No actions were taken on the Class A-1, Class A-2, Class B, and Class C notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $382,352,778 Defaulted par: $4,845,895 Diversity Score: 69 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.24% Weighted Average Recovery Rate (WARR): 45.13% Weighted Average Life (WAL): 5.0 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. TRAPEZA CDO III: Moody's Upgrades Ratings on 2 Tranches to Ba3 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Trapeza CDO III, LLC: US$31,250,000 Class C-1 Fourth Priority Secured Floating Rate Notes due 2034 (current balance of $34,555,188), Upgraded to Ba3 (sf); previously on March 10, 2023 Upgraded to B1 (sf) US$31,250,000 Class C-2 Fourth Priority Senior Secured Fixed/Floating Rate Notes due 2034 (current balance of $34,555,188), Upgraded to Ba3 (sf); previously on March 10, 2023 Upgraded to B1 (sf) Trapeza CDO III, LLC, issued in June 2003, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the senior notes, resulting in increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since April 2025. Since April 2025, the Class B notes have paid down in full by approximately $7.0 million, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class C notes has improved to 109.17% from April 2025 level of 107.40%. The Class C-1 and C-2 notes will continue to benefit from the diversion of excess interest and the proceeds from redemptions of any assets in the collateral pool. Furthermore, the deal has benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 777 from 841 in April 2025. Additionally, the Class C-1 and C-2 notes deferred interest balance was reduced to $3.3 million from $4.6 million in April 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $75.4 million Defaulted/deferring par: $33.4 million Weighted average default probability: 5.19% (implying a WARF of 777) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios includes, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class D and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TRINITAS CLO XXVII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt from Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in March 2024. The preliminary ratings are based on information as of April 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C-1, C-2, D-1, D-2, and E debt and assign ratings to the replacement class 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 and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class C-R and D-2-R debt is expected to be issued at a floating spread, replacing the current fixed coupon. -- The fixed rate concentration limitation will be lowered to 4%. -- The non-call period will be extended to April 18, 2028. -- The reinvestment period will be extended to April 18, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 18, 2039. -- No additional assets will be purchased on the April 20, 2026, refinancing date, and the target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 18, 2026. -- New class X debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the first nine payment dates in equal installments of $162,500, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC Class X, $1.30 million: AAA (sf) Class A-R, $315.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R, $35.00 million: A (sf) Class D-1-R, $25.00 million: BBB- (sf) Class D-2-R, $6.00 million: BBB- (sf) Class E-R, $15.75 million: BB- (sf) Other Debt Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC Subordinated notes, $50.40 million: NR NR--Not rated. VNDO TRUST 2016-350P: DBRS Hikes Rating on Cl. E Certs From Bsf --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-350P issued by VNDO Trust 2016-350P as follows: -- Class B to AAA (sf) from A (high) (sf) -- Class C to AAA (sf) from BBB (high) (sf) -- Class D to AAA (sf) from BB (high) (sf) -- Class E to AAA (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class X-A at AAA (sf) All trends are Stable. Morningstar DBRS received confirmation from the master servicer (Midland Loan Services) that a full defeasance of the collateral loan was finalized on March 10, 2026. This information is expected to be reflected with the April 2026 remittance report; the master servicer, however, has given Morningstar DBRS approval to release this information ahead of the remittance report. With the defeasance, U.S. government securities have replaced the real estate collateral. As such, the credit ratings on the subject transaction now reflect Morningstar DBRS' credit rating for the United States of America, which was confirmed at AAA with a Stable trend on March 19, 2026. For more information, please refer to the press release on the Morningstar DBRS website. Previously, the transaction was collateralized by the first mortgage on 350 Park Avenue, a Class A office property in Midtown Manhattan's Plaza District submarket between 51st Street and 52nd Street. The subject trust debt consists of a $233.3-million portion of a $400.0-million whole loan comprising four pari passu A notes ($296.0 million) and two subordinate B notes ($104.0 million). The trust debt consists of two senior A notes totaling $129.3 million and the two subordinate B notes. The two remaining A notes, totaling $166.7 million, were contributed to the GS Mortgage Securities Trust 2017-GS5 ($100.0 million; rated by Morningstar DBRS) and JPMDB Commercial Mortgage Securities Trust 2017-C5 ($66.7 million; nonrated) transactions. 