260426.mbx

260426.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 26, 2026, Vol. 30, No. 116 Headlines ABPCI DIRECT III: DBRS Confirms BB(low) Rating on Cl. D-R Notes ALLEGRO CLO XVI: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes AMERICAN CREDIT 2026-2: S&P Assigns BB- (sf) Rating on Cl. E Notes APEX CREDIT 2024-I: S&P Affirms BB- (sf) Rating on Class E-F Debts BAIN CAPITAL 2019-2: S&P Lowers Cl. E-R-3 Notes Rating to 'B (sf)' BANK5 2026-5YR21: DBRS Finalizes BB(high) Rating on 2 Tranches BATTALION CLO XIX: S&P Lowers Class D Debt Rating to 'BB+' BENEFIT STREET 49: S&P Assigns BB- (sf) Rating on Class E Notes BHG SECURITIZATION 2026-1CON: Fitch Gives BB(EXP) Rating on E Notes BREAN ASSET 2026-RM15: DBRS Finalizes Bsf Rating on Class M5 Notes BRIDGECREST LENDING 2026-2: DBRS Gives (P)BB Rating on E Notes BWAY 2013-1515: S&P Affirms CCC (sf) Rating on Class B-X Certs BX COMMERCIAL 2026-ALOHA: Moody's Assigns Ba1 Rating to Cl. E Certs BX PURE 2026-PURE4: Moody's Assigns 'Ba3' Rating to Cl. E Certs BXMT 2020-FL2: DBRS Confirms CCCsf Rating on Class G Notes CLIP 2026-NQM1: S&P Assigns Prelim B (sf) Rating to B-2 Notes COMM 2014-CCRE14: DBRS Cuts Rating on 2 Classes to Dsf CPS AUTO 2026-B: DBRS Gives (P)BBsf Rating on Class E Notes CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on Cl. D Certs D2 MULTIFAMILY 2026-FL1: Fitch Assigns B-(EXP)sf Rating on 3 Notes EFMT 2026-AE2: Moody's Assigns B2 Rating to Cl. B-5 Certs ELEVATION CLO 2023-17: S&P Affirms BB- (sf) Rating on Cl. E-R Debt ELEVATION CLO 2026-21: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ELMWOOD CLO 28: S&P Affirms B- (sf) Rating on Class F Notes ELMWOOD CLO IV: S&P Affirms B- (sf) Rating on Class F-R Notes ELMWOOD CLO VII: S&P Lowers Class F-RR Notes Rating to 'B- (sf)' FHF ISSUER 2026-1: DBRS Gives (P)BB Rating on Class E Notes GALAXY 33: S&P Affirms BB- (sf) Rating on Class E Notes GALAXY XXIV: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes GOLDENTREE LOAN 9: S&P Assigns 'B- (sf)' Rating on Class F-R Notes GS MORTGAGE 2026-PJ6: DBRS Gives (P)B(low) Rating on B-5 Debt GS MORTGAGE 2026-PJ6: Fitch Assigns 'B-(EXP)sf' Rating on B5 Notes GS MORTGAGE-BACKED 2026-CES2: S&P Assigns (P)B Rating on B-2 Notes GS MORTGAGE-BACKED 2026-NQM3: S&P Assigns (P)B Rating on B-2 Certs HILTON GRAND 2026-1: Fitch Assigns 'BB-sf' Rating on Class D Notes JP MORGAN 2026-HE1: Fitch Assigns 'B+(EXP)sf' Rating on B-3 Certs LCM XVIII: S&P Lowers Class E-R Notes Rating to 'CCC (sf)' LOBEL AUTOMOBILE 2026-1: DBRS Gives (P)B(low) Rating on F Notes LSTAR COMMERCIAL 2016-4: DBRS Confirms Csf Rating on Class E Certs MILL CITY 2019-GS1: Fitch Assigns B-sf Final Rating on Cl. B6A Debt MILL CITY 2026-R1: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes MMCAPS FUNDING XVIII: Moody's Raises Rating on 3 Tranches from Ba1 MORGAN STANLEY 2015-C23: DBRS Confirms Bsf Rating on X-FG Certs MORGAN STANLEY 2017-ASHF: DBRS Hikes Rating on Cl. E Certs From BB MORGAN STANLEY 2026-NQM4: DBRS Gives (P)B Rating on Cl. B-2 Certs NEUBERGER XXII: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R3 Notes NEW RESIDENTIAL 2026-NQM5: Fitch Assigns B-(EXP) Rating on B2 Notes OAKTREE CLO 2024-26: S&P Assigns BB-(sf) Rating on Class E-R Notes OCP CLO 2020-20: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ONE OCEAN XI: S&P Lowers Class E-R Debt Rating to 'B+ (sf)' PAGAYA AI 2026-R2: Fitch Assigns 'BB-sf' Final Rating on 2 Tranches PMT LOAN 2026-CNF4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POST ROAD 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes PROGRESS RESIDENTIAL 2026-SFR2: DBRS Gives (P)BB Rating on F Certs RCKT MORTGAGE 2026-CES4: Fitch Assigns 'B(EXP)sf' Rating on 5 Notes REGENTS CAPITAL 2026-1: DBRS Gives (P)BBsf Rating on Class D Notes REPUBLIC FINANCE 2026-A: DBRS Gives (P)BB(low) Rating on E Notes SG RESIDENTIAL 2026-3: S&P Assigns Prelim 'B-' Rating to B-2 Certs SIXTH STREET XXIV: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes SOUND POINT XIX: Moody's Affirms B1 Rating on $22.5MM Cl. E Notes SUNNOVA AURORA 2024-PR1: DBRS Confirms BB Rating on Class C Notes SYMPHONY CLO 53: S&P Assigns BB- (sf) Rating to Class E Notes THOR 2026-A: Fitch Assigns 'B(EXP)sf' Rating on Class D Notes TRINITAS CLO XXVII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes VERUS SECURITIZATION 2026-4: Moody's Gives (P)B3 Rating to B-2 Debt WINDHILL CLO 1: S&P Assigns BB- (sf) Rating on Class E-R Notes WP GLIMCHER 2015-WPG: DBRS Cuts Rating on 4 Classes to Csf [] DBRS Takes Ratings Actions on 8 Lendmark Funding Transactions [] Moody's Upgrades Ratings on 5 Bonds From 3 US RMBS Deals ********* ABPCI DIRECT III: DBRS Confirms BB(low) Rating on Cl. D-R Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed the following credit ratings to the Class A-R Notes, the Class B-R Notes, the Class C-R Notes, and the Class D-R Notes (together, the Notes) issued by ABPCI Direct Lending Fund CLO III Ltd. (the Issuer) and ABPCI Direct Lending Fund CLO III LLC as Co-Issuer. The Notes are issued pursuant to the Amended and Restated Indenture (the Indenture), dated as of October 2, 2025, among the Issuer, Co-Issuer, and U.S. Bank Trust Company, National Association as Trustee. -- Class A-R Notes Confirmed at AA (sf) -- Class B-R Notes Confirmed at A (sf) -- Class C-R Notes Confirmed at BBB (sf) -- Class D-R Notes Confirmed at BB (low) (sf) The credit ratings on the Class A-R Notes address the timely payment of interest (excluding any Default Interest Amount, as defined in the Indenture) and the timely payment of principal on or before the Stated Maturity of October 20, 2037. The credit ratings on the Class B-R Notes, the Class C-R Notes, the Class D-R Notes address the ultimate payment of interest (excluding any Default Interest Amount, as defined in the Indenture) and the ultimate payment of principal on or before the Stated Maturity of October 20, 2037. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs", The Reinvestment Period is scheduled to end on October 20, 2029. The Stated Maturity is October 20, 2037. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans and managed by AB Private Credit Investors LLC (ABPCI) as the Collateral Manager. ABPCI Direct Lending Fund CLO III Ltd. is managed by ABPCI, an affiliate of Alliance Bernstein L.P. Morningstar DBRS considers ABPCI an acceptable collateralized loan obligation (CLO) manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. There are no reported defaulted obligations in the portfolio to date. As of March 17, 2026, the transaction is failing the CCC Concentration Limitation test which was considered in our analysis. The transaction is in compliance with all other performance metrics. Since the failing CCC concentration limitation did not have any analytical modeling impact, in its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of AB Private Credit Investors LLC as the Collateral Manager. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Collateral Quality Tests: Minimum Weighted Average Spread Test: minimum 4.25%; currently 5.30% Maximum Weighted Average Life Test: Maximum 7.55; currently 3.62 Maximum DBRS Risk Score Test: maximum 36.00; currently 31.64 Minimum Diversity Score Test: minimum 26.00; currently 40.00 Minimum Weighted Average Coupon Test: minimum 7.50%; currently N/A Minimum Weighted Average DBRS Recovery Rate Test: Minimum 51.70; currently 53.40 Coverage Tests: Class A Overcollateralization Ratio: minimum 136.06%; currently 144.18% Class B Overcollateralization Ratio: minimum 125.67%; currently 132.89% Class C Overcollateralization Ratio: minimum 118.61%; currently 124.65% Class D Overcollateralization Ratio: minimum 110.81%; currently 116.27% Class A Interest Coverage Ratio: minimum 150.00%; currently 252.43% Class B Interest Coverage Ratio: minimum 110.00%; currently 229.47% Class C Interest Coverage Ratio: minimum 105.00%; currently 210.17% Advance Rate Test Class A Advance Rate: maximum 70.00%; currently 69.28% Class B Advance Rate: maximum 75.95%; currently 75.17% Class C Advance Rate: maximum 80.97%; currently 80.14% Class D Advance Rate: maximum 86.80%; currently 85.91% Some particular strengths of the transaction are: (1) collateral quality that consists of primarily U.S. Senior Secured middle-market corporate loans (Currently approximately 98.5%); and (2) adequate diversification of the portfolio of Collateral Obligations (DScore of 40.00 vs a threshold of 26.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the weighted-average (WA) credit quality of the underlying obligors is below investment grade; (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an Event of Default. The current transaction performance is within Morningstar DBRS' expectations, which supports the confirmation of credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. 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 transaction's 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. All figures are in U.S. Dollars unless otherwise noted. ALLEGRO CLO XVI: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class B-R, C-R, D-1-R, and D-2-R debt from Allegro CLO XVI Ltd./Allegro CLO XVI LLC a CLO managed by AXA Investment Managers US Inc. that was originally issued in April 2024. The preliminary ratings are based on information as of April 17, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 27, 2026, refinancing date, the proceeds from the replacement 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 B-1, B-2, C, D-1, and D-2 debt and assign ratings to the replacement class B-R, C-R, D-1-R, and D-2-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, C-R, and D-1-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The existing class B-1 and B-2 debt will be replaced by a single class B-R replacement debt, which is expected to be issued at a floating spread over three-month SOFR. -- The replacement class D-2-R debt is expected to be issued at a floating spread, replacing the current fixed coupon. -- The existing class E debt will not be refinanced and will remain outstanding. -- The non-call period will be extended by one year from April 2026 to April 2027. -- 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. "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 benefit of the refinancing lowering the weighted average cost of debt, the improved margin of failure after considering the refinancing, stable portfolio credit metrics and subordination. "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 Allegro CLO XVI Ltd./Allegro CLO XVI LLC Class B-R, $42.75 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $20.25 million: BBB (sf) Class D-2-R (deferrable), $6.75 million: BBB- (sf) Other Debt Allegro CLO XVI Ltd./Allegro CLO XVI LLC Class A-1-R, $277.45 million: NR Class A-2-R, $21.80 million: NR Class E, $18.00 million: BB- (sf) Subordinated notes, $46.76 million: NR NR--Not rated. AMERICAN CREDIT 2026-2: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 63.19%, 57.10%, 45.91%, 37.02%, and 32.04% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's 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 our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned 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 our 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 ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and our 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 credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2026-2 Class A, $473.70 million: AAA (sf) Class B, $83.46 million: AA (sf) Class C, $192.25 million: A (sf) Class D, $160.59 million: BBB (sf) Class E, $80.01 million: BB- (sf) APEX CREDIT 2024-I: S&P Affirms BB- (sf) Rating on Class E-F Debts ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-J-R, B-R, and C-R debt from Apex Credit CLO 2024-I Ltd./Apex Credit CLO 2024-I LLC, a CLO managed by Apex Credit Partners LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-J, B-1, B-F, C-1, and C-F debt following payment in full on the April 20, 2026, refinancing date. S&P also affirmed its ratings on the class D-1, D-J, E-1, and E-F 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 20, 2027. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains at $325 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-1, D-J, E-1, and E-F debt (which were not refinanced). However, we affirmed our ratings on the class D-1, D-J, E-1, and E-F debt after considering the overall credit quality of the portfolio, the margin of failure, and the relatively stable overcollateralization ratio since our last rating action on the transaction." Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $195.00 million: Three-month CME term SOFR + 1.40% -- Class A-J-R, $13.00 million: Three-month CME term SOFR + 1.60% -- Class B-R, $39.00 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $19.50 million: Three-month CME term SOFR + 2.10% Previous debt -- Class A-1, $195.00 million: Three-month CME term SOFR + 1.80% -- Class A-J, $13.00 million: Three-month CME term SOFR + 2.00% -- Class B-1, $24.74 million: Three-month CME term SOFR + 2.40% -- Class B-F, $14.26 million: 6.22% -- Class C-1 (deferrable), $14.24 million: Three-month CME term SOFR + 2.95% -- Class C-F (deferrable), $5.26 million: 6.77% -- Subordinated notes, $25.35 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Apex Credit CLO 2024-I Ltd./Apex Credit CLO 2024-I LLC Class A-1-R, $195.00 million: AAA (sf) Class A-J-R, $13.00 million: AAA (sf) Class B-R, $39.00 million: AA (sf) Class C-R (deferrable), $19.50 million: A (sf) Ratings Withdrawn Apex Credit CLO 2024-I Ltd./Apex Credit CLO 2024-I LLC Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-F to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-F to NR from 'A (sf)' Ratings Affirmed Apex Credit CLO 2024-I Ltd./Apex Credit CLO 2024-I LLC Class D-1: BBB (sf) Class D-J: BBB- (sf) Class E-1: BB- (sf) Class E-F: BB- (sf) Other Debt Apex Credit CLO 2024-I Ltd./Apex Credit CLO 2024-I LLC Subordinated notes, $25.35 million: NR NR--Not rated. BAIN CAPITAL 2019-2: S&P Lowers Cl. E-R-3 Notes Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class B-R-3 and C-R-3 debt from Bain Capital Credit CLO 2019-2 Ltd. At the same time, S&P lowered its rating on the class E-R-3 debt and removed it from CreditWatch where it had been placed with negative implications on Feb. 5, 2026. S&P also affirmed its ratings on the class A-R-3 and D-R-3 debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the March 2026 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements due to the combined effects of principal paydowns, which increased senior credit support, and a slight deterioration in credit quality driven by principal losses and the portfolio's increased exposure to 'CCC' or lower-quality assets, which decreased junior credit support. The transaction has made $55.84 million in paydowns to the class A-R-3 debt since our March 2025 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the April 2025 trustee report. -- The class A/B O/C ratio improved to 135.83% from 129.26%. -- The class C O/C ratio improved to 122.80% from 119.21%. -- The class D O/C ratio improved to 112.87% from 111.28%. -- The class E O/C ratio improved to 105.87% from 105.54%. All the O/C ratios experienced a positive movement due to the lower balances of the senior notes; consequently, the credit support increased. The upgrades reflect the improved credit support available to the class B-R-3 and C-R-3 debt at their prior rating levels as a result of the paydowns to the senior debt. Though paydowns have helped the senior classes, the collateral portfolio's credit quality has slightly deteriorated since S&P's last rating actions. Exposure to collateral obligations with ratings in the 'CCC' category has increased, with $16.54 million reported as of the March 2026 trustee report compared to $14.08 million reported as of the April 2025 trustee report. The increase in the dollar amount may not seem significant, but it plays a role in scenario default rates as the portfolio winds down. The downgrade reflects the failing cash flows and the reduction in the credit support available to the class ER3 debt. Though the cash flow results indicated a lower rating for the class, S&P's action considered the margin of failure, the current subordination level, and the relatively low exposure to the 'CCC' and 'CCC-' rated obligations. The affirmations reflect the passing cash flows for the class A-R-3 and D-R-3 debt at their respective current rating levels, and S&P's view that the existing credit support is commensurate with the current rating level. 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 these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised Bain Capital Credit CLO 2019-2 Ltd. Class B-R-3 to 'AA+ (sf)' from 'AA (sf)' Class C-R-3 to 'A+ (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch Bain Capital Credit CLO 2019-2 Ltd. Class E-R-3 to 'B (sf)' from 'BB- (sf)/Watch neg' Ratings Affirmed Bain Capital Credit CLO 2019-2 Ltd. Class A-R-3: AAA (sf) Class D-R-3: BBB- (sf) BANK5 2026-5YR21: DBRS Finalizes BB(high) Rating on 2 Tranches -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5YR21 (the Certificates) to be issued by BANK5 2026-5YR21 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-2-1 at AAA (sf) -- Class A-2-2 at AAA (sf) -- Class A-2-X1 at AAA (sf) -- Class A-2-X2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class B-1 at AAA (sf) -- Class B-2 at AAA (sf) -- Class B-X1 at AAA (sf) -- Class B-X2 at AAA (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class X-E at BBB (sf) -- Class D at A (low) (sf) -- Class E at BBB (sf) -- Class F-RR at BB (high) (sf) -- Class X-FRR at BB (high) (sf) All trends are Stable. Classes X-D, X-E, X-FRR, X-GRR, D, E, F-RR, G-RR, V, and R will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B, and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class D, Class E, Class F-RR, and Class G-RR certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BANK5 2026-5YR21 transaction consists of 31 fixed-rate loans secured by 64 commercial and multifamily properties with an aggregate cut-off date balance of $836.7 million. Two loans, accounting for 12.2% of the pool balance, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. By measuring the cut-off balances against the Morningstar DBRS Net Cash Flow and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.73 times (x) and 1.54x, excluding the shadow-rated loans. Of the 31 loans, 11 loans, representing 22.4% of the pool, exhibited a Morningstar DBRS Issuance DSCR of less than 1.31x, a threshold that typically indicates a higher likelihood of midterm default. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) is 58.2%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 58.0% at maturity based on the A note balances. Excluding the two shadow-rated loans, the deal exhibits a moderate Morningstar DBRS Issuance LTV of 60.3% and a Morningstar DBRS WA Balloon LTV of 60.0%. A total of nine loans, representing 19.3% of the pool, exhibit a Morningstar DBRS Issuance LTV above 67.6%, a threshold that typically correlates to an above-average default frequency. This transaction has a sequential-pay pass-through structure. Two loans, representing 12.2% of the pool, exhibited credit characteristics consistent with investment-grade shadow ratings. These loans' credit characteristics were as follows: CityCenter (Aria & Vdara), representing 8.2% of the pool, exhibited credit characteristics consistent with a shadow rating of AA and Torrey Heights, representing 3.9% of the pool, exhibited credit characteristics consistent with a shadow rating of AA (low). Fifteen loans, representing 65.8% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold typically represents relatively low-leverage financing and generally is associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is relatively low at 58.2% (60.3% excluding shadow ratings), and the Morningstar DBRS WA Balloon LTV is 58.0% (60.0% excluding the two shadow-rated loans). The Morningstar DBRS WA DSCR of 1.73x (1.54x excluding the shadow-rated loans) is relatively high for a conduit transaction; this is particularly high when compared with the current interest rate environment where DSCRs have been severely constrained, as debt service payments have nearly doubled since mid-2022. None of the loans in the pool have a Morningstar DBRS DSCR below 1.00x, and only 18.9% of the pool loans have Morningstar DBRS DSCRs below 1.21x. Four loans, representing 13.3% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area; these areas typically benefit from stronger liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, eight loans, representing 33.6% of the pool, are in areas with a Morningstar DBRS Market Rank of 5 or 6, which are indicative of less dense urban areas and have historically seen lower default frequencies than suburban, tertiary, and rural market areas. Twelve loans, representing 42.3% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, which is historically the best performing group when looking at historical CMBS default rates among the top 25 MSAs. Twenty-three loans, representing 79.2% of the pool, are being used to refinance debt. Morningstar DBRS views loans that refinance existing debt as more credit negative when compared with loans in which the proceeds are used to finance an acquisition. Acquisition financing typically demonstrates a meaningful cash investment from the sponsor, which helps to align the interests more closely with the lenders, whereas a refinance transaction may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. The 31-loan pool results in a Herfindahl score of 17.97, with the top 10 loans accounting for 64.2% of the transaction by cut-off date trust balance and the largest loan representing 9.6% of the cut-off date trust balance. While the Herfindahl score for the transaction is regarded as relatively low for conduit transactions, it is in line with the Herfindahl score for the BANK5 2026-5YR20 transaction (18.3) and the WFCM 2026-5C8 transaction (18.0). Additionally, the Herfindahl score is lower than the BANK5 2025-5YR19 transaction (24.1) and the BANK5 2025-5YR17 transaction (24.1). Thirty of the loans, representing 92.6% of the pool, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The pool has an elevated concentration of loans secured by hotels, with four loans representing 21.1% of the pool. Additionally, the top two loans in the pool, representing 17.8% of the pool balance, are secured by hotels. This represents an elevated composition when compared with recent securitizations. Hotels typically have the highest cash flow volatility of all other major property types as their income, which is derived from daily contacts rather than longer-term multiyear leases, and their expenses, which are often mostly fixed, are notably high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. The pool has a relatively high concentration of office properties, with a total of seven loans, representing 33.8% of the pool, secured by office properties. These property types were among the most affected during the COVID-19 pandemic and many have seen a slow recovery since or have yet to fully recover. Future demand for office space is still uncertain because of the post-pandemic expansion of hybrid and remote work, which results in less use and, sometimes, downsizing of office footprints. 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/or 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 document(s) that are not financial obligations. For example, the credit ratings do not address Yield Maintenance Charges and Prepayment 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS ESG Considerations had a relevant effect on the credit analysis. Environmental (E) Factors The Emissions, Effluents, and Waste factor had a relevant effect on the credit analysis. The environmental site assessment (ESA) identified one loan with a recognized environmental condition (REC): Guardian Storage North Strabane. The ESA Phase I report did not report any petroleum discharge documented for the related property; however, based on the noted length of time that the property had been utilized as a car dealership, the ESA considered the historical on-site automotive service/repair operations to represent a REC. In lieu of a Phase II report, an opinion of probable cost was obtained to quantify the remediation cost based on the scope of the Phase II recommendation and showed a probable low estimate of $40,598 and the probable maximum estimate of $667,920. There were no Social or Governance factors that had a significant or relevant effect on the credit analysis. The Class X-A, X-B, X-D, X-E, and X-FRR certificates are IO certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating may mirror 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. BATTALION CLO XIX: S&P Lowers Class D Debt Rating to 'BB+' ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class D and E debt and removed them from CreditWatch Negative on Battalion CLO XIX Ltd.. At the same time, S&P affirmed its ratings on class A, B, and C debt from the same transaction. The transaction, a U.S. collateralized loan obligation managed by Brigade Capital Management L.P., was originally issued in April 2021. S&P said, "We reviewed Battalion CLO XIX Ltd., a U.S. broadly syndicated CLO transaction managed by Brigade Capital Management L.P. "We lowered our rating on the class D and E debt and removed them from CreditWatch Negative. At the same time, we affirmed our ratings on class A, B, and C debt from the same transaction. The downgrade reflects a decline in credit support available to the class D and E debt since our May 2025 rating actions, while the affirmations reflect our view that the credit support available to those classes is adequate at the current rating levels." On Feb. 5, 2025, S&P had placed its rating on the class D and E 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 S&P's 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 April 2025 trustee report: -- The class A/B O/C ratio declined to 125.55% from 127.79%, -- The class C O/C ratio declined to 116.36% from 118.44%, -- The class D O/C ratio declined to 108.43% from 110.37%, -- The class E O/C ratio declined to 103.72% from 105.57%, The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating actions in May 2025. 