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. Class X-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-LC20: DBRS Cuts Rating on Cl. X-E Certs to Csf --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-LC20 issued by Wells Fargo Commercial Mortgage Trust 2015-LC20 as follows: -- Class X-E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (low) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-B at A (sf) Morningstar DBRS discontinued the credit rating on the exchangeable Class PEX certificate as the class can no longer be exchanged according to the conditions set forth in the offering documents. The trends on Classes C and X-B were changed to Stable from Negative. All remaining classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. As of the March 2026 remittance, the trust has incurred a cumulative loss of $15.3 million and reported $5.9 million of interest shortfalls reaching up to Class D, an increase from the prior credit rating action when interest shortfalls were reported at $3.8 million. Of the seven remaining loans, five (representing about 75.0% of the pool balance) are in special servicing and two (35.0% of the pool balance) have been deemed nonrecoverable by the master servicer and will no longer receive interest advances. Given the wind-down status of the deal, Morningstar DBRS considered liquidation scenarios based on value stresses to the most recent appraised values. Individual appraisal haircuts ranged from 20.0% to 75.0%. The analysis suggests realized losses of $42.2 million in total, which would fully erode the balances of Classes F and G and almost half of the balance of Class E, supporting the credit rating confirmations as well as the credit rating downgrade to Class X-E. The current most senior certificate, Class C, has paid down by more than 75.0% from the issuance balance and the remaining balance of just over $11.0 million is well insulated from loss. Also, principal paydowns to the Hanesbrands Industrial loan (Prospectus ID#10; 15.2% of the pool balance) will continue to reduce the Class C certificate balance, further supporting the credit rating confirmation and Stable trend. The largest specially serviced loan is One Monument Place (Prospectus ID#3; 29.2% of the pool balance), which is secured by a Class A office property in Fairfax, Virginia. The loan granted several extensions with the most recent maturity extending to October 2026. The loan was converted to interest only (IO) with the borrower contributing $5.0 million in principal paydown. The property's performance remains depressed, with the occupancy rate near or below 50.0% over the last few years and debt service coverage ratios well below breakeven since 2020. The October 2025 appraisal valued the property at $21.7 million, sharply below the issuance value of $60.0 million. Although the loan is current and the borrower in compliance with the extension terms, Morningstar DBRS believes the risks remain significantly increased and analyzed the loan with a liquidation scenario based on a 35.0% haircut to the most recent value, resulting in an implied loss of $21.1 million and a loss severity of 63.3%. The Actuant HQ loan (Prospectus ID#24; 9.9% of the pool balance) is secured by a suburban office property in the Milwaukee suburb of Menomonee Falls, Wisconsin. The property has gone dark as the single tenant, Actuant Corp (operating as Enerpac Tool Group Corp., lease expired in March 2026), moved its headquarters from the subject to downtown Milwaukee in 2025. The loan passed its anticipated repayment date (ARD) in March 2025 (maturity is in March 2045) and the servicer confirmed that the loan is now hyper amortizing and is reporting current; however, there are no cash sweep provisions tied to the tenant's lease expiration or the ARD . According to Reis, as of YE2025, office properties in the Brookfield/New Berlin submarket reported a vacancy rate of 28.9% but Reis projects the vacancy rate to decline to 18.9% by 2030. Given the soft submarket and significant amount of space to backfill, Morningstar DBRS expects the loan will default in the near term when the tenant's lease payments have ceased. Morningstar DBRS analyzed the loan with a liquidation scenario based on a 75.0% haircut to the issuance value, resulting in an implied loss of $7.6 million and a loss severity of 67.5%. 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. Classes X-B and X-E are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-C33: DBRS Confirms CCCsf Rating on 2 Tranches -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C33 issued by Wells Fargo Commercial Mortgage Trust 2016-C33 as follows: -- Class X-D at BB (low) (sf) -- Class D at B (high) (sf) -- Class X-E at B (sf) -- Class E at B (low) (sf) -- Class X-F at CCC (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Classes D and X-D to Positive from Negative and changed the trends on Classes E and X-E to Stable from Negative. Classes F and X-F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). Since Morningstar DBRS' previous review in March 2025, 60 loans were fully repaid from the trust, resulting in a collateral reduction of 85.0% and the repayment of Classes A-4, A-S, X-A, B, X-B, and C. As of the March 2026 remittance, there were six loans remaining in the pool with a trust balance of $76.0 million. The credit rating confirmations reflect Morningstar DBRS' overall outlook and loss expectations for the remaining loans in the pool, two of which are in special servicing. To date, the trust has incurred losses of $12.9 million, largely tied to the Holiday Inn & Suites Parsippany Fairfield loan (Prospectus ID#20; formerly 6.3% of the pool balance), which eroded more than 40.0% of the unrated Class G certificate balance. Morningstar DBRS analyzed the pool's two specially serviced loans and the DoubleTree Seattle Airport Southcenter loan (Prospectus ID#5; 31.2% of the pool balance) with liquidation scenarios, resulting in a projected cumulative loss amount of $15.6 million. These projected losses would be contained to the unrated Class G certificate, eroding 90.0% of the remaining certificate balance. The Positive and Stable trends on Classes D, X-D, E, and X-E primarily reflect Morningstar DBRS' recoverability expectations for the Business and Research Center at Garden City loan (Prospectus ID#4; 40.3% of the pool balance). The loan, which has an outstanding balance of $30.6 million, is expected to generate sufficient proceeds to repay the majority of the Class D certificate balance, with excess liquidation proceeds supporting the full repayment of that class as well as the Class E certificate. The largest loan in special servicing, Brier Creek Corporate Center I & II (Prospectus ID#7; 24.7% of the pool balance), is secured by two Class B office buildings totaling 180,027 square feet (sf) in Raleigh Park, North Carolina. The loan transferred to the special servicer in December 2025 for imminent monetary default and is currently in the process of being modified. As of the September 2025 rent roll, Brier Creek I was 16.4% occupied and Brier Creek II was 58.3% occupied, reflecting a blended occupancy rate of 37.3%. According to the special servicer, the largest tenant, Attindas Hygiene Partners (12.8% of the consolidated net rentable area (NRA); lease expiration in March 2026) is not expected to renew its lease. According to Reis, office properties in the Research Triangle Park submarket reported a Q4 2025 vacancy rate of 28.1%, highlighting the continued stress in the submarket since the pandemic. Given the lack of leasing traction, the recent maturity default, and the absence of an updated appraisal, Morningstar DBRS liquidated the loan in its analysis based on a conservative 70.0% haircut to the issuance appraised value of $31.4 million, resulting in a total loss of $12.1 million and a loss severity of 65.0%. The Doubletree Seattle Airport Southcenter loan is secured by a 219-unit, full-service hotel at Seattle-Tacoma International Airport in Seattle, Washington. The borrower defaulted on the loan in January 2026 and was granted a 60-day forbearance in addition to a grace period, resulting in a payoff date of March 6, 2026. Morningstar DBRS has requested an update from the servicer regarding the status of the loan; however, as of the date of this press release, a response remains pending. The loan is currently cash managed, and cash trapped due to low property performance. According to the financial reporting for the trailing-12-month period ended September 30, 2025, the property generated $1.6 million of net cash flow (NCF) (a debt service coverage ratio (DSCR) of 0.81 times (x)), below the issuance figure of $3.0 million (a DSCR of 1.56x). The decline in operating performance is largely driven by an increase in expenses. Given the declining performance and recent maturity default, Morningstar DBRS considered a stressed analysis based on an anticipated as-is value decline for the underlying property. Morningstar DBRS elected to liquidate the loan based on a 40.0% haircut to the February 2023 appraised value of $37.5 million, resulting in an implied loss of $3.5 million and a loss severity of 15.0%. The largest loan remaining in the pool, Business & Research Center at Garden City, is secured by a 187,118-sf office complex in Garden City, New York. According to the servicer, the borrower was unable to pay off the loan at maturity in March 2026 and has requested a six-to-nine-month forbearance to provide additional time to close on a potential sale of the property. Operating performance at the property has remained strong, as evidenced by stable to improving year-over-year cash flows and a healthy occupancy rate, which has remained above 90.0% since issuance. According to the financial reporting for trailing-nine-month period ended September 30, 2025, the property generated an annualized NCF of $3.9 million (a DSCR of 1.59x), above the issuance figure of $3.2 million (a DSCR of 1.29x). As of the December 2025 rent roll, the property was 93.6% occupied by two tenants, both of which have lease expiration dates in 2029 and benefit from available extension options. Although the loan defaulted at maturity, Morningstar DBRS' value analysis indicates that there remains a meaningful amount of cushion against value volatility, supported by the relatively low going in loan to value ratio of 64.1% at issuance. In addition, Morningstar DBRS believes there remains significant incentive for the sponsor to remain committed to the asset, either through pursuing a sale of the property or by obtaining a maturity extension and/or contributing additional equity to secure replacement financing. 