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, class D and E were no longer passing cash flows at their previous rating levels. S&P said, "Following the decline in credit support and indicative cash flow results, we lowered our rating on the D and E debt. We believe that the class E debt is currently dependent on favorable conditions and now aligns with our 'CCC' rating category." The affirmed ratings reflect adequate credit support at the current rating levels and passing cash flows. Though the cash flow results indicated a one-notch lower rating for the class C debt, our action considered both the margin of failure and that the CLO's reinvestment period ended in April 2026 and that anticipated deleveraging is likely to improve both the cash flows and overcollateralization level of the class C given its relative seniority in the capital structure. 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 Battalion CLO XIX Ltd. Class D to 'BB+' from 'BBB-/Watch Neg' Class E to 'CCC+' from 'B/Watch Neg' Ratings Affirmed Battalion CLO XIX Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) BENEFIT STREET 49: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO 49 Ltd./Benefit Street Partners CLO 49 LLC 's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management L.L.C. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Benefit Street Partners CLO 49 Ltd./ Benefit Street Partners CLO 49 LLC Class A, $300.000 million: AAA (sf) Class A-L loans, $20.000 million: AAA (sf) Class B, $60.000 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D-1 (deferrable), $30.000 million: BBB- (sf) Class D-2 (deferrable), $5.000 million: BBB- (sf) Class E (deferrable), $15.000 million: BB- (sf) Subordinated notes, $42.521 million: NR NR--Not rated. BHG SECURITIZATION 2026-1CON: Fitch Gives BB(EXP) Rating on E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by BHG Securitization Trust 2026-1CON (BHG 2026-1CON). Entity/Debt Rating ----------- ------ BHG Securitization Trust 2026-1CON A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating Transaction Summary The BHG 2026-1CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). This is BHG's fourth 100% consumer loan 144a securitization. BHG 2026-1CON is the 12th 144a ABS transaction sponsored by BHG and the eighth rated by Fitch. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2026-1CON pool shared with Fitch has a weighted average (WA) FICO score of 735; 1.17% of the borrowers have a score below 661 and 40.29% have a score higher than 740. The WA original term is 98 months slightly lower than the 2025 BHG consumer loan-backed securitization. Default Assumption Reflects Improved Managed Performance: The base case default assumption based on the pool is 13.97%. The default assumption was established by BHG's proprietary risk grade and loan term, which now includes longer-term loans in higher risk grades. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. While through-the-cycle loan performance and characteristics were reviewed, Fitch also considered the recent improved performance trends in deriving the base case. For certain segments, primarily longer-term loans, for which Fitch determined there was no significant historical performance data, Fitch used equivalent historical performance data for commercial loans in those segments. Fitch considered commercial loan performance because of similar borrower characteristics and BHG's comparable underwriting policies for commercial loan guarantors. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 50.00%, 22.65%, 11.30%, 4.00% and 1.50% for the class A, B, C, D and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the servicer, as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG as capable of servicing this transaction. Other counterparty risks are mitigated through the transaction structure, and such provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: Like its peers, BHG purchases consumer loans originated by partner banks, in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If any such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2026-1CON's consumer loans originated at interest rates below the borrower state's usury rate, while viewing the longer, 98-month WA remaining loan term as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Increased default base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'BB-sf'; Increased default base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'B-sf'. Rating sensitivity to reduced recoveries (class A/class B/class C/class D/class E): Reduced recovery base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBsf'; Reduced recovery base case by 25%: 'AAAsf'/'A+sf'/'A-sf'/'BB+sf'/'BBsf'; Reduced recovery base case by 50%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'. Rating sensitivity to increased defaults and reduced recoveries (class A/class B/class C/class D/class E): Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B+sf '; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'B-sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'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 KPMG. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. 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. BREAN ASSET 2026-RM15: DBRS Finalizes Bsf Rating on Class M5 Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-RM15 (the Notes) issued by Brean Asset Backed Securities Trust 2026-RM15 (the Issuer) as follows: -- $201.0 million Class A1 at AAA (sf) -- $35.0 million Class A2 at AAA (sf) -- $236.0 million Class AM at AAA (sf) -- $5.0 million Class M1 at AA (sf) -- $3.9 million Class M2 at A (sf) -- $6.1 million Class M3 at BBB (sf) -- $3.3 million Class M4 at BB (sf) -- $4.6 million Class M5 at 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 AAA (sf) credit ratings reflect 111.9% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), BB (sf), and 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 rating does 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: DBRS Gives (P)BB Rating on E Notes -------------------------------------------------------------- DBRS, Inc (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2026-2 (BLAST 2026-2 or the Issuer): -- $72,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $106,710,000 Class A-2 Notes at (P) AAA (sf) -- $106,710,000 Class A-3 Notes at (P) AAA (sf) -- $57,410,000 Class B Notes at (P) AA (sf) -- $74,240,000 Class C Notes at (P) A (sf) -- $87,110,000 Class D Notes at (P) BBB (sf) -- $53,470,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2026-2 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.40% based on the expected pool composition pool composition for both the base and the upsize pools. -- The structure may upsize during premarketing, subject to market conditions, among other considerations, up to a total issuance of $642 million. If the Upsize Transaction is issued, the following notes will be issued: $82,000,000 for the Class A-1 notes, $123,340,000 for the Class A-2 notes, $123,340,000 for the Class A-3 notes, $66,110,000 for the Class B notes, $85,490,000 for the Class C notes, $100,310,000 for the Class D notes, and $61,550,000 for the Class E notes.. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Noteholders' Interest Carryover Shortfall for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. BWAY 2013-1515: S&P Affirms CCC (sf) Rating on Class B-X Certs -------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BWAY 2013-1515 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four other classes from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a 3.93375% fixed-rate, partially amortizing mortgage loan totaling $676.2 million (as of the April 10, 2026, trustee remittance report; down from $900.0 million at issuance) secured by the borrower's fee-simple interest in 1515 Broadway (also known as One Astor Plaza), a 1972-built, 1.7 million-sq.-ft., 57-story office tower, with a 386-space parking garage and two stadium-sized advertising screens in the Times Square office submarket of midtown Manhattan. Rating Actions The downgrades on classes A-2, B, C, and D and affirmations on classes E, F, and G primarily reflect: -- S&P said, "We have elevated concerns that the property backing the sole loan in the trust may eventually become vacant, and as it is an aging office building, will require significant capital to remain competitive and lease up. Since our last review, in September 2025, the sole office tenant, Paramount Global, which indicated that it will move its headquarters to Los Angeles after merging with Skydance Media, has announced additional layoffs, and will continue to reduce its workforce." -- In September 2025, the New York Community Advisory Committees rejected the sponsor and Caesars Entertainment Inc.'s bid for a casino license at the subject property. While the sponsor, SL Green, announced a revised plan in December 2025 to convert the building into a hospitality and general entertainment venue without a casino, the feasibility and funding of the proposal are uncertain. -- The sponsor may continue to encounter difficulty refinancing the loan or sell the property by the loan's fully extended maturity date in March 2028. The sponsor had failed to pay off the loan at the original maturity date in March 2025. While the loan was modified and extended, S&P also considered that, per the transaction documents, the master or special servicer may extend the loan's maturity no later than five years prior to the rated final distribution date, which is in March 2033. -- S&P said, "Given these factors, we further revised our expected-case valuation for the property, which is now 21.4% lower than the valuation we derived in our September 2025 review. To arrive at this new value, we considered an "as stabilized" approach, and also looked at recent sales comparisons. -- The downgrade on class D and the affirmations on classes E, F, and G at 'CCC (sf)' further reflect S&P's qualitative consideration that repayment of these classes is dependent on favorable business, financial, and economic conditions and that these classes are vulnerable to default. -- The downgrade on the class X-A interest-only (IO) certificates and affirmation on the class X-B IO certificates are based on S&P's criteria for rating IO securities, according to which the ratings on the IO securities should not be higher than the rating on the lowest-rated reference class. Class X-A's notional balance references classes A-1 and A-2. Class X-B's notional balance references classes B, C, D, and E. The loan transferred to special servicing on Oct. 29, 2024, for imminent maturity default. The loan was subsequently modified and extended in November 2024. The terms included: -- Extending the loan's maturity by one year to March 6, 2026, with two additional, one-year extension options to March 6, 2028, subject to certain performance hurdles. According to the April 10, 2026, remittance report, SL Green recently paid down the loan balance by about $35.0 million to meet the required debt yield threshold for the first extension option and extended the loan's maturity to March 2027. -- The sponsor contributing $20.0 million of cash equity at the modification's closing. -- The loan being placed into cash management at the loan modification's closing. According to the master servicer, there is currently $57.8 million in reserves held in lender-controlled reserve accounts. S&P said, "We will continue to monitor the tenancy and performance of the property and loan, as well as the borrower's ability to effectuate its conversion plans and pay off the loan by its fully extended maturity date in March 2028. If we receive information that differs materially from our expectations, including reduced liquidity to the trust, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Updates S&P said, "Since our September 2025 review, we have more clarity on the sole tenant's intent at the property. Paramount Skydance ('BB+/Stable') which was formed on Aug. 7, 2025, after Paramount Global, the original tenant at the property, and Skydance Media merged, has a lease at the property that expires in June 2031, but has shifted its corporate headquarters to Los Angeles and announced further layoffs. According to the master servicer, Trimont LLC, the tenant has consolidated some New York City offices into the subject property, and it intends to stay in the short term. Further, in February 2026, Paramount Skydance announced a proposed acquisition of Warner Brothers Discovery. We considered that if approved, it may create redundancies and potentially lead to more layoffs." CoStar reported that 3- to 5-star office properties in the Times Square office submarket, where the subject property is located, has continued to experience elevated vacancy (12.8%) and availability (15.3%) rates and flat average asking rent ($85.44 per sq. ft.) as of year-to-date April 2026. CoStar projects that vacancy will increase slightly to 13.4% in 2028 and that average asking rent will be relatively flat at $85.59 per sq. ft. for the same period. S&P said, "Considering the submarket metrics, we assumed a stabilized net cash flow of $61.1 million, using an 81.0% stabilized occupancy rate, an $84.92-per-sq.-ft. S&P Global Ratings gross rent, a 46.7% operating expense ratio, and higher tenant improvement costs. Using an 8.25% S&P Global Ratings stabilized capitalization rate, and deducting $265.7 million for additional tenant improvement and leasing costs and 1.5 years downtime to lease up the property to our assumed stabilized occupancy rate, we arrived at a stabilized value of $498.4 million, or $299 per sq. ft. This yielded an S&P Global Ratings loan-to-value ratio of 135.7% on the current trust balance." Table 1 Servicer-reported collateral performance 2025(i) 2024(i) 2023(i) Occupancy rate (%) 99.6 99.6 99.6 Net cash flow (mil. $) 92.8 89.5 89.4 Debt service coverage (x) 1.81 1.75 1.75 Appraisal value (mil. $)(ii) 1,400.0 1,400.0 1,400.0 (i)Reporting period. (ii)At issuance. According to the special servicer, an updated appraisal report was received but is not released due to confidentiality. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Apr 2026)(i) (Sep 2025)(i) (Mar 2013)(i) Trust balance (mil. $) 676.2 726.4 900.0 Occupancy rate (%) 81.0 83.0 95.8 Net cash flow (mil. $) 61.1 59.8 68.4 Capitalization rate (%) 8.25 7.00 6.75 Add/deduct to value ($) (265.7)(ii) (219.9)(ii) 2.7 Value (mil. $) 498.4 634.4 1,096.1 Value per sq. ft. ($) 299 381 659 Loan-to-value ratio (%)(iii) 135.7 114.5 82.1 (i)Review period. (ii)Includes our assumed additional tenant improvement and leasing costs and downtime to lease up the property at S&P's assumed stabilized occupancy rate. (iii)On the trust loan balance at the time of S&P's review. Ratings Lowered BWAY 2013-1515 Mortgage Trust Class A-2, to 'A (sf)' from 'A+ (sf)' Class B, to 'BB (sf)' from 'BB+ (sf)' Class C, to 'B- (sf)' from 'B (sf)' Class D, to 'CCC (sf)' from 'B- (sf)' Class X-A, to 'A (sf)' from 'A+ (sf)' Ratings Affirmed BWAY 2013-1515 Mortgage Trust Class E: CCC (sf) Class F: CCC (sf) Class G CCC (sf) Class X-B: CCC (sf) BX COMMERCIAL 2026-ALOHA: Moody's Assigns Ba1 Rating to Cl. E Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities issued by BX Commercial Mortgage Trust 2026-ALOHA, Commercial Mortgage Pass-Through Certificates, Series 2026-ALOHA. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. HRR, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single floating-rate loan backed by the borrower's fee simple interest and pledge of a leasehold interest in a diversified portfolio of 37 commercial properties in Hawaii. The Portfolio includes 20 retail (63.0% of NRA, 75.8% of UW NOI), 15 industrial (35.1%, 21.5%), and two office assets (1.9%, 2.7%). It is primarily concentrated on Oahu (73.5% of GLA), with additional exposure to Maui (10.8%), Hawaii Island (8.1%), and Kauai (7.7%), providing geographic diversification within the state while maintaining a strong focus on Hawaii's core economic center. The borrower interest structure includes fee simple ownership across 36 properties in the Portfolio. As previously noted, fee simple assets are rare and highly valued in Hawaii, where ground lease structures from major landowners such as Kamehameha Schools or the Bishop Estate are common and introduce rent reset and expiration risks. The collateral properties were constructed at various points between 1947 and 2025, with a weighted average year built (by NRA) of 1990. The Portfolio's retail component (75.6% of ALA) consists primarily of neighborhood and community shopping centers anchored by essential grocers and drugstores. Major assets include Kailua Town, Pearl Highlands Center, and Laulani Village on Ouhau. The tenant mix is focused on grocery, pharmacy, and service oriented uses, which supports stable foot traffic and cash flow regardless of broader economic or tourism cycles. The Portfolio's industrial component (22.3% of ALA) represents a collection of industrial properties that compare favorably to mainland industrial real estate. Industrial supply in Hawaii is severely constrained by topography, environmental regulation, and zoning limitations. Very little developable land is present due to volcanic terrain, conservation and agricultural zoning, coastal and floodplain restrictions. New development is minimal and costly, with construction expenses often significantly exceeding mainland levels due to labor and material shipping costs. New supply is additionally challenged by a lengthy entitlement process. This stands in contrast to many mainland markets, where speculative development can lead to oversupply and elevated vacancy. As such, the Portfolios is more comparable to premium, irreplaceable "last mile" mainland logistics facilities. The Portfolio is being acquired from Alexander & Baldwin, Inc. ("A&B"), which has long been the largest owner of grocery anchored neighborhood shopping centers in Hawaii. As part of the broader transaction involving Blackstone's acquisition and privatization of A&B, Blackstone plans to invest approximately $100 million of capital expenditures across the portfolio to enhance asset quality, functionality, and long term competitiveness. Blackstone intends to retain A&B's experienced local management team and its Honolulu headquarters, preserving local operating expertise and continuity. Blackstone also brings an established track record in Hawaii across multiple property types, including retail, hospitality, and residential assets. Moody's approach to rating this transaction involved the application 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 1.47X and Moody's first mortgage actual stressed DSCR is 0.87X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $1,240,000,000 represents a Moody's LTV ratio of 100.0% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 99.9%, compared to 99.5% 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, location, market, and tenancy. The collateral's overall quality grade is 1.00. Notable strengths of the transaction include: fee simple ownership, barriers to entry lead to high occupancy, granular national tenancy, strong sales, strong grocery-anchor performance, strong demographics, multiple-property pooling, and experienced sponsorship. Notable concerns of the transaction include: property age, recognized environmental conditions, credit negative ground lease provisions, floating-rate, interest only profile, and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BX PURE 2026-PURE4: Moody's Assigns 'Ba3' Rating to Cl. E Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by BX Pure Industrial Issuer Trust Canada, Commercial Mortgage Pass-Through Certificates, Series 2026-PURE4. Cl. A, 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) *Please note that all values presented for the BX Pure Industrial Issuer Trust Canada transaction are in Canadian Dollars (CAD). RATINGS RATIONALE The mortgage loan is secured by the borrower's fee simple interests in 8 industrial facilities comprised of 13 individual buildings containing approximately 1,940,885 SF of aggregate NRA. All 13 buildings are all located in Canada within the Toronto MSA within three distinct cities: Milton (1 property, 27.2% of ALA, 27.0% of in-place NOI, 35.3% of NRA), Brampton (6, 56.6%, 57.6%, 48.1%), and Mississauga (6, 16.3%, 15.4%, 16.6%). The Toronto Market is considered a global gateway market and benefits from strong population and income demographics and proximity to several major transportation arteries. Facility use spans four distinct industrial subtypes: distribution warehouse (3 properties, 43.6% of ALA, 45.3% of base rent, 51.7% of NRA); general warehouse (8, 26.8%, 28.0%, 27.5%); dual load (1, 24.3%, 23.1%, 18.5%); and cross dock (1, 5.3%, 3.6%, 2.2%). Facility sizes range between 43,458 SF and 684,253 SF, averaging 149,299 SF (by NRA). With regard to facility functionality, ceiling clear heights range between 22.0 feet and 36.0 feet, averaging approximately 28.5 feet (by NRA). Facility construction dates range between 1994 and 2014 and exhibit a weighted average year built of 2006 (by NRA). Office utility averages 9.0% of NRA with office space ranging between a low of 1.5% to a high of 43.6%. The Portfolio's overall functionality is adequate for its current use but does lack competitive specifications compared to newer industrial products within their respective markets. Older properties with lower clear ceiling heights, higher office utilization space and fewer dock high doors limit marketability to certain tenants in search of modernized industrial facilities. As of February 28th, 2026, the Portfolio was 97.4% leased to 38 unique tenants. The five largest properties by NOI account for approximately 73.6% of total ALA and 75.0% of NRA. Of note, the Portfolio contains five buildings (43.1% of NRA) occupied by single tenants. Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.36x and Moody's first mortgage actual stressed DSCR is 0.70x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $473,400,000 represents a Moody's LTV ratio of 110.1% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 110.0% (compared to 109.6% 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 Portfolio's weighted average overall quality grade is 0.25. Notable strengths of the transaction include the proximity to a global gateway market, economically diverse and granular tenancy, strong leasing momentum with strong rent growth, below market rents, multiple property pooling, the Canadian commercial real estate environment, and institutional quality sponsorship with industrial experience. Notable concerns of the transaction include tenant rollover, the average age of the properties, single-tenant exposure, uncertainty related to rising trade tensions, floating-rate, interest-only mortgage loan profile, property release and nonsequential prepayment provision, reallocations of allocated loan amount provisions and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. BXMT 2020-FL2: DBRS Confirms CCCsf Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the following classes of notes issued by BXMT 2020-FL2, Ltd. (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class F at B (sf) -- Class G at CCC (sf) Morningstar DBRS also changed the trends on Classes E and F to Negative from Stable. All remaining classes carry Stable trends, with the exception of Class G, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect the increased collateral reduction to the transaction, which as of March 2026 reporting totaled 51.1% since issuance, an increase of14.2% from the previous Morningstar DBRS credit rating action in May 2025. Despite these strengths, the transaction faces a heightened credit risk because of the large exposure of loans secured by office and mixed-use properties that have a significant office component, which as of the March 2026 reporting represented 85.6% of the pool. Morningstar DBRS' concerns are heightened, given the majority of the borrowers have generally been unable to execute their business plans, as improvements in occupancy and cash flow have fallen materially short of expectations. As a result, Morningstar DBRS believes the loans will exhibit elevated refinance risk, which support the Negative trends on Classes E and F. In conjunction with this press release, Morningstar DBRS has 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. As a result of lagging business plans and loan exit strategies, most of the loans, have received loan modifications and/or forbearances. The terms of the modifications vary from loan to loan; however, common terms include the waiver of the requirement to purchase of new interest rate cap agreements, fresh equity contributions, and deposits into interest reserve accounts. Additionally, the transaction faces heightened maturity risk as all but two loans, representing 68.0% of the current pool balance (74.2% including the specially servicing loan), have a fully extended loan maturity date prior to the first half of 2027. While most of the loans have built-in extension options, Morningstar DBRS notes based on current collateral performance, most loans will not qualify to exercise those options and therefore will likely need to be modified. In analysis for this review, Morningstar DBRS applied stressed loan-to-value ratio (LTV) or/and Probability of Default (POD) adjustments to all of the remaining loans to reflect credit risk, lack of business plans progress, and high concentration of the office and mixed-use properties as noted above. The credit rating assigned to Class B is materially deviate from the credit rating implied by the predicative model by three or more notches. The rationale for the material deviations is the uncertain loan-level event risk, as the transaction is on the brink of maturity and exhibits substantial elevated refinance risk. As of the March 2026 remittance, 10 loans remain in the trust pool with a combined outstanding balance of $732.8 million. As per the most recent remittance, eight loans, representing 60.1% of the pool balance, are being monitored on the servicer's watchlist, primarily because of low occupancy rates, low property cash flow and/or upcoming loan maturity concerns. As noted above, the trust continues to be concentrated with loans secured by office and mixed-use collateral. One of the office loans, 444 North Michigan (Prospectus ID# 13; 6.2% of the pool balance), is secured by a 500,000 square foot (sf) office building in downtown Chicago. The loan transferred to special servicing in November 2024 and became real estate owned in February 2025. As of September 2025, the property was 57.6% occupied, with a trailing 12-month ended September, 30, 2026, net cash flow (NCF) of $7.0 million, significantly lower than the Morningstar DBRS-projected stabilized NCF of $8.4 million and the Issuer's stabilized NCF of $9.0 million. The property was re-appraised in July 2024 at $53.7 million, which represented a 63.0% decline from the original appraised value $145.0 million at closing. In its analysis for this review, Morningstar DBRS liquidated the loan from the trust with a 20.0% haircut to the most recent appraised value, resulting in a projected loss of nearly $29.0 million or loss severity approaching 65%. Of the remaining loans, the loan of most immediate concern, Liberty View (Prospectus ID#12, 11.5% of the current trust balance), is secured by a 1.3 million sf mixed-use property in Brooklyn, New York. Since Morningstar DBRS' prior review, the borrower was successfully able to execute the loan modification, resulting in the extension of two years, with one 12-month extension option with a fully extended maturity date of February 2028. According to September 2025 reporting provided by the collateral manager, the property was 57.8% occupied, well behind the sponsor's targeted stabilized occupancy rate of 91.0%. An updated appraisal completed in October 2022 valued the property at $320.0 million. In its analysis for this review, Morningstar DBRS stressed the LTV based on the updated appraisal and applied an increased POD penalty to reflect the increased credit risk. The resulting loan expected loss (EL) was in line with the EL for the overall pool. 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. 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. CLIP 2026-NQM1: S&P Assigns Prelim B (sf) Rating to B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CLIP 2026-NQM1 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The mortgage loans primarily have 30-year maturities. There are 27 loans with 40-year maturities and one loan with a 15-year maturity. The pool has 492 residential mortgage loans backed by single-family residential properties (including townhouses), planned-unit developments, condominiums, one cooperative, and two- to four-family residential properties. The loans are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of April 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; -- The transaction's mortgage loan aggregator and originators; and -- S&P said, "Our U.S. economic outlook, which that 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) CLIP 2026-NQM1 Trust Class A-1FCF, $89,781,000: AAA (sf) Class A-1LCF, $29,927,000: AAA (sf) Class A-1A, $104,585,000: AAA (sf) Class A-1B, $15,125,000: AAA (sf) Class A-1, $119,710,000: AAA (sf) Class A-2, $12,251,000: AA (sf) Class A-3, $27,829,000: A (sf) Class M-1, $8,923,000: BBB (sf) Class B-1, $6,050,000: BB (sf) Class B-2, $4,839,000: B (sf) Class B-3, $3,177,068: NR Class XS, notional(ii): NR Class A-IO-S, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of 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 $302,487,068. NR--Not rated. COMM 2014-CCRE14: DBRS Cuts Rating on 2 Classes to Dsf ------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE14 issued by COMM 2014-CCRE14 Mortgage Trust as follows: -- Class E to D (sf) from C (sf) -- Class F to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on the aforementioned classes. The credit rating downgrades were due to a loss to the trust that was reflected in the February 2026 remittance. The transaction incurred a loss of $35.7 million, wiping out the unrated Class G, Class F, and eroding into Class E. The loss was tied to the liquidation of the 175 West Jackson loan (Prospectus ID#8). The loan-level loss was in line with Morningstar DBRS' expected loss of $35.7 million at the last review. 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. CPS AUTO 2026-B: DBRS Gives (P)BBsf Rating on Class E Notes ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by CPS Auto Receivables Trust 2026-B (CPS 2026-B or the Issuer): -- 237,620,000 Class A Notes at (P) AAA (sf) -- 76,400,000 Class B Notes at (P) AA (sf) -- 78,660,000 Class C Notes at (P) A (sf) -- 48,670,000 Class D Notes at (P) BBB (sf) -- 72,720,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. -- The 2026-B transaction will not include a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 19.90% for the transaction based on the Cutoff Date pool composition. -- 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. (4) Consumer Portfolio Services' (CPS) capabilities with regard to originations, underwriting (UW), and servicing. -- Morningstar DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 55.84% of initial hard credit enhancement provided by the subordinated notes in the pool (52.54%), the reserve account (1.00%), and OC (2.30%). The ratings on the Class B, C, D, and E Notes reflect 41.32%, 26.37%, 17.12%, and 3.30% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Class A, Class B, Class C, Class D, and Class E Notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. 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. The associated contractual payment obligation that is not a financial obligation for each of the Class A, Class B, Class C, Class D, and Class E Notes is the related interest on any Noteholders' Interest Carryover Shortfall. 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. CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on Cl. D Certs ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates Series 2017-CHOP issued by CSMC Trust 2017-CHOP as follows: -- Class B to AAA (sf) from AA (sf) -- Class C to AA (high) (sf) from AA (low) (sf) -- Class D to A (low) (sf) from BBB (high) (sf) In addition, Morningstar DBRS confirmed the following credit rating: -- Class E at BB (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support provided to the certificates and the continued deleveraging of the collateral as a result of 16 property releases from the trust to date (an additional four since last review), as well as the results of the stressed scenario that Morningstar DBRS considered as part of this review. The stressed scenario results also supported the credit rating confirmation on Class E, in addition to the four unrated certificates with a combined balance of $300.0 million, which provide cushion to the rated certificates against realized loss. As of the March 2026 reporting, the trust had a remaining principal balance of $537.6 million, reflecting a collateral reduction of 31.1% since issuance. At issuance, the transaction was secured by a portfolio of 48 select-service, limited-service, and extended-stay hotels totaling 6,401 keys across 21 states and operating under eight different flags across the Marriott, Hilton, and Hyatt brands. The loan is currently on the servicer's watchlist for deferred maintenance items reported on recent site inspections. The loan went into special servicing in 2020 and was ultimately resolved when a buyer for all 48 hotels was secured and the new ownership, an affiliate of Kohlberg Kravis Roberts & Co. (KKR), assumed the underlying loan. The interest-only, floating-rate mortgage loan had an original aggregate principal balance of $780.0 million at issuance and included an initial two-year term and three one-year extension options. The loan was modified as part of KKR's assumption in October 2021, with terms including an extension pushing the final maturity date to June 2027, a borrower-funded debt service reserve equal to 12 months of payments, the replacement of the current property management team with Schulte Hospitality Group and Hersha Hospitality Management, and the loan remaining in cash management for the life of the extended term. The borrower is required to maintain an interest rate cap agreement for each extension exercised with a strike rate that would result in a debt service coverage ratio (DSCR) of at least 1.20 times (x). The transaction features a sequential-pay structure, allowing the borrower to partially prepay the loan when releasing individual properties, subject to a debt yield test and a release price of 105.0% of the applicable allocated loan amount (ALA) until 10.0% of the original principal balance of the loan has been repaid, 110.0% of the ALA until 20.0% of the original principal balance of the loan has been repaid, and 115.0% of the ALA thereafter. According to the YE2025 financial reporting, the portfolio generated net cash flow (NCF) of $39.0 million (a DSCR of 0.79x), below the issuance figure of $47.3 million when adjusted for the released collateral. The decline in NCF reflects an increase in expenses for the remaining properties since issuance; however, Morningstar DBRS notes that the in-place cap rate agreement in addition to the low going-in loan-to-value ratios (LTVs) mitigate some of this risk. According to the January 2025 STR reports, the portfolio reported a running 12-month weighted-average occupancy rate of 66.4%, an average daily rate (ADR) of $143 and revenue per available room (RevPAR) of $95 compared with 71.4%, $145, and $105, as of YE2024. At issuance, Morningstar DBRS concluded to a RevPAR figure of $89 based on an occupancy rate of 71.6% and ADR of $124. For the purposes of this credit rating action, Morningstar DBRS analyzed the collateral under a stressed scenario to evaluate the potential for credit rating upgrades given the principal paydown and strong structure of the transaction. In the stressed scenario, Morningstar DBRS applied a conservative haircut of 20.0% to the YE2025 figure and applied a 9.5% cap rate, resulting in a stressed value of $328.8 million (reflecting an LTV ratio of 72.3% on the most junior-rated certificate), a variance of 51.7% from the issuance appraised value for the remaining properties. Although overall performance has deteriorated and is below issuance expectations, Morningstar DBRS notes the upward pressure implied by the LTV Sizing Benchmarks on the senior certificates and the meaningful amount of cushion against value volatility for Class E, the most junior-rated certificate, which supports the credit rating confirmation on that class. The Morningstar DBRS credit rating assigned to Class D is lower than the results implied by the LTV Sizing Benchmarks by three or more notches. The variance is warranted as the loan is approaching its final maturity and, given the higher interest rate environment, the borrower may face additional challenges securing takeout financing. Furthermore, despite the increased credit support driven by the notable paydown, the transaction is more exposed to adverse selection as the portfolio's cash flow is below issuance expectations. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. D2 MULTIFAMILY 2026-FL1: Fitch Assigns B-(EXP)sf Rating on 3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to D2 Multifamily Credit 2026-FL1 Issuer, Ltd. notes as follows: - $551,801,000a class A 'AAA (EXP)sf'; Outlook Stable; - $79,497,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $70,144,000a class B 'AA-(EXP)sf'; Outlook Stable; - $56,115,000a class C 'A- (EXP)sf'; Outlook Stable; - $35,073,000a class D 'BBB (EXP)sf'; Outlook Stable; - $16,366,000a class E 'BBB- (EXP)sf'; Outlook Stable; - $31,565,000be class F 'BB- (EXP)sf'; Outlook Stable; - $0ce class F-E 'BB- (EXP)sf'; Outlook Stable; - $0de class F-X 'BB- (EXP)sf'; Outlook Stable; - $21,044,000be class G 'B- (EXP)sf'; Outlook Stable; - $0ce class G-E 'B- (EXP)sf'; Outlook Stable; - $0de class G-X 'B- (EXP)sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $73,651,641ef Preferred Shares. a) Pursuant to Rule 144a. b) Exchangeable Notes: The class F and class G notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of D2. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. c)MASCOT P&I notes. d) MASCOT interest-only notes. e) Retained notes. f) Horizontal risk retention interest, estimated to be 7.875% of the notional amount of the securities. The approximate collateral interest balance as of the cutoff date is $855,256,641 and does not include future funding. This includes the expected principal balance of one delayed-close collateral interest. The ratings are based on information provided by the issuer as of April 14, 2026. Transaction Summary The notes, totaling $935,256,641, are collateralized by 19 loans secured by 21 commercial properties, with an aggregate principal balance of $855,256,641 as of the cutoff date and cash held to fund the acquisition of additional loans and participation interests of $80,000,000. The pool includes one delayed-close loan totaling $40.0 million, which is expected to close after deal closing. The pool does not include $5.1 million of expected future funding. The collateral interests will be sold to the trust by D2 Multifamily Credit REIT Seller, LLC. The servicer and special servicer is expected to be Berkadia Commercial Mortgage, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 10 loans in the pool (50.4% by balance). Fitch's resulting aggregate net cash flow (NCF) of $26.2 million represents a 4.5% decline from the issuer's aggregate underwritten NCF of $27.5 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent commercial real estate (CRE) collateralized loan obligations (CLO) transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) of 149.9% is higher than the 2025 and 2024 CRE CLO averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.7% is lower than the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 100.0% of the pool, which is higher than the 2025 and 2024 CRE CLO averages of 76.7% and 78.4%, respectively. Multifamily properties have a lower average likelihood of default than retail, office or industrial properties, all else equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have diversity of tenants and, correspondingly, diversity of employment. No Amortization: The pool comprises 100.0% of fully interest-only (IO) loans, based on fully extended loan terms. This is worse than both the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%, respectively. As a result, the pool is expected to have no principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% Decline to Fitch NCF: 'AAAsf'/'AAsf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/'below 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to investment-grade noteholders, if needed. The note protection tests comprise an interest coverage (IC) test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement (120.00% for IC; 113.29% for par value), interest payments to the retained notes would be diverted to pay down the seniormost notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run wherein asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including rating default rate (RDR) and rating recovery rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from PricewaterhouseCooper LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. EFMT 2026-AE2: Moody's Assigns B2 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 58 classes of residential mortgage-backed securities (RMBS) issued by EFMT 2026-AE2, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated and serviced by PennyMac Loan Services, LLC (PennyMac). The complete rating actions are as follows: Issuer: EFMT 2026-AE2 Cl. A-1, 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 Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1(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 Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (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 Aa1 (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 Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.48% and reaches 7.99% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ELEVATION CLO 2023-17: S&P Affirms BB- (sf) Rating on Cl. E-R Debt ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R debt from Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC, a CLO managed by Arrowmark Colorado Holdings LLC that was originally issued in November 2023 and underwent a partial refinancing in November 2025. At the same time, S&P withdrew its ratings on the previous class A-1 debt following payment in full on the April 20, 2026, refinancing date. S&P also affirmed its ratings on the class X-R, A-2-R, B-R, C-R, D-R, and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains the same. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $210.00 million: Three-month CME term SOFR + 1.32% Previous debt -- Class A-1, $210.00 million: Three-month CME term SOFR + 1.87% 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 Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC Class A-1-R, $210.00 million: AAA (sf) Ratings Withdrawn Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC Class A-1 to NR from 'AAA (sf)' Ratings Affirmed Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC Class X-R: AAA (sf) Class A-2-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC Subordinated notes, $30.10 million: NR NR--Not rated. ELEVATION CLO 2026-21: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Elevation CLO 2026-21, LTD. Entity/Debt Rating ----------- ------ Elevation CLO 2026-21, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1A LT BBB-sf New Rating D-1B 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 Elevation CLO 2026-21, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by ArrowMark Colorado Holdings, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.81, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Elevation CLO 2026-21, 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. ELMWOOD CLO 28: S&P Affirms B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, and D-R debt from Elmwood CLO 28 Ltd./Elmwood CLO 28 LLC, a CLO managed by Elmwood Asset Management LLC that was originally issued in May 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 17, 2026, refinancing date. S&P also affirmed its ratings on the existing class E and F 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 17, 2027. -- No additional assets were purchased on the April 17, 2026, refinancing date, and the target par balance remains unchanged. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.22% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.65% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.85% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.10% Previous debt -- Class A, $256.00 million: Three-month CME term SOFR + 1.52% -- Class B, $48.00 million: Three-month CME term SOFR + 1.90% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.35% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 3.30% 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 (for the class B-R and C-R debt). 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. "On a standalone basis, our cash flow analysis indicated a lower rating on the class E and F debt (which was not refinanced). However, we affirmed our 'BB- (sf)' and 'B- (sf)' rating on the class E and F debt, respectively, after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class F debt when due does not depend on favorable business, financial, or economic conditions. Therefore, the class F debt does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO 28 Ltd./Elmwood CLO 28 LLC 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 D-R (deferrable), $24.00 million: BBB- (sf) Ratings Withdrawn Elmwood CLO 28 Ltd/Elmwood CLO 28 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)' Ratings Affirmed Elmwood CLO 28 Ltd./Elmwood CLO 28 LLC Class E (deferrable): BB- (sf) Class F (deferrable): B- (sf) Other Debt Elmwood CLO 28 Ltd./Elmwood CLO 28 LLC Subordinated notes, $32.00 million: NR NR--Not rated. ELMWOOD CLO IV: S&P Affirms B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, and C-RR debt from Elmwood CLO IV Ltd./Elmwood CLO IV LLC, a CLO managed by Elmwood Asset Management LLC, that was originally issued in March 2020 and underwent a refinancing in May 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, and C-R debt following payment in full on the April 20, 2026, refinancing date. S&P also affirmed its ratings on the class D-R, E-R, and F-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2028. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 18, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-R, E-R, and F-R debt (which was not refinanced). However, we affirmed our 'BBB- (sf)', 'B+ (sf)', and 'B- (sf)' ratings on the class D-R, E-R, and F-R debt, respectively, upon considering the improved margin of failure after refinancing, the lowered weighted average cost of debt after refinancing, and the relatively stable overcollateralization (O/C) ratio and credit metrics since our last rating actions on the transaction in September 2025. In addition, we believe the payment of principal or interest on the class D-R, E-R, and F-R debt when due does not depend on favorable business, financial, or economic conditions. Therefore, these classes do not fit our definition of 'CCC' risk in accordance with "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. "Since our last rating actions in September 2025, there has been some par loss leading to a decline in O/C) levels, a slight decline in weighted average recovery, and weighted average spread. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-RR, $320.00 million: Three-month CME term SOFR + 1.25% -- Class B-RR, $60.00 million: Three-month CME term SOFR + 1.55% -- Class C-RR (deferrable), $30.00 million: Three-month CME term SOFR + 1.95% Previous debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.46% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.85% -- Class C-R, $30.00 million: Three-month CME term SOFR + 2.30% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.35% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 6.15% -- Class F-R (deferrable), $7.50 million: Three-month CME term SOFR + 7.50% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO IV Ltd./Elmwood CLO IV LLC Class A-RR, $320.00 million: AAA (sf) Class B-RR, $60.00 million: AA (sf) Class C-RR (deferrable), $30.00 million: A (sf) Ratings Withdrawn Elmwood CLO IV Ltd./Elmwood CLO IV LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Elmwood CLO IV Ltd./Elmwood CLO IV LLC Class D-R: BBB- (sf) Class E-R: B+ (sf) Class F-R: B- (sf) Other Debt Elmwood CLO IV Ltd./Elmwood CLO IV LLC Subordinated notes, $47.20 million: NR NR--Not rated. ELMWOOD CLO VII: S&P Lowers Class F-RR Notes Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-RR R debt from Elmwood CLO VII Ltd. and removed the class E-RR and F-RR debt from CreditWatch, where the debt was placed with negative implications on Feb. 6, 2026. At the same time, S&P affirmed its ratings on the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and F-RR debt. The rating actions follow S&P's review of the transaction's performance using data from the February 2026 trustee report. All reported overcollateralization (O/C) ratios have declined when compared to the November 2024 post reset trustee report: -- The class A/B O/C ratio declined to 128.82% from 131.62%, -- The class C O/C ratio declined to 119.40% from 121.99%, -- The class D O/C ratio declined to 110.63% from 113.03%, -- The class E O/C ratio declined to 106.71% from 109.03%, The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating action in October 2024. All coverage tests are currently passing with adequate cushion. Although assets rated in the 'CCC' category decreased to $17.51 million as of the February 2026 trustee report, from $28.34 in November 2024, the decline in the portfolio's weighted average spread and weighted average recovery rates have constricted the break-even default rates, resulting in weakened cash flow results. S&P said, "The lowered rating on the class E-RR debt reflects the deterioration in the transaction's credit profile and tranche support since our previous review and the cash flow failure at the prior rating level. Although our cash flow results indicate a lower rating on class E-RR on a standalone basis, we restricted the downgrade to one notch after considering qualitative factors including its current credit enhancement, passing OC, and the relatively low exposure to 'CCC/CCC-' and 'D/SD' rated collateral obligation. "Though the results of the cash flow analysis indicated lower ratings on the class D-1RR, D-2RR, and F-RR debt, we affirmed the ratings 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. Furthermore, we do not believe the class F-RR debt currently depends on favorable conditions to repay its obligations and does not fit our definition of 'CCC' risk. However, any further decline in credit support to these tranches or increase in par losses could lead to future negative rating actions. "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-RR debt, our action considered that the CLO is still in its reinvestment period (scheduled to end in October 2029) and that 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." 