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. Classes X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WESTGATE RESORTS 2023-1: DBRS Confirms BB(low) on Class D Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed Westgate 2022-1 Class A note and upgraded Class B, C, and D notes. For Westgate 2023-1 and Westgate 2024-1 confirmed its credit ratings on all eight classes of notes.. Credit rating rationale includes the key analytical considerations. -- The transaction's capital structure and form and sufficiency of available credit enhancement (CE). -- CE is in the form of overcollateralization, reserve accounts, and excess spread. -- Westgate 2022-1 has amortized to a note factor of 4.91% and has a current cumulative net loss (CNL) to date of 16.58%. Losses have been tracking below the Morningstar DBRS' previously revised base case CNL expectations. Given the lower than expected losses, the revised loss expectation has been lowered to 20.00%. Available CE, inclusive of excess spread, has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- Westgate 2023-1 has amortized to a note factor of 44.58% and has a current CNL to date of 15.75%. Current CNL is tracking within Morningstar DBRS' revised base case CNL expectation of 24.00%. Available CE, inclusive of excess spread, has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- Westgate 2024-1 has amortized to a note factor of 56.77% and has a current CNL to date of 9.64%. Losses have been tracking within the Morningstar DBRS' base case CNL expectation of 19.95%. Available CE, inclusive of excess spread, has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- The transaction parties' capabilities with respect 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 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. RATINGS Debt Rating Action ---- ------ ------ Westgate Resorts 2022-1 LLC Timeshare Collateralized Notes Series 2022-1 Class A AAAsf Confirmed Class B AAA(high)sf Upgraded Class C A(high)sf Upgraded Class D BBB(high)sf Upgraded Westgate Resorts 2023-1 LLC Class A Notes AAAsf Confirmed Class B Notes A(low)sf Confirmed Class C Notes BBB(low)sf Confirmed Class D Notes BB(low)sf Confirmed Westgate Resorts 2024-1 LLC Timeshare Collateralized Notes, Series 2024-1 Class A AAAsf Confirmed Class B A(low)sf Confirmed Class C BBB(low)sf Confirmed Class D BB(low)sf COnfirmed ZAYO ISSUER 2026-1: Fitch Assigns BB-(EXP) Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks for Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 - $829.625 million 2026-1 class A-2 'A-sf (EXP)'; Outlook Stable; - $137.850 million 2026-1 class B 'BBB-sf (EXP)'; Outlook Stable; - $385.900 million 2026-1 class C 'BB-sf (EXP)'; Outlook Stable. Fitch does not expect to rate the following class: - $127.100 million series 2026-1, class R. Transaction Summary The transaction is a securitization of regional long-haul and metro fiber networks and certain assets related to Enterprise Connectivity Solutions, operated by Zayo Group, LLC (Zayo) for $1,353,375,000. The transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity of the asset entities and an access agreement to the managers IP Backbone. These cash flows are supported by a regional network of dark/lit long-haul fiber routes and metro market fiber connectivity services for cellular, wholesale and enterprise customers across the United States. The transaction reflects an anticipated repayment date (ARD) structure whereby all tranches will be interest-only until their five-year, soft bullet maturities, after which all excess cash flow will be swept to pay down outstanding principal balances through the 30-year legal final maturity date. Losses will be borne reverse sequentially and the transaction will reflect a structure whereby class A and B receive interest first, then principal, with deferable interest on class C. The transaction is also expected to be structured with a liquidity reserve account and triggers tied to interest coverage and total leverage levels. The transaction includes a class A-1 liquidity funding note that may be drawn, subject to certain conditions, to fund liquidity funding advances. The note balance will be $0 at issuance. The class may be drawn up to a maximum $124 million, which is sized to fund 50% of the required liquidity reserve amount. The remaining 50% will be funded in the liquidity reserve account with cash or a letter of credit. This transaction will be the fourth issuance from the Zayo Issuer, LLC master trust. It will add approximately 50,300 customer contracts, representing about $520 million in additional annualized recurring revenue (ARR), bringing the total ARR servicing the master trust to $1.34 billion as of January 2026. Among the newly contributed collateral, Zayo is including certain Enterprise Connectivity Solutions contracts as well as a majority of owned assets and equipment necessary to provide those services. This segment includes approximately 32,800 customer contracts and accounts for about $108 million, or 8.0% of the total trust's ARR. The remaining 92% of ARR consists of fiber and transport (70%) and network connectivity (22%). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $561.4 million, implying a 17.4% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 11.0x, versus the debt/issuer NCF leverage of 9.1x. The notes would be repaid approximately 19 years from closing, based on the Fitch NCF and assumed annual revenue growth of 2.0%, and following the transaction's ARD. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include: the high quality of the underlying collateral networks, high contract renewal rates, low market and industry concentration, low lease rollover risk, high historical barriers to entry, tenant quality, size and capability of the sponsor. Technology-Dependent Credit: The senior classes of this transaction do not achieve ratings above 'Asf' due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure. The securities have a rated final payment date of 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow because of higher expenses, customer churn, contract amendments, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades; Fitch's base case NCF is 17.4% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBB-sf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, lower expenses or contract amendments could lead to upgrades; A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'BBBsf'; class C from 'BB-sf' to 'BBsf'. Upgrades, however, are unlikely given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped in the 'Asf' category. ZAYO ISSUER 2026-1: Moody's Assigns (P)Ba3 Rating to Cl. C Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the secured fiber network revenue notes, series 2026-1, class A-2 notes, class B notes, and class C notes, and the secured fiber network revenue notes, series 2026-2, class A-2 notes, and class B notes (together, the 2026 notes), to be issued by Zayo Issuer, LLC (the issuer). This will be the first time that Moody's will rate the class C notes. The assets backing the 2026 notes will consist primarily of the issuer's enterprise dark and lit fiber infrastructure and related leases and underlying rights agreements, access agreements, and associated customer agreements, (collectively the fiber network) which are predominantly to medium and large corporations (the securitized assets). The issuer's fiber network stretches across 48 states and the District of Columbia at closing. The cash flows from existing and future customer agreements will be used to repay the 2026 notes. As of January 31, 2026, the securitized assets had an annualized net cash flow of about $679 million. Zayo Group, LLC (Zayo or the manager), a wholly owned subsidiary of Zayo Group Holdings, Inc. (B3 stable), is the sponsor of the transaction and the manager of the securitized assets. Founded in 2007, Zayo is one of the largest independent bandwidth infrastructure providers in the US, that operates a fiber network spanning approximately 250 North American markets with around 138,000 of fiber route miles. The securitized assets consist of approximately 65% of Zayo's entire fiber network. Zayo will also contribute its managed service segment into the master trust for the first time with the issuance of the 2026 notes. The anticipated repayment date (ARD) for the series 2026-1 notes will be April 2031. The ARD for the 2026-2 notes will be April 2036. The legal final maturity date for the 2026-1 notes will be April 2056 and for the 2026-2 notes April 2061. Issuer: Zayo Issuer, LLC Secured Fiber Network Revenue Notes, Series 2026-1, Class A-2, Assigned (P)A3 (sf) Secured Fiber Network Revenue Notes, Series 2026-2, Class A-2, Assigned (P)A3 (sf) Secured Fiber Network Revenue Notes, Series 2026-1, Class B, Assigned (P)Baa3 (sf) Secured Fiber Network Revenue Notes, Series 2026-2, Class B, Assigned (P)Baa3 (sf) Secured Fiber Network Revenue Notes, Series 2026-1, Class C, Assigned (P)Ba3 (sf) The notes are issued out of a master trust, which includes three series of notes that will remain outstanding: (1) the series 2025-1 notes, (2) the series 2025-2 notes, and (3) the series 2025-3 notes. RATINGS RATIONALE The ratings of the notes are based on (1) Moody's cumulative loan-to-value (CLTV) ratios for each class of notes, (2) the strong and stable cash flows generated by the securitized assets, which Moody's expects to have low organic growth and a low churn rate, (3) the high quality of the large, geographically diversified fiber network and associated customer agreements, which provides a number of services to a highly diversified pool of agreements in various industries, (4) the strength of the transaction structure including effective performance