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 Negative Elmwood CLO VII Ltd. Class E-RR to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch Negative Elmwood CLO VII Ltd. Class F-RR to 'B- (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed Elmwood CLO VII Ltd. Class A-1-RR: AAA (sf) Class A-2-RR: AAA (sf) Class B-RR: AA (sf) Class C-RR: A (sf) Class D-1-RR: BBB- (sf) Class D-2-RR: BBB- (sf) FHF ISSUER 2026-1: DBRS Gives (P)BB Rating on Class E Notes ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the classes of Notes to be issued by FHF Issuer Trust 2026-1 (FHF 2026-1 or the Issuer) as follows: -- $44,670,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $184,405,000 Class A-2 Notes at (P) AAA (sf) -- $23,449,000 Class B Notes at (P) AA (sf) -- $22,925,000 Class C Notes at (P) A (sf) -- $34,650,000 Class D Notes at (P) BBB (sf) -- $16,800,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The historical static pool data for FHF originations and performance of the FHF auto loan portfolio. (4) The credit quality of the collateral and performance of FHF's auto loan portfolio, as of the Statistical Calculation Date: -- The pool will include 96.57% of receivables originated by franchise dealers. -- The loans in the pool will have a non-zero WA credit score of 651 and a WA annual percentage rate of 17.46%. Approximately 29% of the borrowers in the pool do not have a credit score; however, approximately 67% of the pool have an Individual Taxpayer Identification Number (ITIN). -- The WA loan-to-value ratio (LTV) is 110.43%. -- The Morningstar DBRS CNL assumption is 12.05% based on the Statistical Calculation Date pool composition and expected final pool composition. (5) The capabilities of FHF with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of FHF and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- The consistent operational history of FHF and the overall strength of the Company and its management team. -- The FHF senior management team has experience within the auto finance industry, with very limited turnover in the senior and mid-level management team. (6) The backup servicer, Vervent, will receive monthly pool data, confirm that such data is readable and perform certain operations and tests with respect to such data on the monthly servicer reports. (7) All certificates of title of the financed vehicles are held with a third party. (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (9) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with FHF, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Notes referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount, Noteholders' Interest Carryover Amount, and the note balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the related interest on any unpaid Noteholders' Interest Carryover Amount. 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. GALAXY 33: 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 Galaxy 33 CLO Ltd./Galaxy 33 CLO LLC, a CLO managed by PineBridge Investments 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-1, B-2, and C debt following payment in full on the April 20, 2026, refinancing date. S&P also affirmed its ratings on the class X, D-1, D-2, 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 20, 2027. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains the same. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The original class B-1 and B-2 debt were combined into the replacement B-R debt. The combined notional amount remains unchanged. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-2 and E debt (which was not refinanced). However, we affirmed our 'BB+ (sf)' and 'BB- (sf)' ratings on the class D-2 and E debt, respectively, after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $215.25 million: Three-month CME term SOFR + 1.28% -- Class A-2-R, $12.25 million: Three-month CME term SOFR + 1.55% -- Class B-R, $38.50 million: Three-month CME term SOFR + 1.70% -- Class C-R (deferrable), $21.00 million: Three-month CME term SOFR + 2.05% Previous debt -- Class A-1, $215.25 million: Three-month CME term SOFR + 1.55% -- Class A-2, $12.25 million: Three-month CME term SOFR + 1.75% -- Class B-1, $30.50 million: Three-month CME term SOFR + 1.95% -- Class B-2, $8.00 million: 6.000% -- Class C (deferrable), $21.00 million: Three-month CME term SOFR + 2.40% 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 Galaxy 33 CLO Ltd./Galaxy 33 CLO LLC Class A-1-R, $215.25 million: AAA (sf) Class A-2-R, $12.25 million: AAA (sf) Class B-R, $38.50 million: AA (sf) Class C-R, $21.00 million: A (sf) Ratings Withdrawn Galaxy 33 CLO Ltd./Galaxy 33 CLO LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Galaxy 33 CLO Ltd./Galaxy 33 CLO LLC Class X: AAA (sf) Class D-1: BBB- (sf) Class D-2: BBB- (sf) Class E: BB- (sf) Other Debt Galaxy 33 CLO Ltd./Galaxy 33 CLO LLC Subordnated notes, $28.50 million: NR NR--Not rated. GALAXY XXIV: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Galaxy XXIV CLO, Ltd.'s refinancing notes classes X-R2, A-R2, B-R2, C-R2, D-R2, and E-R2. Entity/Debt Rating Prior ----------- ------ ----- Galaxy XXIV CLO, Ltd. X-R 36321BAE1 LT PIFsf Paid In Full AAAsf X-R2 LT AAAsf New Rating A-R 36321BAG6 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 36321BAJ0 LT PIFsf Paid In Full AAsf B-R2 LT AA+sf New Rating C-R 36321BAL5 LT PIFsf Paid In Full Asf C-R2 LT A+sf New Rating D-R 36321BAN1 LT PIFsf Paid In Full BBB-sf D-R2 LT BBB+sf New Rating E-R 36321CAF6 LT PIFsf Paid In Full BBsf E-R2 LT BB+sf New Rating Transaction Summary Galaxy XXIV CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pinebridge Galaxy LLC. That originally closed in December 2017 and was reset in 2024. All notes except for the most junior (classes F-R) are being refinanced with reduced spreads. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $393 million of primarily first-lien senior secured leveraged loans (excluding defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.83% first-lien senior secured loans and has a weighted average recovery assumption of 73.78%. 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 three-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. FITCH ANALYSIS The portfolio includes 331 assets from 297 primarily high yield obligors. Of the 331 assets, there are two defaulted assets that represent less than 1% of the portfolio. The portfolio balance (excluding defaults and including principal cash) is approximately $393 million. According to the latest trustee report, prior to the refinance date the transaction was not passing its Minimum Floating Spread and Minimum Weighted Average Coupon tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 48.0% of the current portfolio par balance; ratings for 52.0% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6.04 years; - Minimum weighted average spread of 3.04%; - Fixed rate Assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 4.34%; - Non-first priority senior secured assets: 10.0%; The transaction will exit its reinvestment period on 04-15-2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R2: 'AAAsf' / Default 41.30% / Recovery 38.98% / Cushion 58.70% - Class A-R2: 'AAAsf' / Default 41.30% / Recovery 38.98% / Cushion 15.50% - Class B-R2: 'AA+sf' / Default 40.30% / Recovery 48.14% / Cushion 12.60% - Class C-R2: 'A+sf' / Default 35.60% / Recovery 57.87% / Cushion 11.80% - Class D-R2: 'BBB+sf' / Default 29.70% / Recovery 67.34% / Cushion 7.50% - Class E-R2: 'BB+sf' / Default 24.40% / Recovery 72.95% / Cushion 8.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class X-R2: 'AAAsf' / Default 49.00% / Recovery 36.12% / Cushion 51.00% - Class A-R2: 'AAAsf' / Default 49.00% / Recovery 36.12% / Cushion 6.60% - Class B-R2: 'AA+sf' / Default 47.60% / Recovery 44.54% / Cushion 3.40% - Class C-R2: 'A+sf' / Default 41.80% / Recovery 54.07% / Cushion 3.30% - Class D-R2: 'BBB+sf' / Default 35.50% / Recovery 63.10% / Cushion 0.70% - Class E-R2: 'BB+sf' / Default 29.40% / Recovery 68.37% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A+sf' and 'AAAsf' for class A-R2, between 'BBBsf' and 'AAsf' for class B-R2, between 'BBsf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 and class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, and 'A+sf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Galaxy XXIV CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GOLDENTREE LOAN 9: S&P Assigns 'B- (sf)' Rating on Class F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R-2, A-J-R, B-R-2, C-R-2, D-R-2, D-J-R, and E-R-2 debt from GoldenTree Loan Management US CLO 9 Ltd./GoldenTree Loan Management US CLO 9 LLC, a CLO managed by GLM II L.P. (successor in interest to GoldenTree Loan Management II L.P.) that was originally issued in March 2021 and underwent a reset in April 2024. At the same time, S&P withdrew its ratings on the previous class A-R, A-RN, A-J, B-R, C-R, D-R, D-J, and E-R debt following payment in full on the April 20, 2026, refinancing date. S&P affirmed its ratings on the class X-R and F-R debt, which were not refinanced. S&P said, "We also affirmed our rating on the class A-RL loans the credit agreement for which was amended and restated. The class X-R debt is due to receive its final principal payment on the closing date; we will withdraw our rating on the X-R debt upon review of the note valuation report indicating the note has been paid off in full." The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The class A-RL credit agreement was amended and restated. -- The class A-RN debt will no longer exist. -- The non-call period was extended to April 20, 2027. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par remains unchanged. A secured debt investor condition was added. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F-R debt (which was not refinanced). However, we affirmed our 'B- (sf)' rating on the class F-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class F-R debt does not currently depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-R-2, $298.00 million: Three-month CME term SOFR + 1.23% -- Class A-RL, $150.00 million: Three-month CME term SOFR + 1.23% -- Class A-J-R, $7.00 million: Three-month CME term SOFR + 1.50% -- Class B-R-2, $77.00 million: Three-month CME term SOFR + 1.60% -- Class C-R-2 (deferrable), $42.00 million: Three-month CME term SOFR + 1.85% -- Class D-R-2 (deferrable), $38.50 million: Three-month CME term SOFR + 2.90% -- Class D-J-R (deferrable), $10.50 million: Three-month CME term SOFR + 4.65% -- Class E-R-2 (deferrable), $21.00 million: Three-month CME term SOFR + 5.90% Previous debt -- Class A-R, $298.00 million: Three-month CME term SOFR + 1.50% -- Class A-RL, $150.00 million: Three-month CME term SOFR + 1.50% -- Class A-J, $7.00 million: Three-month CME term SOFR + 1.65% -- Class B-R, $77.00 million: Three-month CME term SOFR + 1.95% -- Class C-R (deferrable), $42.00 million: Three-month CME term SOFR + 2.40% -- Class D-R (deferrable), $38.50 million: Three-month CME term SOFR + 3.35% -- Class D-J (deferrable), $10.50 million: Three-month CME term SOFR + 4.75% -- Class E-R (deferrable), $21.00 million: Three-month CME term SOFR + 6.30% 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 (class B-R-2 and C-R-2). 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 GoldenTree Loan Management US CLO 9 Ltd./ GoldenTree Loan Management US CLO 9 LLC Class A-R-2, $298.00 million: AAA (sf) Class A-J-R, $7.00 million: AAA (sf) Class B-R-2, $77.00 million: AA (sf) Class C-R-2 (deferrable), $42.00 million: A (sf) Class D-R-2 (deferrable), $38.50 million: BBB (sf) Class D-J-R (deferrable), $10.50 million: BBB- (sf) Class E-R-2 (deferrable), $21.00 million: BB- (sf) Ratings Withdrawn GoldenTree Loan Management US CLO 9 Ltd./ GoldenTree Loan Management US CLO 9 LLC Class X-R to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class A-RN to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB (sf)' Class D-J (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Ratings Affirmed GoldenTree Loan Management US CLO 9 Ltd./ GoldenTree Loan Management US CLO 9 LLC Class X-R: 'AAA (sf)' Class A-RL loans: 'AAA (sf)' Class F-R (deferrable): 'B- (sf)' Other Debt GoldenTree Loan Management US CLO 9 Ltd./ GoldenTree Loan Management US CLO 9 LLC Subordinated notes: NR NR--Not rated. GS MORTGAGE 2026-PJ6: DBRS Gives (P)B(low) Rating on B-5 Debt ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PJ6 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ6: -- $282.1 million Class A-1 at (P) AAA (sf) -- $282.1 million Class A-2 at (P) AAA (sf) -- $282.1 million Class A-3 at (P) AAA (sf) -- $211.6 million Class A-4 at (P) AAA (sf) -- $211.6 million Class A-5 at (P) AAA (sf) -- $211.6 million Class A-6 at (P) AAA (sf) -- $169.3 million Class A-7 at (P) AAA (sf) -- $169.3 million Class A-8 at (P) AAA (sf) -- $169.3 million Class A-9 at (P) AAA (sf) -- $42.3 million Class A-10 at (P) AAA (sf) -- $42.3 million Class A-11 at (P) AAA (sf) -- $42.3 million Class A-12 at (P) AAA (sf) -- $112.9 million Class A-13 at (P) AAA (sf) -- $112.9 million Class A-14 at (P) AAA (sf) -- $112.9 million Class A-15 at (P) AAA (sf) -- $70.5 million Class A-16 at (P) AAA (sf) -- $70.5 million Class A-17 at (P) AAA (sf) -- $70.5 million Class A-18 at (P) AAA (sf) -- $39.0 million Class A-19 at (P) AAA (sf) -- $39.0 million Class A-20 at (P) AAA (sf) -- $39.0 million Class A-21 at (P) AAA (sf) -- $321.1 million Class A-22 at (P) AAA (sf) -- $321.1 million Class A-23 at (P) AAA (sf) -- $321.1 million Class A-24 at (P) AAA (sf) -- $70.5 million Class A-27 at (P) AAA (sf) -- $70.5 million Class A-29 at (P) AAA (sf) -- $70.5 million Class A-30 at (P) AAA (sf) -- $70.5 million Class A-31 at (P) AAA (sf) -- $391.7 million Class A-X-1 at (P) AAA (sf) -- $282.1 million Class A-X-2 at (P) AAA (sf) -- $282.1 million Class A-X-3 at (P) AAA (sf) -- $282.1 million Class A-X-4 at (P) AAA (sf) -- $211.6 million Class A-X-5 at (P) AAA (sf) -- $211.6 million Class A-X-6 at (P) AAA (sf) -- $211.6 million Class A-X-7 at (P) AAA (sf) -- $169.3 million Class A-X-8 at (P) AAA (sf) -- $169.3 million Class A-X-9 at (P) AAA (sf) -- $169.3 million Class A-X-10 at (P) AAA (sf) -- $42.3 million Class A-X-11 at (P) AAA (sf) -- $42.3 million Class A-X-12 at (P) AAA (sf) -- $42.3 million Class A-X-13 at (P) AAA (sf) -- $112.9 million Class A-X-14 at (P) AAA (sf) -- $112.9 million Class A-X-15 at (P) AAA (sf) -- $112.9 million Class A-X-16 at (P) AAA (sf) -- $70.5 million Class A-X-17 at (P) AAA (sf) -- $70.5 million Class A-X-18 at (P) AAA (sf) -- $70.5 million Class A-X-19 at (P) AAA (sf) -- $39.0 million Class A-X-20 at (P) AAA (sf) -- $39.0 million Class A-X-21 at (P) AAA (sf) -- $39.0 million Class A-X-22 at (P) AAA (sf) -- $321.1 million Class A-X-23 at (P) AAA (sf) -- $321.1 million Class A-X-24 at (P) AAA (sf) -- $321.1 million Class A-X-25 at (P) AAA (sf) -- $70.5 million Class A-X-27 at (P) AAA (sf) -- $39.0 million Class A-X-28 at (P) AAA (sf) -- $70.5 million Class A-X-29 at (P) AAA (sf) -- $70.5 million Class A-X-30 at (P) AAA (sf) -- $9.5 million Class B-1 at (P) AA (low) (sf) -- $9.5 million Class B-X-1 at (P) AA (low) (sf) -- $9.5 million Class B-1A at (P) AA (low) (sf) -- $5.8 million Class B-2 at (P) A (low) (sf) -- $5.8 million Class B-X-2 at (P) A (low) (sf) -- $5.8 million Class B-2A at (P) A (low) (sf) -- $3.9 million Class B-3 at (P) BBB (low) (sf) -- $2.1 million Class B-4 at (P) BB (low) (sf) -- $829.0 thousand Class B-5 at (P) B (low) (sf) -- $282.1 million Class A-1L Loans at (P) AAA (sf) -- $282.1 million Class A-2L Loans at (P) AAA (sf) -- $282.1 million Class A-3L Loans at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-31, A-1L, A-2L, and A-3L are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-31, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 5.60% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.30%, 1.90%, 0.95%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 316 loans with a total principal balance of $414,899,114 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 15 to 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 73.6%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (24.8%), PennyMac Loan Services, LLC (14.5%), LoanDepot.com (13.2%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (38.7%), United Wholesale Mortgage, LLC (24.8%), PennyMac Loan Services, LLC (23.3%), and loanDepot.com LLC (13.2%). Computershare Trust Company, N.A. will act as Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider and Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ6: Fitch Assigns 'B-(EXP)sf' Rating on B5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by GS Mortgage-Backed Securities Trust 2026-PJ6 (GSMBS 2026-PJ6). Entity/Debt Rating ----------- ------ GSMBS 2026-PJ6 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX29 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating BX1 LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating BX2 LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating A-1L Loans LT AAA(EXP)sf Expected Rating A-2L Loans LT AAA(EXP)sf Expected Rating A-3L Loans LT AAA(EXP)sf Expected Rating Transaction Summary The certificates are supported by 316 prime, fixed-rate loans with a total balance of approximately $414.9 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-PJ6 has a final probability of default (PD) of 10.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.6%. The expected loss in the 'AAAsf' rating stress is 3.7%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ6 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies an approximate 5% PD reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ6 to be fully de-linked and serve as a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-PJ6; therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus Capital Markets Consultants, LLC, Consolidated Analytics, Inc and Situs AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximately 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-CES2: S&P Assigns (P)B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-CES2's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties. The pool has 3,854 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), QM rebuttable presumption, non-QM/compliant, and not covered/TILA exempt loans. The preliminary ratings are based on information as of April 22, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-CES2 Class A-1A, $231,785,000: AAA (sf) Class A-1B, $23,322,000: AAA (sf) Class A-2, $7,533,000: AA (sf) Class A-3, $8,402,000: A (sf) Class M-1, $8,113,000: BBB (sf) Class B-1, $3,621,000: BB (sf) Class B-2, $3,477,000: B (sf) Class B-3, $3,477,262: NR Class XS, notional(ii): NR Class SA(iii): NR Class R, not applicable(iv): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)The notional amount equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $289,730,262. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $8,714. (iv)The class R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuing entity. The class R notes are not expected to receive payments. NR--Not rated. GS MORTGAGE-BACKED 2026-NQM3: S&P Assigns (P)B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-NQM3's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool consists of 690 loans, comprising QM safe harbor (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of April 17, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-NQM3 Class A-1FCF, $37,500,000: AAA (sf) Class A-1LCF, $12,500,000: AAA (sf) Class A-1A, $185,497,000: AAA (sf) Class A-1B, $27,219,000: AAA (sf) Class A-1, $212,716,000: AAA (sf) Class A-2, $14,455,000: AA (sf) Class A-3, $30,255,000: A (sf) Class M-1, $10,758,000: BBB (sf) Class B-1, $7,563,000: BB (sf) Class B-2, $6,388,000: B (sf) Class B-3, $4,034,168: NR Class X, notional(ii): NR Class SA, (iii): NR Class PT, $336,169,168: NR Class R(iv), not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $336,169,168. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $82,212. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. HILTON GRAND 2026-1: Fitch Assigns 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2026-1 (HGVT 2026-1). Entity/Debt Rating Prior ----------- ------ ----- Hilton Grand Vacations Trust 2026-1 A LT AAAsf New Rating AAA(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf Transaction Summary The notes are backed by a pool of fixed-rate timeshare loans originated by Hilton Resorts Corporation (HRC), Diamond Resorts Corporation (Diamond) and Bluegreen Vacations Corporation (Bluegreen). Hilton Grand Vacations, Inc. (HGV) completed its acquisitions of Diamond and Bluegreen in August 2021 and January 2024, respectively. As a result of the acquisitions, Diamond and Bluegreen are now wholly owned indirect subsidiaries of HGV. KEY RATING DRIVERS Borrower Risk — Strong Collateral: The 2026-1 pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 746, up from 742 in 2025-2 and 745 in 2025-1. Loans with original balances greater than $100,000 have decreased to 16.1%, from 20.3% in 2025-2, which Fitch considers a credit positive as larger-balance loans have led to higher cumulative gross defaults (CGDs) in prior HGVT transactions. In addition, the pool includes approximately 1.0% of loans made to foreign obligors, slightly down from a 1.1% concentration in 2025-2. The WA original term of 123 months is consistent to 2025-2, and seasoning of 11 months is down from 15 months in 2025-2. The share of upgraded loans from existing owners, at 63.7%, is lower than 72.3% in 2025-2. 2026-1 is HGV's fifth transaction to include the HRC, Diamond and Bluegreen loans, which represent 33.9%, 32.8% and 33.3% of the collateral pool, respectively. On a like-for-like FICO basis, the HRC loans perform better than the Diamond and Bluegreen loans. Forward-Looking Approach on Rating Case CGD Proxy — Weakening Performance: HRC's managed portfolio delinquency and default performance showed notable increases in CGDs in the 2007-2010 vintages. Subsequent performance improvement was observed from 2010-2015, but the 2016-2024 vintages have demonstrated elevated CGDs that are outpacing those of the recessionary vintages for HRC, Diamond and Bluegreen. Similarly, recent securitized transactions are performing worse than earlier transactions. Fitch's rating case CGD proxy is 19.00% for 2026-1. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) is 61.60%, 30.15%, 13.90% and 4.80% for the class A, B, C and D notes, respectively. CE is higher for all classes relative to 2025-2; a class D note was not issued for 2025-2. Hard CE is composed of overcollateralization, a reserve account and subordination. Soft CE is also provided by excess spread of 7.66% per annum. Available CE is sufficient to support stressed 'AAAsf', 'A-sf', 'BBB-sf' and 'BB-sf' multiples of Fitch's CGD proxy of 19.00%. Originator/Seller/Servicer — Adequate Origination/Servicing: Fitch considers HRC to have demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the managed portfolio and prior securitizations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. In addition, unanticipated increases in prepayment activity could result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level needed to reduce each rating by one full category, to non-investment grade, to 'BBsf' and to 'CCCsf' based on the break-even default coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C, and D notes, the multiples would increase, resulting in potential upgrades of three, two, and two notches, respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from KPMG LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculating of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-HE1: Fitch Assigns 'B+(EXP)sf' Rating on B-3 Certs ----------------------------------------------------------------- Fitch Ratings withdraws the expected ratings assigned to J.P. Morgan Mortgage Trust 2026-HE1 (JPMMT 2026-HE1) on April 13, 2026, as the transaction has since been restructured. Fitch has assigned new expected ratings based on the updated deal structure to JPMMT 2026-HE1. Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-HE1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating M-1 LT AA-(EXP)sf Expected Rating M-2 LT A(EXP)sf Expected Rating M-3 LT BBB(EXP)sf Expected Rating B-1 LT BB+(EXP)sf Expected Rating B-2 LT BB(EXP)sf Expected Rating B-3 LT B+(EXP)sf Expected Rating A1 LT WDsf Withdrawn AAA(EXP)sf M1 LT WDsf Withdrawn AA+(EXP)sf M2 LT WDsf Withdrawn AA-(EXP)sf M3 LT WDsf Withdrawn BBB+(EXP)sf B1 LT WDsf Withdrawn BBB-(EXP)sf B2 LT WDsf Withdrawn BB(EXP)sf B3 LT WDsf Withdrawn B(EXP)sf B4 LT NR(EXP)sf Expected Rating NR(EXP)sf BX LT NR(EXP)sf Expected Rating NR(EXP)sf AIOS LT NR(EXP)sf Expected Rating NR(EXP)sf R LT NR(EXP)sf Expected Rating NR(EXP)sf X LT NR(EXP)sf Expected Rating NR(EXP)sf Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by first and second lien, prime, open and temporarily frozen home equity line of credit (HELOC) on residential properties to be issued by JPMMT 2026-HE1, as indicated above. This is the tenth transaction to be rated by Fitch that includes prime-quality first and second lien HELOCs with open draws off the JPMMT shelf and the tenth second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificates are 6,384 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $641.88 million ($811.16 million based on the amount the borrower had drawn to date). As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze and may be opened in the future. The weighted average (WA) utilization of the HELOCs is 90.92%, per the transaction documents. Per Fitch's analysis, the main originators in the transaction are United Wholesale Mortgage (60.25%) and Better Mortgage Corporation (25.07%). All other originators make up less than 15% of the pool. The loans are serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 93.85%) and loanDepot.com LLC (6.15%). Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Chase Bank, National Association (JPMCB). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2026-HE1 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. Fitch's analysis is based on the current total amount drawn by the borrower to date on the HELOC and not just the balance of the loans in this transaction. As a result, all Fitch-determined percentages are based on the maximum HELOC draw amount. The servicers, Shellpoint and loanDepot.com, will not be advancing delinquent (DQ) monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans. These loans are adjusted based on the prime rate. The class A-1, A-1A, A-1B, M-1, M-2, M-3, B-1 and B-2 certificates are floating rate and use SOFR as the index; they are capped at the net WA coupon (WAC). The annual rate on class B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. The B-X class is an exchangeable class off of the B-3, B-4 and X class and will not be rated. For this transaction, Fitch used benchmark prepayment curves ranging from a two-year reset to a ten year reset based on the original IO expiration term with benchmark prepayment speeds that typically averaged 20%. These changes better reflect the prepayment behavior of HELOCs based on historical prepayments The transaction has been restructured since the presale was published on April 13, 2026, as a result Fitch is withdrawing the previously assigned ratings on the A1, M1, M2, M3, B1, B2, and B3 due to material changes in the transaction structure. Fitch has assigned new expected ratings to the transaction. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The participation interest is in a fixed pool of draws related to 6,384 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year IO periods and maturities of up to 30 years. The open-ended HELOCs are secured mainly by second liens on primarily one- to four-family residential properties (including PUDs), condominiums, townhouses and a site condo totaling $641,875,693. Fitch based its analysis on the total amount the borrower has drawn to date, which is $811,163,183.23. Of the loans, 98.2% are cashouts, 88.5% are single family/PUDs and 87.1% are owner occupied or second homes. The loans are seasoned at an average of 9 months. The pool has a WA original FICO score of 748 (according to Fitch), indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 67.9%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 71.9%. This transaction has a final probability of default (PD) of 21.65% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 96.45%. The expected loss in the 'AAAsf' rating stress is 20.89%. Structural Analysis (Mixed): JPMMT 2026-HE1 has modified sequential structure for principal with no advancing. Interest collected on the collateral is used to pay interest on the bonds. Principal collected on the collateral is used to pay principal on the bonds. The transaction has excess interest in addition to subordination to absorb losses, should they occur. A-1 is paid pari passu with A-1A and A-1B for principal, interest and losses. Interest is paid sequentially starting with the A classes. Interest is allocated pro rata between class A-1 and classes A-1A and A-1B. Once the A-1 classes receive interest, it is then paid to the M and finally to the B classes. Principal is allocated based on a modified-sequential structure in which principal is distributed pro rata to the A-1, A-1A, A-1B, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent the triggers are failing, principal is paid sequentially. Among the A-1A and A-1B classes, interest is paid first to A-1A then A-1B and principal is paid pro rata to A-1A and A-1B (unless the B-3 and B-4 classes are zero). Principal will change from pro rata to sequential with A-1A being paid first (prior to A-1B receiving principal payments) if B-3 and B-4 classes have a zero balance. Losses will be taken first by A-1B then once A-1B is written off A-1A will take losses. The transaction has a lockout feature benefiting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 classes is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the NPL percentage plus (iii) the charged-off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected toward the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out starting on day one. The A-1, A-1A, A-1B, M-1, M-2, M-3, B-1 and B-2 classes are floating-rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, as well as cap carryover amounts. This is in addition to subordination. Losses are allocated reverse sequentially starting with B-4. Once M-1 is written off, losses are allocated pro-rata between A-1 and A-1A and A-1B with A-1B taking the A-1A/A-1B share of losses first. Once A-1B is written off A-1A will take the A-1A/A-1B share of losses. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp 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 entities. Fitch expects JPMMT 2026-HE1 to be fully de-linked and the transaction will be structured with a bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural or counterparty features. These considerations do not apply to JPMMT 2026-HE1, and therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Maxwell, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. As a result, losses were lowered. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Consolidated Analytics, and Maxwell were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LCM XVIII: S&P Lowers Class E-R Notes Rating to 'CCC (sf)' ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class C-R and D-R debt from LCM XVIII L.P. and removed them from CreditWatch, where we placed them with positive implications on Feb. 5, 2026. At the same time, S&P lowered its rating on the class E-R debt and removed it from CreditWatch where it had placed it with negative implications. S&P also withdrew its rating on the class B-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 2026 trustee report. The transaction has made collective paydowns of $205.35 million to the class A-1-R, A-2-R, B-R, and C-R debt since S&P's May 2025 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the March 2025 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 7,379.82% from 160.07%. -- The class C O/C ratio improved to 235.77% from 131.52%. -- The class D O/C ratio improved to 129.52% from 114.26%. -- The class E O/C ratio declined to 97.58% from 104.31%. The O/C ratios above are from the April 10, 2026, trustee report, which occurred before the April 20, 2026, payment date. While the senior O/C ratios experienced a positive movement due to continued de-leveraging of the structure, the junior O/C ratio declined due to a combination of par losses and O/C haircuts from excess 'CCC' exposure and elevated default exposure. As a result, the class E-R debt is now failing its O/C test by 6.6%. The senior payments have helped increase credit support to the class C-R and D-R debt, however, the collateral portfolio's credit quality has deteriorated since our last rating actions. Although the dollar value of the 'CCC' exposure has declined ($15 million in the April 2026 trustee report compared with $18.4 million in the March 2025 trustee report), the portfolio has amortized significantly since our last rating action, which has resulted in the 'CCC' assets constituting 15.3% of the pool now versus 6.5% previously. As a result, the O/C numerator is taking haircuts for this excess, which is contributing to the failure of the class E-R O/C test. Over the same period, the par amount of defaulted collateral has increased to $5.4 million from $2.1 million, which, in turn, affected the credit support to the classes. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction has benefited from a drop in the weighted average life due to the seasoning of the collateral portfolio, with 2.5 years reported as of the April 2026 report compared with 3.14 years reported at the time of our May 2025 rating actions. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The class C-R debt is at approximately 25% of its original balance following the paydowns on the April 20, 2026, payment date. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-R debt. However, because the transaction currently has elevated exposure to 'CCC' rated collateral obligations and defaulted loans we limited the upgrade on this class to offset future potential credit migration in the underlying collateral. In addition, the ratings reflect the portfolio's elevated exposure to low-priced assets through additional sensitivity runs that assumed these positions are sold at distressed prices. The downgrade reflects deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R debt. In addition, the cash flows were failing at the prior rating levels due to an increase in scenario default rates (SDRs) and a decrease in the break-even default rates (BDRs). While SDRs increased from the increase in exposure to 'CCC' category assets, the BDRs declined due to the increase in defaults and par losses. While the weighted average spread for this transaction is strong at 3.82%, the weighted average recovery rate is at 34.8% which also contributed to the decline in BDRs. Lower recovery expectations imply that in the event of a default, the value recovered from the assets will be less than the par amount of the asset. The high weighted average spread is also partially offset by the increase in weighted average cost of capital of the CLO due to deleveraging of the lower-cost senior tranches. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing may narrow, which could reduce the excess cash flow available to support this junior tranche. S&P now believes that this class needs favorable conditions to repay its commitments as per our 'CCC' ratings definitions. S&P said, "Although the cash flow results indicated a lower rating for the class E-R debt, we opted to hold back from downgrading all the way to the model-implied rating as the class still has some credit support, commensurate with similar CLO tranches at that rating level. There is sufficient interest coverage at this time and the class is not expected to defer its interest payment on the next payment date. We will continue to monitor the performance of this class and take appropriate rating action if the collateral portfolio continues to deteriorate or if the class begins to defer interest payment." The withdrawn rating on the class B-R debt reflects the paydown in full of this class on the April 20, 2026, payment date. 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 these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive LCM XVIII L.P. Class C-R to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class D-R to 'A- (sf)' from 'BBB- (sf)/Watch Pos' Ratings Lowered And Removed From CreditWatch Negative LCM XVIII L.P. Class E-R to 'CCC (sf)' from 'B- (sf)/Watch Neg' Rating Withdrawn LCM XVIII L.P. Class B-R to NR from 'AAA (sf)' NR--Not rated. LOBEL AUTOMOBILE 2026-1: DBRS Gives (P)B(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the classes of notes (the Notes) to be issued by Lobel Automobile Receivables Trust 2026-1 (the Issuer or LOBEL 2026-1) as follows: -- $119,525,000 Class A Notes at (P) AAA (sf) -- $27,949,000 Class B Notes at (P) AA (low) (sf) -- $26,295,000 Class C Notes at (P) A (low) (sf) -- $21,406,000 Class D Notes at (P) BBB (low) (sf) -- $17,061,000 Class E Notes at (P) BB (low) (sf) -- $15,406,000 Class F Notes at (P) B (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS expected cumulative net loss (CNL) assumption under various stress scenarios. -- LOBEL 2026-1 will include a prefunding feature. (2) LOBEL 2026-1 provides for Class B and Class C coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) LOBEL 2026-1 provides for the Class F Notes with a credit rating of (P) B (low) (sf). While the Morningstar DBRS Rating North American Auto Retail Loan and Lease Transactions methodology does not set forth a range of multiples for this asset class for the B (sf) level, the analytical approach for this credit rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the Morningstar DBRS stress analysis for a B (sf) credit rating is 1.00 times (x) to 1.25x. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (5) The Morningstar DBRS CNL assumption is 21.00% for the transaction based on the expected pool composition. (6) 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. (7) The quality and consistency of provided historical static pool data for Lobel Financial Corporation (Lobel) originations since 2015. (8) The capabilities of Lobel with regard to originations, underwriting, and servicing. (9) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Lobel, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Lobel is an indirect auto finance company focused primarily on independent dealers. The company provides financing to subprime borrowers who are unable to obtain financing through traditional sources, such as banks, credit unions, and captive finance companies. The credit rating on the Class A Notes reflects 52.59% of initial hard credit enhancement provided by the subordinated Notes in the pool, the reserve account (1.00%), and overcollateralization (7.80%). The credit ratings on the Class B, C, D, E, and F Notes reflect 41.27%, 30.62%, 21.95%, 15.04%, and 8.80% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each class of Notes are the related Noteholders' Monthly Interest Distributable Amount and the related Outstanding Amount. 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. The associated contractual payment obligation that is not a financial obligation is the related interest on any unpaid Noteholders' Interest Carryover Amount for each class of Notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. LSTAR COMMERCIAL 2016-4: DBRS Confirms Csf Rating on Class E Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2016-4 issued by LSTAR Commercial Mortgage Trust 2016-4 as follows: -- Class D at CCC (sf) -- Class E at C (sf) The credit ratings assigned to the above classes do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations reflect the recovery expectations for the remaining two loans in the pool, one of which, representing 46.6% of the pool, is in special servicing. As of the April 2026 remittance, cumulative realized losses totaled $56.1 million, wiping out Classes G and H and a portion of the balance on Class F. Morningstar DBRS previously downgraded and discontinued its credit ratings on Classes G and F in July 2025 and November 2025, respectively. Since Morningstar DBRS' most recent credit rating action in May 2025, the pool balance declined to $54.6 million, representing an 89.2% reduction from the original balance. As of the April 2026 remittance, interest shortfalls totaled $1.4 million with all accrued interest currently allocated to the discontinued classes. The Hotel Lincoln - Fee Mortgage loan (Prospectus ID#9, 46.6% of the current trust balance), which is secured by a 99-year ground lease beneath the subject hotel in Lincoln Park, Chicago, transferred to special servicing in March 2026 for maturity default. According to the servicer, the borrower requested a three-year maturity extension through 2029. According to the September 2025 STR report, the property reported an occupancy rate of 60.2%, an average daily rate of $203, and revenue per available room of $122, outperforming its competitive set across all three metrics. For this review, Morningstar DBRS analyzed the loan with a liquidation scenario based on a 10.0% haircut to the most recent appraisal of $30.0 million, resulting in an implied loss of $2.2 million and a loss severity of 8.5%. The loss is expected to be contained to the now unrated Class F certificate; however, the possibility of further value decline over the remainder of the workout period contributed to the credit rating confirmations with this review. The other remaining loan in the pool, Charlotte Plaza (Prospectus ID#1; 53.4% of the current trust balance) is secured by an office building in downtown Charlotte, North Carolina. The loan returned to master servicer in January 2026 after the loan's maturity was extended through August 2030 and the $120 million whole-loan balance was reduced by $50.0 million to $70.0 million, resulting in a realized loss of $20.8 million allocated to the subject trust. The subject property reported an occupancy of 28.3% as of the January 2026 rent roll. According to the April 2025 appraisal, the property was reappraised at $59.7 million, representing a steep decline from the issuer's appraised value of $181.5 million and still below the $70.0 million loan balance following the loan modification. The lead servicer is holding $11.7 million in reserves, approximately half of which is allocated to tax and insurance accounts and the remainder to tenant reserves. Although the loan modification reduces the trust exposure, Morningstar DBRS believes the loan is still exposed to increased risk of loss, with relatively little cushion against further value decline for the collateral property, factors which supported the credit rating confirmations with this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MILL CITY 2019-GS1: Fitch Assigns B-sf Final Rating on Cl. B6A Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to three previously unrated classes from Mill City Mortgage Loan Trust 2019-GS1 (the transaction), which was issued in 2019 and then rated by Fitch in February 2025. This transaction was last reviewed by Fitch in January 2026 during the RPL sector review. Entity/Debt Rating ----------- ------ MCMLT 2019-GS1 B5 59981BAP9 LT BBsf New Rating B5B 59981BBS2 LT BBsf New Rating B6A 59981BBU7 LT B-sf New Rating KEY RATING DRIVERS Credit Risk of Mortgage Assets (Neutral) This pool is backed by re-performing loan collateral that is a mix of first- and second-lien loans totaling $204.5 million. The collateral is seasoned approximately 223 months in aggregate, with more than 90% of the pool originated before 2010. The current 'BBsf' expected loss is 6.69%, decreasing approximately 5 bps since January 2026, and approximately 357 bps since the deal was first rated by Fitch in February 2025. The decreases in expected losses since early 2025 were driven by the collateral's strong performance, an increase in equity, and changes to Fitch's U.S. RMBS Rating Criteria, revised and published in October 2025. The revised criteria views portfolios that have experienced significant equity build-up more favorably than the prior analytical framework. MtM LTVs are currently 50.5% (-24.0% since issuance). The pool's current 30+ DQ rate is 11.16%, up from 10.37% since February 2025. The 79 bps increase is modest given the nature and trends of RPL collateral. The stressed default rates reflect seasoned loan PDs and are driven mainly by MTM LTV, amortization and payment history. The current 'BBsf' PD for the pool is 41.7%, up from 31.3% (+10.4%) in February 2025. The current 'BBsf' LS for the pool is 16.0%, down from 32.8% (16.8%) in February 2025. Structural Analysis (Neutral) MCMLT 2019-GS1 utilizes a straight-sequential pay structure; where principal is paid sequentially and losses are allocated reverse sequentially. Neither the B5B nor the B6A tranche have begun to amortize principal and neither have any outstanding interest shortfalls. The B5 class is an exchangeable class whose notional is derived from the B5A and B5B. It is therefore rated at the lower rating of the two classes (BBsf). This transaction accrues excess interest that can pay down principal, increasing amortization, or absorb collateral losses. The collateral has incurred $6.64 million worth of losses since issuance (1.72%) which has been entirely absorbed by excess interest. The most junior B6 class, which is not rated in this action, has not incurred any writedowns. The current pool factor is 52.9%, with a deal age of 77 months and the current three-month CPR is 7.7%. The B5/B5B and B6A classes have current credit enhancements of 6.35% (+59 bps since February 2025) and 3.52% (+33 bps), and the subordination is $11.0 million and $5.1 million respectively. Operational Risk Analysis (Neutral) Fitch considered the transaction's operational risk to be controlled. Fitch considers originator and servicer capability and third-party due diligence results when assessing any potential operational risk adjustment. Counterparty Risk and Credit Linkages (Negative) All relevant transaction parties conform with the requirements described in Fitch's Global Structured Finance Rating Criteria. Additionally, the transaction satisfies all legal requirements to be fully de-linked from any other entities. Rating Cap Analysis (Neutral) Classes are all rated at the highest stress level each class passes. Fitch did not apply any upgrade cap considerations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected sMVD. The analysis indicates some potential rating migration lower. For example, 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. 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 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. MILL CITY 2026-R1: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Mill City Mortgage Loan Trust 2026-R1 (MCMLT 2026-R1). Entity/Debt Rating Prior ----------- ------ ----- MCMLT 2026-R1 A-1FCF LT WDsf Withdrawn AAA(EXP)sf A-1LCF LT WDsf Withdrawn AAA(EXP)sf A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R-PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Following presale publication, the issuer provided an updated structure reflecting final coupons and the removal of the A‑1FCF and A‑1LCF senior classes. As a result, balances for classes A‑1-A and A‑1-B were revised, while proposed credit enhancement for all classes is unchanged. Fitch re-ran the cash flow analysis on the updated structure and confirmed no changes between expected and final ratings for any class. The notes are supported by 920 seasoned performing loans (SPL) and reperforming loans (RPL) with a total balance of approximately $455 million as of the cutoff date. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' for the previous classes A‑1FCF and A‑1LCF as the notes are no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. MCMLT 2026-R1 has a final probability of default (PD) of 49.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 38.6%. The expected loss in the 'AAAsf' rating stress is 19.1%. The collateral consists of 920 seasoned performing and reperforming first-lien loans, totaling $455 million, with an average loan age of 45 months (calculated as the difference between the first payment date and the Fitch run date and, for modified loans, the difference between the modification date and the Fitch run date). Approximately 1.6% of the loans have a prior modification. The pool is 96.1% current and 3.6% delinquent (DQ), with a Fitch weighted average delinquency (WADQ) score of 0.62. Borrowers have a strong credit profile, with 736 Fitch FICO and 32.0% debt-to-income (DTI) ratio. They also have moderate leverage, with a 68.7% mark-to-market (MTM) combined loan-to-value (cLTV) ratio and a 74.1% stressed loan-to-value ratio (sLTV) at the 'B' rating stress, according to Fitch. The pool consists of 49.8% of loans where the borrower maintains a primary residence, while 50.2% are investment properties or second home. Structural Analysis (Positive): The mortgage cash flow and loss allocation in MCMLT 2026-R1 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 notes (specifically, the A-1FCF, A-1LCF, A-1-A and A-1-B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for classes A-1FCF, A-1LCF, A-1-A and A-1-B, A-2 and A-3 will increase by 100bps, subject to the net WA coupon (WAC), starting on the April 2030 payment date. This reduces the modest excess spread available to repay losses and serves as an economic incentive for the deal's optional termination to be exercised on or before that date. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1FCF, A-1LCF, A-1-A, A-1-B, A-2 and A-3 notes. There will be no advancing of delinquent P&I on the loans. However, the priority of payments directs principal collections to cover any unpaid interest on the notes before applying principal, which provides structural support for timely interest payments in the absence of P&I advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to the more subordinate classes. Operational Risk Analysis (Neutral): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework, as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that directly affects Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. For RPL transactions, credit is not given to loans with a due diligence grade of 'A' or 'B'. Additionally, Fitch reviews loans receiving with a due diligence grade of 'C' or 'D' on a loan-level basis, and it may apply additional PD and/or LS adjustments depending on the exceptions and the materiality of the associated credit risk. Approximately 0.8% (seven loans) received a final overall grade of 'C' or 'D'. However, given the available mitigants and the immaterial concentration of impacted loans, Fitch applied no adjustments to its loss expectations. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects MCMLT 2026-R1 to be fully de-linked and a bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 36.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Seasoning-Based Scaling To Z-Score Adjustment on Final Probability of Default (PD): Currently, additional PD adjustments are applied to the Final PD using a Z-score adjustment. These adjustments are static in both weight and application over time, regardless of loan seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression, such as penalties for limited income documentation or buydown loans. While these risk factors were present at origination, their relevance diminishes as the loan seasons and more performance data becomes available. This analysis scaled down the Z-score adjustment over a five-year seasoning period, starting after year two, which is when Fitch believes loans are considered 'Seasoned Loans'. This approach ensures that as more performance history becomes available, the seasoned loan PD becomes the primary driver of expected default rates. Ratings were roughly one notch higher as a result of this variation. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Infinity and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Approximately 0.8% (seven loans) received a final overall grade of 'C' or 'D', primarily due to missing FEMA documentation, the absence of a second appraisal, and small number of loans with excess charges, most of which are outside the statute of limitations. These exceptions were mitigated by refreshed property valuations obtained for all loans. Given this and the immaterial concentration of the remaining impacted loans, Fitch applied no adjustments to its loss expectations. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MMCAPS FUNDING XVIII: Moody's Raises Rating on 3 Tranches from Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by MMCapS Funding XVIII, Ltd.: US$21,800,000 Class A-2 Floating Rate Notes due 2039, Upgraded to Aaa (sf); previously on June 12, 2024 Upgraded to Aa1 (sf) US$20,100,000 Class B Floating Rate Notes due 2039, Upgraded to Aa1 (sf); previously on June 12, 2024 Upgraded to Aa2 (sf) US$55,900,000 Class C-1 Floating Rate Deferrable Interest Notes due 2039, Upgraded to Baa2 (sf); previously on June 12, 2024 Upgraded to Ba1 (sf) US$12,000,000 Class C-2 Fixed/Floating Rate Deferrable Interest Notes due 2039, Upgraded to Baa2 (sf); previously on June 12, 2024 Upgraded to Ba1 (sf) US$4,000,000 Class C-3 Fixed Rate Deferrable Interest Notes due 2039, Upgraded to Baa2 (sf); previously on June 12, 2024 Upgraded to Ba1 (sf) MMCapS Funding XVIII, Ltd., issued in December 2006, is a collateralized debt obligation (CDO) backed 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 ongoing deleveraging of the Class A-1 notes, an 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 have paid down by approximately 2.7% or $1.6 million since a year ago, using 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 256.09%, 204.19% and 118.37%, respectively, from levels a year ago of 251.03%, 200.96% and 117.28%, respectively. The Class A-1 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 611 from 661 a 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: $202.5 million Defaulted/deferring par: $31.7 million Weighted average default probability: 5.13% (implying a WARF of 611) 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 actions were taken on the Class A-1 Notes and Combo 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(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. MORGAN STANLEY 2015-C23: DBRS Confirms Bsf Rating on X-FG Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C23 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 as follows: -- Class E at BB (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class X-FG at B (sf) Morningstar DBRS changed the trends on Classes E, F, G, and X-FG to Stable from Negative. Morningstar DBRS also discontinued its credit rating on Class D, which repaid with the March 2026 remittance. The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the remaining four loans in the pool. Since Morningstar DBRS' last credit rating action in April 2025, 50 loans with a total balance of $623.1 million have been repaid, with Classes A-3 through D paid in full as of the March 2026 remittance. Of the $75.5 million remaining pool balance, $32.2 million remains in the unrated Class H, representing significant credit support for the remaining classes. Although the paydown over the past year has moved Class E to the first pay position, with the principal balance at issuance already partially reduced by repayments, Morningstar DBRS maintained the below investment-grade credit rating for that and all rated classes given the pool's wind-down status and increased exposure to adverse selection. Of the four remaining loans, one loan, 1131 SW Winding Road (Prospectus ID#53, 5.0% of the pool), is in special servicing, and the other three are with the master servicer and have extended maturity dates in late 2026 or 2027. As part of the recoverability analysis for the remaining four loans, Morningstar DBRS applied haircuts to the most recent appraised values for the collateral properties to identify where projected losses would affect the remaining capital stack. The analysis suggested realized losses would be relatively low, totaling $14.1 million and well contained within the unrated first loss piece, Class H. Morningstar DBRS also tested the pool's propensity for increased interest shortfalls, assuming servicer advancing based on the aforementioned stressed values. This analysis also concluded that interest shortfalls would be constrained to Class H, supporting the trend changes to Stable. The largest remaining loan in the pool is Hilton Garden Inn W 54th Street (Prospectus ID#7, 53.0% of the pool), which is secured by a 401-room select-service hotel in Manhattan, New York. The loan is pari passu with the Morgan Stanley Capital I Trust 2015-MS1 (Morningstar DBRS rated) and Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 transactions. The mezzanine lender acquired the property after a maturity default on the subject loan, which was extended to April 2027. Property cash flows are healthy as of the most recent reporting dated March 2025, with a strong debt service coverage ratio (DSCR). The September 2025 STR, Inc. report noted occupancy, average daily rate, and revenue per available room (RevPAR) figures of 90.4%, $273.48, and $247.11, respectively. The report noted RevPAR penetration was 98.5%, a decline from 101.3% from the same period the prior year. Morningstar DBRS' recoverability analysis for the loan assumed a 20% haircut to the $206.6 million April 2025 appraised value, resulting in a low implied loss severity of 6%. Two loans, Aviare Place Apartments (Prospectus ID#16, 26.4% of the pool) and Hawthorne House Apartments (Prospectus ID#24, 15.6% of the pool), are each secured by multifamily properties in Midland, Texas. When the loans were previously in special servicing, both properties received updated appraisals dated February 2022 showing values below their respective issuance figures. Morningstar DBRS applied a 10% haircut to those values in the analysis for this review, which resulted in combined projected losses of $9.8 million. The 1131 SW Winding Road loan is secured by a Class B suburban office property in Topeka, Kansas. The loan defaulted on the May 2025 maturity date, and the performance metrics are weak, with a below breakeven DSCR and a sub-70% occupancy rate as of June 2025. In October 2025, an updated appraisal valued the property at $4.0 million, down from $7.6 million at issuance. Given the property's tertiary location and Class B status, Morningstar DBRS liquidated the loan based on a 40% haircut to the October 2025 value, resulting in a projected loss of $2.0 million and loss severity of 52%. 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-FG is interest-only (IO) certificate that references 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. MORGAN STANLEY 2017-ASHF: DBRS Hikes Rating on Cl. E Certs From BB ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2017-ASHF issued by Morgan Stanley Capital I Trust 2017-ASHF as follows: -- Class XEXT to AA (high) (sf) from A (sf) -- Class C to AA (sf) from A (low) (sf) -- Class D to A (sf) from BBB (low) (sf) -- Class E to BBB (low) (sf) from BB (sf) Morningstar DBRS also changed the trends on Classes XEXT, C, D, and E to Positive from Stable. Morningstar DBRS discontinued its credit ratings on Classes A and B as the classes were repaid in full with the March 2026 remittance. The credit rating upgrades and Positive trends largely reflect the significant collateral reduction since Morningstar DBRS' previous credit rating action in May 2025. The underlying loan is backed by a hotel portfolio and benefits from experienced sponsorship, national brand affiliations, and geographical diversity. The loan has been in special servicing for a few years as the borrower and special servicer have worked to address the inability to secure a refinance by the original final maturity date in November 2024. Extensions granted as part of a loan modification have most recently pushed the maturity date to March 2027 (with a remaining option to extend to March 2028), and over the workout period, the borrower has been selling properties and deleveraging the trust loan, which has been reduced to a balance of $232.7 million as of the March 2026 remittance period, down from the original balance of $427.0 million. The Class C certificate is now the most senior and has a balance of less than $11.0 million. In total, there are three unrated certificates in the capital structure with a combined balance of $111.8 million cushioning the rated certificates against realized loss, further supporting the credit rating actions with this review. Although there has been significant deleveraging since Morningstar DBRS' previous credit rating action, Morningstar DBRS took a conservative approach with this review and considered a liquidation scenario based on a conservative haircut to the derived Morningstar DBRS Value to evaluate the likelihood that realized losses would affect the rated portion of the capital stack. That analysis showed the rated classes would remain well insulated, with hypothetical losses contained to the unrated Classes HRR and G, with the unrated Class F balance of $59.8 million fully recovered. The subject transaction comprises an interest-only (IO), floating-rate loan, collateralized by a portfolio now composed of 11 hotel properties with multiple formats represented, including all-suite, full-service, limited-service, and extended-stay hotels. The portfolio combines 2,025 keys across seven states. As of the March 2026 remittance, there had been six property releases and, as per the loan modification requirements, when a property is released from the trust, the debt yield for the remaining properties must be equal to or greater than the debt yield immediately prior to the release--a mitigating factor in consideration of the risk of adverse selection. According to the STR, Inc. (STR) reports for the trailing 12-month (T-12) period ended December 31, 2025, the portfolio reported weighted-average (WA) occupancy rate, average daily rate, and revenue per available room (RevPAR) figures of 68.6%, $161, and $111, respectively, with a RevPAR penetration rate of 101.0%. For comparison, the T-12 period ended February 28, 2025, figures were reported at 70.4%, $166, and $117, respectively. As per the YE2025 financials, the portfolio reported a net cash flow (NCF) of $29.1 million with a debt service coverage ratio of 0.93 times (x) compared with YE2024 figures of $36.7 million and 1.03x, respectively. The decline in portfolio NCF is largely related to property releases, with three of the six individual property sales having closed in mid-late 2025. However, the largest property by allocated loan amount (ALA) implied by the issuance appraised values, the Sheraton City Center Indianapolis (21.8% of the ALA), showed RevPAR penetration of 80.9% as of the December 2025 STR report, with a low occupancy rate of 56.8%. The next largest properties by ALA, Courtyard Crystal City Arlington (15.6% of the ALA) and Embassy Suites Las Vegas Airport (11.1% of the ALA), reported RevPAR penetration rates of 97.1% and 115.1%, respectively, with occupancy rates of 76.2% and 82.2%, respectively. For this review, Morningstar DBRS considered a Morningstar DBRS Value of $278.3 million based on a Morningstar DBRS NCF of $26.2 million and a WA capitalization rate of 9.42%. Morningstar DBRS derived the updated NCF by backing out the NCF for each individual property that has been released to date from the Issuer's NCF figure and applying a 7.16% haircut based on Morningstar DBRS' NCF haircut at issuance. The Morningstar DBRS LTV of 43.4% on the $120.9 million Morningstar DBRS-rated portion of the capital stack and an all-in Morningstar DBRS LTV of 83.6% on the $232.7 million remaining balance of the whole loan and resulting LTV Sizing Benchmarks supported the credit rating upgrades with this review. Morningstar DBRS did not make any qualitative adjustments to the LTV Sizing Benchmarks. The Morningstar DBRS credit ratings assigned to Classes D and E are lower than the results implied by the LTV Sizing Benchmarks. These variances are warranted given the loan is in special servicing and the borrower continues to work toward deleveraging the portfolio and/or securing a replacement loan for the remaining collateral. 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 XEXT 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. MORGAN STANLEY 2026-NQM4: DBRS Gives (P)B Rating on Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM4 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM4 (the Issuer) as follows: -- $119.7 million Class A-1FCF at (P) AAA (sf) -- $39.9 million Class A-1LCF at (P) AAA (sf) -- $159.6 million Class A-1 at (P) AAA (sf) -- $138.8 million Class A-1-A at (P) AAA (sf) -- $20.8 million Class A-1-B at (P) AAA (sf) -- $21.9 million Class A-2 at (P) AA (low) (sf) -- $39.9 million Class A-3 at (P) A (low) (sf) -- $13.7 million Class M-1 at (P) BBB (low) (sf) -- $7.5 million Class B-1 at (P) BB (sf) -- $8.5 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 23.27% of credit enhancement provided by the subordinated Certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 18.0%, 8.40%, 5.10%, 3.30%, and 1.25% 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 874 loans with a total principal balance of approximately $416,097,463 as of the Cut-Off Date (April 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to 10 months. Approximately 15.9% and 10.1% of the Mortgage Loans were originated by HomeXpress Mortgage Corp. and Rocket Mortgage, LLC respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 56.8% of the loans, Selene Finance LP will service 27.8% of the loans, Select Portfolio Servicing, Inc. will service 11.7% of the loans and PennyMac will service 3.7% of the loans respectively. 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, 36.3% of the loans by balance are designated as non-QM. Approximately 47.8% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 14.9% of the pool are designated as QM Safe Harbor, and there are 1.1% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in 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. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in 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 rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER XXII: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Neuberger Berman CLO XXII, Ltd Reset Transaction. Entity/Debt Rating ----------- ------ Neuberger Berman CLO XXII, Ltd. A-1-R3 LT NR(EXP)sf Expected Rating A-2-R3 LT AAA(EXP)sf Expected Rating B-R3 LT AA(EXP)sf Expected Rating C-R3 LT A(EXP)sf Expected Rating D-1-R3 LT BBB-(EXP)sf Expected Rating D-2-R3 LT BBB-(EXP)sf Expected Rating E-R3 LT BB-(EXP)sf Expected Rating Transaction Summary Neuberger Berman CLO XXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Neuberger Berman Investment Advisers LLC. The transaction originally closed in September 2016 and first reset in October 2018, and then in May 2024. The CLO's secured notes will be refinanced in whole on April 17, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.96 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.37% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BBB-sf' and 'AA-sf' for class B-R3, between 'BB-sf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1-R3, between less than 'B-sf' and 'BB+sf' for class D-2-R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R3 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-R3, 'AA+sf' for class C-R3, 'Asf' for class D-1-R3, 'BBB+sf' for class D-2-R3, and 'BBB+sf' for class E-R3. 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 Neuberger Berman CLO XXII, 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. NEW RESIDENTIAL 2026-NQM5: Fitch Assigns B-(EXP) Rating on B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, series 2026-NQM5 (NRMLT 2026-NQM5). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM5 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by NRMLT 2026-NQM5 as indicated above. The transaction is expected to close on April 29, 2026. The notes are supported by 834 nonprime loans that were primarily originated by NewRez LLC (NewRez), Champions Funding LLC (Champions), and Cake Mortgage Corp. (Cake), with a total balance of approximately $471.1 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM5 has a final probability of default (PD) of 43.2% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.5%. The expected loss in the 'AAAsf' rating stress is 18.4%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM5 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM5 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM5. Therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OAKTREE CLO 2024-26: S&P Assigns BB-(sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A1, A2, B, C, D1, D2, and E debt following payment in full on the April 20, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The stated maturity, reinvestment period, and non-call period were extended by two years. -- The non-call period was extended to April 20, 2028. -- The reinvestment period was extended to April 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2039. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains at $400 mil. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- New class X debt was 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 were issued on the refinancing date. 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. "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 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 D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 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 (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB- (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 LLC Subordinated notes, $38.00 million: NR NR--Not rated. OCP CLO 2020-20: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt from OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in December 2020 and underwent a refinancing in April 2024. At the same time, S&P withdrew its ratings on the previous class X, A-1R, A-2R, B-1R, B-2R, C-R, D-1R, D-2R, and E-R and class A-1 loans following payment in full on the April 20, 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 18, 2027. -- The stated maturity and reinvestment period remains unchanged. -- The floating rate class B-1R debt and fixed rate class B-2R debt were refinanced by the floating-rate class B-R2 debt. -- No additional assets were purchased on the April 20, 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 18, 2026. -- No additional subordinated notes were issued on the refinancing date. On a standalone basis, the class D-1-R2, D-2-R2, and E-R2 debt were not passing cash flows at the current rating levels even before the proposed refinancing. This was due largely to the par losses as reflected in the decline in overcollateralization levels, along with a drop in the portfolio's weighted average recovery and spread. The benefits of a lower cost of funding do not seem to fully offset the above and, as a result, the class D-1-R2, D-2-R2, and E-R2 debt do not pass their cash flows at the current levels even after considering the proposed refinancing. However, refinancing decreases the margin of failure, and S&P views this as an improvement. Any further credit deterioration could lead to potential negative rating actions in the future. Replacement And Previous Debt Issuances Replacement debt -- Class X-R2, $0.36 million: Three-month CME term SOFR + 1.00% -- Class A-1-R2, $252.00 million: Three-month CME term SOFR + 1.26% -- Class A-2-R2, $16.00 million: Three-month CME term SOFR + 1.45% -- Class B-R2, $36.00 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 1.85% -- Class D-1-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 3.00% -- Class D-2-R2 (deferrable), $4.00 million: Three-month CME term SOFR + 4.85% -- Class E-R2 (deferrable), $11.00 million: Three-month CME term SOFR + 6.55% Previous debt -- Class X, $0.36 million: Three-month CME term SOFR + 1.10% -- Class A-1-R, $252.00 million: Three-month CME term SOFR + 1.53% -- Class A-1 loans, $0.00 million: Three-month CME term SOFR + 1.53% -- Class A-2-R, $16.00 million: Three-month CME term SOFR + 1.73% -- Class B-1R, $28.00 million: Three-month CME term SOFR + 1.95% -- Class B-2R, $8.00 million: 5.845% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.45% -- Class D-1-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.60% -- Class D-2-R (deferrable), $4.00 million: Three-month CME term SOFR + 5.48% -- Class E-R (deferrable), $11.00 million: Three-month CME term SOFR + 6.65% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC Class X-R2, $0.36 million: AAA (sf) Class A-1-R2, $252.00 million: AAA (sf) Class A-2-R2, $16.00 million: AAA (sf) Class B-R2, $36.00 million: AA (sf) Class C-R2, $24.00 million: A (sf) Class D-1-R2, $24.00 million: BBB (sf) Class D-2-R2, $4.00 million: BBB- (sf) Class E-R2, $11.00 million: BB- (sf) Ratings Withdrawn OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC Class X to NR from 'AAA (sf)' Class A-1R to NR from 'AAA (sf)' Class A-1 loans to NR from 'AAA (sf)' Class A-2R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Class B-2R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1R to NR from 'BBB (sf)' Class D-2R to NR from 'BBB- (sf)' Class E-R to NR from 'BB (sf)' Other Debt OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC Subordinated notes, $35.95 million: NR NR--Not rated. ONE OCEAN XI: S&P Lowers Class E-R Debt Rating to 'B+ (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R debt from Ocean Trails CLO XI Ltd. and removed it from CreditWatch, where S&P had placed it with negative implications on Feb. 5, 2026. At the same time, S&P affirmed its ratings on class A-R, B-R, C-1-R, C-2, and D-R debt. S&P said, "On Feb. 5, 2026, we placed our rating on the class E-R debt on CreditWatch with negative implications primarily due to a decline of the credit support for the class at its current rating level, which is reflected in a drop in its O/C ratio and weakened cash flow results." The rating actions follow S&P's review of the transaction's performance using data from March 2026 trustee reports. All reported overcollateralization (O/C) ratios have declined when compared to the March 2025 post refinance trustee report: -- The class A/B O/C ratio declined to 129.38% from 129.79%. -- The class C O/C ratio declined to 119.91% from 120.29%. -- The class D O/C ratio declined to 111.74% from 112.09%. -- The class E O/C ratio declined to 106.88% from 107.22%. The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating action in July 2021. All coverage tests are currently passing with adequate cushion. Although assets rated in the 'CCC' category decreased to $16.33 million as of the March 2026 trustee report, from $19.26 in March 2025, the decline in the portfolio's weighted average spread and weighted average recovery rates have constricted the break-even default rates, resulting in weakened cash flow results. The lowered rating on the class E-R debt reflects the deterioration in the tranche support since S&P's previous review and the cash flow failure at the prior rating level. 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, C-1-R, and C-2 debt, our action considered that the CLO is still in its reinvestment period (scheduled to end in July 2026) 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 of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Negative Ocean Trails CLO XI Ltd. Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg Ratings Affirmed Ocean Trails CLO XI Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-1-R: A (sf) Class C-2: A (sf) Class D-R: BBB- (sf) PAGAYA AI 2026-R2: Fitch Assigns 'BB-sf' Final Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the ABS issued by Pagaya AI Debt Grantor Trust 2026-R2 and Pagaya AI Debt Trust 2026-R2 (together, PAID 2026-R2). Entity/Debt Rating Prior ----------- ------ ----- Pagaya AI Debt Grantor Trust 2026-R2 and Pagaya AI Debt Trust 2026-R2 A LT AAAsf New Rating AAA(EXP)sf A1 ST F1+sf New Rating F1+(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf AB LT AA-sf New Rating AA-(EXP)sf ABC LT A-sf New Rating A-(EXP)sf ABCD LT BBB-sf New Rating BBB-(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf Certificates LT NRsf New Rating NR(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf EF LT BB-sf New Rating BB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf FR LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the ABS issued by PAID 2026-R2, as listed above. PAID 2026-R2 is a discrete static pool backed by unsecured consumer loans. Pagaya Structured Products LLC (Pagaya), is the sponsor and administrator of this transaction. Pagaya is a subsidiary of Pagaya US Holding Company LLC, which is ultimately owned by Pagaya Technologies Ltd., a financial technology company organized under the laws of the state of Israel. PAID 2026-R2 is sponsored by Pagaya with the majority of the collateral expected to be sourced from prior ABS issuances under the PAID shelf. Specifically, the transferors include Pagaya AI Debt Grantor Trust 2024-2 (PAID 2024-2) and Pagaya AI Debt Grantor Trust 2024-3 (PAID 2024-3), which are securitization issuing entities affiliated with Pagaya from which the depositor, Pagaya Acquisition Trust VI, will acquire unsecured consumer loans during the purchase period. PAID 2026-R2 has no collateral funded at closing. KEY RATING DRIVERS Highly Seasoned Collateral: As of the statistical cut-off date of Feb. 28, 2026, the weighted average seasoning of the collateral pool for PAID 2026-R2 is 22 months. The collateral pool will be comprised of loans from prior securitization transactions, PAID 2024-2 (31.23%) and PAID 2024-3 (68.77%). As of the cut-off date, 89.74% of the loans in the collateral pool are current while 90.23% of the loans are not actively modified. The weighted average (WA) FICO score for PAID 2026-R2 is 672, with approximately 3.01% of the pool consisting of borrowers with a FICO score below 600. Consistent with its strategy and recent origination trends, about 59.98% of the PAID 2026-R2 loan pool has an original loan term of 60 months followed by 39.29% with an original term of 36 months. The WA remaining term of the pool is 29 months. The WA annual percentage rate (APR) of the loans is 26.03% and the pool is well diversified, with California accounting for 11.38% of the pool balance. Elevated But Improving Performance Trends: Pagaya's performance deteriorated in 2021 and 2022, broadly in line with the wider unsecured consumer asset class performance. In response, Pagaya tightened its underwriting and reduced originations to high-risk borrowers. These changes resulted in an improved performance for the 2023 vintage and 2024 vintage performance is in-line with 2023; albeit this remains higher than the levels seen from 2018 to 2020. The underlying loans in PAID 2026-R2 were sourced from PAID 2024-2 and PAID 2024-3 and consist of 2024-vintage originations, which have shown relatively better performance following the implemented underwriting changes. Fitch's gross default assumption for the PAID 2026-R2 pool, based on the current composition of loans as of the statistical calculation date and the performance of PAID 2024-2 and 2024-3, is 17.50%. The base case assumption is an expected case reflecting Pagaya's historical performance trends, the previous performance trends of PAID 2024-2 and 2024-3, as well as near-term economic conditions and expectations for additional cooling in the U.S. labor market. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 72.79%, 63.55%, 43.05%, 29.35%, 18.05%, 9.10% and 8.10% of the initial pool balance for class A1, A2, B, C, D, E and F notes, respectively. Fitch modeled the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to them. Fitch applied a 'AAAsf' rating stress of 4.00x the base case gross default rate for the 2026-R2 series. The stress multiples decrease proportionally between the "median" and "low" multiple range for lower rating levels, as described in Fitch's "Consumer ABS Rating Criteria." The gross default multiple reflects the absolute value of the gross default assumption, the length of gross default performance history and exposure to changing economic conditions from higher loan terms. Assurance for True Lender Status for Partner Bank-Loan Origination: Pagaya's securitization transactions involve consumer loans originated through platform sellers including partner banks, WebBank, a Utah-chartered industrial bank, Cross River Bank, a New Jersey state-chartered commercial bank, or Blue Ridge Bank, N.A., a nationally chartered commercial bank. The banks' true lender status in the context of Pagaya's loan acquisition is subject to legal and regulatory uncertainty, particularly if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that any party other than the originating banks is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions, among other penalties. This would increase negative rating pressure. Fitch's ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for PAID 2026-R2, which prohibits loans made to borrowers in the state of West Virginia and certain loans made to borrowers in Colorado and Massachusetts. While loans made to borrowers in the states of New York, Vermont and Connecticut with interest rates above each states' usury limits are not excluded from the pool, they represent a smaller proportion of the aggregate current principal balance of the statistical loan pool. Fitch also performed an operational risk review and deemed Pagaya's compliance, legal and operational capabilities acceptable to meet consumer protection regulations. Adequate Servicing Capabilities: Each platform seller or the originating banks or one of their affiliates act as a servicer of all loans purchased by Pagaya. These servicers have an acceptable track record of servicing consumer loans. In addition, Vervent Inc., a Delaware corporation, is the designated back-up servicer for loans other than Rocket Loans and SoFi Loans; and Systems & Services Technologies, Inc. (SST), also a Delaware corporation, is the back-up servicer for Rocket Loans and SoFi. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50%, and examining rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of multiplier compression by projecting expected cash flow and loss coverage over the life of the investments. For this projection, Fitch applies default assumptions that are higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A1/A2/B/C/D/E/F): Current Ratings: 'F1+sf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' - Increased default base case by 10%: 'F1+sf'/'AAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'B-sf'; - Increased default base case by 25%: 'F1sf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf'; - Increased default base case by 50%: 'F1sf'/'Asf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'NRsf'/'NRsf'; - Reduced recovery base case by 10%: 'F1+sf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'; - Reduced recovery base case by 25%: 'F1+sf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'; - Reduced recovery base case by 50%: 'F1+sf'/'AAsf'/'A+sf'/'A-sf'/'BBB-sf'/'B+sf'/'Bsf'; - Increased default base case by 10% and reduced recovery base case by 10%: 'F1+sf'/'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'Bsf'/'CCCsf'; - Increased default base case by 25% and reduced recovery base case by 25%: 'F1sf'/'A+sf'/'Asf'/'BBBsf'/'BBsf'/'NRsf'/'NRsf'; - Increased default base case by 50% and reduced recovery base case by 50%: 'F2sf'/'A-sf'/'BBB+sf'/'BB+sf'/'Bsf'/'NRsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% less than the projected base case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A1/A2/B/C/D/E/F): Current Ratings: 'F1+sf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf' Decreased default base case by 20%: 'F1+sf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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. PMT LOAN 2026-CNF4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-CNF4, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF4 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aa1 (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aa1 (sf) Cl. A-X22*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.53%, in a baseline scenario-median is 0.27% and reaches 7.00% 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. POST ROAD 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by Post Road Equipment Finance 2026-1, LLC. Entity/Debt Rating Prior ----------- ------ ----- Post Road Equipment Finance 2026-1, LLC A-1 ST F1+sf New Rating F1+(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 LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral — Strong Historical Asset Performance: Post Road's originations have seen minimal defaults and losses since inception. There have been 22 instances of default since 2017, with a recovery rate of close to 100% in 15 of the 18 resolved cases. Bankruptcies were the main driver of defaults, with 16 instances where Post Road contracts were accepted and paid in all cases. In three non-bankruptcy-related defaults, Post Road received sufficient sales proceeds to satisfy outstanding contract terms. Fitch did not consider 18 default observations, with an average recovery of 98%, a sufficient dataset from which to derive recovery rate assumptions. Consequently, Fitch relied on a range of appraisal values provided by Post Road, including net orderly values, orderly liquidation values and liquidation values in place, to determine recovery rate assumptions for each equipment type. These appraisals were conducted by established third-party appraisers in the equipment space. Lease-End Residual Value Risk: The residual value of the leased equipment accounts for 4.83% of the pool on a discounted basis. Of this, 4.63% presents exposure to residual risk, while the remaining 0.20% relates to residuals that are guaranteed by the obligors. Concentration Risk, Portfolio Credit Model Approach to Derive Loss Hurdle: Post Road 2026-1 exhibits a high degree of concentration, with the underlying collateral consisting of 216 contracts across 59 obligors. The top 10 obligors total 47.81%, up from 36.61% and 41.20% in PREF 2025-1 and 2024-1, respectively. Due to the limited loss history and significant obligor concentration, Fitch will determine credit loss hurdles using its Portfolio Credit Model in accordance with its "U.S. Equipment Lease and Loan ABS Rating Criteria." Structural Analysis - Adequate Credit Enhancement: The Post Road 2026-1 notes benefit from credit enhancement (CE) in the form of overcollateralization, initially sized at 8.60% of initial aggregate securitization value, a 1% non-declining reserve account, excess spread and, for class A, B, C and D notes, subordination. Total initial hard CE for class A, B, C, D and E notes is 32.10%, 26.80%, 21.30%, 16.90% and 9.60%, respectively. This is sufficient to support Fitch's total stressed loss expectation of 32.66%, 27.35%, 21.47%, 16.15% and 11.13% at the 'AAAsf', 'AAsf', 'Asf', 'BBBsf' and 'BBsf' rating categories, respectively. Adequate Servicer: Post Road has demonstrated adequate capabilities as originator, underwriter and servicer, as evidenced by its managed portfolio and delinquency and loss performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce loss levels higher than the rating case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity to account for the potential increase in default rates by assuming the ratings of each obligor were downgraded by one notch from the assumed ratings in Fitch's rating case scenario. This stress would also have an impact of up to one category on the ratings of the transaction. In addition, recoveries were stressed by applying haircuts of 25% and 50% to 'AAAsf' recovery rates on each contract. These stressed recovery rate scenarios had an impact of up to three categories on the ratings of the transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance, driven by stable delinquencies and defaults, would lead to rising CE levels and consideration for potential upgrades. If total loss expectation is 20% less than projected, the expected subordinate note ratings could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by RSM US LLP. The third-party due diligence described in Form 15E focused on comparing or recalculating certain information with respect to 50 contracts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PROGRESS RESIDENTIAL 2026-SFR2: DBRS Gives (P)BB Rating on F Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2026-SFR2 Trust (PROG 2026-SFR2): -- $408.4 million Class A at (P) AAA (sf) -- $65.7 million Class B at (P) AA (low) (sf) -- $53.4 million Class C at (P) A (low) (sf) -- $47.2 million Class D at (P) BBB (sf) -- $49.3 million Class E at (P) BBB (low) (sf) -- $51.3 million Class F at (P) BB (sf) The (P) AAA (sf) credit rating on the Class A certificates reflects 44.88% of credit enhancement provided by subordinate certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (sf) credit ratings reflect 36.01%, 28.81%, 22.44%, 15.79%, and 8.86% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2026-SFR2 certificates are supported by the income streams and values from 2,156 rental properties. The properties are distributed across nine states and 24 MSAs in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 61.6% of the portfolio is concentrated in three states: Florida (32.8%), Georgia (15.1%), and North Carolina (13.7%). The average BPO value is $380,750. The average age of the properties is roughly 26 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $740.9 million. Morningstar DBRS assigned the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria (for more details, see https://dbrs.morningstar.com). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The provisional credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. (For more details, see the related presale report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section of the presale report). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the presale report.) 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 Amounts and the related Principal Distribution 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. 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. RCKT MORTGAGE 2026-CES4: Fitch Assigns 'B(EXP)sf' Rating on 5 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES4 (RCKT 2026-CES4). Entity/Debt Rating ----------- ------ RCKT 2026-CES4 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1A LT BBB(EXP)sf Expected Rating M1B 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 A1 LT AAA(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A1L LT AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary The RCKT 2026-CES4 notes are supported by 5,616 closed-end second-lien (CES) loans with a total balance of approximately $555.6 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES4 has a final probability of default (PD) of 17.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.1%. The expected loss in the 'AAAsf' rating stress is 17.4%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES4 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.1% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects RCKT 2026-CES4 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5% Origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REGENTS CAPITAL 2026-1: DBRS Gives (P)BBsf Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by Regents Capital Equipment Receivables 2026-1, LLC (the Issuing Entity): -- $112,615,000 Class A Notes at (P) AA (sf) -- $7,841,000 Class B Notes at (P) A (sf) -- $7,484,000 Class C Notes at (P) BBB (sf) -- $4,989,000 Class D Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- Morningstar DBRS' base case cumulative net loss assumption of 4.85% reflects the composition and credit metrics of the underlying assets, the performance to date of the portfolio managed by Regents Capital Corporation (Regents), and the performance of comparable portfolios originated by other equipment lessors. Stressed loss assumptions for the collateral pool were derived by applying target multiples of 4.20 times (x), 3.35x, 2.45x, and 1.85x, respectively, to the base case expected loss assumption in a (P) AA (sf), (P) A (sf), (P) BBB (sf), and (P) BB (sf) cash flow scenarios. -- Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments under three different loss timing scenarios and during zero conditional prepayment rate (CPR) and eight CPR prepayment environments. -- The transaction's exposure to unguaranteed booked residuals (as discounted) is rather limited at 1.49% of the Aggregate Contract Principal Balance as of the Initial Cut-off Date. Morningstar DBRS assigned credit to residual realization proceeds of 40%, 50%, 60%, and 70% in its (P) AA (sf), (P) A (sf), (P) BBB (sf), and (P) BB (sf) cash flow scenarios, respectively, with such credit applied to the base case residual realization assumption of 185.00%. -- The transaction's capital structure and form and sufficiency of available credit enhancement. Subordination, overcollateralization (OC), cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of Notes. -- The transaction will have a pre-funding period (Funding Period) which will end on the earlier of 90 days after the Closing Date, the date on which the amount in the Pre-Funding Account is $10,000 or less, or the occurrence of an Event of Default. On the Closing Date, up to $12,000,000 of the proceeds from the sale of the Notes will be deposited in the Pre-Funding Account. During the Funding Period, the Issuing Entity will use the amounts on deposit in the Pre-Funding Account to acquire Subsequent Contracts from the Depositor for an amount equal to the product of (a) 100% of the Aggregate Contract Principal Balance as of the related Cut-Off Date and (b) 93.25% (i.e. the Initial Percentage Interest). Following the inclusion of Subsequent Contracts, the collateral pool must continue to comply with the Portfolio Composition Tests. -- The initial overcollateralization percentage will be 6.75%. The transaction is structured to use Available Funds to accelerate principal payments on the Notes until a Targeted Overcollateralization Percentage of 10.50% is reached. After that point, principal payments sufficient to maintain overcollateralization will be required on each Payment Date to the extent of Available Funds in the Priority of Payments. -- The transaction also benefits from a replenishable Reserve Account. The Specified Reserve Account Balance will be, (a) with respect to the Closing Date and each Payment Date during the Funding Period, $1,943,084.14 and (b) with respect to each Payment Date after the end of the Funding Period, an amount equal to the greater of (i) 1.25% of the Collateral Pool Balance as of the end of the related Collection Period and (ii) $1,250,000. -- The weighted-average (WA) yield for the collateral pool is approximately 10.22%. The Aggregate Initial Contract Principal Balance of the collateral pool will be determined by discounting all leases and loans at a Discount Rate of 8.00%. As such, the transaction is expected to benefit from the excess spread that may be available to service the obligations of the Issuing Entity. -- The transaction is the first 144A term securitization to be sponsored by Regents, which, nevertheless, has been operating in the equipment finance space since 2013. The Company's senior management team has extensive experience in the equipment finance industry. -- Morningstar DBRS performed an operational risk review and deems Regents to be an acceptable originator and servicer of equipment-backed leases and loans with a backup servicer that is acceptable to Morningstar DBRS. Regents will be the Sponsor, Servicer and Administrator (of the Issuing Entity) of this transaction. In addition, Morningstar DBRS deems GreatAmerica Financial Services Corporation to be an acceptable backup servicer of equipment-backed leases and loans. -- Regents originates loans and leases through both direct sales and vendor sales channels. As of January 2026, of the over $1.4 billion in equipment leases and loans that Regents has originated to date, approximately $1.2 billion was generated by the direct sales channel and $200 million was generated by the vendor sales channel, with the remainder represented by originations through brokers, referrals, or other sources. The share of vendor channel as a source of originations has increased over time, growing from approximately 7% in 2020 to approximately 40% in 2025. -- The collateral pool exhibits relatively low obligor concentrations, with the largest, five largest and 10 largest obligors accounting for approximately 1.46%, 4.80% and 7.97% of the Aggregate Contract Principal Balance as of the Initial Cut-off Date, respectively. The largest obligor industries are represented by Transportation Services (16.61%), Motor Freight Transportation/Warehouse (10.95%), and Business Services (10.86%). -- The collateral pool is somewhat concentrated by equipment type. The largest financed equipment categories comprise Heavy Duty Truck (34.64%), Manufacturing of Fabricated Metal Products (17.33%), Utility Trailer (6.65%), Flat Bed Trailer (3.36%), Van Trailer (3.22%), Operatory Equipment (2.52%), Super Heavy Duty Truck (2.33%), Medium Duty Truck (2.12%), and Forklifts (2.00%) as a percentage of the Aggregate Contract Principal Balance as of the Initial Cut-off Date. -- The collateral pool includes contracts that utilize two prepayment structures: (a) contracts requiring an obligor to remit an amount equal to all remaining scheduled payments due under such contract (approximately 53.1% of the Aggregate Contract Principal Balance as of the Initial Cut-Off Date), and (b) contracts (46.9%) requiring an obligor to repay the outstanding unpaid principal balance of such contract as of the prepayment date, plus a prepayment premium calculated as 1.00% of such unpaid principal balance for each remaining 12-month period in the contract term. Morningstar DBRS reviewed the calculations provided by the structuring agent, to ensure that no expected collateral cash flows may be reduced because of such provisions. In its review, Morningstar DBRS considered that the transaction terms require the amount of prepayment received to be at least equal to the Aggregate Contract Principal Balance. -- The legal structure and presence of legal opinions, which are expected to address the true sale of the assets to the Issuing Entity, the non-consolidation of Regents with the Depositor or the Issuing Entity, and that the Indenture Trustee has a valid first-priority security interest in the assets. The transaction terms will also be reviewed for consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on Notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the principal amounts of and interest on the Class A, Class B, Class C, and Class D Notes, including any unpaid interest from the prior month. Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligations that are not financial obligations are interest on the unpaid Class A, Class B, Class C, and Class D Note interest. 