triggers to trap cash flows and paydown the debt if transaction performance deteriorates, including the paydown of the debt prior to the 2026 notes' ARDs, if the issuer is unable to refinance the series 2025-3, series 2025-2, and 2025-1 notes on their respective ARDs, (5) six months of liquidity to cover interest on the class A and B notes, and the transaction's cost and certain expenses, (6) the ability, experience and expertise of Zayo as the manager of the fiber network assets, (7) the role of FTI Consulting, Inc. (Ba1 stable) as the back-up manager and KeyBank National Association (KeyBank; Baa1/Baa1 positive, A3(cr), BCA baa1) as the servicer and administrator of the collateral following the occurrence of certain events, and (8) an overall credit comparison to other transactions Moody's rated under the wireless tower methodology. The securitized assets primarily include (1) the fiber optic cables and conduit, and related equipment and facilities to enable the operations of the fiber network, (2) the underlying rights agreement with property owners or other parties in order to acquire access to locations where the fiber infrastructure may be placed, (3) an agreement with Zayo that grants the issuer access to Zayo's owned assets that allow the issuer to provide certain fiber network connectivity services, and (4) current and future customer service agreements. The business of the issuer, acting through its wholly owned asset entities, is to own, manage and operate the fiber network for the delivery of: (1) dark and lit fiber infrastructure and transport services, and (2) lit fiber network connectivity services. As of January 31, 2026, the securitized assets at closing had an annualized monthly recuring revenue (AMRR) of around $1.34 billion. The pool is highly diversified with over 6,600 obligors. The top obligor accounts for around 9.2% of the AMRR, while the top 10 obligors collectively account for about 32.4% of the AMRR. The fiber network provides a number of services to customers in a variety of industries, including wireless telecom providers, financial services companies, social networking, media and web content companies, and data centers. Moody's determined the CLTV ratio for the 2026 notes from an assessment of the present value of the net cash flow the fiber network will likely generate from customer agreements (Moody's value; MV), which Moody's then used to calculate the CLTV ratio for each rated tranche. In assigning the ratings to the 2026 notes, Moody's considered various scenarios which incorporated primarily different revenue growth rates and ultimate cash flow recoveries upon a customer default. The MV for the fiber network ranged from around $6.9 billion to $7.3 billion, resulting in CLTV ratio ranges for the class A-2, class B, and class C notes of approximately 61%-65%, 71%-75%, and 84%-90%, respectively. The CLTV ratio reflects the loan-to-value ratio of the combined amounts of each class of notes and the classes that are senior to it. Interest payments on the class C notes will be fully subordinated to principal payments on the class A-2 notes and class B notes when the notes are amortizing, except after an event of default. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Digital Connectivity Securitizations" published in October 2025. The following are the key assumptions Moody's used in Moody's quantitative analysis: (1) An overall revenue growth for the securitized pool of 2% to 3% per year for the first five years after transaction closing, 2% from years 6 to 10, and 1% thereafter. Some of the securitized customer agreements include escalators, and the weighted average contract escalator for the pool is around 1.0% at closing. The increased demand of bandwidth services and the rapid growth in data center demand in the near future will drive the near term organic growth. (2) Probability of default of customers using the actual ratings or credit estimates of customers, or a low speculative-grade rating for unrated customers. (3) Recoveries following a customer default of 0% in the year following the default and rising to 80% of pre-default revenues over the two years after the default. (4) Variable expenses within the management fee which mainly includes variable operating expenses ranging from 27.0% to 38.0% of revenue based on a triangular distribution. Moody's have increased the range by 1.0% compared with prior issuances due to the inclusion of the Managed Service segment, which has a higher operating expenses. (5) Fixed expenses within the management fee which mainly include fixed operating expenses and selling, general, and administrative expense, totaling approximately $273 million per year subject to about 2% increase per year. (6) A discount rate applied to the net cash flow based on a triangular distribution anchored between 7.5% and 12.0%. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings are (1) sustained revenue growth that is significantly greater than Moody's initial expectations and (2) significant improvement in the credit quality of the customers utilizing the fiber network and connectivity services provided by the issuer. Down Factors that could lead to a downgrade of the ratings are (1) revenue growth that is materially below Moody's initial expectations, (2) a significant decline in the credit quality of the customers utilizing the fiber network and connectivity services provided by the issuer, and (3) the emergence of competing technologies that could obviate the need for the fiber network and adversely affect the network's value and revenue. Other reasons for worse-than-expected transaction performance could include poor management of the network. [] DBRS Reviews 61 Classes in Eight U.S. RMBS Transactions ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 61 classes in eight U.S. residential mortgage-backed securities (RMBS) transactions. Of the eight transactions reviewed, two are classified as reperforming mortgages, two as home equity lines of credit, two as single-family rentals, one as a warehouse facility, and one as a small-balance commercial mortgage. Of the 61 classes reviewed, Morningstar DBRS upgraded its credit ratings on four classes and confirmed its credit ratings on the remaining 57 classes. The Issuers are: FIGRE Trust 2023-HE1 PRPM 2025-RCF2, LLC Ajax Mortgage Loan Trust 2022-A Progress Residential 2024-SFR2 Trust Progress Residential 2025-SFR2 Trust Mello Warehouse Securitization Trust 2025-1 Velocity Commercial Capital Loan Trust 2025-2 Saluda Grade Alternative Mortgage Trust 2024-FIG5 The Affected Ratings are available at https://tinyurl.com/jhzjhdaz CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). 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. [] Moody's Upgrades Ratings on 50 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 50 bonds from six US residential mortgage-backed transactions (RMBS) backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2022-INV2 Cl. A-4, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4A, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IOW*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IOX*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4W, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IOW*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IOX*, Upgraded to Aaa (sf); previously on Apr 1, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-1-IOW*, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-1-IOX*, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-1W, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-2-IOW*, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-2-IOX*, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-2W, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-3-IO*, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-3-IOW*, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-3-IOX*, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-3W, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 1, 2025 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ10 Cl. B-3, Upgraded to A2 (sf); previously on Sep 5, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 5, 2024 Upgraded to Baa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ9 Cl. B-1, Upgraded to Aaa (sf); previously on Sep 5, 2024 Upgraded to Aa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 5, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jul 9, 2025 Upgraded to Ba1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ4 Cl. B-1, Upgraded to Aaa (sf); previously on Sep 5, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 5, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 9, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 9, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 9, 2025 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ5 Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 16, 2023 Upgraded to Aa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 9, 2025 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ7 Cl. B, Upgraded to Aa2 (sf); previously on Jul 9, 2025 Upgraded to Aa3 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 9, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jul 9, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jul 9, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 9, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jul 9, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Jul 9, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 9, 2025 Upgraded to Baa1 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Jul 9, 2025 Upgraded to Baa1 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Jul 9, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 9, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 9, 2025 Upgraded to Ba2 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Jul 9, 2025 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 structures, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.01% and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown, as the pools amortize. The credit enhancement since closing has grown, on average, 1.3x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in 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. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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