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. REPUBLIC FINANCE 2026-A: DBRS Gives (P)BB(low) Rating on E Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by Republic Finance Issuance Trust 2026-A (REPS 2026-A): -- $233,910,000 Class A Notes at (P) AAA (sf) -- $36,780,000 Class B Notes at (P) AA (low) (sf) -- $33,950,000 Class C Notes at (P) A (low) (sf) -- $25,470,000 Class D Notes at (P) BBB (low) (sf) -- $18,860,000 Class E Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) This is Republic Finance, LLC's (Republic or the Company) seventh ABS 144A transaction, their inaugural transaction occurred in October 2019, this is their first transaction of 2026. (2) This is the second securitization issued by Republic that has attained a AAA (sf) credit rating for the senior class. -- As of August 1, 2025, the Company no longer accepts cash payments in any branch. -- Republic currently receives about 45% of customer payments in-branch and about 55% via central operations, telephone, internet, and third-party vendors. All Republic branches now have automated check scanning machines, which allows for instant credit of a check payment. -- Republic supplemented its reporting to its backup servicer, Computershare Trust Company, N.A. (Computershare), in order to ease Computershare's ability to take over servicing in a backup role if it were ever required to do so. (3) The 2026-A transaction will be the first Republic securitization to have no re-investment criteria limits around bank partner originated loans. Starting with the 2025-A transaction, Republic has launched a bank partnership with Column N.A. (Column). Under the bank partnership agreement, Column will be originating the different types of loan products across Republic's lending platform. MDBRS has reviewed the processes, program agreement and loan agreement Republic has entered into with Column. In the future, Republic may acquire Loans originated by other third-party originators which are expected to be federally chartered banks regulated by the Office of the Comptroller of the Currency and with respect to prior notice being provided to the Rating Agencies. (4) Transaction capital structure and form and sufficiency of available credit enhancement. (5) Credit enhancement will be in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (6) Republic's capabilities with regard to originations, underwriting, and servicing. Morningstar DBRS performed an operational review of the Company and considers it an acceptable originator and servicer of personal loans with an acceptable backup servicer. The Company's senior management team has considerable experience and a successful track record in the consumer loan industry. (7) Acquisition of a majority stake in the Company by CVC in November 2017 with the founding family retaining a significant share of the Company. CVC has since implemented and maintained a growth strategy, including increasing the number of branches, centralizing certain underwriting, and servicing functions as well as building an online presence. CVC always reviews their holdings and is exploring various strategic alternatives regarding ownership at this point. (8) In April 2019, Republic completed the implementation of centralized underwriting policies and processes for all branches, which allowed the creation of a hybrid servicing model. The Company opened a fully centralized collections center in Charlotte, North Carolina. The center was further enhanced in 2021 to close loans over the phone with customers that are not within the geographical footprint of a branch. (9) Computershare will serve as backup servicer. (10) The credit quality of the collateral and performance of Republic's consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Company's portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for assets such as credit card master trusts. -- The weighted-average (WA) remaining term of the Statistical Cut-Off Date is approximately 36 months. -- Morningstar DBRS applied a finance yield haircut of 10.00% to the Class A Notes, 7.33% to the Class B Notes, 5.33% to the Class C Notes, 3.33% to the Class D Notes, and 1.67% to the Class E Notes. While these haircuts are lower than the range described in the Morningstar DBRS Rating U.S. Credit Card Asset-Backed Securities methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. -- The base-case assumption for yield is 25.50%, which remains the same as for the REPS 2025-A transaction, also rated by Morningstar DBRS, and aligns with the reinvestment criteria event if the weighted-average coupon (WAC) is less than 25.50%. -- The WAC of the Statistical Cut-Off Date is 28.03% (11) Principal payment rates for Republic's portfolio, as calculated by Morningstar DBRS, have trended lower since 2017. Depending on the credit tiers and subportfolio, these rates have generally averaged between 2.5% and 8.0% over the past several years. -- The Morningstar DBRS base-case assumption for the principal payment rate is 2.85%. -- Morningstar DBRS applied a payment rate haircut of 43.26% to the Class A Notes, 38.33% to the Class B Notes, 33.33% to the Class C Notes, 26.67% to the Class D Notes, and 16.67% to the Class E Notes. (12) The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (13) Morningstar DBRS' projected base-case annualized CNL has decreased from the prior REPS 2025-A transaction mainly because of tighter re-investment criteria. Charge-off rates spiked in mid-2022 and early 2023. The losses were related to inflation affordability issues that many of Republic's borrowers faced during early 2022. Since then, Republic has taken many steps to tighten underwriting, enhance servicing, and cease originations in certain buckets. The portfolio has since stabilized, and the Morningstar DBRS net charge-off assumption rate is 13.37%. (14) The legal structure and presence of legal opinions that will address the true sale of the assets from the Seller to the Depositor, the nonconsolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and that it is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. 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. The associated contractual payment obligation that is not a financial obligation for each of the rated Notes is the related interest on any unpaid Monthly Interest Amount. 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. SG RESIDENTIAL 2026-3: S&P Assigns Prelim 'B-' Rating to B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2026-3's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, co-operatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 531 loans. The preliminary ratings are based on the term sheet as of April 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC (SG Capital), and the mortgage originator ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P 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 Assigned SG Residential Mortgage Trust 2026-3(i) Class A-1A, $146,669,000: AAA (sf) Class A-1B, $21,762,000: AAA (sf) Class A-1, $168,431,000: AAA (sf) Class A-1FCF, $75,000,000: AAA (sf) Class A-1FCX, $75,000,000(ii): AAA (sf) Class A-1LCF, $25,000,000: AAA (sf) Class A-2, $15,259,000: AA (sf) Class A-3, $33,468,000: A (sf) Class M-1, $13,525,000: BBB- (sf) Class B-1, $7,457,000: BB- (sf) Class B-2, $5,202,000: B- (sf) Class B-3, $3,468,380: NR Class A-IO-S, Notional(iii): N/A Class XS, Notional(iii): N/A Class R, N/A: N/A (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SIXTH STREET XXIV: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Sixth Street CLO XXIV, Ltd. refinancing notes. Entity/Debt Rating ----------- ------ Sixth Street CLO XXIV, Ltd. A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Sixth Street CLO XXIV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Sixth Street CLO XXIV Management, LLC. On April 17, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the secured notes. Together with the existing subordinated notes, the refinancing transaction will provide financing on a portfolio of approximately $499 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.04 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 97.83% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.83% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% 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 three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO XXIV, 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. SOUND POINT XIX: Moody's Affirms B1 Rating on $22.5MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point Clo XIX, Ltd: US$30M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 4, 2025 Upgraded to Aa1 (sf) US$28.5M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Apr 4, 2025 Affirmed Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$4,806,114) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 4, 2025 Affirmed Aaa (sf) US$40M Class B-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 4, 2025 Upgraded to Aaa (sf) US$5M Class B-2a-R Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Apr 4, 2025 Upgraded to Aaa (sf) US$15M Class B-2b-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 4, 2025 Upgraded to Aaa (sf) US$22.5M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Apr 4, 2025 Downgraded to B1 (sf) Sound Point CLO XIX, Ltd., originally issued in May 2018 and later partially refinanced in September 2020, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class 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 April 2025. The affirmations on the ratings on the Class A, Class B-1, Class B-2a-R, Class B-2b-R and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately US$118.1 million (37%) since the last rating action in April 2025 and US$315.2 million (98.5%) since closing. As a result of the deleveraging, the Class A/B, Class C, and Class D over-collateralisation (OC) have increased. According to the trustee report dated March 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 223.18%, 152.56% and 117.29% compared to April 2025[2] levels of 148.73%, 127.78% and 112.70%, 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 its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: US$157.5 million Defaulted Securities: US$0.5 million Diversity Score: 46 Weighted Average Rating Factor (WARF): 3989 Weighted Average Life (WAL): 2.86 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.24% Weighted Average Recovery Rate (WARR): 45.9% Par haircut in OC tests and interest diversion test: 8.9% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in Collateral administrator-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SUNNOVA AURORA 2024-PR1: DBRS Confirms BB Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed credit ratings and removed Under Review with Negative Implications on the credit ratings for three securities issued by Sunnova Aurora I Issuer, LLC: Sunnova Aurora I Issuer, LLC Series 2024-PR1 Debt Rating Action ---- ------ ------ Class A Notes AA(low)(sf) Confirmed Class B Notes A(sf) Confirmed Class C Notes BB(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The outstanding transaction was initially placed on Under Review with Negative Implications (URN) on July 7, 2025, due to changes to key counterparties to the transaction including the manager, servicer and third-party servicer. The URN was later maintained on January 14, 2026, to allow time to access the impact of key counterparty changes on the performance of the transaction. -- Morningstar DBRS completed full operational reviews of the successor servicer and third-party servicer and considers these adequate to service this transaction. Furthermore, asset performance has been stable and within expectations. As such, the credit ratings have been confirmed and the Under Review with Negative Implications has been removed. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. As of the January 2026 payment date, the transaction has amortized to a pool factor of 94.61%. While losses have slightly increased, they are still tracking within our initial expectation. Credit enhancement (CE) has grown and is sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumption at multiples of coverage commensurate with the credit ratings. -- Sunstrong Management, LLC (SSM), the successor servicer adjusted previous servicing policies by aligning them with market standards, resulting in a one-time spike in delinquencies. Delinquencies are expected to stabilize back to historical levels following this one-time adjustment. -- Transaction capital structure, current credit ratings, and sufficient CE levels. -- CE in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes. -- The transactions parties' capabilities with respect to origination, 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 2025 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. All of the solar lease customers in the Sunnova 2024-PR1 transaction reside in Puerto Rico, a region vulnerable to extreme weather events, such as hurricanes. The island's electricity transmission and distribution infrastructure suffered significant damage and prolonged power outages in recent Hurricanes Maria (2017) and Fiona (2022). Morningstar DBRS assessed geographic concentration risk by considering, in whole, the pool's significant risk to natural disasters and their increasing frequency in recent years, economic downturns, home price declines, and regulatory changes. Consequently, conservative default multiples were applied at the various rating categories to account for the geographic concentration risk. 100% of the Sunnova 2024-PR1 solar PV systems are coupled with batteries, a Sunnova requirement for all solar PV systems installed in Puerto Rico since 2018. The policy was implemented following the island-wide blackout caused by Hurricane Maria (2017), and is meant to protect customers against power loss from grid failures. Solar PV systems stop generating power if the power grid is down, unless a battery is installed to provide electricity to the home during a power outage. Hence, batteries create a substantial value proposition for customers, and may lead to lower default probabilities compared to those without batteries. Morningstar DBRS was not provided with data demonstrating different default performance between customers with batteries versus without batteries, and therefore, there was no impact to the credit analysis due to this factor. SYMPHONY CLO 53: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Symphony CLO 53 Ltd./Symphony CLO 53 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC. The 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 Symphony CLO 53 Ltd./Symphony CLO 53 LLC Class A, $170.00 million: AAA (sf) Issuer loans, $86.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $19.50 million: A (sf) Class C-2 (deferrable), $4.50 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.80 million: NR NR--Not rated. THOR 2026-A: Fitch Assigns 'B(EXP)sf' Rating on Class D Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes to be issued by THOR 2026-A LLC (THOR 2026-A). Entity/Debt Rating ----------- ------ THOR 2026-A LLC A LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating D LT B(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Near-Prime Collateral Composition: Approximately 91% of THOR 2026-A consists of Orange Lake-originated loans and 9% of Royal Resorts-originated loans. The weighted-average (WA) FICO score of the statistical pool is 648, with a WA seasoning of 17 months. Upgraded loans account for 64.7% of the statistical pool and foreign obligors comprise 2.9%. Forward-Looking Approach on CGD Proxy — Weakening Performance: HICV's THOR portfolio exhibited generally high defaults during 2016-2023, with default rates surpassing those recorded during the 2007-2008 global financial crisis. This was partially due to integration challenges following the Silverleaf acquisition, in addition to defaults related to paid-product-exits (PPEs) and macroeconomic challenges. Fitch used extrapolations of the 2015-2021 vintages to derive a rating case cumulative gross default (CGD) proxy of 37.00%. Structural Analysis — Sufficient CE: Fitch expects initial hard credit enhancement (CE) of 62.45%, 43.25%, 31.85% and 23.10% for the class A, B, C and D notes, respectively. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 6.2% per annum. The structure is sufficient to cover multiples of 1.83x, 1.42x, 1.17x and 1.00x for 'A-sf', 'BBB-sf', 'BB-sf' and 'Bsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: HICV has demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. As such, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The prepayment sensitivity includes 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Fitch also considers increases of 1.25x and 1.5x to the CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the multiples would increase for the class A, B, C and D notes, resulting in potential upgrades of up to three notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact 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. TRINITAS CLO XXVII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C-1, C-2, D-1, D-2, and E debt following payment in full on the April 20, 2026, refinancing date. The replacement and new debt were issued via a supplemental indenture, which outlines the terms of the replacement and new debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class C-R and D-2-R debt was issued at a floating spread replacing the previous fixed coupon. -- The fixed-rate concentration limitation was lowered to 4%. -- The non-call period was extended to April 18, 2028. -- The reinvestment period was extended to April 18, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 19, 2039. -- No additional assets were purchased on the April 20, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 18, 2026. -- New class X debt was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A (sf)' Class C-2 (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB+ (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC Subordinated notes, $50.40 million: NR NR--Not rated. VERUS SECURITIZATION 2026-4: Moody's Gives (P)B3 Rating to B-2 Debt ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 14 classes of residential mortgage-backed securities (RMBS) to be issued by Verus Securitization Trust 2026-4 (Verus 2026-4), and sponsored by VMC Asset Pooler, LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages acquired by entities administered by Verus Mortgage Capital (Verus), originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Cornerstone Servicing, a Division of Cornerstone Capital Bank SSB. The complete rating actions are as follows: Issuer: Verus Securitization Trust 2026-4 Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1F, Assigned (P)Aaa (sf) Cl. A-1IO*, Assigned (P)Aaa (sf) Cl. A-1IO1*, Assigned (P)Aaa (sf) Cl. A-1IO2*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)Aa3 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B3 (sf) *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 2.38%, in a baseline scenario-median is 1.65% and reaches 23.93% 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. WINDHILL CLO 1: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt from Windhill CLO 1 Ltd./Windhill CLO 1 LLC, a CLO managed by PGIM Inc. that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the previous class A-N, A-F, B, C, D, and E debt following payment in full on the April 22, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R debt was issued at a lower spread than the previous debt. -- The class A-R debt replaced the previous pro rata class A-N and A-F debt. -- The non-call period was extended to April 22, 2028. -- The reinvestment period was extended to April 22, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Apri 22, 2038. -- An additional $100 million of assets were purchased on the April 22, 2026, refinancing date, and the target initial par amount increased to $500 million. There will be no additional effective date, and the first payment date following the refinancing is Oct. 22, 2026. -- An additional $17.02 million in subordinated notes was issued on the April 22, 2026, refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Windhill CLO 1 Ltd./Windhill CLO 1 LLC Class A-R, $290.00 million: AAA (sf) Class B-R, $50.00 million: AA (sf) Class C-R (deferrable), $40.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB (sf) Class E-R (deferrable), $35.00 million: BB- (sf) Ratings Withdrawn Windhill CLO 1 Ltd./Windhill CLO 1 LLC Class A-N to NR from 'AAA (sf)' Class A-F 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 Windhill CLO 1 Ltd./Windhill CLO 1 LLC Subordinated notes, $61.37 million: NR NR--Not rated. WP GLIMCHER 2015-WPG: DBRS Cuts Rating on 4 Classes to Csf ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-WPG issued by WP Glimcher Mall Trust 2015-WPG as follows: -- Class B to CCC (sf) from A (low) (sf) -- Class C to C (sf) from BBB (low) (sf) -- Class X to C (sf) from BBB (low) (sf) -- Class PR-1 to C (sf) from BB (low) (sf) -- Class PR-2 to C (sf) from B (sf) Morningstar DBRS removed the remaining classes from Under Review with Negative Implications. All classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect the appraised value decline for the remaining collateral mall, Pearlridge Center, and resulting impact to Morningstar DBRS' liquidated loss expectations. Although the property cash flows have generally been healthy, with a debt service coverage ratio (DSCR) well in excess of 2.0 times (x) reported since 2020, the loan sponsor has been unable to obtain replacement financing for the property and the loan has been in special servicing since May of 2025. An August 2025 appraisal obtained by the special servicer showed an as-is value of $176.5 million, implying a capitalization (cap) rate of more than 15.0% on the servicer's reported YE2025 net cash flow (NCF) of $22.8 million. Based on that figure, Morningstar DBRS expects all classes could take a loss upon final resolution, given the expected expenses at liquidation, uncertainty with regard to resolution timing and the senior portion of the debt stack held outside the trust in the amount of $120.0 million. The subject transaction balance of $105.0 million is primarily composed of subordinate debt, and the likelihood of further value decline over the workout period contributed to the credit rating downgrade for the senior Class B certificate. The $176.5 million appraised value compares with the Morningstar DBRS Value of $219.3 million considered with the December 2025 credit rating action, which preceded the release of the August 2025 appraisal and resulted in all classes being downgraded and placed Under Review with Negative Implications, given Morningstar DBRS' expectation the as-is value could further deteriorate. The delta between the appraisal and the December 2025 Morningstar DBRS Value is largely in the higher cap rate implied by the appraisal as compared with the cap rate of 8.0% assumed by Morningstar DBRS, based on the stable in-place cash flows, desirable location, and the property's established status as a primary shopping destination within the area. The appraiser cited risks in the leasehold interest, with a ground lease for the collateral running through 2078 with built in extensions but only to 2043 with no extensions for the non-collateral portion of the property acquired by the sponsor in 2017. In April 2025, the loan's sponsor, Washington Prime Group (WPG), announced its plans to wind down operations and sell off the rest of its U.S. retail portfolio. With the appraisal reduction amount calculated with the August 2025 appraisal, Classes C, PR-1, and PR-2 are being shorted interest. This transaction was backed by portions of the senior debt and all of the subordinate debt secured by Scottsdale Quarter (Prospectus ID#2), a 541,386-square-foot (sf) mixed-use retail center in Scottsdale, Arizona, and Pearlridge Center, a 1.14 million-sf super-regional mall in Aiea, Hawaii, which is the state's largest enclosed shopping center. Both properties were managed by WPG and the loans were not cross-collateralized or cross-defaulted. As of the March 2026 remittance, the trust balance of $105.0 million represents a 47.5% collateral reduction since issuance following the repayment of the Scottsdale Quarter loan in July 2025. As of the March 2026 remittance, the principal balance of the whole loan totaled $225.0 million, with $120.0 million of senior debt held in the JPMBB Commercial Mortgage Securities Trust 2015-C30 and COMM 2015-CCRE25Mortgage Trust transactions, the former is rated by Morningstar DBRS. Of the senior A note debt for Pearlridge Center, $10.4 million was contributed to the subject trust, with the remaining A note debt split pari passu across the two multiborrower transactions mentioned above. The $10.4 million in pari passu A note debt and the $48.6 million in B note back the pooled classes, and $46.0 million in C note debt backs the rake PR classes in the subject transaction. Pearlridge Center is an enclosed center that was built in 1972 and is located just north of Pearl Harbor. The loan transferred to special servicing in May 2025 and per the most recent servicer commentary, CBRE was appointed as receiver in December 2025. The mall is anchored by Macy's (18.4% of net rentable area (NRA)), which has a lease expiration in February 2027. As of the provided February 2026 rent roll, the property was 75.6% occupied; this remains in line with the YE2024 figure of 79.0%, but is well below the YE2023 figure of 91%. Occupancy fell in 2024 following the closure of Bed Bath & Beyond (previously 7.3% of NRA) and several other tenants. Occupancy could fall further in the near term as 14.3% of the NRA has leases set to expire by YE2026. The loan reported a YE2025 NCF of $19.7 million (a DSCR of 2.44x), which is in line with the YE2024 NCF of $19.8 million (DSCR of 2.45x) and the YE2023 NCF of $22.8 million (DSCR of 2.83x). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Takes Ratings Actions on 8 Lendmark Funding Transactions ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded three and confirmed 31 credit ratings from eight Lendmark Funding Trust Transactions. The Issuers are: - Lendmark Funding Trust 2025-3 - Lendmark Funding Trust 2024-2 - Lendmark Funding Trust 2025-2 - Lendmark Funding Trust 2021-2 - Lendmark Funding Trust 2024-1 - Lendmark Funding Trust 2025-1 - Lendmark Funding Trust 2020-2 - Lendmark Funding Trust 2021-1 The Affected Ratings is available at https://tinyurl.com/mr2drh4d The credit rating actions are based on the following analytical considerations: -- Lendmark Funding Trust 2020-2 is currently amortizing. Current credit enhancement (CE) levels have increased compared to the initial levels. -- Lendmark Funding Trust 2021-1, Lendmark Funding Trust 2021-2, Lendmark Funding Trust 2024-1, Lendmark Funding Trust 2024-2, Lendmark Funding Trust 2025-1, Lendmark Funding Trust 2025-2 and Lendmark Funding Trust 2025-3 are currently within the initial revolving terms. Current CE levels are in line with the initial levels. -- Current charge-offs for the transactions are in line with initial expectations. -- For the transaction currently amortizing, as a percentage of the current collateral balances, total delinquencies have increased in recent months. -- For the transaction currently revolving, as a percentage of the initial collateral balances, total delinquencies have been stable in recent months. -- The level of hard CE is in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transactions. Hard CE and estimated excess spread are sufficient to support Morningstar DBRS' current credit rating levels. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] Moody's Upgrades Ratings on 5 Bonds From 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds from three US residential mortgage-backed transactions (RMBS), backed by manufactured housing mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: IndyMac MH Contract 1998-1 A-3, Upgraded to Baa2 (sf); previously on Jun 18, 2025 Upgraded to B2 (sf) A-4, Upgraded to Baa2 (sf); previously on Jun 18, 2025 Upgraded to B2 (sf) A-5, Upgraded to Baa2 (sf); previously on Jun 18, 2025 Upgraded to B2 (sf) Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B Cl. M-1, Upgraded to Aaa (sf); previously on Jun 18, 2025 Upgraded to Aa2 (sf) Issuer: MERIT Securities Corp Series 13 M1, Upgraded to Aaa (sf); previously on Jun 18, 2025 Upgraded to A1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 1.4x on average for these bonds upgraded over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* 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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